Курнат Андрей
1161 lines
36 KiB
Python
1161 lines
36 KiB
Python
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 _trend_entry_candles(
|
|
*,
|
|
macd_cross_up: bool = True,
|
|
close: float = 105.0,
|
|
ema50: float = 100.0,
|
|
rsi: float = 55.0,
|
|
) -> list[Candle]:
|
|
candles = []
|
|
for index in range(80):
|
|
candles.append(
|
|
Candle(
|
|
timestamp=index,
|
|
open=close - 0.4,
|
|
high=close + 0.8,
|
|
low=close - 0.8,
|
|
close=close,
|
|
volume=100,
|
|
ema_20=close - 1.0,
|
|
ema_50=ema50,
|
|
ema_200=ema50 - 4.0,
|
|
rsi_14=rsi,
|
|
atr_14=1.0,
|
|
macd=-0.1,
|
|
macd_signal=0.0,
|
|
macd_hist=-0.1,
|
|
volume_ma_20=90,
|
|
)
|
|
)
|
|
candles[-1].macd = 0.15 if macd_cross_up else -0.05
|
|
candles[-1].macd_signal = 0.0
|
|
candles[-1].macd_hist = candles[-1].macd - candles[-1].macd_signal
|
|
return candles
|
|
|
|
|
|
def _daily_trend_candles(*, uptrend: bool = True) -> list[Candle]:
|
|
close = 110.0 if uptrend else 95.0
|
|
ema50 = 105.0 if uptrend else 98.0
|
|
ema200 = 100.0
|
|
return [
|
|
Candle(
|
|
timestamp=index,
|
|
open=close - 1.0,
|
|
high=close + 1.0,
|
|
low=close - 2.0,
|
|
close=close,
|
|
volume=1000,
|
|
ema_20=ema50,
|
|
ema_50=ema50,
|
|
ema_200=ema200,
|
|
rsi_14=55,
|
|
atr_14=4.0,
|
|
macd=1.0,
|
|
macd_signal=0.8,
|
|
macd_hist=0.2,
|
|
volume_ma_20=900,
|
|
)
|
|
for index in range(205)
|
|
]
|
|
|
|
|
|
def test_trend_macd_buys_only_when_rules_pass(make_settings, tmp_path) -> None:
|
|
settings = make_settings(
|
|
tmp_path,
|
|
strategy_mode="trend_macd",
|
|
max_position_usdt=50,
|
|
stop_loss_percent=0.04,
|
|
risk_per_trade_percent=0.01,
|
|
)
|
|
strategy = SpotStrategy(settings)
|
|
ticker = Ticker("BTCUSDT", 105, 104.99, 105.01, 10_000_000, 1000, 1.0)
|
|
|
|
signal = strategy.entry_signal(
|
|
"BTCUSDT",
|
|
_trend_entry_candles(),
|
|
ticker,
|
|
open_positions_for_symbol=0,
|
|
account={"equity": 100.0},
|
|
trend_candles=_daily_trend_candles(),
|
|
)
|
|
|
|
assert signal.action == "BUY"
|
|
assert signal.diagnostics["strategy_mode"] == "trend_macd"
|
|
assert signal.diagnostics["position_notional_usdt"] == 25.0
|
|
assert signal.diagnostics["position_sizing"]["risk_per_trade_percent"] == 1.0
|
|
|
|
|
|
def test_trend_macd_blocks_when_daily_trend_filter_fails(make_settings, tmp_path) -> None:
|
|
settings = make_settings(tmp_path, strategy_mode="trend_macd")
|
|
strategy = SpotStrategy(settings)
|
|
ticker = Ticker("ETHUSDT", 105, 104.99, 105.01, 10_000_000, 1000, 1.0)
|
|
|
|
signal = strategy.entry_signal(
|
|
"ETHUSDT",
|
|
_trend_entry_candles(),
|
|
ticker,
|
|
open_positions_for_symbol=0,
|
|
account={"equity": 100.0},
|
|
trend_candles=_daily_trend_candles(uptrend=False),
|
|
)
|
|
|
|
assert signal.action == "HOLD"
|
|
assert signal.diagnostics["checks"]["daily_trend_ok"] is False
|
|
|
|
|
|
def test_trend_macd_blocks_second_position_for_symbol(make_settings, tmp_path) -> None:
|
|
settings = make_settings(tmp_path, strategy_mode="trend_macd")
|
|
strategy = SpotStrategy(settings)
|
|
ticker = Ticker("SOLUSDT", 105, 104.99, 105.01, 10_000_000, 1000, 1.0)
|
|
|
|
signal = strategy.entry_signal(
|
|
"SOLUSDT",
|
|
_trend_entry_candles(),
|
|
ticker,
|
|
open_positions_for_symbol=1,
|
|
account={"equity": 100.0},
|
|
trend_candles=_daily_trend_candles(),
|
|
)
|
|
|
|
assert signal.action == "HOLD"
|
|
assert "позиция" in signal.reason
|
|
|
|
|
|
def test_trend_macd_exits_on_macd_cross_down(make_settings, tmp_path) -> None:
|
|
settings = make_settings(tmp_path, strategy_mode="trend_macd")
|
|
strategy = SpotStrategy(settings)
|
|
candles = _trend_entry_candles()
|
|
candles[-2].macd = 0.2
|
|
candles[-2].macd_signal = 0.0
|
|
candles[-1].macd = -0.1
|
|
candles[-1].macd_signal = 0.0
|
|
position = Position(1, "BTCUSDT", 1, 100, 100, 0.1, 96, 120, 100)
|
|
ticker = Ticker("BTCUSDT", 104, 103.99, 104.01, 1_000_000, 100, 0)
|
|
|
|
signal = strategy.exit_signal(position, candles, ticker)
|
|
|
|
assert signal.action == "SELL"
|
|
assert "MACD" in signal.reason
|
|
|
|
|
|
def test_trend_macd_exits_on_close_below_ema50(make_settings, tmp_path) -> None:
|
|
settings = make_settings(tmp_path, strategy_mode="trend_macd")
|
|
strategy = SpotStrategy(settings)
|
|
candles = _trend_entry_candles(close=99.0, ema50=100.0, macd_cross_up=False)
|
|
candles[-2].macd = 0.1
|
|
candles[-2].macd_signal = 0.0
|
|
candles[-1].macd = 0.05
|
|
candles[-1].macd_signal = 0.0
|
|
position = Position(1, "BTCUSDT", 1, 100, 100, 0.1, 96, 120, 100)
|
|
ticker = Ticker("BTCUSDT", 99, 98.99, 99.01, 1_000_000, 100, 0)
|
|
|
|
signal = strategy.exit_signal(position, candles, ticker)
|
|
|
|
assert signal.action == "SELL"
|
|
assert "EMA50" in signal.reason
|
|
|
|
|
|
def test_trend_macd_exits_on_atr_trailing_stop(make_settings, tmp_path) -> None:
|
|
settings = make_settings(tmp_path, strategy_mode="trend_macd", atr_trailing_multiplier=2.2)
|
|
strategy = SpotStrategy(settings)
|
|
candles = _trend_entry_candles(close=108.0, ema50=100.0, macd_cross_up=False)
|
|
candles[-2].macd = 0.1
|
|
candles[-2].macd_signal = 0.0
|
|
candles[-1].macd = 0.05
|
|
candles[-1].macd_signal = 0.0
|
|
candles[-1].atr_14 = 1.0
|
|
position = Position(1, "BTCUSDT", 1, 100, 100, 0.1, 96, 120, 110)
|
|
ticker = Ticker("BTCUSDT", 107.7, 107.69, 107.71, 1_000_000, 100, 0)
|
|
|
|
signal = strategy.exit_signal(position, candles, ticker)
|
|
|
|
assert signal.action == "SELL"
|
|
assert "ATR trailing" in signal.reason
|
|
|
|
|
|
def test_torch_forecast_buys_only_from_positive_torch_edge(make_settings, tmp_path) -> None:
|
|
settings = make_settings(
|
|
tmp_path,
|
|
strategy_mode="torch_forecast",
|
|
max_position_usdt=25,
|
|
stop_loss_percent=0.04,
|
|
risk_per_trade_percent=0.01,
|
|
)
|
|
strategy = SpotStrategy(settings)
|
|
ticker = Ticker("BTCUSDT", 105, 104.99, 105.01, 10_000_000, 1000, 1.0)
|
|
|
|
signal = strategy.entry_signal(
|
|
"BTCUSDT",
|
|
[],
|
|
ticker,
|
|
open_positions_for_symbol=0,
|
|
forecast={
|
|
"usable": True,
|
|
"model": "torch_gru",
|
|
"expected_return_percent": 0.36,
|
|
"probability_up": 0.66,
|
|
"skill": 0.22,
|
|
"block_entry": False,
|
|
},
|
|
account={"equity": 100.0},
|
|
)
|
|
|
|
assert signal.action == "BUY"
|
|
assert signal.diagnostics["strategy_mode"] == "torch_forecast"
|
|
assert signal.diagnostics["checks"]["torch_model_ok"] is True
|
|
assert signal.diagnostics["position_notional_usdt"] == 25.0
|
|
|
|
|
|
def test_torch_forecast_blocks_without_valid_torch_model(make_settings, tmp_path) -> None:
|
|
settings = make_settings(tmp_path, strategy_mode="torch_forecast")
|
|
strategy = SpotStrategy(settings)
|
|
ticker = Ticker("ETHUSDT", 105, 104.99, 105.01, 10_000_000, 1000, 1.0)
|
|
|
|
signal = strategy.entry_signal(
|
|
"ETHUSDT",
|
|
_trend_entry_candles(),
|
|
ticker,
|
|
open_positions_for_symbol=0,
|
|
forecast={"usable": True, "model": "none", "expected_return_percent": 0.5, "probability_up": 0.7},
|
|
account={"equity": 100.0},
|
|
)
|
|
|
|
assert signal.action == "HOLD"
|
|
assert signal.diagnostics["checks"]["torch_model_ok"] is False
|
|
|
|
|
|
def test_torch_forecast_allows_additional_entries_until_symbol_limit(make_settings, tmp_path) -> None:
|
|
settings = make_settings(
|
|
tmp_path,
|
|
strategy_mode="torch_forecast",
|
|
min_position_usdt=1,
|
|
max_symbol_exposure_usdt=3,
|
|
max_positions_per_symbol=3,
|
|
max_position_usdt=25,
|
|
stop_loss_percent=0.04,
|
|
risk_per_trade_percent=0.01,
|
|
)
|
|
strategy = SpotStrategy(settings)
|
|
ticker = Ticker("BTCUSDT", 105, 104.99, 105.01, 10_000_000, 1000, 1.0)
|
|
forecast = {
|
|
"usable": True,
|
|
"model": "torch_gru",
|
|
"expected_return_percent": 0.36,
|
|
"probability_up": 0.66,
|
|
"skill": 0.22,
|
|
"block_entry": False,
|
|
}
|
|
|
|
additional = strategy.entry_signal(
|
|
"BTCUSDT",
|
|
[],
|
|
ticker,
|
|
open_positions_for_symbol=1,
|
|
forecast=forecast,
|
|
account={"equity": 100.0},
|
|
)
|
|
capped = strategy.entry_signal(
|
|
"BTCUSDT",
|
|
[],
|
|
ticker,
|
|
open_positions_for_symbol=3,
|
|
forecast=forecast,
|
|
account={"equity": 100.0},
|
|
)
|
|
|
|
assert additional.action == "BUY"
|
|
assert capped.action == "HOLD"
|
|
assert "symbol position limit" in capped.reason
|
|
|
|
|
|
def test_torch_forecast_blocks_failed_quality_gate(make_settings, tmp_path) -> None:
|
|
settings = make_settings(
|
|
tmp_path,
|
|
strategy_mode="torch_forecast",
|
|
time_series_min_edge_percent=0.10,
|
|
time_series_min_probability_up=0.57,
|
|
max_position_usdt=25,
|
|
stop_loss_percent=0.04,
|
|
)
|
|
strategy = SpotStrategy(settings)
|
|
ticker = Ticker("BTCUSDT", 105, 104.99, 105.01, 10_000_000, 1000, 1.0)
|
|
|
|
signal = strategy.entry_signal(
|
|
"BTCUSDT",
|
|
[],
|
|
ticker,
|
|
open_positions_for_symbol=0,
|
|
forecast={
|
|
"usable": True,
|
|
"model": "torch_gru",
|
|
"expected_return_percent": 0.36,
|
|
"probability_up": 0.66,
|
|
"skill": 0.22,
|
|
"block_entry": False,
|
|
"quality_gate_passed": False,
|
|
"quality_gate": {"status": "fail"},
|
|
},
|
|
account={"equity": 100.0},
|
|
)
|
|
|
|
assert signal.action == "HOLD"
|
|
assert signal.diagnostics["checks"]["quality_gate_ok"] is False
|
|
|
|
|
|
def test_torch_forecast_probe_buys_on_positive_high_probability(make_settings, tmp_path) -> None:
|
|
settings = make_settings(
|
|
tmp_path,
|
|
strategy_mode="torch_forecast",
|
|
time_series_min_edge_percent=0.10,
|
|
time_series_min_probability_up=0.52,
|
|
time_series_probe_enabled=True,
|
|
time_series_probe_min_edge_percent=0.02,
|
|
time_series_probe_min_probability_up=0.55,
|
|
time_series_probe_size_multiplier=0.40,
|
|
max_position_usdt=25,
|
|
stop_loss_percent=0.04,
|
|
risk_per_trade_percent=0.01,
|
|
)
|
|
strategy = SpotStrategy(settings)
|
|
ticker = Ticker("SOLUSDT", 65, 64.99, 65.01, 10_000_000, 1000, 1.0)
|
|
|
|
signal = strategy.entry_signal(
|
|
"SOLUSDT",
|
|
[],
|
|
ticker,
|
|
open_positions_for_symbol=0,
|
|
forecast={
|
|
"usable": True,
|
|
"model": "torch_gru",
|
|
"expected_return_percent": 0.04,
|
|
"probability_up": 0.57,
|
|
"skill": 0.05,
|
|
"block_entry": False,
|
|
},
|
|
account={"equity": 100.0},
|
|
)
|
|
|
|
assert signal.action == "BUY"
|
|
assert signal.diagnostics["edge_mode"] == "probe"
|
|
assert signal.diagnostics["checks"]["expected_edge_ok"] is True
|
|
assert signal.diagnostics["position_sizing"]["edge_mode"] == "probe"
|
|
assert settings.min_position_usdt <= signal.diagnostics["position_notional_usdt"] < settings.max_position_usdt
|
|
|
|
|
|
def test_torch_forecast_probe_blocks_negative_expected_return(make_settings, tmp_path) -> None:
|
|
settings = make_settings(
|
|
tmp_path,
|
|
strategy_mode="torch_forecast",
|
|
time_series_min_edge_percent=0.10,
|
|
time_series_min_probability_up=0.52,
|
|
time_series_probe_enabled=True,
|
|
time_series_probe_min_edge_percent=0.02,
|
|
time_series_probe_min_probability_up=0.55,
|
|
)
|
|
strategy = SpotStrategy(settings)
|
|
ticker = Ticker("BTCUSDT", 59_000, 58_999, 59_001, 10_000_000, 1000, 1.0)
|
|
|
|
signal = strategy.entry_signal(
|
|
"BTCUSDT",
|
|
[],
|
|
ticker,
|
|
open_positions_for_symbol=0,
|
|
forecast={
|
|
"usable": True,
|
|
"model": "torch_gru",
|
|
"expected_return_percent": -0.03,
|
|
"probability_up": 0.60,
|
|
"skill": 0.16,
|
|
"block_entry": False,
|
|
},
|
|
account={"equity": 100.0},
|
|
)
|
|
|
|
assert signal.action == "HOLD"
|
|
assert signal.diagnostics["edge_mode"] == "blocked"
|
|
assert signal.diagnostics["checks"]["expected_edge_ok"] is False
|
|
|
|
|
|
def test_torch_forecast_rebound_overlay_buys_stabilized_drop(make_settings, tmp_path) -> None:
|
|
settings = make_settings(
|
|
tmp_path,
|
|
strategy_mode="torch_forecast",
|
|
rebound_trading_enabled=True,
|
|
rebound_entry_confidence=0.55,
|
|
rebound_min_probability=0.55,
|
|
rebound_max_position_usdt=6.0,
|
|
time_series_min_edge_percent=0.10,
|
|
time_series_probe_min_probability_up=0.55,
|
|
max_position_usdt=25,
|
|
stop_loss_percent=0.04,
|
|
risk_per_trade_percent=0.01,
|
|
)
|
|
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},
|
|
forecast={
|
|
"usable": True,
|
|
"model": "torch_gru",
|
|
"expected_return_percent": 0.01,
|
|
"probability_up": 0.56,
|
|
"skill": 0.05,
|
|
"block_entry": False,
|
|
},
|
|
account={"equity": 100.0},
|
|
)
|
|
|
|
assert signal.action == "BUY"
|
|
assert signal.diagnostics["entry_path"] == "rebound"
|
|
assert signal.diagnostics["rebound"]["active"] is True
|
|
assert signal.diagnostics["edge_mode"] == "rebound"
|
|
assert signal.diagnostics["checks"]["expected_edge_ok"] is False
|
|
assert signal.diagnostics["position_notional_usdt"] <= settings.rebound_max_position_usdt
|
|
|
|
|
|
def test_torch_forecast_rebound_overlay_does_not_buy_negative_forecast(make_settings, tmp_path) -> None:
|
|
settings = make_settings(
|
|
tmp_path,
|
|
strategy_mode="torch_forecast",
|
|
rebound_trading_enabled=True,
|
|
rebound_entry_confidence=0.55,
|
|
rebound_min_probability=0.55,
|
|
time_series_min_edge_percent=0.10,
|
|
time_series_probe_min_probability_up=0.55,
|
|
)
|
|
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},
|
|
forecast={
|
|
"usable": True,
|
|
"model": "torch_gru",
|
|
"expected_return_percent": -0.01,
|
|
"probability_up": 0.56,
|
|
"skill": 0.05,
|
|
"block_entry": False,
|
|
},
|
|
account={"equity": 100.0},
|
|
)
|
|
|
|
assert signal.action == "HOLD"
|
|
assert signal.diagnostics["rebound"]["active"] is True
|
|
assert signal.diagnostics["rebound_entry_ok"] is False
|
|
assert signal.diagnostics["edge_mode"] == "blocked"
|
|
|
|
|
|
def test_torch_forecast_rebound_fallback_buys_when_symbol_has_no_model(make_settings, tmp_path) -> None:
|
|
settings = make_settings(
|
|
tmp_path,
|
|
strategy_mode="torch_forecast",
|
|
rebound_trading_enabled=True,
|
|
rebound_entry_confidence=0.55,
|
|
rebound_min_probability=0.55,
|
|
rebound_max_position_usdt=6.0,
|
|
time_series_rebound_fallback_enabled=True,
|
|
stop_loss_percent=0.04,
|
|
risk_per_trade_percent=0.01,
|
|
)
|
|
strategy = SpotStrategy(settings)
|
|
candles = _rebound_candles()
|
|
ticker = Ticker(
|
|
symbol="HYPEUSDT",
|
|
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(
|
|
"HYPEUSDT",
|
|
candles,
|
|
ticker,
|
|
open_positions_for_symbol=0,
|
|
pattern={"label": "нисходящий тренд", "score": 0.28},
|
|
forecast={
|
|
"usable": False,
|
|
"model": "none",
|
|
"reason": "no valid PyTorch LSTM/GRU model for symbol",
|
|
"block_entry": False,
|
|
},
|
|
account={"equity": 100.0},
|
|
)
|
|
|
|
assert signal.action == "BUY"
|
|
assert signal.diagnostics["entry_path"] == "rebound_fallback"
|
|
assert signal.diagnostics["fallback_rebound_entry_ok"] is True
|
|
assert signal.diagnostics["missing_torch_model"] is True
|
|
assert signal.diagnostics["edge_mode"] == "rebound_fallback"
|
|
assert signal.diagnostics["position_notional_usdt"] <= settings.rebound_max_position_usdt
|
|
|
|
|
|
def test_torch_forecast_rebound_fallback_can_be_disabled(make_settings, tmp_path) -> None:
|
|
settings = make_settings(
|
|
tmp_path,
|
|
strategy_mode="torch_forecast",
|
|
rebound_trading_enabled=True,
|
|
rebound_entry_confidence=0.55,
|
|
rebound_min_probability=0.55,
|
|
time_series_rebound_fallback_enabled=False,
|
|
)
|
|
strategy = SpotStrategy(settings)
|
|
candles = _rebound_candles()
|
|
ticker = Ticker(
|
|
symbol="HYPEUSDT",
|
|
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(
|
|
"HYPEUSDT",
|
|
candles,
|
|
ticker,
|
|
open_positions_for_symbol=0,
|
|
pattern={"label": "нисходящий тренд", "score": 0.28},
|
|
forecast={
|
|
"usable": False,
|
|
"model": "none",
|
|
"reason": "no valid PyTorch LSTM/GRU model for symbol",
|
|
"block_entry": False,
|
|
},
|
|
account={"equity": 100.0},
|
|
)
|
|
|
|
assert signal.action == "HOLD"
|
|
assert signal.diagnostics["missing_torch_model"] is True
|
|
assert signal.diagnostics["fallback_rebound_entry_ok"] is False
|
|
|
|
|
|
def test_torch_forecast_exits_when_forecast_turns_negative(make_settings, tmp_path) -> None:
|
|
settings = make_settings(tmp_path, strategy_mode="torch_forecast", stop_loss_percent=0.04)
|
|
strategy = SpotStrategy(settings)
|
|
position = Position(1, "SOLUSDT", 1, 100, 100, 0.1, 96, 120, 103)
|
|
ticker = Ticker("SOLUSDT", 101, 100.99, 101.01, 10_000_000, 1000, 1.0)
|
|
|
|
signal = strategy.exit_signal(
|
|
position,
|
|
_trend_entry_candles(),
|
|
ticker,
|
|
forecast={
|
|
"usable": True,
|
|
"model": "torch_lstm",
|
|
"expected_return_percent": -0.08,
|
|
"probability_up": 0.43,
|
|
"skill": 0.18,
|
|
"block_entry": True,
|
|
},
|
|
)
|
|
|
|
assert signal.action == "SELL"
|
|
assert "torch_forecast" in signal.reason
|
|
|
|
|
|
def test_torch_forecast_rebound_fallback_holds_without_model(make_settings, tmp_path) -> None:
|
|
settings = make_settings(tmp_path, strategy_mode="torch_forecast", min_hold_seconds=180)
|
|
strategy = SpotStrategy(settings)
|
|
position = Position(
|
|
1,
|
|
"XRPUSDT",
|
|
5,
|
|
1.0,
|
|
5.0,
|
|
0.005,
|
|
0.96,
|
|
1.035,
|
|
1.0,
|
|
entry_diagnostics={"entry_path": "rebound_fallback", "edge_mode": "rebound_fallback"},
|
|
)
|
|
ticker = Ticker("XRPUSDT", 1.001, 1.0009, 1.0011, 10_000_000, 1000, 1.0)
|
|
|
|
signal = strategy.exit_signal(
|
|
position,
|
|
_trend_entry_candles(close=1.0, ema50=0.98),
|
|
ticker,
|
|
forecast={
|
|
"usable": False,
|
|
"model": "none",
|
|
"reason": "no valid PyTorch LSTM/GRU model for symbol",
|
|
"block_entry": False,
|
|
},
|
|
)
|
|
|
|
assert signal.action == "HOLD"
|
|
assert signal.diagnostics["rebound_fallback_position"] is True
|
|
assert "rebound fallback" in signal.reason
|
|
|
|
|
|
def test_torch_forecast_rebound_fallback_still_sells_take_profit(make_settings, tmp_path) -> None:
|
|
settings = make_settings(tmp_path, strategy_mode="torch_forecast")
|
|
strategy = SpotStrategy(settings)
|
|
position = Position(
|
|
1,
|
|
"XRPUSDT",
|
|
5,
|
|
1.0,
|
|
5.0,
|
|
0.005,
|
|
0.96,
|
|
1.035,
|
|
1.04,
|
|
opened_at=utc_now() - timedelta(seconds=600),
|
|
entry_diagnostics={"entry_path": "rebound_fallback", "edge_mode": "rebound_fallback"},
|
|
)
|
|
ticker = Ticker("XRPUSDT", 1.036, 1.0359, 1.0361, 10_000_000, 1000, 1.0)
|
|
|
|
signal = strategy.exit_signal(
|
|
position,
|
|
_trend_entry_candles(close=1.0, ema50=0.98),
|
|
ticker,
|
|
forecast={
|
|
"usable": False,
|
|
"model": "none",
|
|
"reason": "no valid PyTorch LSTM/GRU model for symbol",
|
|
"block_entry": False,
|
|
},
|
|
)
|
|
|
|
assert signal.action == "SELL"
|
|
assert "take-profit" in signal.reason
|
|
|
|
|
|
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_uses_fractional_kelly_position_size(make_settings, tmp_path) -> None:
|
|
settings = make_settings(tmp_path, max_position_usdt=20, kelly_fraction=0.25, kelly_max_fraction=0.20)
|
|
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,
|
|
forecast={"usable": True, "probability_up": 0.70, "volatility_percent": 0.2},
|
|
account={"equity": 200.0},
|
|
)
|
|
|
|
sizing = signal.diagnostics["position_sizing"]
|
|
assert signal.action == "BUY"
|
|
assert sizing["method"] == "fractional_kelly"
|
|
assert sizing["kelly_probability_source"] == "forecast"
|
|
assert sizing["kelly_bankroll_usdt"] == 200.0
|
|
assert sizing["kelly_effective_fraction"] > 0
|
|
assert signal.diagnostics["position_notional_usdt"] == settings.max_position_usdt
|
|
|
|
|
|
def test_strategy_scales_kelly_with_positive_learning_multiplier(make_settings, tmp_path) -> None:
|
|
settings = make_settings(tmp_path, max_position_usdt=50, kelly_fraction=0.25, kelly_max_fraction=0.20)
|
|
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,
|
|
)
|
|
common = dict(
|
|
symbol="BTCUSDT",
|
|
candles=_ready_candles(),
|
|
ticker=ticker,
|
|
open_positions_for_symbol=0,
|
|
forecast={"usable": True, "probability_up": 0.62, "volatility_percent": 0.2},
|
|
account={"equity": 200.0},
|
|
)
|
|
|
|
neutral = strategy.entry_signal(**common)
|
|
scaled = strategy.entry_signal(
|
|
**common,
|
|
learning={"adaptive_rules": {"effective_position_size_multiplier": 1.5}},
|
|
)
|
|
|
|
assert neutral.action == "BUY"
|
|
assert scaled.action == "BUY"
|
|
assert scaled.diagnostics["position_sizing"]["risk_multiplier"] > neutral.diagnostics["position_sizing"]["risk_multiplier"]
|
|
assert scaled.diagnostics["position_notional_usdt"] > neutral.diagnostics["position_notional_usdt"]
|
|
assert scaled.diagnostics["position_notional_usdt"] <= settings.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
|