Add EUR/USD test suite + map EUR news events to EUR/USD

Module 10 (21 tests): EUR config/registry/factory, EUR filter pipeline (regime/quality/score/confidence/RSI-extended/weekend), EUR trade geometry (swing SL buffers, pip-denominated spread gate, per-pair gate contrast), and cross-pair isolation regressions (XAU report bit-equal with eur_strategy flipped; XAU gates never fire on EUR reports). news_engine: _get_affected_pairs now maps USD events to EUR/USD too and adds an EUR entry (calendar warnings reach EUR scans). 175/175 pass. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
2026-07-10 21:06:55 -04:00
parent e0789457dc
commit e052c7aa3e
2 changed files with 344 additions and 1 deletions
@@ -673,7 +673,8 @@ class NewsEngine:
    @staticmethod
    def _get_affected_pairs(currency: str) -> List[str]:
        _MAP = {
-            "USD": ["XAU/USD"],
+            "USD": ["XAU/USD", "EUR/USD"],
            "XAU": ["XAU/USD"],
+            "EUR": ["EUR/USD"],
        }
        return _MAP.get(currency, [])
@@ -1893,6 +1893,348 @@ def _():
        assert np.isfinite(result.indicators["adx"].value), "ADX should be finite on flat data"


+print("\n═══ Module 10: EUR/USD Support ═══")
+
+from config import EURUSD, EurUsdStrategyConfig
+
+# ── 10a. Config & registry ──────────────────────────────────────────
+
+@test("PAIR_INFO includes EUR/USD with correct pip_value")
+def _():
+    assert EURUSD in PAIR_INFO
+    assert PAIR_INFO[EURUSD]["pip_value"] == 0.0001
+    assert PAIR_INFO[EURUSD]["is_jpy_pair"] is False
+    assert PAIR_INFO[EURUSD]["display"] == "EUR/USD"
+    assert PAIR_INFO[EURUSD]["price_precision"] == 5
+    assert PAIR_INFO[EURUSD]["default_spread"] == 0.0001
+
+
+@test("EurUsdStrategyConfig defaults are sensible")
+def _():
+    cfg = EurUsdStrategyConfig()
+    assert cfg.enabled is True
+    assert 0 in cfg.blocked_hours_utc
+    assert 5 not in cfg.allowed_weekdays  # No Saturday
+    assert 6 not in cfg.allowed_weekdays  # No Sunday
+    assert cfg.min_atr_threshold == 0.0003
+    assert cfg.min_rr_ratio == 1.0
+    assert cfg.mature_move_threshold == 35.0
+    assert cfg.blocked_regimes == ["ranging", "transitioning"]
+    assert "A" in cfg.min_quality_grades
+    # EUR-local cost knobs must be pip-scale, not gold-dollar-scale
+    assert cfg.round_trip_cost == 0.0001
+    assert cfg.round_trip_cost * cfg.min_tp_cost_multiple < 0.01
+    assert cfg.min_sl_pips == 8.0
+
+
+@test("PlatformConfig has eur_strategy field")
+def _():
+    config = PlatformConfig()
+    assert hasattr(config, "eur_strategy")
+    assert isinstance(config.eur_strategy, EurUsdStrategyConfig)
+
+
+@test("EUR/USD config factory produces correct config")
+def _():
+    from pair_signals.eurusd import make_config
+    config = make_config(Timeframe.H1)
+    assert config.symbol == EURUSD
+    assert config.display_name == "EUR/USD"
+    assert config.pip_value == 0.0001
+    assert config.xau_strategy.enabled is False
+    assert config.technical.regime_weights_override
+    assert "trending" in config.technical.regime_weights_override
+    assert "ranging" in config.technical.regime_weights_override
+
+
+@test("XAU/USD config factory keeps XAU strategy enabled")
+def _():
+    from pair_signals.xauusd import make_config
+    config = make_config(Timeframe.H1)
+    assert config.symbol == XAUUSD
+    assert config.display_name == "XAU/USD"
+    assert config.pip_value == 0.10
+    assert config.xau_strategy.enabled is True
+
+
+@test("NewsEngine._get_affected_pairs includes EUR/USD for EUR and USD events")
+def _():
+    from news_engine import NewsEngine
+    assert "EUR/USD" in NewsEngine._get_affected_pairs("EUR")
+    assert "EUR/USD" in NewsEngine._get_affected_pairs("USD")
+    assert "XAU/USD" in NewsEngine._get_affected_pairs("USD")
+    assert "EUR/USD" not in NewsEngine._get_affected_pairs("GBP")
+
+
+# ── 10b. EUR filter pipeline ────────────────────────────────────────
+
+@test("EUR/USD signal analysis produces valid report (mocked data)")
+def _():
+    from pair_signals.eurusd import make_config
+    config = make_config(Timeframe.H1)
+    config.backtest.session_filter = False
+    agg = SignalAggregator(config)
+    df = make_ohlcv(n=300, start_price=1.0800, trend=0.00005)
+    dfs = {Timeframe.H1: df, Timeframe.M15: df, Timeframe.H4: df}
+    report = agg.analyze_from_dataframes(symbol=EURUSD, dfs=dfs, use_news=False)
+    assert report.display_name == "EUR/USD"
+    assert report.signal_quality in ("A+", "A", "B", "C", "D", "F")
+    assert not any("SELL FILTER" in w for w in report.warnings)
+
+
+@test("EUR filter: blocked regime sets quality F")
+def _():
+    from pair_signals.eurusd import make_config
+    config = make_config(Timeframe.H1)
+    config.eur_strategy.blocked_regimes = ["ranging"]
+    agg = SignalAggregator(config)
+    df = make_ohlcv(n=300, seed=42)
+    dfs = {Timeframe.H1: df, Timeframe.M15: df, Timeframe.H4: df}
+    report = agg.analyze_from_dataframes(symbol=EURUSD, dfs=dfs, use_news=False)
+    if report.market_regime == "ranging":
+        assert report.signal_quality == "F", \
+            f"Ranging should be blocked, got {report.signal_quality}"
+
+
+@test("EUR filter: quality not in min_quality_grades sets F")
+def _():
+    from pair_signals.eurusd import make_config
+    config = make_config(Timeframe.H1)
+    config.eur_strategy.min_quality_grades = ["A+"]
+    agg = SignalAggregator(config)
+    df = make_ohlcv(n=300, seed=42, trend=0.001)
+    dfs = {Timeframe.H1: df, Timeframe.M15: df, Timeframe.H4: df}
+    report = agg.analyze_from_dataframes(symbol=EURUSD, dfs=dfs, use_news=False)
+    if report.signal_quality not in ("A+", "F"):
+        assert False, f"Non-A+ grade should be blocked, got {report.signal_quality}"
+
+
+@test("EUR filter: score below min sets F")
+def _():
+    from pair_signals.eurusd import make_config
+    config = make_config(Timeframe.H1)
+    config.eur_strategy.min_entry_score = 99.0
+    agg = SignalAggregator(config)
+    df = make_ohlcv(n=300, seed=42, trend=0.001)
+    dfs = {Timeframe.H1: df, Timeframe.M15: df, Timeframe.H4: df}
+    report = agg.analyze_from_dataframes(symbol=EURUSD, dfs=dfs, use_news=False)
+    assert report.signal_quality == "F", \
+        f"Score 99 threshold should block all, got {report.signal_quality}"
+
+
+@test("EUR filter: confidence below min sets F")
+def _():
+    from pair_signals.eurusd import make_config
+    config = make_config(Timeframe.H1)
+    config.eur_strategy.min_entry_confidence = 99.0
+    agg = SignalAggregator(config)
+    df = make_ohlcv(n=300, seed=42, trend=0.001)
+    dfs = {Timeframe.H1: df, Timeframe.M15: df, Timeframe.H4: df}
+    report = agg.analyze_from_dataframes(symbol=EURUSD, dfs=dfs, use_news=False)
+    assert report.signal_quality == "F", \
+        f"Confidence 99 threshold should block all, got {report.signal_quality}"
+
+
+@test("EUR filter: RSI extended buy (RSI>70) blocked")
+def _():
+    from pair_signals.eurusd import make_config
+    config = make_config(Timeframe.H1)
+    config.eur_strategy.block_rsi_extended = True
+    config.eur_strategy.min_entry_score = 0.0
+    config.eur_strategy.min_entry_confidence = 0.0
+    config.eur_strategy.min_quality_grades = ["A+", "A", "B", "C", "D"]
+    agg = SignalAggregator(config)
+    df = make_ohlcv(n=300, trend=0.005, seed=42)
+    dfs = {Timeframe.H1: df, Timeframe.M15: df, Timeframe.H4: df}
+    report = agg.analyze_from_dataframes(symbol=EURUSD, dfs=dfs, use_news=False)
+    if report.primary_analysis and "rsi" in report.primary_analysis.indicators:
+        rsi_v = report.primary_analysis.indicators["rsi"].value
+        if report.final_score > 0 and rsi_v > 70:
+            assert report.signal_quality == "F", \
+                f"Buy with RSI {rsi_v:.0f} should be blocked"
+
+
+@test("EUR weekend filter returns F report on Saturday")
+def _():
+    import signal_aggregator as sa_mod
+    from pair_signals.eurusd import make_config
+    config = make_config(Timeframe.H1)
+    agg = SignalAggregator(config)
+    saturday = datetime(2026, 7, 11, 12, 0, tzinfo=timezone.utc)
+    assert saturday.weekday() == 5
+    with patch.object(sa_mod, "datetime", wraps=datetime) as mock_dt:
+        mock_dt.now.return_value = saturday
+        report = agg.analyze_pair(symbol=EURUSD)
+    assert report.signal_quality == "F"
+    assert any("WEEKEND" in w for w in report.warnings)
+    assert report.trade_setup is None
+
+
+# ── 10c. EUR trade geometry ─────────────────────────────────────────
+
+def _mk_eur_report(score=45.0, quality="A", atr=0.0006, price=1.0800):
+    from signal_aggregator import SignalReport
+    r = SignalReport(symbol=EURUSD, display_name="EUR/USD", timestamp="2026-07-08 14:00")
+    r.final_signal = SignalStrength.BUY
+    r.final_score = score
+    r.final_confidence = 70.0
+    r.signal_quality = quality
+
+    class _Analysis:
+        key_levels = {
+            "atr": atr,
+            "swing_low_1": price - 0.0015,
+            "swing_low_2": price - 0.0030,
+            "swing_high_1": price + 0.0030,
+            "swing_high_2": price + 0.0050,
+        }
+    r.primary_analysis = _Analysis()
+    r.current_price = price
+    return r
+
+
+@test("EUR trade setup: swing SL with EUR buffers, RR >= min_rr")
+def _():
+    from pair_signals.eurusd import make_config
+    config = make_config(Timeframe.M5)
+    agg = SignalAggregator(config)
+    r = _mk_eur_report()
+    ts = agg._generate_trade_setup(r, 0.0001)
+    assert ts is not None, f"no setup, warnings: {r.warnings}"
+    assert ts.pip_value == 0.0001
+    assert ts.stop_loss < ts.entry_price < ts.take_profit_1
+    assert ts.risk_pips < 60, f"EUR risk pips insane: {ts.risk_pips}"
+    assert ts.risk_reward >= config.eur_strategy.min_rr_ratio - 0.01
+    # levels must NOT be snapped to gold's 2-decimal grid
+    assert abs(ts.stop_loss * 100 - round(ts.stop_loss * 100)) > 1e-6 or \
+           abs(ts.take_profit_1 * 100 - round(ts.take_profit_1 * 100)) > 1e-6
+
+
+@test("EUR spread gate rejects sub-minimum pip targets")
+def _():
+    from pair_signals.eurusd import make_config
+    config = make_config(Timeframe.M5)
+    config.eur_strategy.min_rr_ratio = 0.1
+    agg = SignalAggregator(config)
+    r = _mk_eur_report(atr=0.0002)
+    r.primary_analysis.key_levels = {"atr": 0.0002}
+    ts = agg._generate_trade_setup(r, 0.0001)
+    assert ts is None
+    assert any("SPREAD GATE" in w and "pip" in w for w in r.warnings), r.warnings
+
+
+@test("Per-pair spread gates: 40-pip EUR target passes, $4 XAU target rejected")
+def _():
+    from pair_signals.eurusd import make_config
+    # EUR: 40-pip TP distance clears the 10-pip minimum
+    config = make_config(Timeframe.M5)
+    agg = SignalAggregator(config)
+    r = _mk_eur_report(atr=0.0020)
+    ts = agg._generate_trade_setup(r, 0.0001)
+    assert ts is not None and abs(ts.take_profit_1 - ts.entry_price) / 0.0001 >= 10
+
+    # XAU: a $4 target must fail gold's $9 minimum (round_trip 0.30 × 30)
+    xau_cfg = PlatformConfig()
+    xau_agg = SignalAggregator(xau_cfg)
+    from signal_aggregator import SignalReport
+    xr = SignalReport(symbol=XAUUSD, display_name="XAU/USD", timestamp="2026-07-08 14:00")
+    xr.final_signal = SignalStrength.BUY
+    xr.final_score = 45.0
+    xr.final_confidence = 70.0
+    xr.signal_quality = "B"
+
+    class _XA:
+        key_levels = {"atr": 2.0}
+    xr.primary_analysis = _XA()
+    xr.current_price = 4000.0
+    xau_cfg.signals.min_rr_ratio = 0.1
+    xau_cfg.signals.tp_floor_rr = 0.1
+    ts2 = xau_agg._generate_trade_setup(xr, 0.10)
+    # ATR 2.0 → TP distance ~3, below the $9 gate
+    assert ts2 is None
+    assert any("SPREAD GATE" in w and "$" in w for w in xr.warnings), xr.warnings
+
+
+@test("Trade setup: pip_value zero returns None")
+def _():
+    config = PlatformConfig()
+    agg = SignalAggregator(config)
+    df = make_ohlcv(n=300, trend=0.002, seed=42)
+    dfs = {Timeframe.H1: df, Timeframe.M15: df, Timeframe.H4: df}
+    report = agg.analyze_from_dataframes(symbol=XAUUSD, dfs=dfs, use_news=False)
+    if report.primary_analysis:
+        setup = agg._generate_trade_setup(report, pip_value=0.0)
+        assert setup is None, "pip_value=0 should produce no trade setup"
+
+
+# ── 10d. Cross-pair isolation ───────────────────────────────────────
+
+@test("XAU sell gate does not apply to EUR/USD")
+def _():
+    from pair_signals.eurusd import make_config
+    config = make_config(Timeframe.H1)
+    config.backtest.session_filter = False
+    agg = SignalAggregator(config)
+    df = make_ohlcv(n=300, start_price=1.0800, trend=-0.0005, seed=99)
+    dfs = {Timeframe.H1: df, Timeframe.M15: df, Timeframe.H4: df}
+    report = agg.analyze_from_dataframes(symbol=EURUSD, dfs=dfs, use_news=False)
+    assert not any("SELL FILTER" in w for w in report.warnings)
+
+
+@test("EUR report never carries XAU gate warnings across seeds")
+def _():
+    from pair_signals.eurusd import make_config
+    for seed in (7, 21, 42, 77, 99):
+        config = make_config(Timeframe.M5)
+        agg = SignalAggregator(config)
+        df = make_ohlcv(n=400, start_price=1.0800, trend=0.0004, seed=seed)
+        dfs = {Timeframe.M5: df, Timeframe.M15: df, Timeframe.H1: df}
+        report = agg.analyze_from_dataframes(symbol=EURUSD, dfs=dfs, use_news=False)
+        leaked = [w for w in report.warnings
+                  if "SELL FILTER" in w or "M5 FILTER" in w or "XAU PULLBACK" in w
+                  or "LOW ATR FILTER" in w]
+        assert not leaked, f"XAU gates leaked into EUR (seed={seed}): {leaked}"
+        if report.trade_setup:
+            assert report.trade_setup.pip_value == 0.0001
+
+
+@test("XAU report identical whether eur_strategy is enabled or disabled")
+def _():
+    df = make_ohlcv(n=300, seed=42, trend=0.001)
+    dfs = {Timeframe.H1: df, Timeframe.M15: df, Timeframe.H4: df}
+    results = []
+    for eur_enabled in (True, False):
+        config = PlatformConfig()
+        config.eur_strategy.enabled = eur_enabled
+        agg = SignalAggregator(config)
+        report = agg.analyze_from_dataframes(symbol=XAUUSD, dfs=dfs, use_news=False)
+        results.append((report.final_score, report.final_confidence,
+                        report.signal_quality, str(report.trade_setup),
+                        tuple(report.warnings)))
+    assert results[0] == results[1], \
+        f"XAU output changed with eur_strategy.enabled flip: {results[0]} vs {results[1]}"
+    # and no EUR warnings on an XAU report
+    assert not any("EUR" in w for w in results[0][4])
+
+
+@test("Integration: XAU and EUR produce independent results")
+def _():
+    from pair_signals.eurusd import make_config as eur_make_config
+    df = make_ohlcv(n=300, seed=42, trend=0.001)
+
+    xau_config = PlatformConfig()
+    xau_agg = SignalAggregator(xau_config)
+    dfs = {Timeframe.H1: df, Timeframe.M15: df, Timeframe.H4: df}
+    xau_report = xau_agg.analyze_from_dataframes(symbol=XAUUSD, dfs=dfs, use_news=False)
+
+    eur_config = eur_make_config(Timeframe.H1)
+    eur_agg = SignalAggregator(eur_config)
+    eur_report = eur_agg.analyze_from_dataframes(symbol=EURUSD, dfs=dfs, use_news=False)
+
+    assert xau_report.display_name == "XAU/USD"
+    assert eur_report.display_name == "EUR/USD"
+
+
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 #  SUMMARY
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