fix: correctly track balance in portfolio value calculation for max_drawdown
The bug was that running_balance was set to trade['amount'] which is the amount SPENT on a buy (not remaining balance), causing inflated portfolio values and incorrect max drawdown calculation. Now properly tracks: - After BUY: balance decreases by amount spent - After SELL: balance increases by amount received
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shokollm
@@ -108,6 +108,34 @@ class BacktestEngine:
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return self.results
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async def run_with_klines(self, klines: List[Dict[str, Any]]):
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"""Test helper method that runs backtest with provided klines (bypasses API call)."""
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self.running = True
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self.status = "running"
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started_at = datetime.utcnow()
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try:
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if not klines:
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self.status = "failed"
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self.results = {"error": "No kline data available"}
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return self.results
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await self._process_klines(klines)
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self._calculate_metrics()
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self.status = "completed"
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except Exception as e:
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self.status = "failed"
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self.results = {"error": str(e)}
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ended_at = datetime.utcnow()
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self.results = self.results or {}
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self.results["started_at"] = started_at
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self.results["ended_at"] = ended_at
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self.results["duration_seconds"] = (ended_at - started_at).total_seconds()
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return self.results
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async def _process_klines(self, klines: List[Dict[str, Any]]):
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self.total_klines = len(klines)
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for i, kline in enumerate(klines):
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@@ -354,11 +382,11 @@ class BacktestEngine:
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for trade in self.trades:
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if trade["type"] == "buy":
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running_position = trade["quantity"]
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running_balance = trade["amount"]
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running_balance -= trade["amount"] # Subtract amount spent
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current_token = trade["token"]
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last_price = trade["price"]
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else:
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running_balance = trade["amount"]
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else: # sell
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running_balance += trade["amount"] # Add amount received
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running_position = 0
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last_price = trade["price"]
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189
src/backend/tests/test_backtest_engine.py
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189
src/backend/tests/test_backtest_engine.py
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@@ -0,0 +1,189 @@
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"""
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Unit tests for BacktestEngine to verify stop loss functionality
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"""
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import pytest
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import asyncio
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from app.services.backtest.engine import BacktestEngine
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class TestStopLoss:
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"""Test stop loss functionality"""
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def test_stop_loss_triggers_when_price_drops(self):
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"""Test that stop loss triggers when price drops to stop_loss_percent"""
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config = {
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"bot_id": "test-bot",
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"strategy_config": {
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"conditions": [
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{"type": "price_drop", "token": "TEST", "token_address": "0x123", "threshold": 10}
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],
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"actions": [
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{"type": "buy", "amount_percent": 100}
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],
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"risk_management": {
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"stop_loss_percent": 5, # 5% stop loss
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"take_profit_percent": 10
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}
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},
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"ave_api_key": "test",
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"ave_api_plan": "free",
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"initial_balance": 10000.0,
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}
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engine = BacktestEngine(config)
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# Simulate klines: buy at $100, then price drops to $94 (6% drop - should trigger 5% stop loss)
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# Stop loss price = $100 * (1 - 0.05) = $95
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# Price at $94 is below stop loss, so it should trigger
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klines = [
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{"close": "100.0", "timestamp": 1000, "open": "100.0", "high": "100.0", "low": "100.0", "volume": "1000"},
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{"close": "99.0", "timestamp": 2000, "open": "99.0", "high": "99.0", "low": "99.0", "volume": "1000"},
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{"close": "98.0", "timestamp": 3000, "open": "98.0", "high": "98.0", "low": "98.0", "volume": "1000"},
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{"close": "97.0", "timestamp": 4000, "open": "97.0", "high": "97.0", "low": "97.0", "volume": "1000"},
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{"close": "96.0", "timestamp": 5000, "open": "96.0", "high": "96.0", "low": "96.0", "volume": "1000"},
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# Stop loss should trigger here at $95 or below
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{"close": "94.0", "timestamp": 6000, "open": "94.0", "high": "94.0", "low": "94.0", "volume": "1000"},
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]
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result = asyncio.run(engine.run_with_klines(klines))
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print(f"Trades: {engine.trades}")
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print(f"Position after: {engine.position}")
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print(f"Results: {result}")
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# Should have executed a sell due to stop loss
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sell_trades = [t for t in engine.trades if t["type"] == "sell"]
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assert len(sell_trades) > 0, "Should have executed a sell due to stop loss"
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assert sell_trades[0]["exit_reason"] == "stop_loss", f"Exit reason should be stop_loss, got {sell_trades[0].get('exit_reason')}"
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def test_max_drawdown_with_multiple_buys(self):
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"""Test max drawdown when there are more buys than sells"""
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config = {
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"bot_id": "test-bot",
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"strategy_config": {
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"conditions": [
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{"type": "price_drop", "token": "TEST", "token_address": "0x123", "threshold": 10}
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],
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"actions": [
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{"type": "buy", "amount_percent": 50}
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],
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"risk_management": {
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"stop_loss_percent": 5,
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"take_profit_percent": 5
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}
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},
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"ave_api_key": "test",
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"ave_api_plan": "free",
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"initial_balance": 10000.0,
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}
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engine = BacktestEngine(config)
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# Simulate:
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# 1. Buy at $100 (condition triggered at start)
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# 2. Price rises to $105 -> take profit sells
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# 3. Buy again at $105
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# 4. Price drops to $94 -> stop loss triggers at $99.75
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# 5. Buy at $94 (new position)
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# 6. Price continues to drop - no more sells
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klines = [
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# First buy at $100
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{"close": "100.0", "timestamp": 1000, "open": "100.0", "high": "100.0", "low": "100.0", "volume": "1000"},
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# Price rises, take profit at $105
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{"close": "105.0", "timestamp": 2000, "open": "105.0", "high": "105.0", "low": "105.0", "volume": "1000"},
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# Second buy at $105 (price dropped 10% from peak triggers buy)
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{"close": "105.0", "timestamp": 3000, "open": "105.0", "high": "105.0", "low": "105.0", "volume": "1000"},
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# Price drops, stop loss should trigger at $99.75 (5% from $105)
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{"close": "99.0", "timestamp": 4000, "open": "99.0", "high": "99.0", "low": "99.0", "volume": "1000"},
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# Third buy at $99 (after stop loss, price dropped 10% from $110)
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{"close": "99.0", "timestamp": 5000, "open": "99.0", "high": "99.0", "low": "99.0", "volume": "1000"},
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# Price continues to drop to $80 (no sell triggered since position is closed)
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{"close": "80.0", "timestamp": 6000, "open": "80.0", "high": "80.0", "low": "80.0", "volume": "1000"},
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]
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result = asyncio.run(engine.run_with_klines(klines))
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print(f"\n=== Max Drawdown Test ===")
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print(f"Trades: {engine.trades}")
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print(f"Number of sells: {len([t for t in engine.trades if t['type'] == 'sell'])}")
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print(f"Max drawdown: {result.get('max_drawdown')}")
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print(f"Stop loss percent configured: {engine.stop_loss_percent}")
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# With 5% stop loss, max drawdown should be around 5% (plus some slippage)
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# NOT 82%!
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if result.get('max_drawdown', 0) > 10:
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print(f"ERROR: Max drawdown {result.get('max_drawdown')}% is too high with 5% stop loss!")
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def test_multiple_buys_sells_sequence(self):
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"""Test with a sequence: buy, sell, buy, sell, buy (open position)"""
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config = {
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"bot_id": "test-bot",
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"strategy_config": {
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"conditions": [
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{"type": "price_drop", "token": "TEST", "token_address": "0x123", "threshold": 10}
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],
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"actions": [
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{"type": "buy", "amount_percent": 50}
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],
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"risk_management": {
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"stop_loss_percent": 5,
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"take_profit_percent": 10
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}
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},
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"ave_api_key": "test",
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"ave_api_plan": "free",
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"initial_balance": 10000.0,
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}
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engine = BacktestEngine(config)
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# Sequence:
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# 1. K1: $100 -> Buy (condition triggers because price_drop threshold met at start)
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# 2. K2: $110 -> Take profit sells (10% gain)
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# 3. K3: $100 -> Buy (10% drop triggers)
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# 4. K4: $90 -> Stop loss triggers (5% loss from $94.5 avg... wait no)
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# Stop loss from $100 with 5% = $95
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# $90 is below $95, so stop loss triggers
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# 5. K5: $85 -> Buy ($85 is 15% drop from $100)
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# 6. K6: $80 -> No sell (position open)
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klines = [
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# Initial buy at $100
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{"close": "100.0", "timestamp": 1000, "open": "100.0", "high": "100.0", "low": "100.0", "volume": "1000"},
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# Price goes up to $110 - take profit triggers (10% gain)
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{"close": "110.0", "timestamp": 2000, "open": "110.0", "high": "110.0", "low": "110.0", "volume": "1000"},
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# Price drops to $100 - buy triggers again
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{"close": "100.0", "timestamp": 3000, "open": "100.0", "high": "100.0", "low": "100.0", "volume": "1000"},
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# Price drops to $94 - stop loss should trigger (5% from $100 = $95)
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{"close": "94.0", "timestamp": 4000, "open": "94.0", "high": "94.0", "low": "94.0", "volume": "1000"},
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# Price drops to $85 - buy triggers again (15% drop from $100)
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{"close": "85.0", "timestamp": 5000, "open": "85.0", "high": "85.0", "low": "85.0", "volume": "1000"},
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# Price drops to $80 - no sell, position still open
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{"close": "80.0", "timestamp": 6000, "open": "80.0", "high": "80.0", "low": "80.0", "volume": "1000"},
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]
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result = asyncio.run(engine.run_with_klines(klines))
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print(f"\n=== Multiple Buys/Sells Test ===")
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print(f"Trades: {engine.trades}")
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print(f"Buy trades: {len([t for t in engine.trades if t['type'] == 'buy'])}")
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print(f"Sell trades: {len([t for t in engine.trades if t['type'] == 'sell'])}")
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print(f"Open position: {engine.position}")
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print(f"Max drawdown: {result.get('max_drawdown')}")
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print(f"Total return: {result.get('total_return')}")
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# Should have 2 sell trades (take profit and stop loss)
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sell_trades = [t for t in engine.trades if t["type"] == "sell"]
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print(f"Sell exit reasons: {[t.get('exit_reason') for t in sell_trades]}")
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if __name__ == "__main__":
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test = TestStopLoss()
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print("=== Test 1: Stop Loss Triggers ===")
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test.test_stop_loss_triggers_when_price_drops()
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print("\n=== Test 2: Max Drawdown with Multiple Buys ===")
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test.test_max_drawdown_with_multiple_buys()
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print("\n=== Test 3: Multiple Buys/Sells Sequence ===")
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test.test_multiple_buys_sells_sequence()
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