fix: correct final_balance calculation in _calculate_metrics
Bug: The expression was evaluating incorrectly due to operator precedence: final_balance = balance + (position * price if condition else balance) When condition=False (position=0), this became: balance + balance = 2x balance! Fixed by restructuring to if/else block.
This commit is contained in:
shokollm
@@ -1,189 +1,325 @@
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"""
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Unit tests for BacktestEngine to verify stop loss functionality
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Unit tests for BacktestEngine
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Tests stop loss, take profit, and max drawdown calculations
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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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class TestBacktestEngine:
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"""Test suite for BacktestEngine"""
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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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def _run_backtest(self, config, klines):
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"""Helper to run backtest with given klines"""
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engine = BacktestEngine(config)
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result = asyncio.run(engine.run_with_klines(klines))
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return engine, result
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def _trace_portfolio(self, engine, initial_balance):
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"""Print portfolio trace for debugging"""
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running_balance = initial_balance
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running_position = 0.0
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print("\nPortfolio Trace:")
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for i, trade in enumerate(engine.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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portfolio = running_balance + (running_position * trade["price"])
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print(f" BUY #{i+1}: @${trade['price']} - portfolio=${portfolio:.2f}")
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else:
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running_balance += trade["amount"]
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running_position = 0
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portfolio = running_balance
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print(f" SELL #{i+1}: @${trade['price']} ({trade.get('exit_reason', '')}) - portfolio=${portfolio:.2f}")
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if engine.position > 0 and engine.last_kline_price:
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final = running_balance + (engine.position * engine.last_kline_price)
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print(f" FINAL: position={engine.position:.2f} @ ${engine.last_kline_price} = ${final:.2f}")
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print()
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def test_stop_loss_triggers_correctly(self):
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"""Test stop loss triggers at configured percentage"""
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config = {
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"bot_id": "test-bot",
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"bot_id": "test",
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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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"conditions": [{"type": "price_drop", "token": "TEST", "token_address": "0x123", "threshold": 5}],
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"actions": [{"type": "buy", "amount_percent": 100}],
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"risk_management": {"stop_loss_percent": 5, "take_profit_percent": 10}
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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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# Price sequence that triggers buy then stop loss:
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# $110 -> $100 (9% drop, BUY)
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# $100 -> $95 (5% drop, STOP LOSS at 5% from $100 = $95)
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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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{"close": "110.0", "timestamp": 1000, "open": "110.0", "high": "110.0", "low": "110.0", "volume": "1000"},
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{"close": "100.0", "timestamp": 2000, "open": "100.0", "high": "100.0", "low": "100.0", "volume": "1000"},
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{"close": "95.0", "timestamp": 3000, "open": "95.0", "high": "95.0", "low": "95.0", "volume": "1000"},
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]
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result = asyncio.run(engine.run_with_klines(klines))
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engine, result = self._run_backtest(config, klines)
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self._trace_portfolio(engine, 10000.0)
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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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print(f"Results:")
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print(f" Trades: {len(engine.trades)} (expected 2)")
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print(f" Max drawdown: {result['max_drawdown']}%")
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print(f" Total return: {result['total_return']}%")
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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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assert len(engine.trades) == 2
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assert engine.trades[0]["type"] == "buy"
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assert engine.trades[1]["type"] == "sell"
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assert engine.trades[1]["exit_reason"] == "stop_loss"
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# Max drawdown should be ~5% (stop loss percentage)
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assert 3 < result['max_drawdown'] < 8
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# Total return should be ~-5%
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assert -8 < result['total_return'] < -3
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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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def test_take_profit_triggers(self):
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"""Test take profit triggers at configured percentage"""
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config = {
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"bot_id": "test-bot",
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"bot_id": "test",
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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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"conditions": [{"type": "price_drop", "token": "TEST", "token_address": "0x123", "threshold": 5}],
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"actions": [{"type": "buy", "amount_percent": 100}],
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"risk_management": {"stop_loss_percent": 5, "take_profit_percent": 10}
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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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# $100 -> $95 (5% drop, BUY) -> $104.5 (10% rise, TAKE PROFIT)
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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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{"close": "95.0", "timestamp": 2000, "open": "95.0", "high": "95.0", "low": "95.0", "volume": "1000"},
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{"close": "104.5", "timestamp": 3000, "open": "104.5", "high": "104.5", "low": "104.5", "volume": "1000"},
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]
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result = asyncio.run(engine.run_with_klines(klines))
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engine, result = self._run_backtest(config, klines)
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self._trace_portfolio(engine, 10000.0)
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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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print(f"Results:")
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print(f" Trades: {len(engine.trades)} (expected 2)")
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print(f" Max drawdown: {result['max_drawdown']}%")
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print(f" Total return: {result['total_return']}%")
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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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assert len(engine.trades) == 2
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assert engine.trades[1]["exit_reason"] == "take_profit"
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assert result['total_return'] > 0
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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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def test_max_drawdown_bounded_by_stop_loss(self):
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"""Test that max drawdown is bounded by stop loss when position is properly closed"""
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config = {
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"bot_id": "test-bot",
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"bot_id": "test",
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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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"conditions": [{"type": "price_drop", "token": "TEST", "token_address": "0x123", "threshold": 5}],
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"actions": [{"type": "buy", "amount_percent": 100}],
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"risk_management": {"stop_loss_percent": 5, "take_profit_percent": 10}
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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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# $110 -> $100 -> $95 (BUY) -> $90 (STOP LOSS)
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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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{"close": "110.0", "timestamp": 1000, "open": "110.0", "high": "110.0", "low": "110.0", "volume": "1000"},
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{"close": "100.0", "timestamp": 2000, "open": "100.0", "high": "100.0", "low": "100.0", "volume": "1000"},
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{"close": "95.0", "timestamp": 3000, "open": "95.0", "high": "95.0", "low": "95.0", "volume": "1000"},
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{"close": "90.0", "timestamp": 4000, "open": "90.0", "high": "90.0", "low": "90.0", "volume": "1000"},
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]
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result = asyncio.run(engine.run_with_klines(klines))
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engine, result = self._run_backtest(config, klines)
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self._trace_portfolio(engine, 10000.0)
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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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print(f"Results:")
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print(f" Trades: {len(engine.trades)}")
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print(f" Max drawdown: {result['max_drawdown']}%")
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print(f" Total return: {result['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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# With 5% stop loss, max drawdown should be around 5%
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assert 3 < result['max_drawdown'] < 8
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def test_open_position_not_closed(self):
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"""Test scenario where last kline has an open position"""
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config = {
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"bot_id": "test",
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"strategy_config": {
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"conditions": [{"type": "price_drop", "token": "TEST", "token_address": "0x123", "threshold": 10}],
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"actions": [{"type": "buy", "amount_percent": 100}],
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"risk_management": {"stop_loss_percent": 5, "take_profit_percent": 10}
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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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# $100 -> $90 (10% drop, BUY) - and backtest ends here
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# Position is open, marked to market at $90
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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": "90.0", "timestamp": 2000, "open": "90.0", "high": "90.0", "low": "90.0", "volume": "1000"},
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]
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engine, result = self._run_backtest(config, klines)
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self._trace_portfolio(engine, 10000.0)
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print(f"Results:")
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print(f" Trades: {len(engine.trades)}")
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print(f" Position open: {engine.position > 0}")
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print(f" Entry price: ${engine.entry_price}")
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print(f" Last kline price: ${engine.last_kline_price}")
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print(f" Max drawdown: {result['max_drawdown']}%")
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print(f" Total return: {result['total_return']}%")
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# Position should be open
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assert engine.position > 0
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# Entry should be $90
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assert engine.entry_price == 90.0
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# Since entry = last kline price, no unrealized loss
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# Max drawdown should be 0%
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assert result['max_drawdown'] == 0.0
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def test_open_position_with_loss(self):
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"""Test open position where price dropped but stop loss didn't trigger"""
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config = {
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"bot_id": "test",
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"strategy_config": {
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"conditions": [{"type": "price_drop", "token": "TEST", "token_address": "0x123", "threshold": 10}],
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"actions": [{"type": "buy", "amount_percent": 100}],
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"risk_management": {"stop_loss_percent": 5, "take_profit_percent": 10}
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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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# $100 -> $90 (10% drop, BUY at $90) -> $85 (stop loss at 5% from $90 = $85.5)
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# $85 > $85.5? No, $85 < $85.5, so stop loss WOULD trigger
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# Let me use $86 instead - $86 > $85.5 so no stop loss
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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": "90.0", "timestamp": 2000, "open": "90.0", "high": "90.0", "low": "90.0", "volume": "1000"},
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{"close": "86.0", "timestamp": 3000, "open": "86.0", "high": "86.0", "low": "86.0", "volume": "1000"},
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]
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engine, result = self._run_backtest(config, klines)
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self._trace_portfolio(engine, 10000.0)
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print(f"Results:")
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print(f" Trades: {len(engine.trades)}")
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print(f" Position open: {engine.position > 0}")
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print(f" Entry price: ${engine.entry_price}")
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print(f" Last kline price: ${engine.last_kline_price}")
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print(f" Max drawdown: {result['max_drawdown']}%")
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print(f" Total return: {result['total_return']}%")
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# Position should be open
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assert engine.position > 0
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# Entry = $90, stop = $85.50, last = $86 (above stop)
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||||
# Portfolio: $0 + position * $86
|
||||
# Position: 10000/90 = 111.11 tokens
|
||||
# Portfolio at $86: 111.11 * 86 = $9,555.56
|
||||
# But we only track portfolio at trade points, so max was $10,000
|
||||
# drawdown = (10000 - 9555.56) / 10000 = 4.44%
|
||||
print(f" Expected max drawdown: ~4.4% (marked to market at $86)")
|
||||
|
||||
def test_multiple_buy_sell_cycles(self):
|
||||
"""Test multiple buy/sell cycles"""
|
||||
config = {
|
||||
"bot_id": "test",
|
||||
"strategy_config": {
|
||||
"conditions": [{"type": "price_drop", "token": "TEST", "token_address": "0x123", "threshold": 5}],
|
||||
"actions": [{"type": "buy", "amount_percent": 50}], # 50% of balance
|
||||
"risk_management": {"stop_loss_percent": 5, "take_profit_percent": 10}
|
||||
},
|
||||
"ave_api_key": "test",
|
||||
"ave_api_plan": "free",
|
||||
"initial_balance": 10000.0,
|
||||
}
|
||||
|
||||
# $100 -> $95 (BUY) -> $104.5 (TAKE PROFIT) -> $95 (BUY) -> $90 (STOP LOSS)
|
||||
klines = [
|
||||
{"close": "100.0", "timestamp": 1000, "open": "100.0", "high": "100.0", "low": "100.0", "volume": "1000"},
|
||||
{"close": "95.0", "timestamp": 2000, "open": "95.0", "high": "95.0", "low": "95.0", "volume": "1000"}, # BUY at $95
|
||||
{"close": "104.5", "timestamp": 3000, "open": "104.5", "high": "104.5", "low": "104.5", "volume": "1000"}, # TAKE PROFIT
|
||||
{"close": "95.0", "timestamp": 4000, "open": "95.0", "high": "95.0", "low": "95.0", "volume": "1000"}, # 9% drop - no buy
|
||||
{"close": "90.0", "timestamp": 5000, "open": "90.0", "high": "90.0", "low": "90.0", "volume": "1000"}, # 10.5% drop from $100 - BUY at $90
|
||||
{"close": "85.5", "timestamp": 6000, "open": "85.5", "high": "85.5", "low": "85.5", "volume": "1000"}, # STOP LOSS at 5% from $90 = $85.5
|
||||
]
|
||||
|
||||
engine, result = self._run_backtest(config, klines)
|
||||
self._trace_portfolio(engine, 10000.0)
|
||||
|
||||
print(f"Results:")
|
||||
print(f" Trades: {len(engine.trades)}")
|
||||
print(f" Buy count: {len([t for t in engine.trades if t['type'] == 'buy'])}")
|
||||
print(f" Sell count: {len([t for t in engine.trades if t['type'] == 'sell'])}")
|
||||
print(f" Max drawdown: {result['max_drawdown']}%")
|
||||
print(f" Total return: {result['total_return']}%")
|
||||
|
||||
|
||||
def run_tests():
|
||||
tests = TestBacktestEngine()
|
||||
|
||||
print("=" * 60)
|
||||
print("TEST 1: Stop Loss Triggers Correctly")
|
||||
print("=" * 60)
|
||||
try:
|
||||
tests.test_stop_loss_triggers_correctly()
|
||||
print("PASSED\n")
|
||||
except AssertionError as e:
|
||||
print(f"FAILED: {e}\n")
|
||||
|
||||
print("=" * 60)
|
||||
print("TEST 2: Take Profit Triggers")
|
||||
print("=" * 60)
|
||||
try:
|
||||
tests.test_take_profit_triggers()
|
||||
print("PASSED\n")
|
||||
except AssertionError as e:
|
||||
print(f"FAILED: {e}\n")
|
||||
|
||||
print("=" * 60)
|
||||
print("TEST 3: Max Drawdown Bounded by Stop Loss")
|
||||
print("=" * 60)
|
||||
try:
|
||||
tests.test_max_drawdown_bounded_by_stop_loss()
|
||||
print("PASSED\n")
|
||||
except AssertionError as e:
|
||||
print(f"FAILED: {e}\n")
|
||||
|
||||
print("=" * 60)
|
||||
print("TEST 4: Open Position Not Closed")
|
||||
print("=" * 60)
|
||||
try:
|
||||
tests.test_open_position_not_closed()
|
||||
print("PASSED\n")
|
||||
except AssertionError as e:
|
||||
print(f"FAILED: {e}\n")
|
||||
|
||||
print("=" * 60)
|
||||
print("TEST 5: Open Position With Loss")
|
||||
print("=" * 60)
|
||||
try:
|
||||
tests.test_open_position_with_loss()
|
||||
print("PASSED\n")
|
||||
except AssertionError as e:
|
||||
print(f"FAILED: {e}\n")
|
||||
|
||||
print("=" * 60)
|
||||
print("TEST 6: Multiple Buy/Sell Cycles")
|
||||
print("=" * 60)
|
||||
try:
|
||||
tests.test_multiple_buy_sell_cycles()
|
||||
print("PASSED\n")
|
||||
except AssertionError as e:
|
||||
print(f"FAILED: {e}\n")
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
test = TestStopLoss()
|
||||
print("=== Test 1: Stop Loss Triggers ===")
|
||||
test.test_stop_loss_triggers_when_price_drops()
|
||||
print("\n=== Test 2: Max Drawdown with Multiple Buys ===")
|
||||
test.test_max_drawdown_with_multiple_buys()
|
||||
print("\n=== Test 3: Multiple Buys/Sells Sequence ===")
|
||||
test.test_multiple_buys_sells_sequence()
|
||||
run_tests()
|
||||
|
||||
Reference in New Issue
Block a user