전략평가 로직 오류 수정

2026-06-17 01:00:16 +09:00
parent b168498421
commit f1ce499809
7 changed files with 463 additions and 66 deletions
@@ -0,0 +1,116 @@
+package com.goldenchart.service;
+
+import com.fasterxml.jackson.databind.JsonNode;
+import com.fasterxml.jackson.databind.ObjectMapper;
+import org.junit.jupiter.api.BeforeEach;
+import org.junit.jupiter.api.Test;
+import org.ta4j.core.BarSeries;
+import org.ta4j.core.BaseBarSeriesBuilder;
+import org.ta4j.core.Rule;
+import org.ta4j.core.bars.TimeBarBuilderFactory;
+import org.ta4j.core.num.DoubleNumFactory;
+
+import java.time.Duration;
+import java.time.Instant;
+import java.util.Map;
+
+import static org.junit.jupiter.api.Assertions.*;
+
+/**
+ * CCI 본선(CCI_VALUE_20) ↔ 신호선(CCI_SIGNAL) 교차 — 차트와 동일 Rule 평가.
+ */
+class CciCrossSignalScanTest {
+
+    private static final ObjectMapper MAPPER = new ObjectMapper();
+    private StrategyDslToTa4jAdapter adapter;
+    private BarSeries series;
+
+    @BeforeEach
+    void setUp() {
+        adapter = new StrategyDslToTa4jAdapter();
+        series = buildOscillatingSeries(150);
+    }
+
+    @Test
+    void cciSignal_usesLeftFieldPeriod_notGlobalLength() throws Exception {
+        JsonNode cond = MAPPER.readTree("""
+            {
+              "indicatorType": "CCI",
+              "conditionType": "CROSS_UP",
+              "leftField": "CCI_VALUE_20",
+              "rightField": "CCI_SIGNAL",
+              "period": 20,
+              "valuePeriodOverride": true
+            }
+            """);
+        Map<String, Object> params = Map.of("length", 13, "maLength", 10, "maType", "SMA", "src", "hlc3");
+
+        var value20 = adapter.resolveIndicatorFieldForTest(
+                "CCI_VALUE_20", "CCI", params, series, 20, -1, cond);
+        var signalLinked = adapter.resolveIndicatorFieldForTest(
+                "CCI_SIGNAL", "CCI", params, series, 20, -1, cond);
+        var signalUnlinked = adapter.resolveIndicatorFieldForTest(
+                "CCI_SIGNAL", "CCI", params, series, -1, -1, null);
+
+        int idx = 80;
+        assertNotEquals(signalLinked.getValue(idx).doubleValue(), signalUnlinked.getValue(idx).doubleValue(), 1e-9,
+                "CCI_SIGNAL must use CCI(20) from leftField, not global length=13");
+        assertNotEquals(value20.getValue(idx).doubleValue(), signalLinked.getValue(idx).doubleValue(), 1e-9,
+                "signal line is SMA(CCI), not raw CCI");
+    }
+
+    @Test
+    void cciCrossUp_firesOnAtLeastOneBar() throws Exception {
+        JsonNode buyDsl = MAPPER.readTree("""
+            {
+              "type": "TIMEFRAME",
+              "candleType": "5m",
+              "children": [{
+                "type": "CONDITION",
+                "condition": {
+                  "indicatorType": "CCI",
+                  "conditionType": "CROSS_UP",
+                  "leftField": "CCI_VALUE_20",
+                  "rightField": "CCI_SIGNAL",
+                  "period": 20,
+                  "valuePeriodOverride": true,
+                  "candleRange": 1
+                }
+              }]
+            }
+            """);
+        Map<String, Map<String, Object>> indicatorParams = Map.of(
+                "CCI", Map.of("length", 20, "maLength", 10, "maType", "SMA", "src", "hlc3"));
+
+        StrategyDslToTa4jAdapter.RuleBuildContext ctx =
+                new StrategyDslToTa4jAdapter.RuleBuildContext(
+                        series, indicatorParams, Map.of(), null, null, false, Map.of());
+        Rule rule = adapter.toRule(buyDsl, ctx);
+
+        int hits = 0;
+        for (int i = series.getBeginIndex(); i <= series.getEndIndex(); i++) {
+            if (rule.isSatisfied(i, null)) hits++;
+        }
+        assertTrue(hits > 0, "CCI(20) cross signal(10) should fire at least once on oscillating series, got " + hits);
+    }
+
+    private static BarSeries buildOscillatingSeries(int count) {
+        BaseBarSeriesBuilder builder = new BaseBarSeriesBuilder()
+                .withName("cci-cross-test")
+                .withNumFactory(DoubleNumFactory.getInstance())
+                .withBarBuilderFactory(new TimeBarBuilderFactory(Duration.ofMinutes(5), 1));
+        BarSeries s = builder.build();
+        Instant t = Instant.parse("2024-06-01T00:00:00Z");
+        double price = 100_000_000.0;
+        for (int i = 0; i < count; i++) {
+            double wave = Math.sin(i * 0.22) * 800_000 + Math.sin(i * 0.07) * 400_000;
+            double close = price + wave + i * 5000;
+            double open = close - 20_000;
+            double high = close + 80_000;
+            double low = close - 80_000;
+            s.addBar(t, open, high, low, close, 50 + i);
+            t = t.plus(Duration.ofMinutes(5));
+        }
+        return s;
+    }
+}