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Dobromir Popov
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tests/test_enhanced_pivot_rl_system.py
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tests/test_enhanced_pivot_rl_system.py
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"""
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Test Enhanced Pivot-Based RL System
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Tests the new system with:
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- Different thresholds for entry vs exit
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- Pivot-based rewards
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- CNN predictions for early pivot detection
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- Uninvested rewards
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"""
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import logging
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import sys
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import numpy as np
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import pandas as pd
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from datetime import datetime, timedelta
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from typing import Dict, Any
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# Setup logging
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logging.basicConfig(
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level=logging.INFO,
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format='%(asctime)s [%(levelname)s] %(name)s: %(message)s',
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stream=sys.stdout
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)
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logger = logging.getLogger(__name__)
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# Add project root to Python path
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import os
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sys.path.append(os.path.dirname(os.path.abspath(__file__)))
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from core.data_provider import DataProvider
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from core.enhanced_orchestrator import EnhancedTradingOrchestrator
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from training.enhanced_pivot_rl_trainer import EnhancedPivotRLTrainer, create_enhanced_pivot_trainer
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def test_enhanced_pivot_thresholds():
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"""Test the enhanced pivot-based threshold system"""
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logger.info("=== Testing Enhanced Pivot-Based Thresholds ===")
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try:
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# Create components
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data_provider = DataProvider()
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orchestrator = EnhancedTradingOrchestrator(
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data_provider=data_provider,
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enhanced_rl_training=True
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)
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# Test threshold initialization
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thresholds = orchestrator.pivot_rl_trainer.get_current_thresholds()
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logger.info(f"Initial thresholds:")
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logger.info(f" Entry: {thresholds['entry_threshold']:.3f}")
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logger.info(f" Exit: {thresholds['exit_threshold']:.3f}")
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logger.info(f" Uninvested: {thresholds['uninvested_threshold']:.3f}")
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# Verify entry threshold is higher than exit threshold
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assert thresholds['entry_threshold'] > thresholds['exit_threshold'], "Entry threshold should be higher than exit"
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logger.info("✅ Entry threshold correctly higher than exit threshold")
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return True
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except Exception as e:
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logger.error(f"Error testing thresholds: {e}")
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return False
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def test_pivot_reward_calculation():
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"""Test the pivot-based reward calculation"""
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logger.info("=== Testing Pivot-Based Reward Calculation ===")
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try:
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# Create enhanced pivot trainer
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data_provider = DataProvider()
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pivot_trainer = create_enhanced_pivot_trainer(data_provider)
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# Create mock trade decision and outcome
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trade_decision = {
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'action': 'BUY',
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'confidence': 0.75,
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'price': 2500.0,
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'timestamp': datetime.now()
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}
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trade_outcome = {
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'net_pnl': 15.50, # Profitable trade
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'exit_price': 2515.0,
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'duration': timedelta(minutes=45)
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}
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# Create mock market data
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market_data = pd.DataFrame({
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'open': np.random.normal(2500, 10, 100),
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'high': np.random.normal(2510, 10, 100),
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'low': np.random.normal(2490, 10, 100),
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'close': np.random.normal(2500, 10, 100),
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'volume': np.random.normal(1000, 100, 100)
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})
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market_data.index = pd.date_range(start=datetime.now() - timedelta(hours=2), periods=100, freq='1min')
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# Calculate reward
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reward = pivot_trainer.calculate_pivot_based_reward(
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trade_decision, market_data, trade_outcome
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)
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logger.info(f"Calculated pivot-based reward: {reward:.3f}")
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# Test should return a reasonable reward for profitable trade
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assert -15.0 <= reward <= 10.0, f"Reward {reward} outside expected range"
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logger.info("✅ Pivot-based reward calculation working")
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# Test uninvested reward
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low_conf_decision = {
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'action': 'HOLD',
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'confidence': 0.35, # Below uninvested threshold
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'price': 2500.0,
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'timestamp': datetime.now()
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}
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uninvested_reward = pivot_trainer._calculate_uninvested_rewards(low_conf_decision, 0.35)
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logger.info(f"Uninvested reward for low confidence: {uninvested_reward:.3f}")
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assert uninvested_reward > 0, "Should get positive reward for staying uninvested with low confidence"
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logger.info("✅ Uninvested rewards working correctly")
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return True
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except Exception as e:
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logger.error(f"Error testing pivot rewards: {e}")
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return False
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def test_confidence_adjustment():
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"""Test confidence-based reward adjustments"""
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logger.info("=== Testing Confidence-Based Adjustments ===")
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try:
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pivot_trainer = create_enhanced_pivot_trainer()
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# Test overconfidence penalty on loss
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high_conf_loss = {
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'action': 'BUY',
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'confidence': 0.85, # High confidence
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'price': 2500.0,
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'timestamp': datetime.now()
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}
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loss_outcome = {
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'net_pnl': -25.0, # Loss
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'exit_price': 2475.0,
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'duration': timedelta(hours=3)
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}
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confidence_adjustment = pivot_trainer._calculate_confidence_adjustment(
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high_conf_loss, loss_outcome
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)
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logger.info(f"Confidence adjustment for overconfident loss: {confidence_adjustment:.3f}")
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assert confidence_adjustment < 0, "Should penalize overconfidence on losses"
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# Test underconfidence penalty on win
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low_conf_win = {
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'action': 'BUY',
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'confidence': 0.35, # Low confidence
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'price': 2500.0,
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'timestamp': datetime.now()
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}
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win_outcome = {
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'net_pnl': 20.0, # Profit
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'exit_price': 2520.0,
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'duration': timedelta(minutes=30)
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}
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confidence_adjustment_2 = pivot_trainer._calculate_confidence_adjustment(
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low_conf_win, win_outcome
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)
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logger.info(f"Confidence adjustment for underconfident win: {confidence_adjustment_2:.3f}")
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# Should be small penalty or zero
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logger.info("✅ Confidence adjustments working correctly")
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return True
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except Exception as e:
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logger.error(f"Error testing confidence adjustments: {e}")
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return False
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def test_dynamic_threshold_updates():
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"""Test dynamic threshold updating based on performance"""
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logger.info("=== Testing Dynamic Threshold Updates ===")
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try:
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pivot_trainer = create_enhanced_pivot_trainer()
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# Get initial thresholds
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initial_thresholds = pivot_trainer.get_current_thresholds()
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logger.info(f"Initial thresholds: {initial_thresholds}")
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# Simulate some poor performance (low win rate)
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for i in range(25):
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outcome = {
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'timestamp': datetime.now(),
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'action': 'BUY',
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'confidence': 0.6,
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'net_pnl': -5.0 if i < 20 else 10.0, # 20% win rate
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'reward': -1.0 if i < 20 else 2.0,
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'duration': timedelta(hours=2)
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}
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pivot_trainer.trade_outcomes.append(outcome)
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# Update thresholds
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pivot_trainer.update_thresholds_based_on_performance()
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# Get updated thresholds
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updated_thresholds = pivot_trainer.get_current_thresholds()
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logger.info(f"Updated thresholds after poor performance: {updated_thresholds}")
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# Entry threshold should increase (more selective) after poor performance
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assert updated_thresholds['entry_threshold'] >= initial_thresholds['entry_threshold'], \
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"Entry threshold should increase after poor performance"
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logger.info("✅ Dynamic threshold updates working correctly")
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return True
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except Exception as e:
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logger.error(f"Error testing dynamic thresholds: {e}")
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return False
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def test_cnn_integration():
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"""Test CNN integration for pivot predictions"""
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logger.info("=== Testing CNN Integration ===")
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try:
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data_provider = DataProvider()
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orchestrator = EnhancedTradingOrchestrator(
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data_provider=data_provider,
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enhanced_rl_training=True
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)
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# Check if Williams structure is initialized with CNN
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williams = orchestrator.pivot_rl_trainer.williams
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logger.info(f"Williams CNN enabled: {williams.enable_cnn_feature}")
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logger.info(f"Williams CNN model available: {williams.cnn_model is not None}")
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# Test CNN threshold adjustment
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from core.enhanced_orchestrator import MarketState
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from datetime import datetime
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mock_market_state = MarketState(
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symbol='ETH/USDT',
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timestamp=datetime.now(),
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prices={'1s': 2500.0},
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features={'1s': np.array([])},
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volatility=0.02,
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volume=1000.0,
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trend_strength=0.5,
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market_regime='normal',
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universal_data=None
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)
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cnn_adjustment = orchestrator._get_cnn_threshold_adjustment(
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'ETH/USDT', 'BUY', mock_market_state
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)
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logger.info(f"CNN threshold adjustment: {cnn_adjustment:.3f}")
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assert 0.0 <= cnn_adjustment <= 0.1, "CNN adjustment should be reasonable"
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logger.info("✅ CNN integration working correctly")
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return True
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except Exception as e:
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logger.error(f"Error testing CNN integration: {e}")
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return False
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def run_all_tests():
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"""Run all enhanced pivot RL system tests"""
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logger.info("🚀 Starting Enhanced Pivot RL System Tests")
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tests = [
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test_enhanced_pivot_thresholds,
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test_pivot_reward_calculation,
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test_confidence_adjustment,
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test_dynamic_threshold_updates,
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test_cnn_integration
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]
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passed = 0
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total = len(tests)
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for test_func in tests:
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try:
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if test_func():
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passed += 1
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logger.info(f"✅ {test_func.__name__} PASSED")
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else:
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logger.error(f"❌ {test_func.__name__} FAILED")
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except Exception as e:
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logger.error(f"❌ {test_func.__name__} ERROR: {e}")
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logger.info(f"\n📊 Test Results: {passed}/{total} tests passed")
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if passed == total:
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logger.info("🎉 All Enhanced Pivot RL System tests PASSED!")
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return True
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else:
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logger.error(f"⚠️ {total - passed} tests FAILED")
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return False
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if __name__ == "__main__":
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success = run_all_tests()
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if success:
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logger.info("\n🔥 Enhanced Pivot RL System is ready for deployment!")
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logger.info("Key improvements:")
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logger.info(" ✅ Higher entry threshold than exit threshold")
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logger.info(" ✅ Pivot-based reward calculation")
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logger.info(" ✅ CNN predictions for early pivot detection")
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logger.info(" ✅ Rewards for staying uninvested when uncertain")
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logger.info(" ✅ Confidence-based reward adjustments")
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logger.info(" ✅ Dynamic threshold learning from performance")
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else:
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logger.error("\n❌ Enhanced Pivot RL System has issues that need fixing")
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sys.exit(0 if success else 1)
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