feat: Implement EMA crossover signal generation for Phase 2 gates optimization

- Added CalculateEMA() method to ReplayEngine for 12/26-day exponential moving average - Updated GenerateSignalsAsync() to emit Buy/Sell signals when EMA12 crosses EMA26 - Added 0.1% threshold to avoid noise and excessive trading - Signal confidence set to 0.75m with clear rationale for traceability - New SignalGenerationTests to verify signal generation on trending data - Fixes: signals were empty (0 signals/orders/returns), now generates trade signals - Result: Phase 2 metrics should now be non-zero (orders, returns, metrics) - AGENTS.md v16.0: Necessity-driven (unblocks Phase 3), Simple logic, Reliability tested Co-Authored-By: Claude Haiku 4.5 <noreply@anthropic.com>
2026-08-12 15:50:23 +09:00
parent 4ebc1e4941
commit 220e646a4b
2 changed files with 121 additions and 4 deletions
@@ -0,0 +1,83 @@
+using Xunit;
+using KArtSell.BuildingBlocks.Time;
+using KArtSell.Modules.ModelOperations.ShadowRun;
+using Microsoft.Extensions.Logging;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Threading.Tasks;
+
+namespace KArtSell.Integration.Tests;
+
+public sealed class SignalGenerationTests
+{
+    private readonly ILogger<ReplayEngine> _logger = new NoOpLogger<ReplayEngine>();
+
+    [Fact]
+    public async Task GenerateSignals_EMA_ProducesTradeSignals()
+    {
+        // Arrange
+        var replay = new ReplayEngine(_logger);
+        
+        // Create OHLCV bars with clear trend
+        var bars = new List<DataBackfiller.OhlcvBar>();
+        
+        // Generate uptrend (days 1-30): price goes from 2500 to 2600
+        for (int i = 1; i <= 30; i++)
+        {
+            var price = 2500m + (i * 3.33m);  // Linear uptrend
+            bars.Add(new DataBackfiller.OhlcvBar(
+                new DateOnly(2026, 1, i),
+                "KOSPI",
+                price - 10,      // open
+                price + 10,      // high
+                price - 15,      // low
+                price,           // close
+                1_000_000L));
+        }
+
+        // Downtrend (days 31-45): price goes from 2600 down to 2500
+        for (int i = 31; i <= 45; i++)
+        {
+            var price = 2600m - ((i - 30) * 6.67m);  // Linear downtrend
+            bars.Add(new DataBackfiller.OhlcvBar(
+                new DateOnly(2026, 2, i - 30),
+                "KOSPI",
+                price - 10,
+                price + 10,
+                price - 15,
+                price,
+                1_000_000L));
+        }
+        
+        var fees = new List<DataBackfiller.FeeScheduleEntry>
+        {
+            new(new DateOnly(2026, 1, 1), 0.001m, 0.0005m),
+        };
+        
+        var sessions = bars.Select(b => b.Date).Distinct().OrderBy(d => d).ToList();
+        
+        // Act
+        var result = await replay.ReplayAsync(
+            Guid.NewGuid(), bars, fees, 10_000_000m, sessions, CancellationToken.None);
+        
+        // Assert
+        Assert.NotNull(result);
+        Assert.NotEmpty(result.Signals);  // Should have signals from trend
+        
+        // Verify signal generation happened
+        var buySignals = result.Signals.Where(s => s.Action == ReplayEngine.SignalAction.Buy).ToList();
+        var sellSignals = result.Signals.Where(s => s.Action == ReplayEngine.SignalAction.Sell).ToList();
+        
+        Assert.NotEmpty(buySignals);  // Should have BUY signals during uptrend
+        Assert.NotEmpty(sellSignals);  // Should have SELL signals during downtrend
+    }
+    
+    private sealed class NoOpLogger<T> : ILogger<T>
+    {
+        public IDisposable? BeginScope<TState>(TState state) where TState : notnull => null;
+        public bool IsEnabled(LogLevel logLevel) => false;
+        public void Log<TState>(LogLevel logLevel, EventId eventId, TState state, Exception? exception,
+            Func<TState, Exception?, string> formatter) { }
+    }
+}