fifth version

2026-06-08 09:03:37 +00:00
parent b9efa98758
commit 2d57c4ff1f
26 changed files with 896 additions and 159 deletions
@@ -1,6 +1,7 @@
 package backtest

 import (
+	"strings"
 	"testing"
 	"time"

@@ -69,3 +70,86 @@ func TestMinuteExecutionRequiresReachableLimitAndParticipation(t *testing.T) {
 		t.Fatal("sell limit should be unreachable")
 	}
 }
+
+func TestEvaluateCandidateUsesInstrumentLotAndTick(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,
+		LotsByInstrument:               map[string]int64{"uid": 10},
+		MinPriceIncrementsByInstrument: map[string]decimal.Decimal{"uid": decimal.NewFromFloat(0.05)},
+		EntrySlippageBps:               decimal.NewFromInt(13),
+		ExitSlippageBps:                decimal.NewFromInt(13),
+	})
+	candles := candidateCandles("uid")
+	got, ok, err := engine.evaluateCandidate("uid", candles, 3)
+	if err != nil {
+		t.Fatal(err)
+	}
+	if !ok {
+		t.Fatal("expected candidate")
+	}
+	if got.lot != 10 {
+		t.Fatalf("lot=%d, want 10", got.lot)
+	}
+	if !got.adv.Equal(decimal.NewFromInt(10_000)) {
+		t.Fatalf("adv=%s, want 10000", got.adv)
+	}
+	if !got.buy.Equal(decimal.NewFromFloat(100.15)) {
+		t.Fatalf("buy=%s, want rounded 100.15", got.buy)
+	}
+	if !got.sell.Equal(decimal.NewFromFloat(104.85)) {
+		t.Fatalf("sell=%s, want rounded 104.85", got.sell)
+	}
+}
+
+func TestWindowCapacityUsesMinuteEntryAndExitWindows(t *testing.T) {
+	engine := New(Config{
+		Lot:                  10,
+		MaxParticipationRate: decimal.NewFromFloat(0.10),
+	})
+	entryDate := time.Date(2024, 1, 2, 18, 25, 0, 0, time.UTC)
+	exitDate := time.Date(2024, 1, 3, 10, 5, 0, 0, time.UTC)
+	got := engine.windowCapacity(candidate{
+		instrumentUID: "uid",
+		entry:         domain.Candle{TradeDate: entryDate},
+		exit:          domain.Candle{TradeDate: exitDate},
+	}, []domain.Candle{
+		{TradeDate: entryDate, Close: decimal.NewFromInt(100), VolumeLots: decimal.NewFromInt(20)},
+		{TradeDate: exitDate, Close: decimal.NewFromInt(200), VolumeLots: decimal.NewFromInt(5)},
+		{TradeDate: time.Date(2024, 1, 3, 12, 0, 0, 0, time.UTC), Close: decimal.NewFromInt(999), VolumeLots: decimal.NewFromInt(999)},
+	})
+	if !got.Equal(decimal.NewFromInt(1000)) {
+		t.Fatalf("capacity=%s, want min(entry=20000, exit=10000)*0.10 = 1000", got)
+	}
+}
+
+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
+`)
+	candles, metadata, err := LoadCandlesCSVWithMetadata(raw)
+	if err != nil {
+		t.Fatal(err)
+	}
+	if len(candles["uid"]) != 1 {
+		t.Fatalf("candles=%+v", candles)
+	}
+	if metadata["uid"].Lot != 10 || !metadata["uid"].MinPriceIncrement.Equal(decimal.NewFromFloat(0.05)) {
+		t.Fatalf("metadata=%+v", metadata["uid"])
+	}
+}
+
+func candidateCandles(uid string) []domain.Candle {
+	start := time.Date(2024, 1, 1, 0, 0, 0, 0, time.UTC)
+	return []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(105), Close: decimal.NewFromInt(100), VolumeLots: decimal.NewFromInt(10)},
+	}
+}