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Fix canonical preset execution for v0.2.3 #8
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137 changes: 137 additions & 0 deletions
137
Tests/BacktestingKitTests/BacktestingKitPresetRuleTests.swift
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,137 @@ | ||
| import XCTest | ||
| @testable import BacktestingKit | ||
|
|
||
| final class BacktestingKitPresetRuleTests: XCTestCase { | ||
| private struct InlineCSVProvider: BKRawCsvProvider { | ||
| func getRawCsv(ticker: String, p1: Double, p2: Double) async -> Result<String, Error> { | ||
| .success(""" | ||
| timestamp,open,high,low,close,volume | ||
| 2026-01-05,10,11,9,10,1000 | ||
| 2026-01-06,11,12,10,11,1000 | ||
| 2026-01-07,12,13,11,12,1000 | ||
| 2026-01-08,13,14,12,13,1000 | ||
| """) | ||
| } | ||
| } | ||
|
|
||
| private actor NamedRuleStore: BKV3DataStore { | ||
| let config: BKV3_Config | ||
| let rules: [BKV3_SimulationRule] | ||
| var savedConfig: BKV3_Config? | ||
|
|
||
| init(config: BKV3_Config, rules: [BKV3_SimulationRule]) { | ||
| self.config = config | ||
| self.rules = rules | ||
| } | ||
|
|
||
| func getConfigs(instrumentID: String) async -> Result<[BKV3_Config], Error> { .success([config]) } | ||
| func getSimulationRules(configID: String, ruleType: String) async -> Result<[BKV3_SimulationRule], Error> { | ||
| .success(rules.filter { $0.configId == configID && $0.ruleType?.rawValue == ruleType }) | ||
| } | ||
| func saveConfig(_ config: BKV3_Config) async -> Result<Void, Error> { | ||
| savedConfig = config | ||
| return .success(()) | ||
| } | ||
| func saveAnalysis(_ analysis: BKV3_AnalysisProfile) async -> Result<Void, Error> { .success(()) } | ||
| func saveTrades(_ trades: [BKV3_TradeEntry]) async -> Result<Void, Error> { .success(()) } | ||
| func saveSimulationRules(_ rules: [BKV3_SimulationRule]) async -> Result<Void, Error> { .success(()) } | ||
| func saveRisks(_ risks: [BKV3_RiskProfile]) async -> Result<Void, Error> { .success(()) } | ||
| func latestConfig() -> BKV3_Config? { savedConfig } | ||
| } | ||
|
|
||
| func testCorrectedPresetDefinitions() { | ||
| let bollinger = bollingerPreset() | ||
| XCTAssertEqual(bollinger.entryRules[0].compare, .largerOrEqualTo) | ||
|
|
||
| let fastStochastic = stochasticFastPreset() | ||
| XCTAssertEqual(fastStochastic.entryRules[0].indicatorTwoType, .stochasticFastPercentD) | ||
| XCTAssertEqual(fastStochastic.exitRules[0].indicatorTwoType, .stochasticFastPercentD) | ||
|
|
||
| for crossover in [smaCrossoverPreset(), emaCrossoverPreset()] { | ||
| XCTAssertEqual(crossover.entryRules[0].compare, .largerOrEqualTo) | ||
| XCTAssertEqual(crossover.exitRules[0].compare, .smallerOrEqualTo) | ||
| XCTAssertEqual(crossover.entryRules[0].indicatorTwoFigure[0], 150) | ||
| XCTAssertEqual(crossover.exitRules[0].indicatorTwoFigure[0], 150) | ||
| } | ||
|
|
||
| XCTAssertEqual(customPreset().policy, .customStrategy) | ||
| } | ||
|
|
||
| func testV3NamedPresetUsesSuppliedRulesWhenAvailable() async { | ||
| let configID = "named-sma" | ||
| let config = BKV3_Config( | ||
| id: configID, | ||
| active: true, | ||
| createdAt: nil, | ||
| instrumentId: "TEST", | ||
| lastUpdated: nil, | ||
| status: "pending", | ||
| optimizeResultId: nil, | ||
| policy: .sma, | ||
| lastStatus: nil, | ||
| trailingStopLoss: false, | ||
| stopLossFigure: 15, | ||
| profitFactor: 4_294_967_296, | ||
| t1: 730, | ||
| t2: -1 | ||
| ) | ||
| let entry = rule( | ||
| configID: configID, | ||
| type: .entry, | ||
| lhsName: "entryClose", | ||
| lhsType: .close, | ||
| comparison: .largerThan, | ||
| rhsName: "entryZero" | ||
| ) | ||
| let exit = rule( | ||
| configID: configID, | ||
| type: .exit, | ||
| lhsName: "exitClose", | ||
| lhsType: .close, | ||
| comparison: .smallThan, | ||
| rhsName: "exitZero" | ||
| ) | ||
| let store = NamedRuleStore(config: config, rules: [entry, exit]) | ||
| let driver = BKSimulationDriver(dataStore: store, csvProvider: InlineCSVProvider()) | ||
|
|
||
| let result = await driver.simulateInstrumentDetailed(BKV3_InstrumentInfo( | ||
| id: "TEST", | ||
| name: nil, | ||
| exchange: nil, | ||
| quoteType: nil, | ||
| createdAt: nil, | ||
| lastUpdated: nil | ||
| )) | ||
|
|
||
| guard case .success(let report) = result else { | ||
| return XCTFail("Expected named canonical rules to simulate successfully") | ||
| } | ||
| let savedConfig = await store.latestConfig() | ||
| XCTAssertEqual(report.configCountProcessed, 1) | ||
| XCTAssertEqual(savedConfig?.lastStatus, .position) | ||
| } | ||
|
|
||
| private func rule( | ||
| configID: String, | ||
| type: RuleType, | ||
| lhsName: String, | ||
| lhsType: TechnicalIndicators, | ||
| comparison: CompareOption, | ||
| rhsName: String | ||
| ) -> BKV3_SimulationRule { | ||
| convertSimulationRule( | ||
| SimulationRule( | ||
| indicatorOneName: lhsName, | ||
| indicatorOneType: lhsType, | ||
| indicatorOneFigure: [0, 0, 0], | ||
| compare: comparison, | ||
| indicatorTwoName: rhsName, | ||
| indicatorTwoType: .constant, | ||
| indicatorTwoFigure: [0, 0, 0] | ||
| ), | ||
| type: type.rawValue, | ||
| configID: configID, | ||
| tickerID: "TEST" | ||
| ) | ||
| } | ||
| } |
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When the 50- and 150-period averages are equal, the new entry condition (
>=) and this exit condition (<=) are both true. On flat price histories or whenever the averages converge exactly, the state-based backtester can repeatedly enter and then exit positions even though no crossover occurred; the same overlapping pair is introduced inemaCrossoverPreset. Use non-overlapping predicates (or previous/current-value crossing detection) so equality alone cannot trigger both signals.Useful? React with 👍 / 👎.