okx-codex-trader/tests/test_validate_external_backtest.py

import math
import importlib.util
import sys
from pathlib import Path

import pytest

from okx_codex_trader.models import Candle
from okx_codex_trader.rsi2_report import RSI2Config


def load_validation_module():
    path = Path(__file__).resolve().parents[1] / "scripts" / "validate_external_backtest.py"
    spec = importlib.util.spec_from_file_location("validate_external_backtest", path)
    assert spec is not None
    module = importlib.util.module_from_spec(spec)
    assert spec.loader is not None
    sys.modules[spec.name] = module
    spec.loader.exec_module(module)
    return module


def build_oscillating_candles(count: int) -> list[Candle]:
    candles = []
    previous_close = 100.0
    for index in range(count):
        close = 100.0 + index * 0.04 + math.sin(index / 3.0) * 4.0
        open_price = previous_close
        high = max(open_price, close) + 0.5
        low = min(open_price, close) - 0.5
        candles.append(
            Candle(
                symbol="BTC-USDT-SWAP",
                ts=index * 60_000,
                open=open_price,
                high=high,
                low=low,
                close=close,
                volume=1_000.0,
            )
        )
        previous_close = close
    return candles


def test_rsi2_matches_backtesting_py_on_same_signals_and_execution_model():
    module = load_validation_module()
    result = module.validate_rsi2_with_backtesting(
        candles=build_oscillating_candles(500),
        symbol="BTC-USDT-SWAP",
        bar="1m",
        leverage=3,
        config=RSI2Config(
            trend_sma=20,
            rsi_length=2,
            rsi_long_threshold=20.0,
            rsi_short_threshold=80.0,
            exit_rsi=50.0,
        ),
    )

    assert result.internal_trades == result.external_trades
    assert result.internal_trades > 0
    assert result.final_equity_diff == pytest.approx(0.0, abs=0.02)
    assert result.return_diff == pytest.approx(0.0, abs=0.000002)
    assert result.max_drawdown_diff == pytest.approx(0.0, abs=0.000002)