전략 수정

2026-06-17 01:33:30 +09:00
parent 7c3f3433e7
commit f56e925509
4 changed files with 227 additions and 29 deletions
@@ -117,6 +117,165 @@ class CciChartScanIntegrationTest {
        assertTrue(hits > 0, "candleTypes[0]=3m must win over stale candleType=1m, got " + hits);
    }

+    @Test
+    void chartScan_5mStrategy_remappedTo3mChart_firesSignals() throws Exception {
+        String chartTf = "3m";
+        List<OhlcvBar> bars = buildOscillatingOhlcvBars(150, chartTf);
+        BarSeries primarySeries = OhlcvBarSeriesSupport.buildSeries(bars, chartTf);
+
+        JsonNode buyDslRaw = MAPPER.readTree("""
+            {
+              "type": "TIMEFRAME",
+              "candleTypes": ["5m"],
+              "candleType": "5m",
+              "children": [{
+                "type": "CONDITION",
+                "condition": {
+                  "indicatorType": "CCI",
+                  "conditionType": "CROSS_UP",
+                  "leftField": "CCI_VALUE_20",
+                  "rightField": "CCI_SIGNAL",
+                  "period": 20,
+                  "valuePeriodOverride": true,
+                  "candleRange": 1
+                }
+              }]
+            }
+            """);
+        JsonNode buyDsl = normalizer.remapForChartTimeframe(buyDslRaw, chartTf);
+        assertEquals("3m", buyDsl.path("candleType").asText());
+        assertEquals("3m", buyDsl.path("candleTypes").get(0).asText());
+        Map<String, BarSeries> seriesOverrides = OhlcvBarSeriesSupport.buildSeriesOverrides(
+                primarySeries, chartTf, buyDsl, null);
+
+        Map<String, Map<String, Object>> params = Map.of(
+                "CCI", Map.of("length", 20, "maLength", 10, "maType", "SMA", "src", "hlc3"));
+
+        StrategyDslToTa4jAdapter.RuleBuildContext ctx =
+                new StrategyDslToTa4jAdapter.RuleBuildContext(
+                        primarySeries, params, Map.of(), "KRW-BTC", null, false, seriesOverrides);
+        Rule rule = adapter.toRule(buyDsl, ctx);
+
+        int hits = 0;
+        for (int i = primarySeries.getBeginIndex(); i <= primarySeries.getEndIndex(); i++) {
+            if (rule.isSatisfied(i, null)) hits++;
+        }
+        assertTrue(hits > 0, "5m strategy on 3m chart should detect CCI crosses after remap, got " + hits);
+    }
+
+    @Test
+    void chartScan_5mNativeOn3mChart_aggregatedSeries_firesSignals() throws Exception {
+        String chartTf = "3m";
+        List<OhlcvBar> bars = buildOscillatingOhlcvBars(150, chartTf);
+        BarSeries primarySeries = OhlcvBarSeriesSupport.buildSeries(bars, chartTf);
+
+        // remap 없음 — 5m TIMEFRAME + 3m 차트 (CrossSeriesRule 집계 경로)
+        JsonNode buyDsl = MAPPER.readTree("""
+            {
+              "type": "TIMEFRAME",
+              "candleTypes": ["5m"],
+              "candleType": "5m",
+              "children": [{
+                "type": "CONDITION",
+                "condition": {
+                  "indicatorType": "CCI",
+                  "conditionType": "CROSS_UP",
+                  "leftField": "CCI_VALUE_20",
+                  "rightField": "CCI_SIGNAL",
+                  "period": 20,
+                  "valuePeriodOverride": true
+                }
+              }]
+            }
+            """);
+        Map<String, BarSeries> seriesOverrides = OhlcvBarSeriesSupport.buildSeriesOverrides(
+                primarySeries, chartTf, buyDsl, null);
+
+        StrategyDslToTa4jAdapter.RuleBuildContext ctx =
+                new StrategyDslToTa4jAdapter.RuleBuildContext(
+                        primarySeries, Map.of("CCI", Map.of("length", 20, "maLength", 10, "maType", "SMA")),
+                        Map.of(), "KRW-BTC", null, false, seriesOverrides);
+        Rule rule = adapter.toRule(buyDsl, ctx);
+
+        int hits = 0;
+        for (int i = primarySeries.getBeginIndex(); i <= primarySeries.getEndIndex(); i++) {
+            if (rule.isSatisfied(i, null)) hits++;
+        }
+        assertTrue(hits > 0, "5m native on 3m chart via aggregation should fire, got " + hits);
+    }
+
+    @Test
+    void cciValueField_period20_matchesValue20Suffix() throws Exception {
+        BarSeries series = buildOscillatingOhlcvBars(150, "3m").stream()
+                .collect(java.util.stream.Collectors.collectingAndThen(
+                        java.util.stream.Collectors.toList(),
+                        list -> OhlcvBarSeriesSupport.buildSeries(list, "3m")));
+        Map<String, Object> p = Map.of("length", 13, "maLength", 10, "maType", "SMA", "src", "hlc3");
+
+        JsonNode condPlain = MAPPER.readTree("""
+            {"period":20,"leftField":"CCI_VALUE","rightField":"CCI_SIGNAL","valuePeriodOverride":true}
+            """);
+        JsonNode condSuffix = MAPPER.readTree("""
+            {"period":20,"leftField":"CCI_VALUE_20","rightField":"CCI_SIGNAL","valuePeriodOverride":true}
+            """);
+
+        var plainValue = adapter.resolveIndicatorFieldForTest(
+                "CCI_VALUE", "CCI", p, series, 20, -1, condPlain);
+        var suffixValue = adapter.resolveIndicatorFieldForTest(
+                "CCI_VALUE_20", "CCI", p, series, 20, -1, condSuffix);
+        var plainSignal = adapter.resolveIndicatorFieldForTest(
+                "CCI_SIGNAL", "CCI", p, series, 20, -1, condPlain);
+        var suffixSignal = adapter.resolveIndicatorFieldForTest(
+                "CCI_SIGNAL", "CCI", p, series, 20, -1, condSuffix);
+
+        int idx = 80;
+        assertEquals(suffixValue.getValue(idx).doubleValue(), plainValue.getValue(idx).doubleValue(), 1e-6,
+                "CCI_VALUE+period must match CCI_VALUE_20");
+        assertEquals(suffixSignal.getValue(idx).doubleValue(), plainSignal.getValue(idx).doubleValue(), 1e-6,
+                "CCI_SIGNAL must match for both left field forms");
+        assertNotEquals(suffixValue.getValue(idx).doubleValue(), suffixSignal.getValue(idx).doubleValue(), 1e-6,
+                "CCI_SIGNAL must differ from raw CCI at index " + idx);
+    }
+
+    @Test
+    void chartScan_cciValueFieldWithPeriod20_firesSignals() throws Exception {
+        String chartTf = "3m";
+        List<OhlcvBar> bars = buildOscillatingOhlcvBars(150, chartTf);
+        BarSeries primarySeries = OhlcvBarSeriesSupport.buildSeries(bars, chartTf);
+
+        JsonNode buyDsl = MAPPER.readTree("""
+            {
+              "type": "TIMEFRAME",
+              "candleTypes": ["3m"],
+              "candleType": "3m",
+              "children": [{
+                "type": "CONDITION",
+                "condition": {
+                  "indicatorType": "CCI",
+                  "conditionType": "CROSS_UP",
+                  "leftField": "CCI_VALUE",
+                  "rightField": "CCI_SIGNAL",
+                  "period": 20,
+                  "valuePeriodOverride": true
+                }
+              }]
+            }
+            """);
+        Map<String, BarSeries> seriesOverrides = OhlcvBarSeriesSupport.buildSeriesOverrides(
+                primarySeries, chartTf, buyDsl, null);
+        StrategyDslToTa4jAdapter.RuleBuildContext ctx =
+                new StrategyDslToTa4jAdapter.RuleBuildContext(
+                        primarySeries, Map.of("CCI", Map.of("length", 13, "maLength", 10, "maType", "SMA")),
+                        Map.of(), null, null, false, seriesOverrides);
+        Rule rule = adapter.toRule(buyDsl, ctx);
+
+        int hits = 0;
+        for (int i = primarySeries.getBeginIndex(); i <= primarySeries.getEndIndex(); i++) {
+            if (rule.isSatisfied(i, null)) hits++;
+        }
+        assertTrue(hits > 0, "CCI_VALUE + period=20 must use period not global length=13, got " + hits);
+    }
+
    private static List<OhlcvBar> buildOscillatingOhlcvBars(int count, String tf) {
        long tfSec = switch (OhlcvBarSeriesSupport.normalizeTf(tf)) {
            case "3m" -> 180;