73 lines
2.3 KiB
Python
73 lines
2.3 KiB
Python
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"""Tests for Momentum strategy."""
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import pytest
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from decimal import Decimal
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import pandas as pd
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from src.strategies.momentum.momentum_strategy import MomentumStrategy
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def test_momentum_strategy_initialization():
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"""Test Momentum strategy initializes correctly."""
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strategy = MomentumStrategy("Test Momentum", {
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"lookback_period": 20,
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"momentum_threshold": 0.05
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})
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assert strategy.name == "Test Momentum"
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assert strategy.lookback_period == 20
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assert strategy.momentum_threshold == Decimal("0.05")
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def test_momentum_calculation():
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"""Test momentum calculation."""
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strategy = MomentumStrategy("Test", {"lookback_period": 5})
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# Create price history
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prices = pd.Series([100, 101, 102, 103, 104, 105])
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momentum = strategy._calculate_momentum(prices)
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# Should be positive (price increased)
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assert momentum > 0
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assert momentum == 0.05 # (105 - 100) / 100
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def test_momentum_entry_signal():
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"""Test momentum generates entry signal."""
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strategy = MomentumStrategy("Test", {
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"lookback_period": 5,
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"momentum_threshold": 0.05,
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"volume_threshold": 1.0
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})
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# Build price history with momentum
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for i in range(10):
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price = 100 + i * 2 # Strong upward momentum
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volume = 1000 * (1.5 if i >= 5 else 1.0) # Volume increase
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strategy.on_tick("BTC/USD", Decimal(str(price)), "1h", {"volume": volume})
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# Should generate buy signal
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signal = strategy.on_tick("BTC/USD", Decimal("120"), "1h", {"volume": 2000})
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assert signal is not None
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assert signal.signal_type.value == "buy"
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assert strategy._in_position == True
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def test_momentum_exit_signal():
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"""Test momentum generates exit signal on reversal."""
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strategy = MomentumStrategy("Test", {
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"lookback_period": 5,
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"exit_threshold": -0.02
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})
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strategy._in_position = True
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strategy._entry_price = Decimal("100")
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# Build history with reversal
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for i in range(10):
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price = 100 - i # Downward momentum
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strategy.on_tick("BTC/USD", Decimal(str(price)), "1h", {"volume": 1000})
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signal = strategy.on_tick("BTC/USD", Decimal("90"), "1h", {"volume": 1000})
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assert signal is not None
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assert signal.signal_type.value == "sell"
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assert strategy._in_position == False
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