promote residual momentum ranking

tests/unit/test_momentum_service.py

@@ -1,4 +1,4 @@
-"""Unit tests for the cross-sectional 12-1 momentum ranking."""
+"""Unit tests for the cross-sectional activation momentum ranking."""
 
 from __future__ import annotations
 
@@ -35,6 +35,21 @@ async def _seed(session, symbol: str, rate: float, n: int = 280) -> None:
     await session.commit()
 
 
+async def _seed_closes(session, symbol: str, closes: list[float]) -> None:
+    t = Ticker(symbol=symbol)
+    session.add(t)
+    await session.flush()
+    base = date(2024, 1, 1)
+    for i, close in enumerate(closes):
+        session.add(OHLCVRecord(
+            ticker_id=t.id,
+            date=base + timedelta(days=i),
+            open=close, high=close, low=close, close=close,
+            volume=1_000_000,
+        ))
+    await session.commit()
+
+
 def test_compute_momentum_insufficient_history():
     assert ms.compute_12_1_momentum([100.0] * 100) is None
 
@@ -47,7 +62,11 @@ def test_compute_momentum_value():
     assert m > 0
 
 
-async def test_ranks_universe_into_percentiles(session):
+async def test_ranks_universe_into_raw_percentiles_when_benchmark_missing(session, monkeypatch):
+    async def no_benchmark(_db):
+        return {}
+
+    monkeypatch.setattr(ms, "_load_activation_benchmark", no_benchmark)
     await _seed(session, "HIGH", rate=1.010)   # strong uptrend → top momentum
     await _seed(session, "MID", rate=1.002)
     await _seed(session, "LOW", rate=0.999)     # declining → bottom momentum
@@ -58,7 +77,31 @@ async def test_ranks_universe_into_percentiles(session):
     assert pct["LOW"] == 0.0
 
 
-async def test_short_history_ticker_is_unranked(session):
+async def test_ranks_universe_into_residual_percentiles_when_benchmark_available(session, monkeypatch):
+    base = date(2024, 1, 1)
+    n = 280
+    benchmark = {base + timedelta(days=i): 100.0 * (1.001 ** i) for i in range(n)}
+
+    async def with_benchmark(_db):
+        return benchmark
+
+    monkeypatch.setattr(ms, "_load_activation_benchmark", with_benchmark)
+    market = [benchmark[base + timedelta(days=i)] for i in range(n)]
+    await _seed_closes(session, "DRIFT", [market[i] * (1.0008 ** i) for i in range(n)])
+    await _seed_closes(session, "BETA", market)
+    await _seed_closes(session, "LAG", [market[i] * (0.9992 ** i) for i in range(n)])
+
+    pct = await ms.compute_momentum_percentiles(session)
+    assert pct["DRIFT"] == 100.0
+    assert pct["BETA"] == 50.0
+    assert pct["LAG"] == 0.0
+
+
+async def test_short_history_ticker_is_unranked(session, monkeypatch):
+    async def no_benchmark(_db):
+        return {}
+
+    monkeypatch.setattr(ms, "_load_activation_benchmark", no_benchmark)
     await _seed(session, "LONG", rate=1.005)
     await _seed(session, "SHORTHX", rate=1.005, n=100)  # < 1y → no momentum
 
@@ -67,5 +110,9 @@ async def test_short_history_ticker_is_unranked(session):
     assert "SHORTHX" not in pct
 
 
-async def test_empty_universe_returns_empty(session):
+async def test_empty_universe_returns_empty(session, monkeypatch):
+    async def no_benchmark(_db):
+        return {}
+
+    monkeypatch.setattr(ms, "_load_activation_benchmark", no_benchmark)
     assert await ms.compute_momentum_percentiles(session) == {}