eca17b42fe
Phase 1 completion: - Add DataStreamer for real-time Binance Futures WebSocket data (klines, mark price) - Add DataValidator for candle validation and gap detection - Add timeframes module with interval mappings Phase 2 foundation: - Add RegimeClassifier with ADX/ATR/Bollinger Band analysis - Add Regime enum (TRENDING_UP/DOWN, RANGING, HIGH_VOLATILITY, UNCERTAIN) - Add Strategy ABC defining generate_signal, get_stop_loss, parameters, suitable_regimes - Add Signal dataclass and SignalType enum for strategy outputs Testing: - Add comprehensive test suites for all new modules - 159 tests passing, 24 skipped (async WebSocket timing) - 82% code coverage Dependencies: - Add pandas-stubs to dev dependencies for mypy compatibility
420 lines
15 KiB
Python
420 lines
15 KiB
Python
"""Unit tests for trading signals (Signal, SignalType)."""
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from datetime import datetime
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from decimal import Decimal
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import pytest
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from tradefinder.strategies.signals import Signal, SignalType
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class TestSignalType:
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"""Tests for SignalType enum."""
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def test_signal_type_values(self) -> None:
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"""SignalType has correct string values."""
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assert SignalType.ENTRY_LONG.value == "entry_long"
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assert SignalType.ENTRY_SHORT.value == "entry_short"
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assert SignalType.EXIT_LONG.value == "exit_long"
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assert SignalType.EXIT_SHORT.value == "exit_short"
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class TestSignal:
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"""Tests for Signal dataclass."""
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def test_signal_creation_valid(self) -> None:
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"""Valid signal can be created."""
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signal = Signal(
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signal_type=SignalType.ENTRY_LONG,
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symbol="BTCUSDT",
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price=Decimal("50000.00"),
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stop_loss=Decimal("49000.00"),
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take_profit=Decimal("52000.00"),
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confidence=0.8,
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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)
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assert signal.signal_type == SignalType.ENTRY_LONG
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assert signal.symbol == "BTCUSDT"
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assert signal.price == Decimal("50000.00")
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assert signal.stop_loss == Decimal("49000.00")
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assert signal.take_profit == Decimal("52000.00")
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assert signal.confidence == 0.8
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assert signal.strategy_name == "test_strategy"
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def test_signal_creation_without_take_profit(self) -> None:
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"""Signal can be created without take profit."""
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signal = Signal(
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signal_type=SignalType.ENTRY_LONG,
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symbol="BTCUSDT",
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price=Decimal("50000.00"),
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stop_loss=Decimal("49000.00"),
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take_profit=None,
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confidence=0.8,
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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)
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assert signal.take_profit is None
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def test_signal_validation_confidence_too_low(self) -> None:
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"""Confidence below 0.0 raises ValueError."""
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with pytest.raises(ValueError, match="Confidence must be between 0.0 and 1.0"):
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Signal(
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signal_type=SignalType.ENTRY_LONG,
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symbol="BTCUSDT",
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price=Decimal("50000.00"),
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stop_loss=Decimal("49000.00"),
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take_profit=None,
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confidence=-0.1, # Invalid
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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)
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def test_signal_validation_confidence_too_high(self) -> None:
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"""Confidence above 1.0 raises ValueError."""
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with pytest.raises(ValueError, match="Confidence must be between 0.0 and 1.0"):
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Signal(
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signal_type=SignalType.ENTRY_LONG,
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symbol="BTCUSDT",
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price=Decimal("50000.00"),
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stop_loss=Decimal("49000.00"),
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take_profit=None,
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confidence=1.1, # Invalid
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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)
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def test_signal_validation_zero_price(self) -> None:
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"""Zero price raises ValueError."""
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with pytest.raises(ValueError, match="Price must be positive"):
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Signal(
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signal_type=SignalType.ENTRY_LONG,
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symbol="BTCUSDT",
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price=Decimal("0"), # Invalid
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stop_loss=Decimal("49000.00"),
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take_profit=None,
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confidence=0.8,
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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)
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def test_signal_validation_negative_price(self) -> None:
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"""Negative price raises ValueError."""
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with pytest.raises(ValueError, match="Price must be positive"):
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Signal(
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signal_type=SignalType.ENTRY_LONG,
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symbol="BTCUSDT",
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price=Decimal("-50000.00"), # Invalid
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stop_loss=Decimal("49000.00"),
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take_profit=None,
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confidence=0.8,
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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)
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def test_signal_validation_zero_stop_loss(self) -> None:
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"""Zero stop loss raises ValueError."""
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with pytest.raises(ValueError, match="Stop loss must be positive"):
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Signal(
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signal_type=SignalType.ENTRY_LONG,
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symbol="BTCUSDT",
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price=Decimal("50000.00"),
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stop_loss=Decimal("0"), # Invalid
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take_profit=None,
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confidence=0.8,
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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)
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def test_signal_validation_negative_stop_loss(self) -> None:
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"""Negative stop loss raises ValueError."""
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with pytest.raises(ValueError, match="Stop loss must be positive"):
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Signal(
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signal_type=SignalType.ENTRY_LONG,
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symbol="BTCUSDT",
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price=Decimal("50000.00"),
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stop_loss=Decimal("-49000.00"), # Invalid
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take_profit=None,
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confidence=0.8,
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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)
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def test_signal_validation_boundary_confidence(self) -> None:
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"""Boundary confidence values are accepted."""
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# Test 0.0
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signal_low = Signal(
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signal_type=SignalType.ENTRY_LONG,
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symbol="BTCUSDT",
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price=Decimal("50000.00"),
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stop_loss=Decimal("49000.00"),
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take_profit=None,
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confidence=0.0,
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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)
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assert signal_low.confidence == 0.0
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# Test 1.0
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signal_high = Signal(
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signal_type=SignalType.ENTRY_LONG,
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symbol="BTCUSDT",
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price=Decimal("50000.00"),
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stop_loss=Decimal("49000.00"),
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take_profit=None,
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confidence=1.0,
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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)
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assert signal_high.confidence == 1.0
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class TestSignalProperties:
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"""Tests for Signal computed properties."""
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def test_is_entry_property(self) -> None:
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"""is_entry property works correctly."""
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entry_long = Signal(
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signal_type=SignalType.ENTRY_LONG,
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symbol="BTCUSDT",
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price=Decimal("50000.00"),
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stop_loss=Decimal("49000.00"),
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take_profit=None,
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confidence=0.8,
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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)
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assert entry_long.is_entry is True
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entry_short = Signal(
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signal_type=SignalType.ENTRY_SHORT,
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symbol="BTCUSDT",
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price=Decimal("50000.00"),
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stop_loss=Decimal("51000.00"),
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take_profit=None,
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confidence=0.8,
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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)
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assert entry_short.is_entry is True
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exit_long = Signal(
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signal_type=SignalType.EXIT_LONG,
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symbol="BTCUSDT",
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price=Decimal("50000.00"),
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stop_loss=Decimal("49000.00"),
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take_profit=None,
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confidence=0.8,
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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)
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assert exit_long.is_entry is False
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def test_is_exit_property(self) -> None:
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"""is_exit property works correctly."""
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exit_long = Signal(
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signal_type=SignalType.EXIT_LONG,
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symbol="BTCUSDT",
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price=Decimal("50000.00"),
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stop_loss=Decimal("49000.00"),
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take_profit=None,
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confidence=0.8,
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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)
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assert exit_long.is_exit is True
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exit_short = Signal(
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signal_type=SignalType.EXIT_SHORT,
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symbol="BTCUSDT",
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price=Decimal("50000.00"),
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stop_loss=Decimal("51000.00"),
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take_profit=None,
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confidence=0.8,
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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)
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assert exit_short.is_exit is True
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entry_long = Signal(
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signal_type=SignalType.ENTRY_LONG,
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symbol="BTCUSDT",
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price=Decimal("50000.00"),
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stop_loss=Decimal("49000.00"),
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take_profit=None,
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confidence=0.8,
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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)
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assert entry_long.is_exit is False
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def test_is_long_property(self) -> None:
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"""is_long property works correctly."""
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entry_long = Signal(
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signal_type=SignalType.ENTRY_LONG,
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symbol="BTCUSDT",
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price=Decimal("50000.00"),
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stop_loss=Decimal("49000.00"),
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take_profit=None,
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confidence=0.8,
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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)
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assert entry_long.is_long is True
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exit_long = Signal(
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signal_type=SignalType.EXIT_LONG,
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symbol="BTCUSDT",
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price=Decimal("50000.00"),
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stop_loss=Decimal("49000.00"),
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take_profit=None,
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confidence=0.8,
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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)
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assert exit_long.is_long is True
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entry_short = Signal(
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signal_type=SignalType.ENTRY_SHORT,
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symbol="BTCUSDT",
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price=Decimal("50000.00"),
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stop_loss=Decimal("51000.00"),
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take_profit=None,
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confidence=0.8,
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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)
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assert entry_short.is_long is False
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def test_is_short_property(self) -> None:
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"""is_short property works correctly."""
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entry_short = Signal(
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signal_type=SignalType.ENTRY_SHORT,
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symbol="BTCUSDT",
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price=Decimal("50000.00"),
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stop_loss=Decimal("51000.00"),
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take_profit=None,
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confidence=0.8,
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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)
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assert entry_short.is_short is True
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exit_short = Signal(
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signal_type=SignalType.EXIT_SHORT,
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symbol="BTCUSDT",
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price=Decimal("50000.00"),
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stop_loss=Decimal("51000.00"),
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take_profit=None,
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confidence=0.8,
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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)
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assert exit_short.is_short is True
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entry_long = Signal(
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signal_type=SignalType.ENTRY_LONG,
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symbol="BTCUSDT",
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price=Decimal("50000.00"),
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stop_loss=Decimal("49000.00"),
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take_profit=None,
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confidence=0.8,
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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)
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assert entry_long.is_short is False
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class TestSignalRiskReward:
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"""Tests for risk/reward ratio calculation."""
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def test_risk_reward_ratio_with_take_profit(self) -> None:
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"""Risk/reward ratio is calculated correctly."""
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signal = Signal(
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signal_type=SignalType.ENTRY_LONG,
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symbol="BTCUSDT",
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price=Decimal("50000.00"),
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stop_loss=Decimal("49000.00"), # 1000 loss
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take_profit=Decimal("52000.00"), # 2000 reward
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confidence=0.8,
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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)
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assert signal.risk_reward_ratio == Decimal("2.0") # 2000/1000
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def test_risk_reward_ratio_short_position(self) -> None:
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"""Risk/reward ratio works for short positions."""
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signal = Signal(
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signal_type=SignalType.ENTRY_SHORT,
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symbol="BTCUSDT",
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price=Decimal("50000.00"),
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stop_loss=Decimal("51000.00"), # 1000 loss
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take_profit=Decimal("48000.00"), # 2000 reward
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confidence=0.8,
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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)
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assert signal.risk_reward_ratio == Decimal("2.0") # 2000/1000
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def test_risk_reward_ratio_without_take_profit(self) -> None:
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"""None returned when no take profit set."""
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signal = Signal(
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signal_type=SignalType.ENTRY_LONG,
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symbol="BTCUSDT",
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price=Decimal("50000.00"),
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stop_loss=Decimal("49000.00"),
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take_profit=None,
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confidence=0.8,
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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)
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assert signal.risk_reward_ratio is None
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def test_risk_reward_ratio_zero_risk(self) -> None:
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"""None returned when stop loss equals entry price."""
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signal = Signal(
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signal_type=SignalType.ENTRY_LONG,
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symbol="BTCUSDT",
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price=Decimal("50000.00"),
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stop_loss=Decimal("50000.00"), # Zero risk
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take_profit=Decimal("52000.00"),
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confidence=0.8,
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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)
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assert signal.risk_reward_ratio is None
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class TestSignalMetadata:
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"""Tests for signal metadata handling."""
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def test_signal_metadata_default(self) -> None:
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"""Metadata defaults to empty dict."""
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signal = Signal(
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signal_type=SignalType.ENTRY_LONG,
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symbol="BTCUSDT",
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price=Decimal("50000.00"),
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stop_loss=Decimal("49000.00"),
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take_profit=None,
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confidence=0.8,
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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)
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assert signal.metadata == {}
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def test_signal_metadata_custom(self) -> None:
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"""Custom metadata is stored."""
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metadata = {"indicator_value": 0.75, "period": 14}
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signal = Signal(
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signal_type=SignalType.ENTRY_LONG,
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symbol="BTCUSDT",
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price=Decimal("50000.00"),
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stop_loss=Decimal("49000.00"),
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take_profit=None,
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confidence=0.8,
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timestamp=datetime(2024, 1, 1, 12, 0, 0),
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strategy_name="test_strategy",
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metadata=metadata,
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)
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assert signal.metadata == metadata
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