okx-codex-trader/tests/test_backtest.py

from okx_codex_trader.backtest import run_backtest
from okx_codex_trader.models import Candle


def build_crossing_series() -> list[Candle]:
    closes = [
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        50.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        40.0,
        50.0,
        50.0,
        50.0,
        50.0,
        50.0,
        50.0,
    ]
    opens = list(closes)
    opens[20] = 100.0
    opens[30] = 90.0
    opens[40] = 80.0

    candles = []
    for index, (open_price, close_price) in enumerate(zip(opens, closes)):
        high = max(open_price, close_price)
        low = min(open_price, close_price)
        candles.append(
            Candle(
                symbol="BTC-USDT-SWAP",
                ts=index,
                open=open_price,
                high=high,
                low=low,
                close=close_price,
                volume=1_000.0,
            )
        )
    return candles


def test_backtest_runs_fixed_sma_crossover_series():
    candles = build_crossing_series()

    result = run_backtest(candles=candles, leverage=2)

    assert result.initial_equity == 10_000
    assert result.trade_count == 2
    assert result.trades[0].entry_price == candles[20].open
    assert result.trades[0].exit_price == candles[30].open
    assert result.trades[0].margin_used == 10_000
    assert result.trades[1].margin_used == result.trades[0].ending_equity
    assert result.ending_equity == result.trades[-1].ending_equity
    assert "total_return" in result.to_dict()
    assert "max_drawdown" in result.to_dict()
    assert result.win_rate == 0.5