first version

2026-06-07 21:01:40 +00:00
parent ee7167accf
commit f19bab1100
79 changed files with 10355 additions and 145 deletions
@@ -0,0 +1,70 @@
+package backtest
+
+import (
+	"testing"
+	"time"
+
+	"github.com/shopspring/decimal"
+
+	"overnight-trading-bot/internal/domain"
+)
+
+func TestBacktestNoLookAheadWithFutureOnlyEdge(t *testing.T) {
+	var candles []domain.Candle
+	start := time.Date(2024, 1, 1, 0, 0, 0, 0, time.UTC)
+	for i := 0; i < 80; i++ {
+		open := decimal.NewFromInt(100)
+		if i == 79 {
+			open = decimal.NewFromInt(110)
+		}
+		candles = append(candles, domain.Candle{
+			InstrumentUID: "uid",
+			TradeDate:     start.AddDate(0, 0, i),
+			Open:          open,
+			High:          open,
+			Low:           open,
+			Close:         decimal.NewFromInt(100),
+		})
+	}
+	result, err := New(Config{}).Run(map[string][]domain.Candle{"uid": candles})
+	if err != nil {
+		t.Fatal(err)
+	}
+	if len(result.Trades) != 0 {
+		t.Fatalf("future-only edge leaked into signals: %d trades", len(result.Trades))
+	}
+}
+
+func TestMinuteExecutionRequiresReachableLimitAndParticipation(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)
+	c := candidate{
+		instrumentUID: "uid",
+		entry:         domain.Candle{TradeDate: entryDate},
+		exit:          domain.Candle{TradeDate: exitDate},
+		buy:           decimal.NewFromInt(100),
+		sell:          decimal.NewFromInt(105),
+	}
+	minutes := []domain.Candle{
+		{TradeDate: entryDate, Low: decimal.NewFromInt(99), High: decimal.NewFromInt(101), VolumeLots: decimal.NewFromInt(20)},
+		{TradeDate: exitDate, Low: decimal.NewFromInt(104), High: decimal.NewFromInt(106), VolumeLots: decimal.NewFromInt(20)},
+	}
+	lots, capacity, ok := engine.minuteExecution(c, minutes, 5)
+	if !ok {
+		t.Fatal("expected minute execution")
+	}
+	if lots != 2 {
+		t.Fatalf("lots=%d, want 2", lots)
+	}
+	if !capacity.Equal(decimal.NewFromInt(2000)) {
+		t.Fatalf("capacity=%s, want 2000", capacity)
+	}
+	c.sell = decimal.NewFromInt(110)
+	if _, _, ok := engine.minuteExecution(c, minutes, 5); ok {
+		t.Fatal("sell limit should be unreachable")
+	}
+}