mirror of
https://github.com/Sabermrddz/QuantCore-FX.git
synced 2026-08-02 05:27:45 +00:00
saber
108 lines
4.1 KiB
Python
108 lines
4.1 KiB
Python
import sys
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import math
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sys.path.insert(0, ".")
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import pytest
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from currency_strength_matrix import CurrencyStrengthMatrix, SessionTracker
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def build_synthetic_z_scores(base_vals: dict, quote_vals: dict) -> dict:
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z_scores = {}
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currencies = list(base_vals.keys())
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for base in currencies:
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for quote in currencies:
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if base == quote:
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continue
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pair = f"{base}_{quote}"
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z_scores[pair] = base_vals[base] - quote_vals[quote]
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return z_scores
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class TestCurrencyStrengthMatrix:
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def test_strongest_weakest_detection(self):
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base = {"EUR": 2.0, "USD": 1.0, "GBP": 0.5, "JPY": -1.0}
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quote = {"EUR": 0.0, "USD": 0.0, "GBP": 0.0, "JPY": 0.0}
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z = build_synthetic_z_scores(base, quote)
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matrix = CurrencyStrengthMatrix(z)
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assert matrix.get_strongest().name == "EUR"
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assert matrix.get_weakest().name == "JPY"
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def test_divergence_detected(self):
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base = {"EUR": 2.5, "USD": 0.0, "GBP": 0.0, "JPY": -2.5}
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quote = {"EUR": 0.0, "USD": 0.0, "GBP": 0.0, "JPY": 0.0}
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z = build_synthetic_z_scores(base, quote)
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matrix = CurrencyStrengthMatrix(z)
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assert matrix.has_divergence() is True
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assert matrix.get_matrix_cross() == "EUR_JPY"
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assert matrix.get_divergence_gap() == pytest.approx(5.0, abs=0.01)
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def test_no_divergence_within_threshold(self):
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base = {"EUR": 1.5, "USD": 0.0, "GBP": 0.0, "JPY": -1.5}
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quote = {"EUR": 0.0, "USD": 0.0, "GBP": 0.0, "JPY": 0.0}
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z = build_synthetic_z_scores(base, quote)
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matrix = CurrencyStrengthMatrix(z)
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assert matrix.has_divergence() is False
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def test_ranked_list_order(self):
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base = {"EUR": 3.0, "USD": 1.0, "GBP": 2.0, "JPY": 0.0}
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quote = {"EUR": 0.0, "USD": 0.0, "GBP": 0.0, "JPY": 0.0}
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z = build_synthetic_z_scores(base, quote)
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matrix = CurrencyStrengthMatrix(z)
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ranked = matrix.get_ranked_list()
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names = [c.name for c in ranked]
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assert names == ["EUR", "GBP", "USD", "JPY"]
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def test_sign_error_base_quote_inversion(self):
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base = {"EUR": 0.0, "USD": 0.0}
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quote = {"EUR": 0.0, "USD": 0.0}
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z = build_synthetic_z_scores(base, quote)
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z["EUR_USD"] = 2.0
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z["USD_EUR"] = -2.0
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matrix = CurrencyStrengthMatrix(z)
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s = matrix.get_strongest()
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w = matrix.get_weakest()
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assert s is not None and s.name == "EUR"
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assert w is not None and w.name == "USD"
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def test_get_report_structure(self):
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base = {"EUR": 2.0, "USD": 1.0, "GBP": 0.0, "JPY": -2.0}
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quote = {"EUR": 0.0, "USD": 0.0, "GBP": 0.0, "JPY": 0.0}
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z = build_synthetic_z_scores(base, quote)
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matrix = CurrencyStrengthMatrix(z)
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report = matrix.get_report()
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assert "ranked" in report
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assert "strongest" in report
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assert "weakest" in report
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assert "matrix_cross" in report
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assert "divergence_gap" in report
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assert "has_divergence" in report
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assert report["has_divergence"] is False
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class TestSessionTracker:
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def test_active_session_returns_string(self):
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tracker = SessionTracker()
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session = tracker.get_active_session()
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assert session in ("Tokyo", "London", "New York", "Off-Hours")
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def test_check_new_session_snapshots_prices(self):
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tracker = SessionTracker()
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prices = {"EUR_USD": 1.08, "USD_JPY": 149.0}
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result = tracker.check_new_session(prices)
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assert result is not None or tracker.current_session is not None
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def test_compute_srv_zero_without_snapshot(self):
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tracker = SessionTracker()
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srv = tracker.compute_srv("EUR_USD", 1.09)
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assert srv == 0.0
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class TestDivergenceGap:
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def test_gap_calculation(self):
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base = {"EUR": 3.0, "USD": 0.0, "JPY": -3.0, "GBP": 0.0}
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quote = {"EUR": 0.0, "USD": 0.0, "JPY": 0.0, "GBP": 0.0}
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z = build_synthetic_z_scores(base, quote)
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matrix = CurrencyStrengthMatrix(z)
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gap = matrix.get_divergence_gap()
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assert gap == pytest.approx(6.0, abs=0.01)
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