foxhunt/common/tests/volume_indicators_test.rs

//! Volume-based technical indicators validation tests
//!
//! Tests for OBV (On-Balance Volume), MFI (Money Flow Index), and VWAP
//! (Volume-Weighted Average Price) implementation in ML feature extraction.

use chrono::Utc;
use common::ml_strategy::MLFeatureExtractor;

#[test]
fn test_obv_accumulation_on_uptrend() {
    let mut extractor = MLFeatureExtractor::new(20);

    // Simulate uptrend with increasing prices and volume
    let prices = vec![100.0, 101.0, 102.0, 103.0, 104.0];
    let volumes = vec![1000.0, 1100.0, 1200.0, 1300.0, 1400.0];

    let mut features_list = Vec::new();
    for (price, volume) in prices.iter().zip(volumes.iter()) {
        let features = extractor.extract_features(*price, *volume, Utc::now());
        features_list.push(features);
    }

    // OBV should be increasing (positive accumulation)
    // Feature index for OBV is 7 (after hour, day_of_week)
    let obv_feature_idx = 7;

    // First data point has no previous price, so OBV should be 0
    assert_eq!(features_list[0][obv_feature_idx], 0.0);

    // Subsequent OBV values should be positive and increasing
    for i in 1..features_list.len() {
        let obv = features_list[i][obv_feature_idx];
        assert!(
            obv > 0.0,
            "OBV should be positive in uptrend at index {}",
            i
        );

        if i > 1 {
            // Each OBV should be greater than or equal to previous (accumulation)
            assert!(
                obv >= features_list[i - 1][obv_feature_idx],
                "OBV should increase in uptrend: {} < {}",
                obv,
                features_list[i - 1][obv_feature_idx]
            );
        }
    }
}

#[test]
fn test_obv_distribution_on_downtrend() {
    let mut extractor = MLFeatureExtractor::new(20);

    // Simulate downtrend with decreasing prices
    let prices = vec![104.0, 103.0, 102.0, 101.0, 100.0];
    let volumes = vec![1000.0, 1100.0, 1200.0, 1300.0, 1400.0];

    let mut features_list = Vec::new();
    for (price, volume) in prices.iter().zip(volumes.iter()) {
        let features = extractor.extract_features(*price, *volume, Utc::now());
        features_list.push(features);
    }

    let obv_feature_idx = 7;

    // OBV should be decreasing (negative accumulation/distribution)
    for i in 1..features_list.len() {
        let obv = features_list[i][obv_feature_idx];
        assert!(
            obv < 0.0,
            "OBV should be negative in downtrend at index {}",
            i
        );

        if i > 1 {
            // Each OBV should be less than or equal to previous (distribution)
            assert!(
                obv <= features_list[i - 1][obv_feature_idx],
                "OBV should decrease in downtrend"
            );
        }
    }
}

#[test]
fn test_mfi_overbought_signal() {
    let mut extractor = MLFeatureExtractor::new(20);

    // Generate 15 bars (need 15 for MFI 14-period calculation)
    // Strong uptrend with high volume = overbought condition
    for i in 0..15 {
        let price = 100.0 + (i as f64 * 2.0); // Strong uptrend
        let volume = 1000.0 + (i as f64 * 100.0); // Increasing volume
        extractor.extract_features(price, volume, Utc::now());
    }

    // Last feature extraction should have MFI calculated
    let features = extractor.extract_features(130.0, 2500.0, Utc::now());
    let mfi_feature_idx = 8;
    let mfi_normalized = features[mfi_feature_idx];

    // MFI normalized from [0, 100] to [-1, 1] via ((mfi/50) - 1).tanh()
    // High MFI (>70 = overbought) should map to positive normalized value
    // MFI of 100 -> (100/50 - 1).tanh() = 1.0.tanh() = 0.76
    assert!(
        mfi_normalized > 0.5,
        "MFI should indicate overbought condition (positive normalized value): {}",
        mfi_normalized
    );
}

#[test]
fn test_mfi_oversold_signal() {
    let mut extractor = MLFeatureExtractor::new(20);

    // Generate 15 bars with strong downtrend = oversold condition
    for i in 0..15 {
        let price = 130.0 - (i as f64 * 2.0); // Strong downtrend
        let volume = 1000.0 + (i as f64 * 100.0); // Increasing volume on decline
        extractor.extract_features(price, volume, Utc::now());
    }

    // Last feature extraction
    let features = extractor.extract_features(100.0, 2500.0, Utc::now());
    let mfi_feature_idx = 8;
    let mfi_normalized = features[mfi_feature_idx];

    // MFI normalized from [0, 100] to [-1, 1]
    // Low MFI (<30 = oversold) should map to negative normalized value
    // MFI of 0 -> (0/50 - 1).tanh() = -1.0.tanh() = -0.76
    assert!(
        mfi_normalized < -0.3,
        "MFI should indicate oversold condition (negative normalized value): {}",
        mfi_normalized
    );
}

#[test]
fn test_vwap_price_benchmark() {
    let mut extractor = MLFeatureExtractor::new(20);

    // Trade at consistent price with varying volume
    let base_price = 100.0;
    let prices = vec![100.0, 102.0, 98.0, 101.0, 99.0, 100.0];
    let volumes = vec![1000.0, 500.0, 1500.0, 800.0, 1200.0, 1000.0];

    let mut features_list = Vec::new();
    for (price, volume) in prices.iter().zip(volumes.iter()) {
        let features = extractor.extract_features(*price, *volume, Utc::now());
        features_list.push(features);
    }

    let vwap_feature_idx = 9;

    // Last VWAP should be close to base price (oscillating around it)
    let vwap_ratio = features_list.last().unwrap()[vwap_feature_idx];

    // VWAP ratio = (current_price - VWAP) / VWAP, normalized with tanh
    // Since prices oscillate around 100, VWAP should be near 100, ratio near 0
    assert!(
        vwap_ratio.abs() < 0.3,
        "VWAP ratio should be near 0 when price oscillates around average: {}",
        vwap_ratio
    );
}

#[test]
fn test_vwap_above_price_signal() {
    let mut extractor = MLFeatureExtractor::new(20);

    // Start with high volume at high prices, then drop price with low volume
    // This will create VWAP above current price (bearish signal)
    extractor.extract_features(110.0, 5000.0, Utc::now()); // High price, high volume
    extractor.extract_features(109.0, 4000.0, Utc::now());
    extractor.extract_features(108.0, 3000.0, Utc::now());

    // Drop price with low volume
    let features = extractor.extract_features(100.0, 500.0, Utc::now());
    let vwap_feature_idx = 9;
    let vwap_ratio = features[vwap_feature_idx];

    // Price dropped below VWAP -> negative ratio
    assert!(
        vwap_ratio < 0.0,
        "VWAP ratio should be negative when price drops below VWAP: {}",
        vwap_ratio
    );
}

#[test]
fn test_vwap_below_price_signal() {
    let mut extractor = MLFeatureExtractor::new(20);

    // Start with high volume at low prices, then raise price with low volume
    // This will create VWAP below current price (bullish signal)
    extractor.extract_features(100.0, 5000.0, Utc::now()); // Low price, high volume
    extractor.extract_features(101.0, 4000.0, Utc::now());
    extractor.extract_features(102.0, 3000.0, Utc::now());

    // Raise price with low volume
    let features = extractor.extract_features(110.0, 500.0, Utc::now());
    let vwap_feature_idx = 9;
    let vwap_ratio = features[vwap_feature_idx];

    // Price rose above VWAP -> positive ratio
    assert!(
        vwap_ratio > 0.0,
        "VWAP ratio should be positive when price rises above VWAP: {}",
        vwap_ratio
    );
}

#[test]
fn test_all_volume_indicators_normalized() {
    let mut extractor = MLFeatureExtractor::new(20);

    // Generate sufficient data for all indicators (15+ bars for MFI)
    for i in 0..20 {
        let price = 100.0 + (i as f64 * 0.5);
        let volume = 1000.0 + (i as f64 * 50.0);
        extractor.extract_features(price, volume, Utc::now());
    }

    // Final feature extraction
    let features = extractor.extract_features(110.0, 2000.0, Utc::now());

    // Check that OBV, MFI, VWAP are all normalized to [-1, 1]
    let obv_idx = 7;
    let mfi_idx = 8;
    let vwap_idx = 9;

    assert!(
        features[obv_idx] >= -1.0 && features[obv_idx] <= 1.0,
        "OBV should be normalized to [-1, 1]: {}",
        features[obv_idx]
    );

    assert!(
        features[mfi_idx] >= -1.0 && features[mfi_idx] <= 1.0,
        "MFI should be normalized to [-1, 1]: {}",
        features[mfi_idx]
    );

    assert!(
        features[vwap_idx] >= -1.0 && features[vwap_idx] <= 1.0,
        "VWAP should be normalized to [-1, 1]: {}",
        features[vwap_idx]
    );
}

#[test]
fn test_feature_vector_length_increased() {
    let mut extractor = MLFeatureExtractor::new(20);

    // Generate sufficient data
    for i in 0..20 {
        let price = 100.0 + i as f64;
        let volume = 1000.0 + (i as f64 * 10.0);
        extractor.extract_features(price, volume, Utc::now());
    }

    let features = extractor.extract_features(120.0, 1200.0, Utc::now());

    // Original features: 5 price features + 2 volume features + 2 time features = 9
    // Added: 3 volume indicators (OBV, MFI, VWAP) = 3
    // But all features go through tanh normalization at the end, which doesn't change count
    // Expected total: 9 + 3 = 12 features (before final tanh normalization)
    // After final tanh normalization, still 12 features (just all re-normalized)

    // Check: price(1) + short_ma(1) + volatility(1) + volume_ratio(1) + volume_ma_ratio(1)
    //        + hour(1) + day_of_week(1) + OBV(1) + MFI(1) + VWAP(1) = 10 features

    assert_eq!(
        features.len(),
        10,
        "Feature vector should have 10 elements (7 original + 3 volume indicators)"
    );
}

#[test]
fn test_insufficient_data_graceful_handling() {
    let mut extractor = MLFeatureExtractor::new(20);

    // Only 1-2 data points (insufficient for MFI which needs 15)
    let features1 = extractor.extract_features(100.0, 1000.0, Utc::now());
    let features2 = extractor.extract_features(101.0, 1100.0, Utc::now());

    let obv_idx = 7;
    let mfi_idx = 8;
    let vwap_idx = 9;

    // OBV should work with 2 data points
    assert_eq!(
        features1[obv_idx], 0.0,
        "OBV should be 0 for first data point"
    );
    assert!(
        features2[obv_idx] != 0.0 || features2[obv_idx] == 0.0,
        "OBV should be calculated or 0 for second data point"
    );

    // MFI should default to 0 with insufficient data
    assert_eq!(
        features1[mfi_idx], 0.0,
        "MFI should be 0 with insufficient data"
    );
    assert_eq!(
        features2[mfi_idx], 0.0,
        "MFI should be 0 with insufficient data"
    );

    // VWAP should work with any amount of data
    assert!(
        features1[vwap_idx] != 0.0 || features1[vwap_idx] == 0.0,
        "VWAP should be calculated or 0"
    );
}