v4

2026-08-16 05:18:07 +00:00 · 2024-10-28 06:36:10 +01:00
parent 06061ec917
commit 780d664741
90 changed files with 2230 additions and 636 deletions
@@ -0,0 +1,140 @@
+from aiomql.contrib import BackTestEngine, ForexSymbol, GetData
+from aiomql.core import MetaBackTester
+from aiomql.lib import Order
+
+
+async def make_buy_sell_orders():
+    sym = ForexSymbol(name='BTCUSD')
+    sym_info = await sym.mt5.symbol_info(sym.name)
+    dsl = (sym_info.trade_stops_level + sym_info.spread) * 2 * sym_info.point
+    sl = sym_info.ask - dsl
+    tp = sym_info.ask + dsl
+    buy_req = {'action': sym.mt5.TRADE_ACTION_DEAL, 'symbol': sym.name, 'volume': sym_info.volume_min,
+           'type': sym.mt5.ORDER_TYPE_BUY, 'price': sym_info.ask, 'sl': sl, 'tp': tp}
+
+    sell_req = buy_req.copy()
+    sell_req['type'] = sym.mt5.ORDER_TYPE_SELL
+    sell_req['price'] = sym_info.bid
+    del sell_req['tp']
+    del sell_req['sl']
+    return {'buy': Order(**buy_req), 'sell': Order(**sell_req)}
+
+
+def test_trade_mode(config, backtest_engine, history, positions, order_sell, order_buy, btc_usd):
+    assert config.mode == 'backtest'
+    assert isinstance(backtest_engine, BackTestEngine)
+    assert isinstance(history.mt5, MetaBackTester)
+    assert isinstance(positions.mt5, MetaBackTester)
+    assert isinstance(order_sell.mt5, MetaBackTester)
+    assert isinstance(order_buy.mt5, MetaBackTester)
+    assert isinstance(btc_usd.mt5, MetaBackTester)
+
+
+async def test_order_send(backtest_engine, order_sell, order_buy):
+    await backtest_engine.setup_account(balance=100)
+    so = await backtest_engine.order_send(request=order_sell.request)
+    bo = await backtest_engine.order_send(request=order_buy.request)
+    assert so.retcode == 10009
+    assert bo.retcode == 10009
+    backtest_engine.reset(clear_data=True)
+
+
+async def test_positions(backtest_engine, positions, order_sell, order_buy):
+    await backtest_engine.setup_account(balance=100)
+    so = await backtest_engine.order_send(request=order_sell.request)
+    bo = await backtest_engine.order_send(request=order_buy.request)
+    all_positions = await positions.get_positions()
+    assert len(all_positions) == 2
+    await positions.close_position_by_ticket(ticket=so.order)
+    all_positions = await positions.get_positions()
+    assert len(all_positions) == 1
+    await positions.close_position_by_ticket(ticket=bo.order)
+    all_positions = await positions.get_positions()
+    assert len(all_positions) == 0
+    backtest_engine.reset(clear_data=True)
+
+
+async def test_history(backtest_engine, history, order_sell, order_buy, positions):
+    await backtest_engine.setup_account(balance=100)
+    so = await backtest_engine.order_send(request=order_sell.request)
+    await backtest_engine.order_send(request=order_buy.request)
+    await history.initialize()
+    assert len(history.orders) == 2
+    assert len(history.deals) == 2
+    await positions.close_position_by_ticket(ticket=so.order)
+    deals = await history.get_deals()
+    assert len(deals) == 3
+    backtest_engine.reset(clear_data=True)
+
+
+async def test_margin(backtest_engine, order_sell, order_buy):
+    await backtest_engine.setup_account(balance=100)
+    so_margin = await backtest_engine.order_calc_margin(action=order_sell.action, volume=order_sell.volume,
+                                                        symbol=order_sell.symbol, price=order_sell.price)
+    bo_margin = await backtest_engine.order_calc_margin(action=order_buy.action, volume=order_buy.volume,
+                                                        symbol=order_buy.symbol, price=order_buy.price)
+    total_margin = so_margin + bo_margin
+    await backtest_engine.order_send(request=order_sell.request)
+    await backtest_engine.order_send(request=order_buy.request)
+    # noinspection PyTestUnpassedFixture
+    assert backtest_engine.positions.margin == total_margin == backtest_engine._account.margin
+    backtest_engine.reset(clear_data=True)
+
+
+async def test_account(backtest_engine, positions):
+    await backtest_engine.setup_account(balance=100)
+    backtest_engine.fast_forward(steps=100)
+    balance = backtest_engine._account.balance
+    equity = backtest_engine._account.equity
+    orders = await make_buy_sell_orders()
+    buy_order = orders['buy']
+    sell_order = orders['sell']
+    so = await backtest_engine.order_send(request=sell_order.request)
+    bo = await backtest_engine.order_send(request=buy_order.request)
+    backtest_engine.fast_forward(steps=22000)
+    all_pos = await positions.get_positions()
+    for _ in range(1000):
+        backtest_engine.fast_forward(steps=1)
+        await backtest_engine.tracker()
+        all_pos = await positions.get_positions()
+        if len(all_pos) == 1:
+            break
+
+    deal = backtest_engine.deals.history_deals_get(position=bo.order)
+    bo_profit = deal[-1].profit
+    assert len(all_pos) == 1
+    assert backtest_engine.positions.margin == backtest_engine._account.margin == backtest_engine.positions.margins[so.order]
+    profit = sum([pos.profit for pos in all_pos])
+    n_balance = backtest_engine._account.balance
+    n_equity = backtest_engine._account.equity
+    assert backtest_engine._account.profit == profit
+    assert n_balance == balance + bo_profit
+    assert n_equity == equity + bo_profit + profit
+    so_pos = await positions.get_position_by_ticket(ticket=so.order)
+    gain = so_pos.profit
+    await positions.close_position(position=so_pos)
+    assert backtest_engine._account.balance == n_balance + gain
+    backtest_engine.reset(clear_data=True)
+
+
+async def test_wrapup(positions, buy_order, sell_order, backtest_engine, config):
+    await backtest_engine.setup_account(balance=100)
+    backtest_engine.fast_forward(steps=500)
+    bo = await backtest_engine.order_send(request=buy_order)
+    await backtest_engine.order_send(request=sell_order)
+    backtest_engine.fast_forward(steps=5000)
+    await backtest_engine.tracker()
+    await positions.close_position_by_ticket(ticket=bo.order)
+    last_balance = backtest_engine._account.balance
+    last_equity = backtest_engine._account.equity
+    last_profit = backtest_engine._account.profit
+    backtest_engine.wrap_up()
+    tdata = GetData.load_data(name=config.backtest_dir / f'{backtest_engine.name}.pkl')
+    new_bte = BackTestEngine(data=tdata, restart=False)
+    assert new_bte._account.balance == last_balance
+    assert new_bte._account.equity == last_equity
+    assert new_bte._account.profit == last_profit
+    assert new_bte.span == backtest_engine.span
+    assert new_bte.range == backtest_engine.range
+    assert new_bte.name == backtest_engine.name
+    assert new_bte.cursor.time == backtest_engine.cursor.time