kjh2064
220e646a4b
- 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>
84 lines
2.9 KiB
C#
84 lines
2.9 KiB
C#
using Xunit;
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using KArtSell.BuildingBlocks.Time;
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using KArtSell.Modules.ModelOperations.ShadowRun;
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using Microsoft.Extensions.Logging;
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using System.Threading.Tasks;
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namespace KArtSell.Integration.Tests;
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public sealed class SignalGenerationTests
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{
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private readonly ILogger<ReplayEngine> _logger = new NoOpLogger<ReplayEngine>();
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[Fact]
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public async Task GenerateSignals_EMA_ProducesTradeSignals()
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{
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// Arrange
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var replay = new ReplayEngine(_logger);
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// Create OHLCV bars with clear trend
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var bars = new List<DataBackfiller.OhlcvBar>();
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// Generate uptrend (days 1-30): price goes from 2500 to 2600
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for (int i = 1; i <= 30; i++)
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{
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var price = 2500m + (i * 3.33m); // Linear uptrend
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bars.Add(new DataBackfiller.OhlcvBar(
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new DateOnly(2026, 1, i),
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"KOSPI",
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price - 10, // open
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price + 10, // high
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price - 15, // low
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price, // close
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1_000_000L));
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}
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// Downtrend (days 31-45): price goes from 2600 down to 2500
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for (int i = 31; i <= 45; i++)
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{
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var price = 2600m - ((i - 30) * 6.67m); // Linear downtrend
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bars.Add(new DataBackfiller.OhlcvBar(
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new DateOnly(2026, 2, i - 30),
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"KOSPI",
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price - 10,
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price + 10,
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price - 15,
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price,
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1_000_000L));
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}
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var fees = new List<DataBackfiller.FeeScheduleEntry>
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{
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new(new DateOnly(2026, 1, 1), 0.001m, 0.0005m),
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};
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var sessions = bars.Select(b => b.Date).Distinct().OrderBy(d => d).ToList();
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// Act
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var result = await replay.ReplayAsync(
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Guid.NewGuid(), bars, fees, 10_000_000m, sessions, CancellationToken.None);
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// Assert
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Assert.NotNull(result);
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Assert.NotEmpty(result.Signals); // Should have signals from trend
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// Verify signal generation happened
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var buySignals = result.Signals.Where(s => s.Action == ReplayEngine.SignalAction.Buy).ToList();
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var sellSignals = result.Signals.Where(s => s.Action == ReplayEngine.SignalAction.Sell).ToList();
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Assert.NotEmpty(buySignals); // Should have BUY signals during uptrend
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Assert.NotEmpty(sellSignals); // Should have SELL signals during downtrend
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}
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private sealed class NoOpLogger<T> : ILogger<T>
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{
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public IDisposable? BeginScope<TState>(TState state) where TState : notnull => null;
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public bool IsEnabled(LogLevel logLevel) => false;
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public void Log<TState>(LogLevel logLevel, EventId eventId, TState state, Exception? exception,
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Func<TState, Exception?, string> formatter) { }
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}
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}
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