| 123456789101112131415161718192021222324252627282930313233343536373839404142434445 |
- import importlib.util
- import sys
- from pathlib import Path
- from types import SimpleNamespace
- import pytest
- def load_module():
- path = Path(__file__).resolve().parents[1] / "scripts" / "search_recent_regime_mean_reversion.py"
- spec = importlib.util.spec_from_file_location("search_recent_regime_mean_reversion", 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 test_trade_return_applies_roundtrip_fee_to_long_and_short():
- module = load_module()
- assert module.trade_return("long", 100.0, 101.0) == pytest.approx(0.0092)
- assert module.trade_return("short", 100.0, 99.0) == pytest.approx((100.0 / 99.0 - 1.0) - 0.0008)
- def test_exit_price_uses_open_when_short_stop_gaps():
- module = load_module()
- position = {"side": "short", "stop": 101.0, "take": 99.0, "midpoint": 99.5}
- row = SimpleNamespace(open=102.0, high=103.0, low=100.0)
- assert module.exit_price(position, row) == pytest.approx(102.0)
- def test_horizon_rows_include_required_recent_windows():
- module = load_module()
- pandas = pytest.importorskip("pandas")
- index = pandas.date_range("2023-01-01", periods=1200, freq="D", tz="UTC")
- series = pandas.Series(10_000.0, index=index)
- spec = module.Spec("ETH-USDT-SWAP", "3m", "bidir", 24, 144, 0.2, 0.0016, 0.006, 0.006, 20)
- rows = module.horizon_rows(spec, series, [])
- assert [row["horizon"] for row in rows] == ["7d", "14d", "30d", "90d", "6m", "1y", "3y"]
- assert {"total_return", "annualized", "max_drawdown", "calmar", "trades", "win_rate", "profit_factor", "payoff_ratio"} <= set(rows[0])
|
