okx-codex-trader/tests/test_bb_squeeze_strategy.py

from dataclasses import replace

import pytest

from okx_codex_trader.bb_squeeze_strategy import EMPTY_STATE, signal_from_frame, strategy_name
from okx_codex_trader.models import Candle
from scripts.run_bb_squeeze_executor import aligned_frame_from_candles
from tests.test_run_bb_squeeze_executor import btc_up_candles, middle_exit_candles


def live_frame(candles: list[Candle]):
    return aligned_frame_from_candles(candles, btc_up_candles([candle.ts for candle in candles]))


def test_strategy_name_includes_breakeven_parameters() -> None:
    assert strategy_name().endswith("-be0.008-0.001")


def test_breakeven_protection_uses_prior_confirmed_mfe() -> None:
    candles = middle_exit_candles(1.0)
    candles[-1] = Candle(
        symbol="ETH-USDT-SWAP",
        ts=candles[-1].ts,
        open=100.4,
        high=100.5,
        low=100.05,
        close=100.2,
        volume=1_000.0,
    )
    state = replace(EMPTY_STATE, active_side="long", entry_price=100.0, entry_candle_ts=candles[-2].ts, last_candle_ts=candles[-2].ts, max_favorable_move_pct=0.008)

    next_state, signal = signal_from_frame(live_frame(candles), state)

    assert signal["signal"] == "exit_breakeven"
    assert signal["target_side"] == "flat"
    assert next_state.active_side is None


def test_favorable_move_updates_without_same_candle_breakeven_exit() -> None:
    candles = middle_exit_candles(1.0)
    candles[-1] = Candle(
        symbol="ETH-USDT-SWAP",
        ts=candles[-1].ts,
        open=100.0,
        high=100.9,
        low=100.0,
        close=100.4,
        volume=1_000.0,
    )
    state = replace(EMPTY_STATE, active_side="long", entry_price=100.0, entry_candle_ts=candles[-2].ts, last_candle_ts=candles[-2].ts, max_favorable_move_pct=0.0)

    next_state, signal = signal_from_frame(live_frame(candles), state)

    assert signal["signal"] == "hold"
    assert next_state.max_favorable_move_pct == pytest.approx(0.009)