Macbook
444 lines
17 KiB
Java
444 lines
17 KiB
Java
package com.goldenchart.service;
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import com.fasterxml.jackson.databind.JsonNode;
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import com.fasterxml.jackson.databind.ObjectMapper;
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import com.goldenchart.storage.Ta4jStorage;
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import com.goldenchart.trading.pipeline.TradingPipelineProperties;
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import org.junit.jupiter.api.BeforeEach;
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import org.junit.jupiter.api.Test;
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import org.ta4j.core.BarSeries;
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import org.ta4j.core.BaseBarSeriesBuilder;
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import org.ta4j.core.Rule;
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import org.ta4j.core.TradingRecord;
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import org.ta4j.core.bars.TimeBarBuilderFactory;
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import org.ta4j.core.num.DoubleNumFactory;
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import java.time.Duration;
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import java.time.Instant;
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import java.util.Map;
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import static org.junit.jupiter.api.Assertions.*;
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/**
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* 사용자 복합 전략 DSL(다중 START · AND/OR · MACD/DMI/ADX/CCI/RSI/VR)이
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* StrategyDslToTa4jAdapter 에서 Rule 로 변환·평가 가능한지 검증.
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*/
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class ComplexStrategyDslAdapterTest {
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private static final String MARKET = "KRW-BTC";
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private static final ObjectMapper MAPPER = new ObjectMapper();
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private StrategyDslToTa4jAdapter adapter;
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private Ta4jStorage storage;
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private BarSeries primary1m;
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@BeforeEach
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void setUp() {
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adapter = new StrategyDslToTa4jAdapter();
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TradingPipelineProperties props = new TradingPipelineProperties();
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props.setEnabled(false);
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storage = new Ta4jStorage(props);
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primary1m = buildSyntheticSeries("1m", 260);
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seedStorage(MARKET, "1m", primary1m);
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seedStorage(MARKET, "3m", buildSyntheticSeries("3m", 120));
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seedStorage(MARKET, "5m", buildSyntheticSeries("5m", 80));
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}
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/** OR(AND, AND) — 4개 조건을 평탄 OR로 처리하면 true가 되는 케이스에서 false여야 함 */
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@Test
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void orAndNested_doesNotFlattenChildrenToOr() throws Exception {
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JsonNode buy = MAPPER.readTree("""
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{
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"type": "OR",
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"children": [
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{
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"type": "AND",
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"children": [
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{ "type": "CONDITION", "condition": {
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"indicatorType": "MA", "conditionType": "GT",
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"leftField": "CLOSE_PRICE", "rightField": "K_999999999", "candleRange": 1
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}},
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{ "type": "CONDITION", "condition": {
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"indicatorType": "MA", "conditionType": "GT",
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"leftField": "CLOSE_PRICE", "rightField": "K_1", "candleRange": 1
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}}
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]
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},
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{
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"type": "AND",
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"children": [
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{ "type": "CONDITION", "condition": {
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"indicatorType": "MA", "conditionType": "GT",
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"leftField": "CLOSE_PRICE", "rightField": "K_999999999", "candleRange": 1
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}},
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{ "type": "CONDITION", "condition": {
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"indicatorType": "MA", "conditionType": "GT",
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"leftField": "CLOSE_PRICE", "rightField": "K_1", "candleRange": 1
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}}
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]
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}
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]
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}
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""");
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Rule rule = adapter.toRule(buy, primary1m, Map.of());
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int idx = primary1m.getEndIndex();
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// 평탄 OR(4조건)이면 close>K_1 하나만으로 true — AND 중첩이면 각 분기 false → 전체 false
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assertFalse(rule.isSatisfied(idx, null),
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"OR(AND)는 분기 내 모든 조건이 충족될 때만 true — 단일 true 자식으로는 true가 되면 안 됨");
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}
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@Test
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void orAndNested_oneFullAndBranchSatisfies() throws Exception {
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JsonNode buy = MAPPER.readTree("""
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{
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"type": "OR",
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"children": [
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{
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"type": "AND",
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"children": [
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{ "type": "CONDITION", "condition": {
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"indicatorType": "MA", "conditionType": "GT",
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"leftField": "CLOSE_PRICE", "rightField": "K_1", "candleRange": 1
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}},
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{ "type": "CONDITION", "condition": {
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"indicatorType": "MA", "conditionType": "GT",
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"leftField": "CLOSE_PRICE", "rightField": "K_0", "candleRange": 1
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}}
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]
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},
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{
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"type": "AND",
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"children": [
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{ "type": "CONDITION", "condition": {
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"indicatorType": "MA", "conditionType": "GT",
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"leftField": "CLOSE_PRICE", "rightField": "K_999999999", "candleRange": 1
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}},
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{ "type": "CONDITION", "condition": {
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"indicatorType": "MA", "conditionType": "GT",
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"leftField": "CLOSE_PRICE", "rightField": "K_1", "candleRange": 1
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}}
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]
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}
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]
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}
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""");
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Rule rule = adapter.toRule(buy, primary1m, Map.of());
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assertTrue(rule.isSatisfied(primary1m.getEndIndex(), null),
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"OR(AND) — 한 분기의 AND가 모두 true이면 전체 true");
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}
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/** Logic Expression 예시와 동일 구조의 매수 조건 */
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@Test
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void buyCondition_compilesAndEvaluates() throws Exception {
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JsonNode buy = MAPPER.readTree("""
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{
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"id": "buy-root",
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"type": "OR",
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"children": [
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{
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"id": "buy-and-1",
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"type": "AND",
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"children": [
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{
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"id": "c-macd",
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"type": "CONDITION",
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"condition": {
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"indicatorType": "MACD",
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"conditionType": "CROSS_UP",
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"leftField": "MACD_LINE",
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"rightField": "SIGNAL_LINE",
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"candleRange": 1,
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"period": 12
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}
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},
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{
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"id": "c-dmi",
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"type": "CONDITION",
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"condition": {
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"indicatorType": "DMI",
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"conditionType": "CROSS_UP",
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"leftField": "PDI",
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"rightField": "MDI",
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"candleRange": 1,
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"period": 14
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}
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}
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]
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},
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{
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"id": "buy-and-2",
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"type": "AND",
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"children": [
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{
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"id": "c-adx",
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"type": "CONDITION",
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"condition": {
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"indicatorType": "ADX",
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"conditionType": "CROSS_UP",
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"leftField": "ADX_VALUE",
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"rightField": "K_25",
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"candleRange": 1,
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"period": 14
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}
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},
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{
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"id": "c-cci",
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"type": "CONDITION",
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"condition": {
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"indicatorType": "CCI",
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"conditionType": "CROSS_UP",
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"leftField": "CCI_VALUE",
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"rightField": "K_100",
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"candleRange": 1,
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"period": 13
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}
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}
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]
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}
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]
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}
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""");
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Rule rule = adapter.toRule(buy, primary1m, Map.of(), MARKET, storage);
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assertNotNull(rule);
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assertDoesNotThrow(() -> evaluateRange(rule, primary1m.getEndIndex()));
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}
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/** Logic Expression 예시와 동일 구조의 매도 조건 (1m AND 5m AND 3m) */
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@Test
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void sellCondition_multiTimeframe_compilesAndEvaluates() throws Exception {
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JsonNode sell = MAPPER.readTree("""
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{
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"id": "sell-root",
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"type": "AND",
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"children": [
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{
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"id": "tf-1m",
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"type": "TIMEFRAME",
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"candleType": "1m",
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"children": [{
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"id": "sell-1m-and",
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"type": "AND",
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"children": [
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{
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"id": "c-rsi-1m",
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"type": "CONDITION",
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"condition": {
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"indicatorType": "RSI",
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"conditionType": "CROSS_DOWN",
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"leftField": "RSI_VALUE",
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"rightField": "K_70",
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"candleRange": 1,
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"period": 9
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}
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},
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{
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"id": "c-macd-1m",
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"type": "CONDITION",
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"condition": {
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"indicatorType": "MACD",
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"conditionType": "CROSS_DOWN",
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"leftField": "MACD_LINE",
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"rightField": "SIGNAL_LINE",
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"candleRange": 1,
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"period": 12
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}
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},
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{
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"id": "c-vr-1m",
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"type": "CONDITION",
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"condition": {
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"indicatorType": "VR",
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"conditionType": "CROSS_DOWN",
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"leftField": "VR_VALUE",
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"rightField": "K_200",
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"candleRange": 1,
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"period": 10
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}
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}
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]
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}]
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},
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{
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"id": "tf-5m",
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"type": "TIMEFRAME",
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"candleType": "5m",
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"children": [{
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"id": "sell-5m-and",
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"type": "AND",
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"children": [
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{
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"id": "c-adx-5m",
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"type": "CONDITION",
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"condition": {
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"indicatorType": "ADX",
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"conditionType": "CROSS_DOWN",
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"leftField": "ADX_VALUE",
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"rightField": "K_28",
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"candleRange": 1,
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"period": 14
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}
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},
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{
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"id": "c-cci-5m",
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"type": "CONDITION",
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"condition": {
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"indicatorType": "CCI",
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"conditionType": "CROSS_DOWN",
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"leftField": "CCI_VALUE",
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"rightField": "K_26",
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"candleRange": 1,
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"period": 13
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}
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}
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]
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}]
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},
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{
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"id": "tf-3m",
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"type": "TIMEFRAME",
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"candleType": "3m",
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"children": [{
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"id": "sell-3m-and",
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"type": "AND",
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"children": [
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{
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"id": "c-rsi-3m",
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"type": "CONDITION",
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"condition": {
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"indicatorType": "RSI",
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"conditionType": "CROSS_DOWN",
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"leftField": "RSI_VALUE",
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"rightField": "K_20",
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"candleRange": 1,
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"period": 9
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}
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},
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{
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"id": "c-vr-3m",
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"type": "CONDITION",
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"condition": {
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"indicatorType": "VR",
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"conditionType": "CROSS_DOWN",
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"leftField": "VR_VALUE",
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"rightField": "K_20",
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"candleRange": 1,
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"period": 10
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}
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}
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]
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}]
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}
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]
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}
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""");
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Rule rule = adapter.toRule(sell, primary1m, Map.of(), MARKET, storage);
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assertNotNull(rule);
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assertDoesNotThrow(() -> evaluateRange(rule, primary1m.getEndIndex()));
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// CrossSeriesRule: 1m 트리거 인덱스에서 5m·3m 시리즈 endIndex 로 평가
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int idx = primary1m.getEndIndex();
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boolean result = rule.isSatisfied(idx, null);
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assertTrue(result || !result, "다중 시간봉 AND Rule 평가가 예외 없이 boolean 반환");
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}
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/** 백테스트 경로( storage 미전달 ) — 단일 시리즈 fallback 동작 확인 */
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@Test
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void sellCondition_backtestSingleSeries_fallback() throws Exception {
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JsonNode sell = MAPPER.readTree("""
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{
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"type": "AND",
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"children": [
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{ "type": "TIMEFRAME", "candleType": "1m", "children": [
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{ "type": "CONDITION", "condition": {
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"indicatorType": "RSI", "conditionType": "CROSS_DOWN",
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"leftField": "RSI_VALUE", "rightField": "K_70", "period": 9
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}}
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]},
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{ "type": "TIMEFRAME", "candleType": "5m", "children": [
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{ "type": "CONDITION", "condition": {
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"indicatorType": "ADX", "conditionType": "CROSS_DOWN",
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"leftField": "ADX_VALUE", "rightField": "K_28", "period": 14
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}}
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]}
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]
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}
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""");
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Rule rule = adapter.toRule(sell, primary1m, Map.of());
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assertNotNull(rule);
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assertDoesNotThrow(() -> rule.isSatisfied(primary1m.getEndIndex(), null));
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}
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@Test
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void stochLowestLte_compilesAndEvaluates() throws Exception {
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JsonNode cond = MAPPER.readTree("""
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{
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"id": "c-stoch-lowest",
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"type": "CONDITION",
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"condition": {
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"indicatorType": "STOCHASTIC",
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"conditionType": "LOWEST_LTE",
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"leftField": "STOCH_K",
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"rightField": "HL_UNDER",
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"lookbackPeriod": 20,
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"candleRange": 1
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}
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}
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""");
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Rule rule = adapter.toRule(cond, primary1m, Map.of());
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assertNotNull(rule);
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assertDoesNotThrow(() -> evaluateRange(rule, primary1m.getEndIndex()));
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}
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// ── helpers ────────────────────────────────────────────────────────────────
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private static void evaluateRange(Rule rule, int endIndex) {
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TradingRecord record = null;
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int start = Math.max(30, endIndex - 20);
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for (int i = start; i <= endIndex; i++) {
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rule.isSatisfied(i, record);
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}
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}
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private static BarSeries buildSyntheticSeries(String timeframe, int barCount) {
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Duration period = switch (timeframe) {
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case "3m" -> Duration.ofMinutes(3);
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case "5m" -> Duration.ofMinutes(5);
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default -> Duration.ofMinutes(1);
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};
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BarSeries series = new BaseBarSeriesBuilder()
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.withName("test-" + timeframe)
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.withNumFactory(DoubleNumFactory.getInstance())
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.withBarBuilderFactory(new TimeBarBuilderFactory())
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.build();
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TimeBarBuilderFactory factory = new TimeBarBuilderFactory();
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Instant base = Instant.parse("2024-06-01T00:00:00Z");
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for (int i = 0; i < barCount; i++) {
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double wave = Math.sin(i * 0.07) * 8 + Math.cos(i * 0.02) * 4;
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double close = 50_000_000 + i * 120 + wave * 1000;
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double open = close - 500;
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double high = close + 800;
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double low = close - 800;
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Instant end = base.plus(period.multipliedBy(i + 1L));
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factory.createBarBuilder(series)
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.timePeriod(period)
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.endTime(end)
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.openPrice(open).highPrice(high).lowPrice(low).closePrice(close)
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.volume(12.5 + i * 0.01)
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.add();
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}
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return series;
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}
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private void seedStorage(String market, String candleType, BarSeries source) {
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for (int i = source.getBeginIndex(); i <= source.getEndIndex(); i++) {
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storage.addBar(market, candleType, source.getBar(i));
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}
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}
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}
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