Macbook
117 lines
4.4 KiB
Java
117 lines
4.4 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 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.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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* CCI 본선(CCI_VALUE_20) ↔ 신호선(CCI_SIGNAL) 교차 — 차트와 동일 Rule 평가.
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*/
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class CciCrossSignalScanTest {
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private static final ObjectMapper MAPPER = new ObjectMapper();
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private StrategyDslToTa4jAdapter adapter;
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private BarSeries series;
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@BeforeEach
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void setUp() {
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adapter = new StrategyDslToTa4jAdapter();
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series = buildOscillatingSeries(150);
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}
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@Test
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void cciSignal_usesLeftFieldPeriod_notGlobalLength() throws Exception {
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JsonNode cond = MAPPER.readTree("""
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{
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"indicatorType": "CCI",
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"conditionType": "CROSS_UP",
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"leftField": "CCI_VALUE_20",
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"rightField": "CCI_SIGNAL",
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"period": 20,
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"valuePeriodOverride": true
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}
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""");
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Map<String, Object> params = Map.of("length", 13, "maLength", 10, "maType", "SMA", "src", "hlc3");
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var value20 = adapter.resolveIndicatorFieldForTest(
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"CCI_VALUE_20", "CCI", params, series, 20, -1, cond);
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var signalLinked = adapter.resolveIndicatorFieldForTest(
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"CCI_SIGNAL", "CCI", params, series, 20, -1, cond);
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var signalUnlinked = adapter.resolveIndicatorFieldForTest(
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"CCI_SIGNAL", "CCI", params, series, -1, -1, null);
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int idx = 80;
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assertNotEquals(signalLinked.getValue(idx).doubleValue(), signalUnlinked.getValue(idx).doubleValue(), 1e-9,
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"CCI_SIGNAL must use CCI(20) from leftField, not global length=13");
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assertNotEquals(value20.getValue(idx).doubleValue(), signalLinked.getValue(idx).doubleValue(), 1e-9,
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"signal line is SMA(CCI), not raw CCI");
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}
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@Test
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void cciCrossUp_firesOnAtLeastOneBar() throws Exception {
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JsonNode buyDsl = MAPPER.readTree("""
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{
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"type": "TIMEFRAME",
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"candleType": "5m",
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"children": [{
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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_20",
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"rightField": "CCI_SIGNAL",
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"period": 20,
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"valuePeriodOverride": true,
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"candleRange": 1
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}
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}]
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}
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""");
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Map<String, Map<String, Object>> indicatorParams = Map.of(
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"CCI", Map.of("length", 20, "maLength", 10, "maType", "SMA", "src", "hlc3"));
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StrategyDslToTa4jAdapter.RuleBuildContext ctx =
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new StrategyDslToTa4jAdapter.RuleBuildContext(
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series, indicatorParams, Map.of(), null, null, false, Map.of());
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Rule rule = adapter.toRule(buyDsl, ctx);
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int hits = 0;
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for (int i = series.getBeginIndex(); i <= series.getEndIndex(); i++) {
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if (rule.isSatisfied(i, null)) hits++;
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}
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assertTrue(hits > 0, "CCI(20) cross signal(10) should fire at least once on oscillating series, got " + hits);
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}
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private static BarSeries buildOscillatingSeries(int count) {
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BaseBarSeriesBuilder builder = new BaseBarSeriesBuilder()
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.withName("cci-cross-test")
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.withNumFactory(DoubleNumFactory.getInstance())
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.withBarBuilderFactory(new TimeBarBuilderFactory(Duration.ofMinutes(5), 1));
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BarSeries s = builder.build();
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Instant t = Instant.parse("2024-06-01T00:00:00Z");
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double price = 100_000_000.0;
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for (int i = 0; i < count; i++) {
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double wave = Math.sin(i * 0.22) * 800_000 + Math.sin(i * 0.07) * 400_000;
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double close = price + wave + i * 5000;
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double open = close - 20_000;
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double high = close + 80_000;
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double low = close - 80_000;
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s.addBar(t, open, high, low, close, 50 + i);
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t = t.plus(Duration.ofMinutes(5));
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}
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return s;
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}
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}
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