valentineus/overnight-trading-bot
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ninth version
Deploy / Test, build and deploy (push) Failing after 1m6s
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Valentin Popov
2026-06-08 14:25:44 +00:00
parent e8b7d8e27c
commit 20cc8506ad
21 changed files with 847 additions and 148 deletions
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internal/backtest/lookahead_test.go
+27 -1
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@@ -86,7 +86,7 @@ func TestEvaluateCandidateUsesInstrumentLotAndTick(t *testing.T) {
ExitSlippageBps: decimal.NewFromInt(13),
})
candles := candidateCandles("uid")
got, ok, err := engine.evaluateCandidate("uid", candles, 3)
got, ok, err := engine.evaluateCandidate("uid", candles, 4)
if err != nil {
t.Fatal(err)
}
@@ -149,6 +149,31 @@ func TestBacktestWithoutMinuteDataDoesNotReportADVAsCapacity(t *testing.T) {
}
}
func TestEvaluateCandidateIgnoresEntryDayOpenForSignal(t *testing.T) {
engine := New(Config{
RollingShort: 2,
RollingLong: 2,
MinTStat60: decimal.NewFromInt(-1),
MinWinRate60: decimal.NewFromFloat(0.1),
MinNetEdgeBps: decimal.NewFromInt(-1000),
MinADVRUB: decimal.NewFromInt(1),
Lot: 1,
})
start := time.Date(2024, 1, 1, 0, 0, 0, 0, time.UTC)
candles := []domain.Candle{
{InstrumentUID: "uid", TradeDate: start, Open: decimal.NewFromInt(100), Close: decimal.NewFromInt(100), VolumeLots: decimal.NewFromInt(10)},
{InstrumentUID: "uid", TradeDate: start.AddDate(0, 0, 1), Open: decimal.NewFromInt(101), Close: decimal.NewFromInt(100), VolumeLots: decimal.NewFromInt(10)},
{InstrumentUID: "uid", TradeDate: start.AddDate(0, 0, 2), Open: decimal.NewFromInt(102), Close: decimal.NewFromInt(100), VolumeLots: decimal.NewFromInt(10)},
{InstrumentUID: "uid", TradeDate: start.AddDate(0, 0, 3), Open: decimal.NewFromInt(1), Close: decimal.NewFromInt(100), VolumeLots: decimal.NewFromInt(10)},
{InstrumentUID: "uid", TradeDate: start.AddDate(0, 0, 4), Open: decimal.NewFromInt(105), Close: decimal.NewFromInt(100), VolumeLots: decimal.NewFromInt(10)},
}
if _, ok, err := engine.evaluateCandidate("uid", candles, 4); err != nil {
t.Fatal(err)
} else if !ok {
t.Fatal("entry-day open leaked into signal and rejected the candidate")
}
}
func TestLoadCandlesCSVWithMetadata(t *testing.T) {
raw := strings.NewReader(`instrument_uid,trade_date,open,high,low,close,volume_lots,lot,min_price_increment
uid,2024-01-02,100,101,99,100,10,10,0.05
@@ -172,5 +197,6 @@ func candidateCandles(uid string) []domain.Candle {
{InstrumentUID: uid, TradeDate: start.AddDate(0, 0, 1), Open: decimal.NewFromInt(101), Close: decimal.NewFromInt(100), VolumeLots: decimal.NewFromInt(10)},
{InstrumentUID: uid, TradeDate: start.AddDate(0, 0, 2), Open: decimal.NewFromInt(102), Close: decimal.NewFromInt(100), VolumeLots: decimal.NewFromInt(10)},
{InstrumentUID: uid, TradeDate: start.AddDate(0, 0, 3), Open: decimal.NewFromInt(105), Close: decimal.NewFromInt(100), VolumeLots: decimal.NewFromInt(10)},
{InstrumentUID: uid, TradeDate: start.AddDate(0, 0, 4), Open: decimal.NewFromInt(105), Close: decimal.NewFromInt(100), VolumeLots: decimal.NewFromInt(10)},
}
}