dennisthiessen
1e82dfad7f
Production strategy change based on the July 2026 backtest: paper trades now default to a 30-trading-day hold with the initial stop (classic momentum hold-and-rerank), while target and trailing exits remain available in Admin. The exit policy API/UI now carries hold_days and close_reason can be 'time'. The activation confidence floor default is now 0/off because the gate ablation showed it added no per-trade edge while filtering out usable setups. Migration 015 clears stored activation_min_confidence and paper_exit_mode so the new defaults take effect; this intentionally resets Track Record comparability from this deploy. Verification: 451 backend tests pass, ruff check app/ clean, frontend npm run build clean. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
303 lines
13 KiB
Python
303 lines
13 KiB
Python
"""Tests for the paper-trading service."""
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from __future__ import annotations
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from datetime import date, datetime, timedelta, timezone
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import pytest
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from app.exceptions import ValidationError
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from app.models.benchmark_price import BenchmarkPrice
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from app.models.ohlcv import OHLCVRecord
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from app.models.paper_trade import PaperTrade
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from app.models.ticker import Ticker
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from app.models.user import User
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from app.services import paper_trade_service as svc
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from tests.conftest import _test_session_factory # type: ignore
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@pytest.fixture
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async def session():
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async with _test_session_factory() as s:
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yield s
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async def _seed(session, symbol: str, close: float) -> int:
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user = await session.get(User, 1)
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if user is None:
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session.add(User(id=1, username="u", password_hash="x", role="user", has_access=True))
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await session.flush()
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t = Ticker(symbol=symbol)
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session.add(t)
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await session.flush()
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session.add(OHLCVRecord(ticker_id=t.id, date=date.today(),
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open=close, high=close, low=close, close=close, volume=1))
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await session.commit()
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return t.id
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async def test_create_and_list_open(session):
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await _seed(session, "AAA", close=110.0)
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await svc.create_trade(session, 1, symbol="AAA", direction="long",
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entry_price=100.0, shares=10, stop_loss=95.0, target=120.0)
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rows = await svc.list_trades(session, 1)
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assert len(rows) == 1
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row = rows[0]
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assert row["symbol"] == "AAA"
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assert row["status"] == "open"
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assert row["current_price"] == 110.0 # marked to the latest close
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async def test_close_uses_current_price(session):
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await _seed(session, "AAA", close=112.0)
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trade = await svc.create_trade(session, 1, symbol="AAA", direction="long",
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entry_price=100.0, shares=5, stop_loss=95.0, target=120.0)
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closed = await svc.close_trade(session, 1, trade.id)
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assert closed.status == "closed"
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assert closed.close_price == 112.0
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assert closed.closed_at is not None
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rows = await svc.list_trades(session, 1, status="closed")
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assert rows[0]["current_price"] == 112.0 # closed → realized exit
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async def test_close_with_explicit_price(session):
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await _seed(session, "AAA", close=112.0)
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trade = await svc.create_trade(session, 1, symbol="AAA", direction="short",
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entry_price=100.0, shares=5, stop_loss=105.0, target=90.0)
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closed = await svc.close_trade(session, 1, trade.id, close_price=93.0)
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assert closed.close_price == 93.0
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async def test_invalid_direction_rejected(session):
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await _seed(session, "AAA", close=100.0)
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with pytest.raises(ValidationError):
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await svc.create_trade(session, 1, symbol="AAA", direction="sideways",
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entry_price=100.0, shares=1, stop_loss=95.0, target=110.0)
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async def test_double_close_rejected(session):
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await _seed(session, "AAA", close=100.0)
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trade = await svc.create_trade(session, 1, symbol="AAA", direction="long",
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entry_price=100.0, shares=1, stop_loss=95.0, target=110.0)
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await svc.close_trade(session, 1, trade.id)
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with pytest.raises(ValidationError):
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await svc.close_trade(session, 1, trade.id)
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async def _add_bars(session, ticker_id: int, highs_lows: list[tuple[float, float]], start: date) -> None:
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for i, (hi, lo) in enumerate(highs_lows):
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mid = (hi + lo) / 2
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session.add(OHLCVRecord(ticker_id=ticker_id, date=start + timedelta(days=i + 1),
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open=mid, high=hi, low=lo, close=mid, volume=1))
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await session.commit()
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async def test_resolve_closes_on_target(session):
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await svc.set_exit_policy(session, mode="target")
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tid = await _seed(session, "AAA", close=100.0)
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trade = await svc.create_trade(session, 1, symbol="AAA", direction="long",
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entry_price=100.0, shares=10, stop_loss=95.0, target=110.0)
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# later bars: a day that trades up through 110
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await _add_bars(session, tid, [(103, 101), (111, 108)], start=date.today())
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closed = await svc.resolve_open_trades(session)
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assert closed == 1
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await session.refresh(trade)
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assert trade.status == "closed"
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assert trade.close_price == 110.0 # closed at target
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async def test_resolve_closes_on_stop(session):
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await svc.set_exit_policy(session, mode="target")
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tid = await _seed(session, "AAA", close=100.0)
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trade = await svc.create_trade(session, 1, symbol="AAA", direction="long",
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entry_price=100.0, shares=10, stop_loss=95.0, target=110.0)
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await _add_bars(session, tid, [(101, 94)], start=date.today()) # low pierces stop
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closed = await svc.resolve_open_trades(session)
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assert closed == 1
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await session.refresh(trade)
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assert trade.close_price == 95.0 # closed at stop
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async def test_resolve_leaves_open_when_neither_hit(session):
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await svc.set_exit_policy(session, mode="target")
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tid = await _seed(session, "AAA", close=100.0)
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await svc.create_trade(session, 1, symbol="AAA", direction="long",
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entry_price=100.0, shares=10, stop_loss=95.0, target=110.0)
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await _add_bars(session, tid, [(103, 98), (104, 99)], start=date.today()) # range-bound
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closed = await svc.resolve_open_trades(session)
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assert closed == 0
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rows = await svc.list_trades(session, 1, status="open")
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assert len(rows) == 1
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async def _seed_benchmark(session, points: dict) -> None:
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for d, close in points.items():
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session.add(BenchmarkPrice(symbol="SPY", date=d, close=close))
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await session.commit()
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async def _add_open_trade(session, ticker_id: int, direction: str, *, entry: float,
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shares: float, days_ago: int) -> None:
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session.add(PaperTrade(
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user_id=1, ticker_id=ticker_id, direction=direction, entry_price=entry,
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shares=shares, stop_loss=entry * 0.95, target=entry * 1.2, status="open",
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opened_at=datetime.now(timezone.utc) - timedelta(days=days_ago),
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))
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await session.commit()
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async def test_alpha_long_open(session):
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tid = await _seed(session, "AAA", close=110.0) # current price 110 → +10% on a 100 entry
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today = date.today()
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await _seed_benchmark(session, {today - timedelta(days=10): 400.0, today: 420.0}) # SPY +5%
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await _add_open_trade(session, tid, "long", entry=100.0, shares=10, days_ago=10)
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row = (await svc.list_trades(session, 1, status="open"))[0]
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assert row["benchmark_return_pct"] == pytest.approx(5.0)
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assert row["alpha_pct"] == pytest.approx(5.0) # +10% trade − 5% bench
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assert row["alpha_usd"] == pytest.approx(50.0) # 5% of 100*10
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async def test_alpha_short_and_missing_benchmark(session):
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tid = await _seed(session, "BBB", close=90.0) # price fell to 90 → short +10%
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today = date.today()
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await _add_open_trade(session, tid, "short", entry=100.0, shares=4, days_ago=10)
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# No benchmark data yet → alpha unset, not an error.
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row = (await svc.list_trades(session, 1, status="open"))[0]
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assert row["alpha_pct"] is None
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assert row["benchmark_return_pct"] is None
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# Flat benchmark → alpha equals the (direction-signed) trade return.
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await _seed_benchmark(session, {today - timedelta(days=10): 400.0, today: 400.0})
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row = (await svc.list_trades(session, 1, status="open"))[0]
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assert row["benchmark_return_pct"] == pytest.approx(0.0)
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assert row["alpha_pct"] == pytest.approx(10.0)
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def _b(d: date, hi: float, lo: float):
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return svc.Bar(date=d, high=hi, low=lo)
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class TestTrailingClose:
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def test_long_locks_gain(self):
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# Runs to 120; the 12%-from-peak stop (120 → 105.6) is pierced on the drop.
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bars = [_b(date(2026, 1, 2), 120, 110), _b(date(2026, 1, 3), 130, 100)]
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hit = svc._trailing_close("long", 100.0, 95.0, 0.12, bars)
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assert hit is not None
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price, when, reason = hit
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assert price == pytest.approx(105.6)
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assert reason == "trailing"
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assert when == date(2026, 1, 3)
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def test_initial_stop_caps_loss(self):
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bars = [_b(date(2026, 1, 2), 101, 94)] # through the initial stop before running
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hit = svc._trailing_close("long", 100.0, 95.0, 0.12, bars)
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assert hit is not None
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price, _, reason = hit
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assert price == pytest.approx(95.0)
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assert reason == "stop"
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def test_none_when_neither_hit(self):
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bars = [_b(date(2026, 1, 2), 105, 99), _b(date(2026, 1, 3), 106, 100)]
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assert svc._trailing_close("long", 100.0, 95.0, 0.12, bars) is None
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async def test_exit_policy_defaults_and_round_trip(session):
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# Default: the backtest-validated hold-to-horizon exit.
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assert await svc.get_exit_policy(session) == {
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"mode": "time", "trailing_pct": 12.0, "hold_days": 30,
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}
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updated = await svc.set_exit_policy(session, mode="target", trailing_pct=15.0, hold_days=21)
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assert updated == {"mode": "target", "trailing_pct": 15.0, "hold_days": 21}
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assert (await svc.get_exit_policy(session))["mode"] == "target"
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async def test_exit_policy_rejects_bad_input(session):
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with pytest.raises(ValidationError):
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await svc.set_exit_policy(session, mode="bogus")
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with pytest.raises(ValidationError):
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await svc.set_exit_policy(session, trailing_pct=200.0)
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with pytest.raises(ValidationError):
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await svc.set_exit_policy(session, hold_days=1)
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def _r(d: date, open_: float, hi: float, lo: float, close: float) -> tuple:
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return (d, open_, hi, lo, close)
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class TestTimeClose:
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def test_closes_at_hold_days_close(self):
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rows = [
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_r(date(2026, 1, 2), 101, 103, 100, 102),
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_r(date(2026, 1, 3), 102, 104, 101, 103),
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_r(date(2026, 1, 4), 103, 106, 102, 105),
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]
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assert svc._time_close("long", 95.0, 3, rows) == (105.0, date(2026, 1, 4), "time")
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def test_stop_before_horizon(self):
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rows = [_r(date(2026, 1, 2), 100, 101, 94, 96)]
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assert svc._time_close("long", 95.0, 30, rows) == (95.0, date(2026, 1, 2), "stop")
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def test_gap_through_stop_fills_at_open(self):
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rows = [_r(date(2026, 1, 2), 92, 93, 90, 91)]
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assert svc._time_close("long", 95.0, 30, rows) == (92.0, date(2026, 1, 2), "stop")
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def test_none_before_horizon(self):
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rows = [_r(date(2026, 1, 2), 101, 103, 100, 102)]
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assert svc._time_close("long", 95.0, 5, rows) is None
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async def test_resolve_time_mode_closes_at_horizon(session):
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await svc.set_exit_policy(session, mode="time", hold_days=2)
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tid = await _seed(session, "AAA", close=100.0)
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trade = await svc.create_trade(session, 1, symbol="AAA", direction="long",
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entry_price=100.0, shares=10, stop_loss=95.0, target=200.0)
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await _add_bars(session, tid, [(103, 101), (105, 102)], start=date.today())
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assert await svc.resolve_open_trades(session) == 1
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await session.refresh(trade)
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assert trade.status == "closed"
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assert trade.close_reason == "time"
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assert trade.close_price == pytest.approx((105 + 102) / 2) # day-2 close (= bar mid)
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async def test_resolve_time_mode_stop_still_governs(session):
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await svc.set_exit_policy(session, mode="time", hold_days=30)
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tid = await _seed(session, "AAA", close=100.0)
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trade = await svc.create_trade(session, 1, symbol="AAA", direction="long",
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entry_price=100.0, shares=10, stop_loss=95.0, target=200.0)
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await _add_bars(session, tid, [(101, 94)], start=date.today()) # low pierces the stop
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assert await svc.resolve_open_trades(session) == 1
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await session.refresh(trade)
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assert trade.close_reason == "stop"
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assert trade.close_price == pytest.approx(95.0)
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async def test_resolve_trailing_closes_with_reason(session):
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await svc.set_exit_policy(session, mode="trailing", trailing_pct=12.0)
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tid = await _seed(session, "AAA", close=100.0)
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await _add_open_trade(session, tid, "long", entry=100.0, shares=10, days_ago=10)
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await _add_bars(session, tid, [(120, 110), (130, 100)], start=date.today()) # run up, pull back
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assert await svc.resolve_open_trades(session) == 1
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closed = await svc.list_trades(session, 1, status="closed")
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assert closed[0]["close_reason"] == "trailing"
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async def test_manual_close_sets_reason(session):
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await _seed(session, "AAA", close=112.0)
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trade = await svc.create_trade(session, 1, symbol="AAA", direction="long",
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entry_price=100.0, shares=5, stop_loss=95.0, target=120.0)
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await svc.close_trade(session, 1, trade.id)
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assert (await svc.list_trades(session, 1, status="closed"))[0]["close_reason"] == "manual"
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async def test_list_open_exposes_trailing_stop(session):
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await svc.set_exit_policy(session, mode="trailing", trailing_pct=12.0)
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tid = await _seed(session, "AAA", close=120.0)
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await _add_open_trade(session, tid, "long", entry=100.0, shares=10, days_ago=10)
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await _add_bars(session, tid, [(125, 118)], start=date.today()) # peak 125
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row = (await svc.list_trades(session, 1, status="open"))[0]
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assert row["trailing_stop"] == pytest.approx(110.0) # 125 * (1 - 0.12)
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assert row["trailing_distance_pct"] is not None
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