Add test to check if backtest behavior changed
This commit is contained in:
238
src/Managing.Application.Tests/BacktestTests.cs
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238
src/Managing.Application.Tests/BacktestTests.cs
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using Managing.Application.Abstractions;
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using Managing.Application.Abstractions.Repositories;
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using Managing.Application.Abstractions.Services;
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using Managing.Application.Bots;
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using Managing.Application.Bots.Grains;
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using Managing.Core;
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using Managing.Domain.Accounts;
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using Managing.Domain.Bots;
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using Managing.Domain.Candles;
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using Managing.Domain.Scenarios;
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using Managing.Domain.Strategies;
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using Managing.Domain.Users;
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using Microsoft.Extensions.DependencyInjection;
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using Microsoft.Extensions.Logging;
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using Moq;
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using Newtonsoft.Json;
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using Xunit;
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using static Managing.Common.Enums;
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namespace Managing.Application.Tests;
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public class BacktestTests : BaseTests
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{
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private readonly BacktestTradingBotGrain _backtestGrain;
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private readonly Mock<IServiceScopeFactory> _scopeFactory;
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private readonly User _testUser;
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public BacktestTests() : base()
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{
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// Setup mock dependencies for BacktestTradingBotGrain
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var backtestRepository = new Mock<IBacktestRepository>().Object;
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var grainLogger = new Mock<ILogger<BacktestTradingBotGrain>>().Object;
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// Setup service scope factory to return ALL TradingBotBase dependencies
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_scopeFactory = new Mock<IServiceScopeFactory>();
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var mockScope = new Mock<IServiceScope>();
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var mockServiceProvider = new Mock<IServiceProvider>();
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// Setup TradingBotBase logger
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var tradingBotLogger = TradingBaseTests.CreateTradingBotLogger();
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mockServiceProvider.Setup(x => x.GetService(typeof(ILogger<TradingBotBase>)))
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.Returns(tradingBotLogger);
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// Setup all services that TradingBotBase might need
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mockServiceProvider.Setup(x => x.GetService(typeof(IExchangeService)))
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.Returns(_exchangeService);
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mockServiceProvider.Setup(x => x.GetService(typeof(IAccountService)))
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.Returns(_accountService.Object);
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mockServiceProvider.Setup(x => x.GetService(typeof(ITradingService)))
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.Returns(_tradingService.Object);
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mockServiceProvider.Setup(x => x.GetService(typeof(IMoneyManagementService)))
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.Returns(_moneyManagementService.Object);
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// Setup additional services that might be needed
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var mockBotService = new Mock<IBotService>();
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mockServiceProvider.Setup(x => x.GetService(typeof(IBotService)))
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.Returns(mockBotService.Object);
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var mockMessengerService = new Mock<IMessengerService>();
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mockServiceProvider.Setup(x => x.GetService(typeof(IMessengerService)))
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.Returns(mockMessengerService.Object);
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mockScope.Setup(x => x.ServiceProvider).Returns(mockServiceProvider.Object);
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_scopeFactory.Setup(x => x.CreateScope()).Returns(mockScope.Object);
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// Create test user with account
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_testUser = new User
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{
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Id = 1,
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Name = "Test User",
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Accounts = new List<Account> { _account }
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};
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// Create BacktestTradingBotGrain instance directly
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_backtestGrain = new BacktestTradingBotGrain(grainLogger, _scopeFactory.Object, backtestRepository);
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}
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/// <summary>
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/// Helper test to fetch candles from ExchangeService and save them to Data folder.
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/// This test is useful for generating or updating test data files.
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/// Skip this test in normal test runs by commenting out the [Fact] attribute.
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/// </summary>
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[Fact(Skip = "Run manually to generate test data")]
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public async Task GenerateTestData_FetchAndSaveETHCandles()
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{
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// Arrange
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var ticker = Ticker.ETH;
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var timeframe = Timeframe.FifteenMinutes;
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var daysBack = -10; // Fetch last 30 days of data
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var startDate = DateTime.UtcNow.AddDays(daysBack);
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var endDate = DateTime.UtcNow;
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// Act - Fetch candles from exchange
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var candles = await _exchangeService.GetCandles(_account, ticker, startDate, timeframe);
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Assert.NotNull(candles);
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Assert.NotEmpty(candles);
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// Convert to list and sort by date
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var candleList = candles.OrderBy(c => c.Date).ToList();
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// Serialize to JSON
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var json = JsonConvert.SerializeObject(candleList, Formatting.Indented);
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// Determine the output path - save to source Data folder, not bin folder
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// Navigate from bin folder to source: bin/Debug/net8.0 -> ../../..
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var assemblyLocation = typeof(BacktestTests).Assembly.Location;
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var binDirectory = Path.GetDirectoryName(assemblyLocation);
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var projectDirectory = Path.GetFullPath(Path.Combine(binDirectory, "..", "..", ".."));
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var dataDirectory = Path.Combine(projectDirectory, "Data");
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// Ensure Data directory exists
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if (!Directory.Exists(dataDirectory))
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{
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Directory.CreateDirectory(dataDirectory);
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}
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var fileName = $"{ticker}-{timeframe}-candles.json";
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var filePath = Path.Combine(dataDirectory, fileName);
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// Save to file
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File.WriteAllText(filePath, json);
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// Output information
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Console.WriteLine($"✅ Successfully saved {candleList.Count} candles");
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Console.WriteLine($"📁 File Location: {filePath}");
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Console.WriteLine($"📂 Data Directory: {dataDirectory}");
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Console.WriteLine(
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$"📊 Date Range: {candleList.First().Date:yyyy-MM-dd HH:mm:ss} to {candleList.Last().Date:yyyy-MM-dd HH:mm:ss}");
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Console.WriteLine($"📈 Price Range: ${candleList.Min(c => c.Low):F2} - ${candleList.Max(c => c.High):F2}");
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// Assert
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Assert.True(File.Exists(filePath), $"File should exist at {filePath}");
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// Verify we can read it back
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var readBack = FileHelpers.ReadJson<List<Candle>>($"Data/{fileName}");
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Assert.NotNull(readBack);
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Assert.Equal(candleList.Count, readBack.Count);
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}
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/// <summary>
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/// Main backtest test that verifies consistent behavior of TradingBotBase.
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/// Note: Run GenerateTestData_FetchAndSaveETHCandles first if the data file doesn't exist.
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/// After the first run, update the assertions with the actual expected values to ensure
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/// future changes to TradingBotBase don't break the backtest behavior.
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/// </summary>
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[Fact]
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public async Task ETH_FifteenMinutes_Backtest_Should_Return_Consistent_Results()
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{
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// Arrange
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var candles = FileHelpers.ReadJson<List<Candle>>("Data/ETH-FifteenMinutes-candles.json");
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Assert.NotNull(candles);
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Assert.NotEmpty(candles);
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var scenario = new Scenario("ETH_BacktestScenario");
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var rsiDivIndicator = ScenarioHelpers.BuildIndicator(IndicatorType.RsiDivergence, "RsiDiv", period: 14);
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scenario.Indicators = new List<IndicatorBase> { (IndicatorBase)rsiDivIndicator };
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scenario.LoopbackPeriod = 15;
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var config = new TradingBotConfig
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{
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AccountName = _account.Name,
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MoneyManagement = MoneyManagement,
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Ticker = Ticker.ETH,
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Scenario = LightScenario.FromScenario(scenario),
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Timeframe = Timeframe.FifteenMinutes,
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IsForWatchingOnly = false,
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BotTradingBalance = 1000,
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IsForBacktest = true,
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CooldownPeriod = 1,
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MaxLossStreak = 0,
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FlipPosition = false,
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Name = "ETH_FifteenMinutes_Test",
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FlipOnlyWhenInProfit = true,
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MaxPositionTimeHours = null,
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CloseEarlyWhenProfitable = false
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};
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// Act - Call BacktestTradingBotGrain directly (no Orleans needed)
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var backtestResult = await _backtestGrain.RunBacktestAsync(
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config,
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candles.ToHashSet(),
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_testUser,
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save: false,
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withCandles: false);
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// Output the result to console for review
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var json = JsonConvert.SerializeObject(new
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{
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backtestResult.FinalPnl,
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backtestResult.WinRate,
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backtestResult.GrowthPercentage,
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backtestResult.HodlPercentage,
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backtestResult.Fees,
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backtestResult.NetPnl,
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backtestResult.MaxDrawdown,
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backtestResult.SharpeRatio,
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backtestResult.Score,
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backtestResult.InitialBalance,
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StartDate = backtestResult.StartDate.ToString("yyyy-MM-dd HH:mm:ss"),
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EndDate = backtestResult.EndDate.ToString("yyyy-MM-dd HH:mm:ss")
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}, Formatting.Indented);
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Console.WriteLine("Backtest Results:");
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Console.WriteLine(json);
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// Assert - Verify consistent backtest behavior
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// These values ensure that changes to TradingBotBase don't break the backtest logic
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Assert.NotNull(backtestResult);
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// Financial metrics - using decimal precision
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Assert.Equal(-105.45m, Math.Round(backtestResult.FinalPnl, 2));
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Assert.Equal(-210.40m, Math.Round(backtestResult.NetPnl, 2));
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Assert.Equal(104.94m, Math.Round(backtestResult.Fees, 2));
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Assert.Equal(1000.0m, backtestResult.InitialBalance);
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// Performance metrics
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Assert.Equal(31, backtestResult.WinRate);
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Assert.Equal(-10.55m, Math.Round(backtestResult.GrowthPercentage, 2));
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Assert.Equal(-0.67m, Math.Round(backtestResult.HodlPercentage, 2));
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// Risk metrics
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Assert.Equal(243.84m, Math.Round(backtestResult.MaxDrawdown.Value, 2));
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Assert.Equal(-0.021, Math.Round(backtestResult.SharpeRatio.Value, 3));
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Assert.Equal(0.0, backtestResult.Score);
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// Date range validation
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Assert.Equal(new DateTime(2025, 10, 14, 12, 0, 0), backtestResult.StartDate);
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Assert.Equal(new DateTime(2025, 10, 24, 11, 45, 0), backtestResult.EndDate);
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// Additional validation - strategy didn't outperform HODL
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Assert.True(backtestResult.GrowthPercentage < backtestResult.HodlPercentage,
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"Strategy underperformed HODL as expected for this test scenario");
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}
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}
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</PropertyGroup>
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<ItemGroup>
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<PackageReference Include="MathNet.Numerics" Version="5.0.0" />
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<PackageReference Include="Microsoft.AspNetCore.Mvc.Testing" Version="8.0.5" />
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<PackageReference Include="Microsoft.Extensions.Configuration" Version="9.0.7" />
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<PackageReference Include="Microsoft.NET.Test.Sdk" Version="17.9.0" />
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<PackageReference Include="Microsoft.TestPlatform.AdapterUtilities" Version="17.9.0" />
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<PackageReference Include="Moq" Version="4.20.70" />
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<PackageReference Include="MSTest.TestAdapter" Version="3.3.1" />
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<PackageReference Include="MSTest.TestFramework" Version="3.3.1" />
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<PackageReference Include="xunit" Version="2.8.0" />
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<PackageReference Include="MathNet.Numerics" Version="5.0.0"/>
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<PackageReference Include="Microsoft.AspNetCore.Mvc.Testing" Version="8.0.5"/>
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<PackageReference Include="Microsoft.Extensions.Configuration" Version="9.0.7"/>
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<PackageReference Include="Microsoft.NET.Test.Sdk" Version="17.9.0"/>
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<PackageReference Include="Microsoft.TestPlatform.AdapterUtilities" Version="17.9.0"/>
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<PackageReference Include="Moq" Version="4.20.70"/>
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<PackageReference Include="MSTest.TestAdapter" Version="3.3.1"/>
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<PackageReference Include="MSTest.TestFramework" Version="3.3.1"/>
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<PackageReference Include="xunit" Version="2.8.0"/>
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<PackageReference Include="xunit.runner.visualstudio" Version="2.8.0">
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<PrivateAssets>all</PrivateAssets>
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<IncludeAssets>runtime; build; native; contentfiles; analyzers; buildtransitive</IncludeAssets>
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@@ -24,23 +24,26 @@
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</ItemGroup>
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<ItemGroup>
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<ProjectReference Include="..\Managing.Api\Managing.Api.csproj" />
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<ProjectReference Include="..\Managing.Application\Managing.Application.csproj" />
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<ProjectReference Include="..\Managing.Common\Managing.Common.csproj" />
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<ProjectReference Include="..\Managing.Core\Managing.Core.csproj" />
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<ProjectReference Include="..\Managing.Domain\Managing.Domain.csproj" />
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<ProjectReference Include="..\Managing.Infrastructure.Exchanges\Managing.Infrastructure.Exchanges.csproj" />
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<ProjectReference Include="..\Managing.Infrastructure.Tests\Managing.Infrastructure.Tests.csproj" />
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<ProjectReference Include="..\Managing.Api\Managing.Api.csproj"/>
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<ProjectReference Include="..\Managing.Application\Managing.Application.csproj"/>
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<ProjectReference Include="..\Managing.Common\Managing.Common.csproj"/>
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<ProjectReference Include="..\Managing.Core\Managing.Core.csproj"/>
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<ProjectReference Include="..\Managing.Domain\Managing.Domain.csproj"/>
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<ProjectReference Include="..\Managing.Infrastructure.Exchanges\Managing.Infrastructure.Exchanges.csproj"/>
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<ProjectReference Include="..\Managing.Infrastructure.Tests\Managing.Infrastructure.Tests.csproj"/>
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</ItemGroup>
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<ItemGroup>
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<Folder Include="Data\" />
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<Folder Include="Data\"/>
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</ItemGroup>
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<ItemGroup>
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<None Update="Data\candles.json">
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<CopyToOutputDirectory>Always</CopyToOutputDirectory>
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</None>
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<None Update="Data\ETH-FifteenMinutes-candles.json">
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<CopyToOutputDirectory>Always</CopyToOutputDirectory>
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</None>
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</ItemGroup>
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</Project>
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