90 lines
2.9 KiB
Python
90 lines
2.9 KiB
Python
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import pytest
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import pandas as pd
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import numpy as np
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from unittest.mock import MagicMock, AsyncMock, patch
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from decimal import Decimal
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from src.strategies.technical.pairs_trading import PairsTradingStrategy
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from src.strategies.base import SignalType
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@pytest.fixture
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def mock_pricing_service():
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service = MagicMock()
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service.get_ohlcv = MagicMock()
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return service
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@pytest.fixture
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def strategy(mock_pricing_service):
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with patch('src.strategies.technical.pairs_trading.get_pricing_service', return_value=mock_pricing_service):
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params = {
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'second_symbol': 'AVAX/USD',
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'lookback_period': 5,
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'z_score_threshold': 1.5,
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'symbol': 'SOL/USD'
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}
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strat = PairsTradingStrategy("test_pairs", params)
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strat.enabled = True
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return strat
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@pytest.mark.asyncio
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async def test_pairs_trading_short_spread_signal(strategy, mock_pricing_service):
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# Setup Data
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# Scenario: SOL (A) pumps relative to AVAX (B) -> Spread widens -> Z-Score High -> Sell A / Buy B
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# Prices for A (SOL): 100, 100, 100, 100, 120 (Pump)
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ohlcv_a = [
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[0, 100, 100, 100, 100, 1000],
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[0, 100, 100, 100, 100, 1000],
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[0, 100, 100, 100, 100, 1000],
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[0, 100, 100, 100, 100, 1000],
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[0, 120, 120, 120, 120, 1000],
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]
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# Prices for B (AVAX): 25, 25, 25, 25, 25 (Flat)
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ohlcv_b = [
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[0, 25, 25, 25, 25, 1000],
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[0, 25, 25, 25, 25, 1000],
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[0, 25, 25, 25, 25, 1000],
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[0, 25, 25, 25, 25, 1000],
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[0, 25, 25, 25, 25, 1000],
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]
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# Spread: 4, 4, 4, 4, 4.8
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# Mean: 4.16, StdDev: approx small but let's see.
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# Actually StdDev will be non-zero because of the last value.
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mock_pricing_service.get_ohlcv.side_effect = [ohlcv_a, ohlcv_b]
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# Execute
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signal = await strategy.on_tick("SOL/USD", Decimal(120), "1h", {})
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# Verify
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assert signal is not None
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assert signal.signal_type == SignalType.SELL # Sell Primary (SOL)
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assert signal.metadata['secondary_action'] == 'buy' # Buy Secondary (AVAX)
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assert signal.metadata['z_score'] > 1.5
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@pytest.mark.asyncio
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async def test_pairs_trading_long_spread_signal(strategy, mock_pricing_service):
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# Scenario: SOL (A) dumps -> Spread drops -> Z-Score Low -> Buy A / Sell B
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ohlcv_a = [
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[0, 100, 100, 100, 100, 1000],
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[0, 100, 100, 100, 100, 1000],
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[0, 100, 100, 100, 100, 1000],
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[0, 100, 100, 100, 100, 1000],
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[0, 80, 80, 80, 80, 1000], # Dump
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]
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ohlcv_b = [
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[0, 25, 25, 25, 25, 1000] for _ in range(5)
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]
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mock_pricing_service.get_ohlcv.side_effect = [ohlcv_a, ohlcv_b]
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signal = await strategy.on_tick("SOL/USD", Decimal(80), "1h", {})
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assert signal is not None
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assert signal.signal_type == SignalType.BUY # Buy Primary
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assert signal.metadata['secondary_action'] == 'sell' # Sell Secondary
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assert signal.metadata['z_score'] < -1.5
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