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: time.Date(2024, 1, 2, 12, 0, 0, 0, time.UTC), Low: decimal.NewFromInt(1), High: decimal.NewFromInt(200), VolumeLots: decimal.NewFromInt(1_000_000)}, {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") } }