37 lines
1.5 KiB
Python
37 lines
1.5 KiB
Python
import datetime as dt
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import pandas as pd
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from app.screener.engine import ScreenContext
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from app.screener.nodes.vcp_lite import VcpLite
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from app.screener._test_fixtures import make_master, make_prices, make_flow
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def _ctx(master, prices, flow):
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return ScreenContext(master=master, prices=prices, flow=flow,
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kospi=pd.Series(dtype=float, name="kospi"),
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asof=dt.date(2026, 5, 12))
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def test_contracting_stock_scores_higher_than_expanding():
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asof = dt.date(2026, 5, 12)
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master = make_master(["CON", "EXP"])
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prices = make_prices(["CON", "EXP"], days=260, asof=asof)
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# CON: 최근 40일 변동성 축소 (high/low 좁힘)
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mask_recent_con = (prices["ticker"] == "CON") & (
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prices["date"] >= (asof - dt.timedelta(days=40)).isoformat()
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)
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prices.loc[mask_recent_con, "high"] = (prices.loc[mask_recent_con, "close"] * 1.003).astype(int)
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prices.loc[mask_recent_con, "low"] = (prices.loc[mask_recent_con, "close"] * 0.997).astype(int)
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# EXP: 최근 40일 변동성 확대
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mask_recent_exp = (prices["ticker"] == "EXP") & (
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prices["date"] >= (asof - dt.timedelta(days=40)).isoformat()
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)
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prices.loc[mask_recent_exp, "high"] = (prices.loc[mask_recent_exp, "close"] * 1.05).astype(int)
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prices.loc[mask_recent_exp, "low"] = (prices.loc[mask_recent_exp, "close"] * 0.95).astype(int)
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flow = make_flow(["CON", "EXP"], days=260, asof=asof)
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out = VcpLite().compute(_ctx(master, prices, flow), VcpLite.default_params)
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assert out["CON"] > out["EXP"]
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