import pytest from okx_codex_trader import ema_pullback_report from okx_codex_trader.ema_pullback_report import ( EMAPullbackConfig, generate_ema_pullback_sampled_report, run_ema_pullback_segment, ) from okx_codex_trader.models import Candle from okx_codex_trader.sampled_report import SegmentResult def make_candle(index: int, open_price: float, high: float, low: float, close: float) -> Candle: return Candle( symbol="BTC-USDT-SWAP", ts=index * 60_000, open=open_price, high=high, low=low, close=close, volume=1_000.0 + index, ) def build_linear_candles(count: int) -> list[Candle]: candles: list[Candle] = [] for index in range(count): price = 100.0 + index candles.append(make_candle(index, price, price + 1.0, price - 1.0, price)) return candles def build_long_trade_fixture() -> list[Candle]: return [ make_candle(0, 100.0, 101.0, 99.0, 100.0), make_candle(1, 102.0, 103.0, 101.0, 102.0), make_candle(2, 104.0, 105.0, 103.0, 104.0), make_candle(3, 103.0, 104.0, 102.0, 103.0), make_candle(4, 104.0, 106.0, 103.0, 105.0), make_candle(5, 104.0, 105.0, 103.2, 104.5), make_candle(6, 104.2, 104.6, 102.8, 103.0), make_candle(7, 104.5, 105.0, 104.0, 104.5), ] def build_short_trade_fixture() -> list[Candle]: return [ make_candle(0, 100.0, 101.0, 99.0, 100.0), make_candle(1, 98.0, 99.0, 97.0, 98.0), make_candle(2, 96.0, 97.0, 95.0, 96.0), make_candle(3, 97.0, 98.0, 96.0, 97.0), make_candle(4, 96.0, 97.0, 94.5, 95.0), make_candle(5, 96.5, 96.6, 95.0, 95.5), make_candle(6, 95.8, 97.4, 95.6, 97.0), make_candle(7, 96.0, 96.2, 95.5, 96.0), ] def build_stop_priority_fixture() -> list[Candle]: return [ make_candle(0, 100.0, 101.0, 99.0, 100.0), make_candle(1, 102.0, 103.0, 101.0, 102.0), make_candle(2, 104.0, 105.0, 103.0, 104.0), make_candle(3, 103.0, 104.0, 102.0, 103.0), make_candle(4, 104.0, 106.0, 103.0, 105.0), make_candle(5, 104.0, 104.3, 101.0, 102.0), make_candle(6, 105.0, 106.0, 104.5, 105.0), ] def build_gap_through_stop_fixture() -> list[Candle]: return [ make_candle(0, 100.0, 101.0, 99.0, 100.0), make_candle(1, 102.0, 103.0, 101.0, 102.0), make_candle(2, 104.0, 105.0, 103.0, 104.0), make_candle(3, 103.0, 104.0, 102.0, 103.0), make_candle(4, 104.0, 106.0, 103.0, 105.0), make_candle(5, 102.0, 103.0, 101.0, 102.5), ] def build_final_bar_signal_fixture() -> list[Candle]: return [ make_candle(0, 100.0, 101.0, 99.0, 100.0), make_candle(1, 102.0, 103.0, 101.0, 102.0), make_candle(2, 104.0, 105.0, 103.0, 104.0), make_candle(3, 103.0, 104.0, 102.0, 103.0), make_candle(4, 104.0, 106.0, 103.0, 105.0), ] def build_open_tail_fixture() -> list[Candle]: return [ make_candle(0, 100.0, 101.0, 99.0, 100.0), make_candle(1, 102.0, 103.0, 101.0, 102.0), make_candle(2, 104.0, 105.0, 103.0, 104.0), make_candle(3, 103.0, 104.0, 102.0, 103.0), make_candle(4, 104.0, 106.0, 103.0, 105.0), make_candle(5, 104.0, 106.5, 103.5, 106.0), ] def build_depleted_equity_fixture() -> list[Candle]: return [ make_candle(0, 100.0, 101.0, 99.0, 100.0), make_candle(1, 102.0, 103.0, 101.0, 102.0), make_candle(2, 104.0, 105.0, 103.0, 104.0), make_candle(3, 103.0, 104.0, 102.0, 103.0), make_candle(4, 104.0, 106.0, 103.0, 105.0), make_candle(5, 104.0, 104.3, 101.0, 102.0), make_candle(6, 106.0, 108.0, 105.0, 107.0), make_candle(7, 106.5, 107.0, 106.0, 106.5), ] def test_run_ema_pullback_segment_produces_long_trade(): result = run_ema_pullback_segment( candles=build_long_trade_fixture(), leverage=2, warmup_bars=4, config=EMAPullbackConfig(fast_ema=2, slow_ema=4, stop_buffer_pct=0.005), ) assert isinstance(result, SegmentResult) assert result.trade_count == 1 assert result.trades[0]["side"] == "Long" assert result.trades[0]["entry_price"] == pytest.approx(104.0) assert result.trades[0]["exit_price"] == pytest.approx(104.5) assert result.open_position is None def test_run_ema_pullback_segment_produces_short_trade(): result = run_ema_pullback_segment( candles=build_short_trade_fixture(), leverage=2, warmup_bars=4, config=EMAPullbackConfig(fast_ema=2, slow_ema=4, stop_buffer_pct=0.005), ) assert isinstance(result, SegmentResult) assert result.trade_count == 1 assert result.trades[0]["side"] == "Short" assert result.trades[0]["entry_price"] == pytest.approx(96.5) assert result.trades[0]["exit_price"] == pytest.approx(96.0) assert result.open_position is None def test_run_ema_pullback_segment_stop_priority_is_correct(): result = run_ema_pullback_segment( candles=build_stop_priority_fixture(), leverage=2, warmup_bars=4, config=EMAPullbackConfig(fast_ema=2, slow_ema=4, stop_buffer_pct=0.005), ) assert result.trade_count == 1 assert len(result.entries) == 1 assert result.trades[0]["exit_price"] == pytest.approx(102.485) assert result.open_position is None def test_run_ema_pullback_segment_exits_gap_through_stop_at_open(): result = run_ema_pullback_segment( candles=build_gap_through_stop_fixture(), leverage=2, warmup_bars=4, config=EMAPullbackConfig(fast_ema=2, slow_ema=4, stop_buffer_pct=0.005), ) assert result.trade_count == 1 assert result.trades[0]["exit_price"] == pytest.approx(102.0) assert result.open_position is None def test_run_ema_pullback_segment_does_not_generate_entry_from_final_bar(): result = run_ema_pullback_segment( candles=build_final_bar_signal_fixture(), leverage=2, warmup_bars=4, config=EMAPullbackConfig(fast_ema=2, slow_ema=4, stop_buffer_pct=0.005), ) assert result.trade_count == 0 assert result.entries == [] assert result.open_position is None def test_run_ema_pullback_segment_marks_open_position_to_market(): result = run_ema_pullback_segment( candles=build_open_tail_fixture(), leverage=2, warmup_bars=4, config=EMAPullbackConfig(fast_ema=2, slow_ema=4, stop_buffer_pct=0.005), ) assert result.trade_count == 0 assert result.trades == [] assert result.total_return == pytest.approx((10_384.615384615385 - 10_000.0) / 10_000.0) assert result.open_position is not None assert result.open_position["side"] == "long" def test_run_ema_pullback_segment_does_not_reenter_after_equity_is_depleted(): result = run_ema_pullback_segment( candles=build_depleted_equity_fixture(), leverage=100, warmup_bars=4, config=EMAPullbackConfig(fast_ema=2, slow_ema=4, stop_buffer_pct=0.005), ) assert result.trade_count == 1 assert len(result.entries) == 1 assert result.open_position is None assert result.total_return <= -1.0 def test_generate_ema_pullback_sampled_report_uses_shared_shell_defaults(monkeypatch, tmp_path): candles = build_linear_candles(5_000) output_file = tmp_path / "ema-pullback.html" recorded: dict[str, object] = {} sentinel = { "report_file": str(output_file), "segment_count": 2, "window_size": 300, "aggregate_trade_count": 4, "average_return": 0.12, } def fake_generate_sampled_report(**kwargs): recorded.update(kwargs) return sentinel monkeypatch.setattr(ema_pullback_report, "generate_sampled_report", fake_generate_sampled_report) result = generate_ema_pullback_sampled_report( candles=candles, leverage=2, output_file=output_file, symbol="BTC-USDT-SWAP", bar="3m", segments=2, window_size=300, ) assert result == sentinel assert recorded["report_title"] == "EMA Pullback Sampled Report" assert recorded["strategy_label"] == "EMA Pullback" assert recorded["strategy_params"] == { "fast_ema": 20, "slow_ema": 50, "stop_buffer_pct": 0.005, } assert recorded["warmup_bars"] == 50 assert callable(recorded["run_segment"])