76 lines
2.5 KiB
Go
76 lines
2.5 KiB
Go
package backtest
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import (
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"context"
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"testing"
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"git.toki-labs.com/toki/alt/packages/domain/backtest"
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"git.toki-labs.com/toki/alt/packages/domain/market"
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)
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func TestBuiltInStrategyPortResolvesKnownStrategy(t *testing.T) {
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port := NewBuiltInStrategyPort()
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strat, err := port.GetStrategy(context.Background(), BuiltInStrategyID)
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if err != nil {
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t.Fatalf("unexpected error resolving built-in strategy: %v", err)
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}
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if strat.ID() != BuiltInStrategyID {
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t.Errorf("strategy id = %q, want %q", strat.ID(), BuiltInStrategyID)
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}
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}
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func TestBuiltInStrategyPortRejectsUnknownStrategy(t *testing.T) {
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port := NewBuiltInStrategyPort()
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if _, err := port.GetStrategy(context.Background(), "does-not-exist"); err == nil {
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t.Fatal("expected error for unknown strategy id, got nil")
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}
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}
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func TestBuyAndHoldBuysOnceThenHolds(t *testing.T) {
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port := NewBuiltInStrategyPort()
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strat, err := port.GetStrategy(context.Background(), BuiltInStrategyID)
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if err != nil {
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t.Fatalf("unexpected error: %v", err)
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}
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instID := market.InstrumentID("KRX:005930")
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cash := market.Price{Currency: market.CurrencyKRW, Amount: market.Decimal{Value: "1000000"}}
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bar := market.Bar{
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InstrumentID: instID,
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Timeframe: market.TimeframeDaily,
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Close: market.Price{Currency: market.CurrencyKRW, Amount: market.Decimal{Value: "1000"}},
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}
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// No position yet: the strategy buys a single unit.
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orders, err := strat.Decide(backtest.StrategyInput{Bar: bar, Portfolio: backtest.NewPortfolioState(cash)})
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if err != nil {
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t.Fatalf("unexpected error on first decide: %v", err)
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}
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if len(orders) != 1 {
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t.Fatalf("expected 1 buy order on first bar, got %d", len(orders))
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}
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if orders[0].Side != backtest.OrderSideBuy || orders[0].InstrumentID != instID {
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t.Errorf("unexpected order %+v", orders[0])
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}
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if orders[0].Quantity.Amount.Value != "1" {
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t.Errorf("expected quantity 1, got %s", orders[0].Quantity.Amount.Value)
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}
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// Apply the buy and decide again: with a position held, the strategy holds.
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portfolio, err := backtest.NewPortfolioState(cash).ApplyFill(backtest.Fill{
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InstrumentID: instID,
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Side: backtest.OrderSideBuy,
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Quantity: market.Quantity{Amount: market.Decimal{Value: "1"}},
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Price: bar.Close,
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})
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if err != nil {
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t.Fatalf("failed to apply fill: %v", err)
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}
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held, err := strat.Decide(backtest.StrategyInput{Bar: bar, Portfolio: portfolio})
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if err != nil {
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t.Fatalf("unexpected error on hold decide: %v", err)
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}
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if len(held) != 0 {
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t.Errorf("expected no orders while holding, got %d", len(held))
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}
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}
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