feat(weekly-report): add data fetch and WF backtest core
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
48
tests/test_weekly_report.py
Normal file
48
tests/test_weekly_report.py
Normal file
@@ -0,0 +1,48 @@
|
||||
import pytest
|
||||
from unittest.mock import patch, MagicMock
|
||||
import sys
|
||||
from pathlib import Path
|
||||
sys.path.insert(0, str(Path(__file__).parent.parent))
|
||||
|
||||
|
||||
def test_fetch_latest_data_calls_subprocess():
|
||||
"""fetch_latest_data가 심볼별로 fetch_history.py를 호출하는지 확인."""
|
||||
from scripts.weekly_report import fetch_latest_data
|
||||
|
||||
with patch("subprocess.run") as mock_run:
|
||||
mock_run.return_value = MagicMock(returncode=0)
|
||||
fetch_latest_data(["XRPUSDT", "TRXUSDT"], days=35)
|
||||
|
||||
assert mock_run.call_count == 2
|
||||
args_0 = mock_run.call_args_list[0][0][0]
|
||||
assert "--symbol" in args_0
|
||||
assert "XRPUSDT" in args_0
|
||||
assert "--days" in args_0
|
||||
assert "35" in args_0
|
||||
|
||||
|
||||
def test_run_backtest_returns_summary():
|
||||
"""run_backtest가 WF 백테스트를 실행하고 결과를 반환하는지 확인."""
|
||||
from scripts.weekly_report import run_backtest
|
||||
|
||||
mock_result = {
|
||||
"summary": {
|
||||
"total_trades": 27, "total_pnl": 217.0, "return_pct": 21.7,
|
||||
"win_rate": 66.7, "profit_factor": 1.57, "max_drawdown_pct": 12.0,
|
||||
"sharpe_ratio": 33.3, "avg_win": 20.0, "avg_loss": -10.0,
|
||||
"total_fees": 5.0, "close_reasons": {},
|
||||
},
|
||||
"folds": [], "trades": [],
|
||||
}
|
||||
|
||||
with patch("scripts.weekly_report.WalkForwardBacktester") as MockWF:
|
||||
MockWF.return_value.run.return_value = mock_result
|
||||
result = run_backtest(
|
||||
symbols=["XRPUSDT"], train_months=3, test_months=1,
|
||||
params={"atr_sl_mult": 2.0, "atr_tp_mult": 2.0,
|
||||
"signal_threshold": 3, "adx_threshold": 25,
|
||||
"volume_multiplier": 2.5},
|
||||
)
|
||||
|
||||
assert result["summary"]["profit_factor"] == 1.57
|
||||
assert result["summary"]["total_trades"] == 27
|
||||
Reference in New Issue
Block a user