alphax/tests/test_market_regime.py

from app.core.market_regime import classify_market_regime
from app.core.global_risk import evaluate_global_risk


def _overview(**overrides):
    data = {
        "sample_count": 200,
        "benchmarks": {
            "BTC/USDT": {"change_24h": 0.5},
            "ETH/USDT": {"change_24h": 0.4},
        },
        "advance_decline_ratio": 1.0,
        "avg_change_24h": 0.1,
        "hot_count_5pct": 8,
        "crash_count_5pct": 4,
        "funding": {"avg_funding_rate": 0.0001, "extreme_positive_count": 2},
    }
    data.update(overrides)
    return data


def test_market_regime_reduces_size_for_clear_risk_off():
    result = classify_market_regime(
        _overview(
            benchmarks={"BTC/USDT": {"change_24h": -3.4}, "ETH/USDT": {"change_24h": -4.2}},
            advance_decline_ratio=0.4,
            crash_count_5pct=35,
        )
    )

    assert result["regime"] == "risk_off"
    assert result["risk_level"] == "critical"
    assert result["position_multiplier"] == 0.25


def test_market_regime_detects_altcoin_rotation():
    result = classify_market_regime(
        _overview(
            benchmarks={"BTC/USDT": {"change_24h": 0.6}, "ETH/USDT": {"change_24h": 1.1}},
            advance_decline_ratio=1.4,
            avg_change_24h=1.2,
            hot_count_5pct=22,
            crash_count_5pct=3,
        )
    )

    assert result["regime"] == "altcoin_rotation"
    assert result["risk_level"] == "medium"


def test_global_risk_blocks_same_sector_concentration(pg_conn, monkeypatch):
    monkeypatch.setattr(
        "app.core.global_risk.get_crypto_market_overview",
        lambda allow_live_fallback=False: _overview(),
    )
    pg_conn.execute(
        """
        INSERT INTO paper_trades (
            recommendation_id, symbol, side, status, opened_at, entry_price, qty,
            notional_usdt, current_price, pnl_pct, created_at, updated_at
        ) VALUES
            (1, 'DOGE/USDT', 'long', 'open', '2026-05-23T10:00:00', 1, 100, 1000, 1, 0, '2026-05-23T10:00:00', '2026-05-23T10:00:00'),
            (2, 'SHIB/USDT', 'long', 'open', '2026-05-23T10:00:00', 1, 100, 1000, 1, 0, '2026-05-23T10:00:00', '2026-05-23T10:00:00')
        """
    )
    pg_conn.commit()

    result = evaluate_global_risk(
        conn=pg_conn,
        config={
            "account_equity_usdt": 20000,
            "global_risk_max_same_sector_positions": 2,
            "global_risk_max_same_direction_positions": 10,
        },
        rec={"symbol": "PEPE/USDT", "sector": "MEME"},
        additional_notional=1000,
    )

    assert result["allow_new_entries"] is False
    assert result["decision"] == "block_same_sector_concentration"


def test_global_risk_off_is_favorable_for_short_entries(pg_conn, monkeypatch):
    monkeypatch.setattr(
        "app.core.global_risk.get_crypto_market_overview",
        lambda allow_live_fallback=False: _overview(
            benchmarks={"BTC/USDT": {"change_24h": -3.4}, "ETH/USDT": {"change_24h": -4.2}},
            advance_decline_ratio=0.4,
            crash_count_5pct=35,
        ),
    )

    result = evaluate_global_risk(
        conn=pg_conn,
        config={
            "account_equity_usdt": 20000,
            "global_risk_gate_enabled": True,
            "global_risk_block_critical": False,
            "global_risk_critical_min_rec_score": 80,
        },
        rec={"symbol": "SHORT/USDT", "side": "short", "rec_score": 55},
        additional_notional=1000,
    )

    assert result["allow_new_entries"] is True
    assert result["side"] == "short"
    assert result["risk_level"] == "medium"
    assert result["directional_market_bias"]["market_bias"] == "favorable"
    assert "risk_off 对空头属于顺风环境" in " ".join(result["reasons"])


def test_intraday_global_risk_softens_risk_off_for_low_score_long(pg_conn, monkeypatch):
    monkeypatch.setattr(
        "app.core.global_risk.get_crypto_market_overview",
        lambda allow_live_fallback=False: _overview(
            benchmarks={"BTC/USDT": {"change_24h": -3.4}, "ETH/USDT": {"change_24h": -4.2}},
            advance_decline_ratio=0.4,
            crash_count_5pct=35,
        ),
    )

    result = evaluate_global_risk(
        conn=pg_conn,
        config={
            "trading_mode": "intraday_trading",
            "account_equity_usdt": 20000,
            "global_risk_gate_enabled": True,
            "global_risk_block_critical": False,
            "global_risk_score_blocks_intraday": False,
            "global_risk_critical_min_rec_score": 80,
            "global_risk_high_min_rec_score": 70,
        },
        rec={"symbol": "LONG/USDT", "side": "long", "rec_score": 28},
        additional_notional=1000,
    )

    assert result["allow_new_entries"] is True
    assert result["decision"] == "allow_reduced_size"
    assert result["risk_level"] == "critical"
    assert result["intraday_soft_risk"] is True
    assert result["position_multiplier"] == 0.25
    assert "日内模式下 critical 市场风险只做仓位调节" in " ".join(result["reasons"])


def test_altcoin_rotation_is_adverse_for_short_entries(pg_conn, monkeypatch):
    monkeypatch.setattr(
        "app.core.global_risk.get_crypto_market_overview",
        lambda allow_live_fallback=False: _overview(
            benchmarks={"BTC/USDT": {"change_24h": 0.6}, "ETH/USDT": {"change_24h": 1.1}},
            advance_decline_ratio=1.4,
            avg_change_24h=1.2,
            hot_count_5pct=22,
            crash_count_5pct=3,
        ),
    )

    result = evaluate_global_risk(
        conn=pg_conn,
        config={
            "account_equity_usdt": 20000,
            "global_risk_gate_enabled": True,
            "global_risk_high_min_rec_score": 70,
        },
        rec={"symbol": "SQUEEZE/USDT", "side": "short", "rec_score": 55},
        additional_notional=1000,
    )

    assert result["allow_new_entries"] is False
    assert result["risk_level"] == "high"
    assert result["decision"] == "block_high_weak_score"
    assert result["directional_market_bias"]["market_bias"] == "adverse"