import numpy as np import pandas as pd from src.live.tsmom_worker import TsmomWorker def _df(n=300, slope=1.0): c = np.linspace(100, 100 + slope * n, n) ts = (pd.date_range("2023-01-01", periods=n, freq="1D", tz="UTC").astype("int64") // 10**6) return pd.DataFrame({"timestamp": ts, "open": c, "high": c, "low": c, "close": c, "volume": 1.0}) def test_tsmom_selects_full_consensus_uptrend(tmp_path): # tutti gli orizzonti positivi -> score=1>=thr; BTC su -> risk_on w = TsmomWorker(universe=["BTC", "AAA"], horizons=(63, 126, 252), thr=1.0, gross=0.30, data_dir=tmp_path) data = {"BTC": _df(slope=1.0), "AAA": _df(slope=2.0)} w.tick(data) assert w.weights["BTC"] > 0 and w.weights["AAA"] > 0 assert abs(sum(w.weights.values()) - 0.30) < 1e-9 def test_tsmom_flat_when_risk_off(tmp_path): w = TsmomWorker(universe=["BTC", "AAA"], thr=1.0, gross=0.30, data_dir=tmp_path) data = {"BTC": _df(slope=-1.0), "AAA": _df(slope=2.0)} w.tick(data) assert sum(w.weights.values()) == 0.0 def test_tsmom_persists_and_resumes(tmp_path): w = TsmomWorker(universe=["BTC", "AAA"], gross=0.30, data_dir=tmp_path) w.tick({"BTC": _df(slope=1.0), "AAA": _df(slope=2.0)}) w2 = TsmomWorker(universe=["BTC", "AAA"], gross=0.30, data_dir=tmp_path) assert w2.weights == w.weights