from __future__ import annotations from datetime import timedelta from crypto_spot_bot.models import Candle, Position, Ticker, utc_now from crypto_spot_bot.patterns import PatternAnalyzer from crypto_spot_bot.strategy import SpotStrategy def _ready_candles() -> list[Candle]: candles = [] for index in range(205): candle = Candle( timestamp=index, open=100, high=103, low=99, close=101, volume=100, ema_20=100, ema_50=99, ema_200=98, rsi_14=45, atr_14=1.2, volume_ma_20=90, ) candles.append(candle) return candles def _rebound_candles() -> list[Candle]: candles = [] tail = [98.0, 97.3, 96.6, 95.9, 95.2, 94.8, 94.55, 94.42, 94.38, 94.40, 94.45, 94.56] for index in range(205): close = 104 - index * 0.025 if index >= 193: close = tail[index - 193] rsi = 45 if index >= 193: rsi = min(42, 29 + max(0, index - 198)) candles.append( Candle( timestamp=index, open=close - 0.12, high=close + 0.25, low=close - 0.26, close=close, volume=120, ema_20=close + 0.35, ema_50=close + 0.75, ema_200=close + 1.4, rsi_14=rsi, atr_14=0.45, volume_ma_20=100, ) ) candles[-1].open = candles[-1].close - 0.20 candles[-1].low = candles[-1].close - 0.26 return candles def test_strategy_emits_buy_when_score_passes_threshold(make_settings, tmp_path) -> None: settings = make_settings(tmp_path) strategy = SpotStrategy(settings) ticker = Ticker( symbol="BTCUSDT", last_price=101, bid=100.99, ask=101.01, turnover_24h=10_000_000, volume_24h=1000, change_24h=1.0, ) signal = strategy.entry_signal("BTCUSDT", _ready_candles(), ticker, open_positions_for_symbol=0) assert signal.action == "BUY" assert signal.confidence >= settings.min_signal_confidence def test_strategy_blocks_negative_long_pattern(make_settings, tmp_path) -> None: settings = make_settings(tmp_path) strategy = SpotStrategy(settings) ticker = Ticker( symbol="BTCUSDT", last_price=101, bid=100.99, ask=101.01, turnover_24h=10_000_000, volume_24h=1000, change_24h=1.0, ) signal = strategy.entry_signal( "BTCUSDT", _ready_candles(), ticker, open_positions_for_symbol=0, pattern={"label": "нисходящий тренд", "score": 0.28}, ) assert signal.action == "HOLD" assert signal.diagnostics["entry_blocked_by_pattern"] is True def test_strategy_blocks_strong_negative_learning(make_settings, tmp_path) -> None: settings = make_settings(tmp_path) strategy = SpotStrategy(settings) ticker = Ticker( symbol="BTCUSDT", last_price=101, bid=100.99, ask=101.01, turnover_24h=10_000_000, volume_24h=1000, change_24h=1.0, ) signal = strategy.entry_signal( "BTCUSDT", _ready_candles(), ticker, open_positions_for_symbol=0, pattern={"label": "нейтрально", "score": 0.5}, learning={ "sample_size": 10, "net_pnl": -1.0, "win_rate": 0.1, "confidence_adjustment": -0.12, "reason": "test", }, ) assert signal.action == "HOLD" assert signal.diagnostics["entry_blocked_by_learning"] is True def test_strategy_blocks_entry_when_llm_advisor_blocks(make_settings, tmp_path) -> None: settings = make_settings(tmp_path, llm_advisor_enabled=True) strategy = SpotStrategy(settings) ticker = Ticker( symbol="BTCUSDT", last_price=101, bid=100.99, ask=101.01, turnover_24h=10_000_000, volume_24h=1000, change_24h=1.0, ) signal = strategy.entry_signal( "BTCUSDT", _ready_candles(), ticker, open_positions_for_symbol=0, llm={ "confidence_adjustment": -0.03, "block_entry": True, "reason_ru": "риск падения", }, ) assert signal.action == "HOLD" assert signal.diagnostics["entry_blocked_by_llm"] is True assert signal.diagnostics["llm_adjustment"] == -0.03 def test_strategy_activates_grid_and_sets_position_size(make_settings, tmp_path) -> None: settings = make_settings(tmp_path) strategy = SpotStrategy(settings) ticker = Ticker( symbol="BTCUSDT", last_price=101, bid=100.99, ask=101.01, turnover_24h=10_000_000, volume_24h=1000, change_24h=0.1, ) signal = strategy.entry_signal( "BTCUSDT", _ready_candles(), ticker, open_positions_for_symbol=2, pattern={ "label": "боковик", "score": 0.48, "tags": ["боковик"], "metrics": {"high20": 105, "low20": 100, "ema_gap_percent": 0.1, "ret_20_percent": 0.2}, }, llm={"market_regime": "range", "grid_suitable": True, "risk_level": "medium"}, ) assert signal.action == "BUY" assert signal.diagnostics["trade_mode"] == "GRID" assert signal.diagnostics["grid"]["active"] is True assert 1 <= signal.diagnostics["position_notional_usdt"] <= settings.grid_max_position_usdt def test_strategy_buys_probabilistic_rebound_after_stabilized_drop(make_settings, tmp_path) -> None: settings = make_settings(tmp_path, rebound_entry_confidence=0.58, rebound_min_probability=0.58) strategy = SpotStrategy(settings) candles = _rebound_candles() ticker = Ticker( symbol="BTCUSDT", last_price=candles[-1].close, bid=candles[-1].close * 0.9999, ask=candles[-1].close * 1.0001, turnover_24h=10_000_000, volume_24h=1000, change_24h=-2.0, ) pattern = PatternAnalyzer().analyze(candles, ticker).as_dict() signal = strategy.entry_signal( "BTCUSDT", candles, ticker, open_positions_for_symbol=0, pattern={**pattern, "label": "нисходящий тренд", "score": 0.28}, ) assert signal.action == "BUY" assert signal.diagnostics["trade_mode"] == "REBOUND" assert signal.diagnostics["rebound"]["active"] is True assert signal.diagnostics["entry_blocked_by_pattern"] is False assert signal.diagnostics["position_notional_usdt"] <= settings.rebound_max_position_usdt def test_strategy_rebound_does_not_override_llm_block(make_settings, tmp_path) -> None: settings = make_settings( tmp_path, llm_advisor_enabled=True, rebound_entry_confidence=0.58, rebound_min_probability=0.58, ) strategy = SpotStrategy(settings) candles = _rebound_candles() ticker = Ticker( symbol="BTCUSDT", last_price=candles[-1].close, bid=candles[-1].close * 0.9999, ask=candles[-1].close * 1.0001, turnover_24h=10_000_000, volume_24h=1000, change_24h=-2.0, ) signal = strategy.entry_signal( "BTCUSDT", candles, ticker, open_positions_for_symbol=0, pattern={"label": "нисходящий тренд", "score": 0.28}, llm={"block_entry": True, "reason_ru": "риск продолжения падения"}, ) assert signal.action == "HOLD" assert signal.diagnostics["entry_blocked_by_llm"] is True def test_strategy_trailing_stop_only_exits_after_profit(make_settings, tmp_path) -> None: settings = make_settings(tmp_path) strategy = SpotStrategy(settings) candles = _ready_candles() from crypto_spot_bot.models import Position position = Position( id=1, symbol="BTCUSDT", qty=1, entry_price=100, notional_usdt=100, entry_fee_usdt=0.1, stop_loss=90, take_profit=120, highest_price=100.5, ) ticker = Ticker("BTCUSDT", 99.6, 99.5, 99.7, 1_000_000, 100, 0) signal = strategy.exit_signal(position, candles, ticker) assert signal.reason != "сработал trailing stop выше цены входа" def test_strategy_adaptive_learning_holds_unprofitable_ema_exit(make_settings, tmp_path) -> None: settings = make_settings(tmp_path, min_hold_seconds=60) strategy = SpotStrategy(settings) candles = _ready_candles() candles[-2].close = 100.2 candles[-1].close = 99.9 candles[-1].ema_20 = 98.0 candles[-1].ema_50 = 100.0 position = Position( id=1, symbol="BTCUSDT", qty=1, entry_price=100, notional_usdt=100, entry_fee_usdt=0.1, stop_loss=90, take_profit=120, highest_price=100.5, opened_at=utc_now() - timedelta(seconds=600), ) ticker = Ticker("BTCUSDT", 99.9, 99.89, 99.91, 1_000_000, 100, 0) signal = strategy.exit_signal( position, candles, ticker, { "adaptive_rules": { "ema_exit_mode": "profit_only", "min_exit_profit_percent": 0.31, "min_hold_seconds": 60, } }, ) assert signal.action == "HOLD" assert "EMA50" in signal.reason def test_strategy_blocks_entry_when_learning_exposure_target_exceeded(make_settings, tmp_path) -> None: settings = make_settings(tmp_path) strategy = SpotStrategy(settings) ticker = Ticker("BTCUSDT", 101, 100.99, 101.01, 10_000_000, 1000, 1.0) signal = strategy.entry_signal( "BTCUSDT", _ready_candles(), ticker, open_positions_for_symbol=1, learning={ "adaptive_rules": { "over_target_exposure": True, "target_total_exposure_usdt": 35, "current_total_exposure_usdt": 80, } }, ) assert signal.action == "HOLD" assert signal.diagnostics["entry_blocked_by_adaptive_rules"] is True assert signal.diagnostics["adaptive_block_reason"] == "экспозиция выше цели обучения" def test_strategy_learning_reduce_now_sells_after_min_hold(make_settings, tmp_path) -> None: settings = make_settings(tmp_path, min_hold_seconds=60) strategy = SpotStrategy(settings) position = Position( id=7, symbol="BTCUSDT", qty=1, entry_price=100, notional_usdt=100, entry_fee_usdt=0.1, stop_loss=90, take_profit=120, highest_price=101, opened_at=utc_now() - timedelta(seconds=600), ) ticker = Ticker("BTCUSDT", 99.5, 99.49, 99.51, 1_000_000, 100, 0) signal = strategy.exit_signal( position, _ready_candles(), ticker, {"adaptive_rules": {"reduce_exposure": True, "reduce_now": True, "min_hold_seconds": 60}}, ) assert signal.action == "SELL" assert "экспозицию" in signal.reason def test_strategy_forecast_sells_to_lock_profit(make_settings, tmp_path) -> None: settings = make_settings(tmp_path, min_hold_seconds=60) strategy = SpotStrategy(settings) position = Position( id=9, symbol="BTCUSDT", qty=1, entry_price=100, notional_usdt=100, entry_fee_usdt=0.1, stop_loss=90, take_profit=120, highest_price=101.5, opened_at=utc_now() - timedelta(seconds=600), ) ticker = Ticker("BTCUSDT", 101, 100.99, 101.01, 1_000_000, 100, 0) signal = strategy.exit_signal( position, _ready_candles(), ticker, forecast={ "usable": True, "skill": 0.2, "expected_return_percent": -0.2, "probability_up": 0.35, "reason": "тестовый негативный прогноз", }, ) assert signal.action == "SELL" assert "прогноз временного ряда" in signal.reason def test_strategy_forecast_sells_to_limit_loss_before_stop(make_settings, tmp_path) -> None: settings = make_settings(tmp_path, min_hold_seconds=60, stop_loss_percent=0.02) strategy = SpotStrategy(settings) position = Position( id=10, symbol="BTCUSDT", qty=1, entry_price=100, notional_usdt=100, entry_fee_usdt=0.1, stop_loss=98, take_profit=120, highest_price=100.4, opened_at=utc_now() - timedelta(seconds=600), ) ticker = Ticker("BTCUSDT", 99.2, 99.19, 99.21, 1_000_000, 100, 0) signal = strategy.exit_signal( position, _ready_candles(), ticker, forecast={ "usable": True, "skill": 0.2, "expected_return_percent": -0.2, "probability_up": 0.35, "reason": "тестовый негативный прогноз", }, ) assert signal.action == "SELL" assert "ограничиваем убыток" in signal.reason