blockchain/internal/lib/strategy/macd_test.go

package strategy

import (
	"github.com/shopspring/decimal"
	"testing"
)

// --------------------------
// 參考實作（SMA-seed 的 EMA / MACD）
// --------------------------

type refEMA struct {
	period uint
	alpha  decimal.Decimal
	count  uint
	sum    decimal.Decimal
	ready  bool
	value  decimal.Decimal
}

func newRefEMA(period uint) *refEMA {
	if period == 0 {
		panic("period must be > 0")
	}
	return &refEMA{
		period: period,
		alpha: decimal.NewFromInt(2).
			Div(decimal.NewFromInt(int64(period)).Add(decimal.NewFromInt(1))),
	}
}

func (e *refEMA) Update(x decimal.Decimal) (val decimal.Decimal, ready bool) {
	e.count++
	if !e.ready {
		e.sum = e.sum.Add(x)
		if e.count == e.period {
			e.value = e.sum.Div(decimal.NewFromInt(int64(e.period))) // SMA seed
			e.ready = true
		}
		return e.value, e.ready
	}
	e.value = e.value.Mul(decimal.NewFromInt(1).Sub(e.alpha)).Add(x.Mul(e.alpha))
	return e.value, true
}

type refMACD struct {
	fast, slow, signal *refEMA
}

type refMACDOut struct {
	MACDLine, SignalLine, Hist decimal.Decimal
	Ready                      bool
}

func newRefMACD(fast, slow, signal uint) *refMACD {
	return &refMACD{
		fast:   newRefEMA(fast),
		slow:   newRefEMA(slow),
		signal: newRefEMA(signal),
	}
}

func (m *refMACD) Update(close decimal.Decimal) refMACDOut {
	fv, fr := m.fast.Update(close)
	sv, sr := m.slow.Update(close)
	macd := fv.Sub(sv)
	sig, sready := m.signal.Update(macd)

	ready := fr && sr && sready
	return refMACDOut{
		MACDLine:   macd,
		SignalLine: sig,
		Hist:       macd.Sub(sig),
		Ready:      ready,
	}
}

// --------------------------
// Tests
// --------------------------

func TestMACD_WarmupAndStepByStep(t *testing.T) {
	// 用較短的參數讓 warm-up 與變化更明顯
	fast, slow, signal := uint(3), uint(6), uint(3)
	m := NewMACD(fast, slow, signal)
	ref := newRefMACD(fast, slow, signal)

	seq := []float64{10, 11, 12, 13, 12, 11, 12, 13, 14}
	for i, f := range seq {
		out := m.Update(d(int64(f)))
		ro := ref.Update(d(int64(f)))

		// Ready 條件：三條 EMA 都完成各自 seed
		if out.Ready != ro.Ready {
			t.Fatalf("i=%d: ready mismatch got=%v want(ref)=%v", i, out.Ready, ro.Ready)
		}

		// Ready 後數值應與參考一致（decimal 精準，可直接 Equal）
		if out.Ready {
			if !out.MACDLine.Equal(ro.MACDLine) ||
				!out.SignalLine.Equal(ro.SignalLine) ||
				!out.Histogram.Equal(ro.Hist) {
				t.Fatalf("i=%d: values mismatch\ngot:  dif=%s dea=%s hist=%s\nwant: dif=%s dea=%s hist=%s",
					i, out.MACDLine, out.SignalLine, out.Histogram,
					ro.MACDLine, ro.SignalLine, ro.Hist)
			}
		}

		// Load 與 Update 發佈的一致
		ld := m.Load()
		if ld.Ready != out.Ready ||
			!ld.MACDLine.Equal(out.MACDLine) ||
			!ld.SignalLine.Equal(out.SignalLine) ||
			!ld.Histogram.Equal(out.Histogram) {
			t.Fatalf("i=%d: Load() snapshot mismatch", i)
		}
	}
}

func TestMACD_HistogramSignFlip_CrossSignal(t *testing.T) {
	// 讓交叉更容易出現：更短的週期 + 更長、先上後下的序列
	fast, slow, signal := uint(2), uint(4), uint(2)
	m := NewMACD(fast, slow, signal)

	// 這段序列會：上漲 -> 回落 -> 再回升，通常至少會觸發一次交叉
	seq := []float64{
		10, 10.5, 11, 11.5, 12, 12.5, // 上
		12, 11.5, 11, 10.5, 10, 9.5, // 下
		10, 10.5, 11, // 再上
	}

	// 等 ready 之後再看柱狀圖正負翻轉
	var (
		seenReady bool
		prevHist  decimal.Decimal
		foundFlip bool
	)

	for i, px := range seq {
		out := m.Update(d(int64(px)))

		// 還沒 ready 就繼續推進
		if !out.Ready {
			continue
		}

		if !seenReady {
			// 第一次 ready，初始化 prevHist
			prevHist = out.Histogram
			seenReady = true
			continue
		}

		// 檢查正負翻轉（對應 MACDLine 與 SignalLine 的交叉）
		if (prevHist.IsPositive() && out.Histogram.IsNegative()) ||
			(prevHist.IsNegative() && out.Histogram.IsPositive()) {
			foundFlip = true
			break
		}
		prevHist = out.Histogram

		// 安全閥（理論上不會到）
		if i > 2000 {
			break
		}
	}

	if !foundFlip {
		t.Fatalf("expected at least one histogram sign flip (cross), but not found")
	}
}

func TestMACD_ParamsValidation(t *testing.T) {
	// fast >= slow 應 panic
	func() {
		defer func() {
			if r := recover(); r == nil {
				t.Fatalf("expected panic when fast >= slow")
			}
		}()
		_ = NewMACD(12, 12, 9)
	}()

	// 任一參數為 0 應 panic
	func() {
		defer func() {
			if r := recover(); r == nil {
				t.Fatalf("expected panic when any period is 0")
			}
		}()
		_ = NewMACD(0, 26, 9)
	}()
}