Initial commit: TradeMind – Krypto-Trading-Bot mit Lernmodus

Per Podman deploybarer Bot, der Käufe und Verkäufe simuliert ausführt und sich aus den Ergebnissen weiter antrainiert. Aufbau - Einheitliche Bar-Verarbeitung für paper, backtest und live; ausgetauscht werden nur Datenquelle und Broker. - Börsenanbindung über ccxt: rund 100 Börsen allein über exchange.id erreichbar. Zugangsdaten kommen über ENV-Platzhalter, der Live-Modus ist doppelt abgesichert. - Paper-Broker mit Gebühren, Slippage, Börsenpräzision und Volumengrenzen. - Online trainierte logistische Regression bewertet jedes Einstiegssignal. Sie lernt aus realen Trade-Ergebnissen, aus Shadow-Labels aller Kandidaten – auch der abgelehnten – und aus Hintergrund-Stichproben; beim Kaltstart wird sie aus der Kurshistorie vorgelernt. - Risikomanagement: Positions- und Exposure-Grenzen, ATR-Stops, Cooldown sowie Tagesverlust- und Drawdown-Notbremsen. - SQLite-Persistenz, HTTP-Status mit Prometheus-Metriken und Dashboard, Webhooks. Deployment - Containerfile (zweistufig, non-root UID 10001), podman-compose, systemd-Quadlet. - Modell und Datenbank liegen im Volume /data und überleben Neustarts. 128 Tests, ruff sauber. Verifiziert gegen echte Marktdaten sowie im gebauten Container inklusive Healthcheck und Zustandswiederherstellung.
2026-08-22 08:53:04 +02:00
commit 65ed73977e
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+import pytest
+
+from trademind.config import RiskConfig
+from trademind.models import ExitReason, Fill, Position, Side
+from trademind.portfolio import Portfolio
+from trademind.risk import RiskManager
+
+DAY_ONE = 1_700_000_000_000
+DAY_TWO = DAY_ONE + 86_400_000
+
+
+def make_fill(symbol="BTC/USDT", side=Side.BUY, amount=0.1, price=30_000.0, fee=3.0, ts=DAY_ONE):
+    return Fill(symbol=symbol, side=side, amount=amount, price=price, fee_quote=fee, timestamp=ts)
+
+
+def open_position(portfolio: Portfolio, **kwargs) -> Position:
+    return portfolio.open_position(
+        make_fill(**kwargs), stop_loss=None, take_profit=None, features=None,
+        confidence=0.6, exploratory=False,
+    )
+
+
+# ------------------------------------------------------------------ Portfolio
+
+
+def test_profitable_round_trip_accounts_for_both_fees():
+    portfolio = Portfolio(10_000.0)
+    open_position(portfolio)
+    exit_fill = make_fill(side=Side.SELL, price=31_000.0, fee=3.1)
+    trade = portfolio.close_position(exit_fill, ExitReason.TAKE_PROFIT)
+
+    assert trade.pnl_quote == pytest.approx((31_000 - 30_000) * 0.1 - 6.1)
+    assert trade.is_win
+    assert portfolio.stats.trades == 1
+    assert portfolio.stats.wins == 1
+    assert not portfolio.has_position("BTC/USDT")
+
+
+def test_losing_trade_is_counted_as_loss():
+    portfolio = Portfolio(10_000.0)
+    open_position(portfolio)
+    trade = portfolio.close_position(make_fill(side=Side.SELL, price=29_000.0), ExitReason.STOP_LOSS)
+    assert trade.pnl_quote < 0
+    assert portfolio.stats.losses == 1
+    assert portfolio.stats.win_rate == 0.0
+
+
+def test_profit_factor_and_expectancy():
+    portfolio = Portfolio(10_000.0)
+    for exit_price, reason in ((31_000.0, ExitReason.TAKE_PROFIT), (29_500.0, ExitReason.STOP_LOSS)):
+        open_position(portfolio)
+        portfolio.close_position(make_fill(side=Side.SELL, price=exit_price, fee=0.0), reason)
+    stats = portfolio.stats
+    assert stats.gross_profit == pytest.approx(97.0)   # 100 − 3 Einstiegsgebühr
+    assert stats.gross_loss == pytest.approx(53.0)     # 50 + 3
+    assert stats.profit_factor == pytest.approx(97.0 / 53.0)
+    assert stats.expectancy == pytest.approx((97.0 - 53.0) / 2)
+
+
+def test_exposure_and_equity_use_mark_prices():
+    portfolio = Portfolio(10_000.0)
+    open_position(portfolio, amount=0.1, price=30_000.0)
+    portfolio.update_mark("BTC/USDT", 32_000.0)
+    assert portfolio.exposure() == pytest.approx(3_200.0)
+    assert portfolio.equity(7_000.0) == pytest.approx(10_200.0)
+    assert portfolio.unrealized_pnl() == pytest.approx(200.0)
+
+
+def test_drawdown_tracks_the_peak():
+    portfolio = Portfolio(10_000.0)
+    portfolio.record_equity(DAY_ONE, 12_000.0)
+    portfolio.record_equity(DAY_ONE + 1000, 9_000.0)
+    assert portfolio.peak_equity == pytest.approx(12_000.0)
+    assert portfolio.max_drawdown == pytest.approx(0.25)
+
+
+def test_daily_pnl_resets_on_a_new_utc_day():
+    portfolio = Portfolio(10_000.0)
+    portfolio.record_equity(DAY_ONE, 10_000.0)
+    portfolio.record_equity(DAY_ONE + 3_600_000, 9_500.0)
+    assert portfolio.daily_pnl_pct(9_500.0) == pytest.approx(-0.05)
+    portfolio.record_equity(DAY_TWO, 9_500.0)
+    assert portfolio.daily_pnl_pct(9_500.0) == pytest.approx(0.0)
+
+
+def test_cooldown_counts_down_per_bar():
+    portfolio = Portfolio(10_000.0)
+    portfolio.start_cooldown("BTC/USDT", 2)
+    assert portfolio.in_cooldown("BTC/USDT")
+    portfolio.on_new_bar("BTC/USDT", 1.0, 1.0, 1.0)
+    assert portfolio.in_cooldown("BTC/USDT")
+    portfolio.on_new_bar("BTC/USDT", 1.0, 1.0, 1.0)
+    assert not portfolio.in_cooldown("BTC/USDT")
+
+
+def test_bars_held_increases_while_a_position_is_open():
+    portfolio = Portfolio(10_000.0)
+    open_position(portfolio)
+    for _ in range(3):
+        portfolio.on_new_bar("BTC/USDT", 30_500.0, 29_800.0, 30_200.0)
+    assert portfolio.positions["BTC/USDT"].bars_held == 3
+    assert portfolio.positions["BTC/USDT"].highest_price == pytest.approx(30_500.0)
+
+
+# ------------------------------------------------------------------- Risiko
+
+
+def test_position_size_respects_the_position_cap():
+    risk = RiskManager(RiskConfig(max_position_pct=0.2, max_total_exposure_pct=1.0))
+    portfolio = Portfolio(10_000.0)
+    amount, reason = risk.position_size(portfolio, 10_000.0, price=100.0)
+    assert reason == ""
+    assert amount == pytest.approx(20.0)  # 2000 USDT / 100
+
+
+def test_position_size_respects_the_exposure_cap():
+    risk = RiskManager(RiskConfig(max_position_pct=0.5, max_total_exposure_pct=0.6))
+    portfolio = Portfolio(10_000.0)
+    open_position(portfolio, amount=0.15, price=30_000.0)  # 4500 belegt
+    portfolio.update_mark("BTC/USDT", 30_000.0)
+    amount, _ = risk.position_size(portfolio, 5_500.0, price=100.0)
+    assert amount == pytest.approx(15.0)  # 0,6 × 10 000 − 4 500 = 1 500
+
+
+def test_position_size_rejected_below_minimum_notional():
+    risk = RiskManager(RiskConfig(max_position_pct=0.2, min_notional=100.0))
+    amount, reason = risk.position_size(Portfolio(100.0), 100.0, price=50.0)
+    assert amount == 0.0
+    assert "Minimum" in reason
+
+
+def test_position_size_rejected_below_exchange_minimum():
+    risk = RiskManager(RiskConfig(max_position_pct=1.0, min_notional=1.0))
+    amount, reason = risk.position_size(Portfolio(50.0), 50.0, price=30_000.0, min_amount=0.01)
+    assert amount == 0.0
+    assert "Börsen-Minimum" in reason
+
+
+def test_can_open_blocks_duplicates_cooldown_and_limits():
+    risk = RiskManager(RiskConfig(max_open_positions=1))
+    portfolio = Portfolio(10_000.0)
+    assert risk.can_open("BTC/USDT", portfolio, 10_000.0, 30_000.0)
+
+    open_position(portfolio)
+    assert not risk.can_open("BTC/USDT", portfolio, 7_000.0, 30_000.0)      # schon offen
+    assert not risk.can_open("ETH/USDT", portfolio, 7_000.0, 2_000.0)       # Positionslimit
+
+    portfolio.positions.clear()
+    portfolio.start_cooldown("BTC/USDT", 3)
+    decision = risk.can_open("BTC/USDT", portfolio, 10_000.0, 30_000.0)
+    assert not decision and "Cooldown" in decision.reason
+
+
+def test_stop_levels_are_derived_from_atr():
+    risk = RiskManager(RiskConfig(stop_loss_atr_mult=2.0, take_profit_atr_mult=3.0))
+    stop, target = risk.stop_levels(100.0, atr=2.0)
+    assert stop == pytest.approx(96.0)
+    assert target == pytest.approx(106.0)
+
+
+def test_stop_levels_can_be_switched_off():
+    risk = RiskManager(RiskConfig(stop_loss_atr_mult=0.0, take_profit_atr_mult=0.0))
+    assert risk.stop_levels(100.0, 2.0) == (None, None)
+
+
+def test_exit_prefers_the_stop_when_both_are_touched():
+    risk = RiskManager(RiskConfig())
+    position = Position("BTC/USDT", 1.0, 100.0, DAY_ONE, stop_loss=96.0, take_profit=106.0)
+    reason, price = risk.check_exit(position, high=107.0, low=95.0, close=101.0)
+    assert reason is ExitReason.STOP_LOSS
+    assert price == pytest.approx(96.0)
+
+
+def test_take_profit_triggers_alone():
+    risk = RiskManager(RiskConfig())
+    position = Position("BTC/USDT", 1.0, 100.0, DAY_ONE, stop_loss=96.0, take_profit=106.0)
+    reason, price = risk.check_exit(position, high=107.0, low=99.0, close=106.5)
+    assert reason is ExitReason.TAKE_PROFIT
+    assert price == pytest.approx(106.0)
+
+
+def test_trailing_stop_only_moves_upwards():
+    risk = RiskManager(RiskConfig(trailing_stop_atr_mult=1.0))
+    position = Position("BTC/USDT", 1.0, 100.0, DAY_ONE, highest_price=110.0)
+    risk.update_trailing(position, atr=2.0)
+    assert position.trailing_stop == pytest.approx(108.0)
+    position.highest_price = 105.0
+    risk.update_trailing(position, atr=2.0)
+    assert position.trailing_stop == pytest.approx(108.0)  # zieht nicht zurück
+
+
+def test_max_holding_bars_forces_an_exit():
+    risk = RiskManager(RiskConfig(max_holding_bars=5))
+    position = Position("BTC/USDT", 1.0, 100.0, DAY_ONE, bars_held=5)
+    reason, _ = risk.check_exit(position, 101.0, 99.0, 100.0)
+    assert reason is ExitReason.MAX_HOLDING
+
+
+def test_daily_loss_halts_until_the_next_day():
+    risk = RiskManager(RiskConfig(max_daily_loss_pct=0.05, max_drawdown_pct=0.9))
+    portfolio = Portfolio(10_000.0)
+    portfolio.record_equity(DAY_ONE, 10_000.0)
+    portfolio.record_equity(DAY_ONE + 60_000, 9_400.0)
+
+    assert risk.evaluate_halt(portfolio, 9_400.0, DAY_ONE + 60_000) is not None
+    assert risk.trading_halted
+    assert not risk.force_liquidation()
+
+    portfolio.record_equity(DAY_TWO, 9_400.0)
+    risk.evaluate_halt(portfolio, 9_400.0, DAY_TWO)
+    assert not risk.trading_halted
+
+
+def test_max_drawdown_halts_permanently_and_liquidates():
+    risk = RiskManager(RiskConfig(max_drawdown_pct=0.2))
+    portfolio = Portfolio(10_000.0)
+    portfolio.record_equity(DAY_ONE, 10_000.0)
+    portfolio.record_equity(DAY_ONE + 1000, 7_000.0)
+
+    reason = risk.evaluate_halt(portfolio, 7_000.0, DAY_ONE + 1000)
+    assert reason and "Drawdown" in reason
+    assert risk.force_liquidation()
+
+    portfolio.record_equity(DAY_TWO, 7_000.0)
+    risk.evaluate_halt(portfolio, 7_000.0, DAY_TWO)
+    assert risk.trading_halted  # bleibt bis zum Neustart gesperrt