da30ef19ed
Architecture Docker (8 services), FastAPI, TimescaleDB, Redis, Streamlit. Stratégies : scalping, intraday, swing. MLEngine + RegimeDetector (HMM). BacktestEngine + WalkForwardAnalyzer + Optuna optimizer. Routes API complètes dont /optimize async. Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
315 lines
9.8 KiB
Python
315 lines
9.8 KiB
Python
"""
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Tests Unitaires - RiskManager.
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Tests complets du Risk Manager incluant:
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- Pattern Singleton
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- Validation pré-trade
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- Gestion positions
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- Métriques de risque
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- Circuit breakers
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"""
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import pytest
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from datetime import datetime
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from src.core.risk_manager import RiskManager, Position, RiskMetrics
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class TestRiskManagerSingleton:
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"""Tests du pattern Singleton."""
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def test_singleton_same_instance(self):
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"""Vérifie que deux appels retournent la même instance."""
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rm1 = RiskManager()
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rm2 = RiskManager()
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assert rm1 is rm2
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def test_singleton_shared_state(self, risk_manager):
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"""Vérifie que l'état est partagé entre instances."""
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rm1 = risk_manager
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rm1.portfolio_value = 15000.0
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rm2 = RiskManager()
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assert rm2.portfolio_value == 15000.0
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class TestRiskManagerInitialization:
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"""Tests d'initialisation."""
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def test_initialize_with_config(self, sample_config):
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"""Vérifie l'initialisation avec configuration."""
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rm = RiskManager()
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rm.initialize(sample_config['risk_limits'])
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assert rm.initial_capital == 10000.0
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assert rm.portfolio_value == 10000.0
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assert rm.peak_value == 10000.0
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assert len(rm.positions) == 0
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def test_config_loaded_correctly(self, risk_manager, sample_config):
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"""Vérifie que la configuration est chargée."""
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assert risk_manager.config == sample_config['risk_limits']
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class TestTradeValidation:
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"""Tests de validation pré-trade."""
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def test_validate_trade_success(self, risk_manager):
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"""Test validation d'un trade valide."""
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is_valid, error = risk_manager.validate_trade(
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symbol='EURUSD',
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quantity=1000,
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price=1.1000,
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stop_loss=1.0950,
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take_profit=1.1100,
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strategy='intraday'
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)
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assert is_valid is True
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assert error is None
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def test_validate_trade_no_stop_loss(self, risk_manager):
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"""Test rejet si pas de stop-loss."""
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is_valid, error = risk_manager.validate_trade(
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symbol='EURUSD',
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quantity=1000,
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price=1.1000,
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stop_loss=None,
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take_profit=1.1100,
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strategy='intraday'
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)
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assert is_valid is False
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assert 'stop-loss' in error.lower()
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def test_validate_trade_excessive_risk(self, risk_manager):
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"""Test rejet si risque trop élevé."""
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is_valid, error = risk_manager.validate_trade(
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symbol='EURUSD',
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quantity=100000, # Très grande position
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price=1.1000,
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stop_loss=1.0000, # Stop très loin
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take_profit=1.2000,
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strategy='intraday'
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)
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assert is_valid is False
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assert 'risk' in error.lower()
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def test_validate_trade_position_too_large(self, risk_manager):
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"""Test rejet si position trop grande."""
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is_valid, error = risk_manager.validate_trade(
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symbol='EURUSD',
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quantity=20000, # > 10% du portfolio
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price=1.1000,
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stop_loss=1.0950,
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take_profit=1.1100,
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strategy='intraday'
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)
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assert is_valid is False
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assert 'position size' in error.lower()
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def test_validate_trade_bad_risk_reward(self, risk_manager):
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"""Test rejet si R:R ratio insuffisant."""
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is_valid, error = risk_manager.validate_trade(
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symbol='EURUSD',
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quantity=1000,
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price=1.1000,
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stop_loss=1.0950, # 50 pips risk
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take_profit=1.1020, # 20 pips reward (R:R = 0.4)
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strategy='intraday'
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)
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assert is_valid is False
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assert 'risk/reward' in error.lower()
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class TestPositionManagement:
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"""Tests de gestion des positions."""
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def test_add_position(self, risk_manager):
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"""Test ajout d'une position."""
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position = Position(
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symbol='EURUSD',
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quantity=1000,
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entry_price=1.1000,
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current_price=1.1000,
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stop_loss=1.0950,
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take_profit=1.1100,
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strategy='intraday',
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entry_time=datetime.now(),
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unrealized_pnl=0.0,
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risk_amount=50.0
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)
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risk_manager.add_position(position)
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assert 'EURUSD' in risk_manager.positions
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assert risk_manager.positions['EURUSD'] == position
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assert risk_manager.total_trades == 1
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def test_update_position(self, risk_manager):
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"""Test mise à jour d'une position."""
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position = Position(
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symbol='EURUSD',
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quantity=1000,
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entry_price=1.1000,
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current_price=1.1000,
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stop_loss=1.0950,
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take_profit=1.1100,
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strategy='intraday',
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entry_time=datetime.now(),
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unrealized_pnl=0.0,
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risk_amount=50.0
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)
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risk_manager.add_position(position)
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risk_manager.update_position('EURUSD', 1.1050)
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assert risk_manager.positions['EURUSD'].current_price == 1.1050
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assert risk_manager.positions['EURUSD'].unrealized_pnl == 50.0
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def test_close_position_profit(self, risk_manager):
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"""Test fermeture position avec profit."""
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position = Position(
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symbol='EURUSD',
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quantity=1000,
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entry_price=1.1000,
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current_price=1.1000,
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stop_loss=1.0950,
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take_profit=1.1100,
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strategy='intraday',
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entry_time=datetime.now(),
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unrealized_pnl=0.0,
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risk_amount=50.0
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)
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risk_manager.add_position(position)
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initial_value = risk_manager.portfolio_value
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pnl = risk_manager.close_position('EURUSD', 1.1100, 'take_profit')
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assert pnl == 100.0
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assert 'EURUSD' not in risk_manager.positions
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assert risk_manager.portfolio_value == initial_value + 100.0
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assert risk_manager.winning_trades == 1
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def test_close_position_loss(self, risk_manager):
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"""Test fermeture position avec perte."""
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position = Position(
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symbol='EURUSD',
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quantity=1000,
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entry_price=1.1000,
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current_price=1.1000,
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stop_loss=1.0950,
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take_profit=1.1100,
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strategy='intraday',
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entry_time=datetime.now(),
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unrealized_pnl=0.0,
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risk_amount=50.0
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)
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risk_manager.add_position(position)
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initial_value = risk_manager.portfolio_value
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pnl = risk_manager.close_position('EURUSD', 1.0950, 'stop_loss')
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assert pnl == -50.0
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assert risk_manager.portfolio_value == initial_value - 50.0
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assert risk_manager.losing_trades == 1
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class TestRiskMetrics:
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"""Tests des métriques de risque."""
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def test_get_risk_metrics(self, risk_manager):
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"""Test calcul des métriques de risque."""
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metrics = risk_manager.get_risk_metrics()
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assert isinstance(metrics, RiskMetrics)
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assert metrics.total_risk >= 0
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assert metrics.current_drawdown >= 0
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assert 0 <= metrics.risk_utilization <= 1
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def test_calculate_drawdown(self, risk_manager):
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"""Test calcul du drawdown."""
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risk_manager.peak_value = 12000.0
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risk_manager.portfolio_value = 10800.0
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dd = risk_manager._calculate_current_drawdown()
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assert dd == 0.10 # 10% drawdown
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def test_calculate_var(self, risk_manager):
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"""Test calcul VaR."""
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# Ajouter historique de P&L
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risk_manager.pnl_history = [100, -50, 75, -30, 120, -80, 90, -40, 110, -60] * 3
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var = risk_manager._calculate_var(confidence=0.95)
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assert var > 0
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class TestCircuitBreakers:
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"""Tests des circuit breakers."""
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def test_halt_on_max_drawdown(self, risk_manager):
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"""Test arrêt si drawdown maximum atteint."""
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risk_manager.peak_value = 10000.0
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risk_manager.portfolio_value = 8400.0 # 16% drawdown
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risk_manager.check_circuit_breakers()
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assert risk_manager.trading_halted is True
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assert 'drawdown' in risk_manager.halt_reason.lower()
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def test_halt_on_daily_loss(self, risk_manager):
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"""Test arrêt si perte journalière excessive."""
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# Simuler grosse perte journalière
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risk_manager.portfolio_value = 10000.0
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risk_manager.daily_trades = [
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{'time': datetime.now(), 'strategy': 'test'}
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]
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risk_manager.pnl_history = [-400] # -4% en un jour
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risk_manager.check_circuit_breakers()
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assert risk_manager.trading_halted is True
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def test_resume_trading(self, risk_manager):
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"""Test reprise du trading."""
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risk_manager.halt_trading("Test halt")
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assert risk_manager.trading_halted is True
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risk_manager.resume_trading()
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assert risk_manager.trading_halted is False
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assert risk_manager.halt_reason is None
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class TestStatistics:
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"""Tests des statistiques."""
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def test_get_statistics(self, risk_manager):
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"""Test récupération des statistiques."""
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stats = risk_manager.get_statistics()
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assert 'portfolio_value' in stats
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assert 'total_return' in stats
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assert 'win_rate' in stats
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assert 'total_trades' in stats
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def test_win_rate_calculation(self, risk_manager):
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"""Test calcul du win rate."""
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risk_manager.winning_trades = 6
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risk_manager.losing_trades = 4
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risk_manager.total_trades = 10
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stats = risk_manager.get_statistics()
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assert stats['win_rate'] == 0.6
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