zwitschi
38e1d64437
CI / lint-test-build (push) Successful in 2m31s
- Introduced backtesting page and fragment in the dashboard for running backtests and viewing recent reports. - Implemented backtest run logic with configuration options including event path, starting balances, trade capital, and fee profiles. - Added recent backtest reports storage and retrieval. - Created a new strategy module for statistical arbitrage experiments with validation on configuration parameters. - Updated settings to include parameters for the statistical arbitrage strategy. - Enhanced dashboard controls to support the new strategy mode. - Added unit tests for backtesting functionality and strategy validation. - Updated templates for backtesting UI integration.
67 lines
2.0 KiB
Python
67 lines
2.0 KiB
Python
from __future__ import annotations
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from datetime import UTC, datetime, timedelta
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from arbitrade.strategy.stat_arb import StatArbExperiment, StatArbExperimentConfig
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def test_stat_arb_experiment_warmup_then_entry_and_exit() -> None:
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started_at = datetime(2026, 6, 2, 12, 0, tzinfo=UTC)
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experiment = StatArbExperiment(
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StatArbExperimentConfig(
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pair_a="BTC/USD",
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pair_b="ETH/USD",
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lookback_window=5,
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entry_zscore=1.5,
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exit_zscore=0.2,
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max_holding_seconds=0.5,
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)
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)
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# Warmup with nearly stationary spread around 0.
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for idx in range(5):
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signal = experiment.observe(
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price_a=100.0 + (0.02 * idx),
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price_b=100.0,
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observed_at=started_at + timedelta(seconds=idx),
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)
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assert signal.action in {"warmup", "hold"}
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# Large positive spread should trigger short-spread entry.
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entry = experiment.observe(
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price_a=104.0,
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price_b=100.0,
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observed_at=started_at + timedelta(seconds=10),
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)
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assert entry.action == "enter_short_spread"
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assert entry.position == "short"
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assert entry.zscore is not None
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# Mean reversion toward center should trigger exit.
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exit_signal = experiment.observe(
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price_a=100.05,
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price_b=100.0,
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observed_at=started_at + timedelta(seconds=11),
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)
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assert exit_signal.action == "exit_position"
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assert exit_signal.position == "flat"
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def test_stat_arb_experiment_rejects_invalid_prices() -> None:
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experiment = StatArbExperiment(
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StatArbExperimentConfig(
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pair_a="BTC/USD",
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pair_b="ETH/USD",
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lookback_window=5,
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)
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)
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at = datetime(2026, 6, 2, 12, 0, tzinfo=UTC)
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try:
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experiment.observe(price_a=0.0, price_b=100.0, observed_at=at)
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except ValueError as exc:
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assert "prices must be > 0" in str(exc)
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else:
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raise AssertionError("Expected ValueError for non-positive price")
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