1623 lines
60 KiB
Python
1623 lines
60 KiB
Python
"""Tests for the historical backtest harness."""
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from __future__ import annotations
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import math
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from datetime import date, timedelta
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from types import SimpleNamespace
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import pytest
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from app.models.ohlcv import OHLCVRecord
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from app.models.ticker import Ticker
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from app.services import backtest_service as bt
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from app.services.outcome_service import (
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OUTCOME_EXPIRED,
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OUTCOME_STOP_HIT,
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OUTCOME_TARGET_HIT,
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)
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from tests.conftest import _test_session_factory # type: ignore
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@pytest.fixture
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async def session():
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async with _test_session_factory() as s:
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yield s
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def _cand(
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prob: float,
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outcome: str,
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rr: float,
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qualified: bool = True,
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direction: str = "long",
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risk_pct: float = 0.05,
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hold_days: int = 10,
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) -> dict:
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target_hit = outcome == OUTCOME_TARGET_HIT
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realized = rr if target_hit else (0.0 if outcome == OUTCOME_EXPIRED else -1.0)
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return {
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"primary_prob": prob,
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"outcome": outcome,
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"target_hit": target_hit,
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"rr": rr,
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"realized_r": realized,
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"qualified": qualified,
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"direction": direction,
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"risk_pct": risk_pct,
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"hold_days": hold_days,
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}
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# Round-trip cost in R for the default _cand risk_pct: 2 * 0.001 / 0.05 = 0.04R.
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_COST_R_005 = 2 * bt.COST_PER_SIDE / 0.05
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def _bar(high: float, low: float, close: float, open_: float | None = None) -> SimpleNamespace:
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"""Synthetic daily bar. ``open`` defaults to the high so a stop is pierced
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intraday (fill at the stop level); pass an explicit open beyond the stop to
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model a gap through it."""
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return SimpleNamespace(
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high=high, low=low, close=close, open=open_ if open_ is not None else high
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)
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def _signal_test_series(extra_return: float = 0.0) -> tuple[list[date], list[float], list[float], dict[date, float]]:
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base = date(2024, 1, 1)
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dates = [base + timedelta(days=i) for i in range(280)]
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benchmark = [100.0]
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closes = [100.0]
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for i in range(1, len(dates)):
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market_ret = 0.0004 + 0.002 * math.sin(i / 9.0)
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benchmark.append(benchmark[-1] * (1.0 + market_ret))
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# Same market beta for both test stocks; only ``extra_return`` is
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# idiosyncratic drift, which residual momentum should keep.
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stock_ret = 1.4 * market_ret + extra_return
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closes.append(closes[-1] * (1.0 + stock_ret))
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highs = [c * 1.01 for c in closes]
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benchmark_closes = dict(zip(dates, benchmark))
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return dates, closes, highs, benchmark_closes
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def test_signal_values_emit_residual_momentum_only_with_benchmark():
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dates, closes, highs, benchmark = _signal_test_series(extra_return=0.0008)
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no_benchmark = bt._signal_values(dates, closes, highs, 260)
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with_benchmark = bt._signal_values(dates, closes, highs, 260, benchmark)
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assert "mom_12_1" in no_benchmark
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assert "mom_12_1_resid" not in no_benchmark
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assert "mom_12_1_resid" in with_benchmark
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def test_residual_momentum_removes_market_beta_but_keeps_specific_drift():
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dates, pure_beta, highs, benchmark = _signal_test_series(extra_return=0.0)
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_, drift_stock, drift_highs, _ = _signal_test_series(extra_return=0.0008)
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pure = bt._signal_values(dates, pure_beta, highs, 260, benchmark)
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drift = bt._signal_values(dates, drift_stock, drift_highs, 260, benchmark)
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assert pure["mom_12_1_resid"] == pytest.approx(0.0, abs=0.03)
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assert drift["mom_12_1_resid"] > pure["mom_12_1_resid"] + 0.12
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def test_assigns_raw_and_residual_percentiles_independently():
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cands = [
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{"iso_week": (2026, 1), "momentum": 0.10, "residual_momentum": 0.30},
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{"iso_week": (2026, 1), "momentum": 0.30, "residual_momentum": 0.10},
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{"iso_week": (2026, 1), "momentum": 0.20, "residual_momentum": 0.20},
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]
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bt._assign_momentum_percentiles(cands)
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bt._assign_residual_momentum_percentiles(cands)
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by_raw = {c["momentum"]: c["momentum_percentile"] for c in cands}
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by_resid = {c["residual_momentum"]: c["residual_momentum_percentile"] for c in cands}
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assert by_raw[0.30] == 100.0
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assert by_raw[0.10] == 0.0
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assert by_resid[0.30] == 100.0
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assert by_resid[0.10] == 0.0
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def test_activation_percentile_prefers_residual_with_raw_fallback():
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cands = [
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{"momentum_percentile": 80.0, "residual_momentum_percentile": 95.0},
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{"momentum_percentile": 70.0, "residual_momentum_percentile": None},
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]
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bt._assign_activation_momentum_percentiles(cands)
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assert cands[0][bt.PRODUCTION_PERCENTILE_KEY] == 95.0
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assert cands[1][bt.PRODUCTION_PERCENTILE_KEY] == 70.0
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def test_low_volatility_percentile_prefers_lower_realized_vol():
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cands = [
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{"iso_week": (2026, 1), "vol_6m": 0.04},
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{"iso_week": (2026, 1), "vol_6m": 0.01},
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{"iso_week": (2026, 1), "vol_6m": 0.02},
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]
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bt._assign_low_volatility_percentiles(cands)
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assert cands[1][bt.LOW_VOL_PERCENTILE_KEY] == 100.0
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assert cands[2][bt.LOW_VOL_PERCENTILE_KEY] == 50.0
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assert cands[0][bt.LOW_VOL_PERCENTILE_KEY] == 0.0
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def test_residual_low_vol_blend_is_research_only_rank():
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cands = [{
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bt.PRODUCTION_PERCENTILE_KEY: 80.0,
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bt.LOW_VOL_PERCENTILE_KEY: 60.0,
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}]
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bt._assign_residual_low_vol_blend(cands)
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assert cands[0][bt.RESIDUAL_LOW_VOL_BLEND_KEY] == 74.0
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def test_residual_high_vol_blend_is_research_only_rank():
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cands = [{
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bt.PRODUCTION_PERCENTILE_KEY: 80.0,
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bt.VOL_PERCENTILE_KEY: 60.0,
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}]
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bt._assign_residual_high_vol_blend(cands)
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assert cands[0][bt.RESIDUAL_HIGH_VOL_BLEND_90_10_KEY] == 78.0
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assert cands[0][bt.RESIDUAL_HIGH_VOL_BLEND_80_20_KEY] == 76.0
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assert cands[0][bt.RESIDUAL_HIGH_VOL_BLEND_KEY] == 74.0
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assert cands[0][bt.RESIDUAL_HIGH_VOL_BLEND_60_40_KEY] == 72.0
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def test_strategy_variants_keep_only_current_research_candidates():
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variants = {cfg["variant"]: cfg for cfg in bt.STRATEGY_VARIANTS}
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assert "production_raw_80_fixed10" not in variants
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assert "raw_80_regime_scaled" not in variants
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assert "residual_80_regime_scaled" not in variants
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assert "residual_90_fixed10" not in variants
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assert "raw_90_fixed15" not in variants
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assert "residual_80_fixed20" not in variants
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assert variants["production_residual_80_fixed10"]["percentile_key"] == bt.PRODUCTION_PERCENTILE_KEY
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assert variants["legacy_raw_80_fixed10"]["percentile_key"] == bt.RAW_PERCENTILE_KEY
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assert variants["residual_80_fixed15"]["max_positions"] == 15
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assert variants["residual80_lowvol50_fixed10"]["filters"] == (
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(bt.PRODUCTION_PERCENTILE_KEY, 80.0),
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(bt.LOW_VOL_PERCENTILE_KEY, 50.0),
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)
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assert variants["residual80_lowvol_blend_fixed10"]["ranking_key"] == bt.RESIDUAL_LOW_VOL_BLEND_KEY
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assert variants["residual80_highvol50_fixed10"]["filters"] == (
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(bt.PRODUCTION_PERCENTILE_KEY, 80.0),
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(bt.VOL_PERCENTILE_KEY, 50.0),
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)
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assert variants["residual80_highvol_blend90_10_fixed10"]["ranking_key"] == bt.RESIDUAL_HIGH_VOL_BLEND_90_10_KEY
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assert variants["residual80_highvol_blend80_20_fixed10"]["ranking_key"] == bt.RESIDUAL_HIGH_VOL_BLEND_80_20_KEY
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assert variants["residual80_highvol_blend_fixed10"]["ranking_key"] == bt.RESIDUAL_HIGH_VOL_BLEND_KEY
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assert variants["residual80_highvol_blend60_40_fixed10"]["ranking_key"] == bt.RESIDUAL_HIGH_VOL_BLEND_60_40_KEY
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assert variants["highvol80_fixed10"]["percentile_key"] == bt.VOL_PERCENTILE_KEY
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assert variants["lowvol80_fixed10"]["percentile_key"] == bt.LOW_VOL_PERCENTILE_KEY
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assert all(cfg["risk_scale"] is None for cfg in bt.STRATEGY_VARIANTS)
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def test_low_vol_strategy_variant_applies_secondary_filter():
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cfg = {
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"percentile_key": bt.PRODUCTION_PERCENTILE_KEY,
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"cutoff": 80.0,
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"filters": (
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(bt.PRODUCTION_PERCENTILE_KEY, 80.0),
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(bt.LOW_VOL_PERCENTILE_KEY, 70.0),
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),
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}
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base = {
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"meets_core": True,
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"direction": "long",
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bt.PRODUCTION_PERCENTILE_KEY: 85.0,
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}
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assert bt._qualifies_strategy_variant({**base, bt.LOW_VOL_PERCENTILE_KEY: 75.0}, cfg)
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assert not bt._qualifies_strategy_variant({**base, bt.LOW_VOL_PERCENTILE_KEY: 65.0}, cfg)
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def test_strategy_variant_sims_emit_fixed_variants_without_mutating_qualified(monkeypatch):
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cands = [{
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"qualified": False,
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"meets_core": True,
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"direction": "long",
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"momentum_percentile": 90.0,
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"residual_momentum_percentile": 91.0,
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"activation_momentum_percentile": 91.0,
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"low_vol_6m_percentile": 80.0,
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"residual_low_vol_blend_score": 87.7,
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"vol_6m_percentile": 20.0,
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"residual_high_vol_blend_90_10_score": 83.9,
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"residual_high_vol_blend_80_20_score": 76.8,
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"residual_high_vol_blend_score": 69.7,
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"residual_high_vol_blend_60_40_score": 62.6,
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}]
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calls = []
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def fake_sim(candidates, prices, spy_closes, exit_policy, hold_days, **kwargs):
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calls.append({"exit_policy": exit_policy, "hold_days": hold_days, **kwargs})
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return {
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"starting_capital": bt.SIM_STARTING_CAPITAL,
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"final_equity": 11_000.0,
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"total_return_pct": 10.0,
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"cagr_pct": 9.0,
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"max_drawdown_pct": 5.0,
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"sharpe": 1.1,
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"trades": 1,
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"win_rate": 100.0,
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"avg_trade_pnl": 100.0,
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"best_trade_r": 1.0,
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"worst_trade_r": 1.0,
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"best_trade_pnl": 100.0,
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"worst_trade_pnl": 100.0,
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"avg_hold_days": 30.0,
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"skipped_book_full": 0,
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"spy_return_pct": 1.0,
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"yearly_returns": [],
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"start_date": "2026-01-01",
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"end_date": "2026-02-01",
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}
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monkeypatch.setattr(bt, "_simulate_portfolio", fake_sim)
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rows = bt._strategy_variant_sims(cands, {}, {}, 30)
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assert [r["variant"] for r in rows] == [cfg["variant"] for cfg in bt.STRATEGY_VARIANTS]
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assert all(call["exit_policy"] == "hold" for call in calls)
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assert any(call["ranking_key"] == bt.PRODUCTION_PERCENTILE_KEY for call in calls)
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assert any(call["ranking_key"] == bt.RAW_PERCENTILE_KEY for call in calls)
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assert any(call["ranking_key"] == bt.RESIDUAL_LOW_VOL_BLEND_KEY for call in calls)
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assert any(call["ranking_key"] == bt.RESIDUAL_HIGH_VOL_BLEND_90_10_KEY for call in calls)
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assert any(call["ranking_key"] == bt.RESIDUAL_HIGH_VOL_BLEND_80_20_KEY for call in calls)
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assert any(call["ranking_key"] == bt.RESIDUAL_HIGH_VOL_BLEND_KEY for call in calls)
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assert any(call["ranking_key"] == bt.RESIDUAL_HIGH_VOL_BLEND_60_40_KEY for call in calls)
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assert any(call["ranking_key"] == bt.VOL_PERCENTILE_KEY for call in calls)
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assert any(call["ranking_key"] == bt.LOW_VOL_PERCENTILE_KEY for call in calls)
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assert any(call["max_positions"] == 15 for call in calls)
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assert cands[0]["qualified"] is False
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def test_exit_policy_sims_use_80_20_entry_variant(monkeypatch):
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calls = []
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def fake_sim(candidates, prices, spy_closes, exit_policy, hold_days, **kwargs):
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calls.append({"exit_policy": exit_policy, "hold_days": hold_days, **kwargs})
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return {
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"starting_capital": bt.SIM_STARTING_CAPITAL,
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"final_equity": 11_000.0,
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"total_return_pct": 10.0,
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"cagr_pct": 9.0,
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"max_drawdown_pct": 5.0,
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"sharpe": 1.1,
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"trades": 1,
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"win_rate": 100.0,
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"avg_trade_pnl": 100.0,
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"best_trade_r": 1.0,
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"worst_trade_r": 1.0,
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"best_trade_pnl": 100.0,
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"worst_trade_pnl": 100.0,
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"avg_hold_days": 30.0,
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"exit_reasons": {exit_policy: 1},
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"skipped_book_full": 0,
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"spy_return_pct": 1.0,
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"yearly_returns": [],
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"start_date": "2026-01-01",
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"end_date": "2026-02-01",
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}
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monkeypatch.setattr(bt, "_simulate_portfolio", fake_sim)
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rows = bt._exit_policy_sims([], {}, {}, 30)
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assert [r["exit_policy"] for r in rows] == [
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cfg["exit_policy"] for cfg in bt.EXIT_POLICY_VARIANTS
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]
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assert all(r["entry_variant"] == bt.EXIT_ENTRY_VARIANT for r in rows)
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assert all(call["ranking_key"] == bt.RESIDUAL_HIGH_VOL_BLEND_80_20_KEY for call in calls)
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assert all(call["exit_policy"] != "target" for call in calls)
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def test_build_research_recommendation_applies_promotion_rules():
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report = {
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"strategy_variants": {"variants": [
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{"variant": "production_residual_80_fixed10", "label": "Base", "sharpe": 1.40,
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"max_drawdown_pct": 20.0, "cagr_pct": 32.0, "skipped_book_full": 7},
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{"variant": "residual_80_fixed15", "label": "Capacity", "sharpe": 1.39,
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"max_drawdown_pct": 20.0, "cagr_pct": 32.0, "skipped_book_full": 0},
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{"variant": "raw_90_fixed10", "label": "Cutoff 90", "sharpe": 1.25,
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"max_drawdown_pct": 19.0, "cagr_pct": 28.0},
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{"variant": "residual80_highvol_blend_fixed10", "label": "High-vol 70/30",
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"sharpe": 1.68, "max_drawdown_pct": 21.0, "cagr_pct": 43.0},
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{"variant": "residual80_highvol_blend80_20_fixed10", "label": "High-vol 80/20",
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"sharpe": 1.55, "max_drawdown_pct": 19.0, "cagr_pct": 39.0},
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]},
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}
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rec = bt._build_research_recommendation(report)
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by_topic = {item["topic"]: item for item in rec["items"]}
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assert by_topic["capacity_15"]["candidate"] is False
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assert "not needed yet" in by_topic["capacity_15"]["text"]
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assert by_topic["cutoff_90"]["candidate"] is False
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assert "Cutoff 90" in by_topic["cutoff_90"]["text"]
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assert by_topic["high_vol_overlay"]["candidate"] is True
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assert "High-vol 80/20" in by_topic["high_vol_overlay"]["text"]
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class TestStopFillR:
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def test_intraday_fill_at_stop(self):
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assert bt._stop_fill_r("long", 100.0, 95.0, _bar(101, 94, 96)) == pytest.approx(-1.0)
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def test_gap_fill_at_open(self):
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# Opens at 92, below the 95 stop → filled at the open, worse than −1R.
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assert bt._stop_fill_r("long", 100.0, 95.0, _bar(93, 90, 91, open_=92)) == pytest.approx(-1.6)
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def test_short_gap_fill_at_open(self):
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# Short stop 105; opens at 107 above it → fill 107.
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assert bt._stop_fill_r("short", 100.0, 105.0, _bar(110, 104, 108, open_=107)) == pytest.approx(-1.4)
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class TestRiskAndStopDay:
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def test_no_stop(self):
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risk, stop_day = bt._risk_and_stop_day("long", 100.0, 95.0, [_bar(109, 101, 108)], 30)
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assert risk == pytest.approx(0.05)
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assert stop_day is None
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def test_stop_day_is_one_based(self):
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bars = [_bar(102, 99, 101), _bar(101, 94, 96)]
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risk, stop_day = bt._risk_and_stop_day("long", 100.0, 95.0, bars, 30)
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assert risk == pytest.approx(0.05)
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assert stop_day == 2
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def test_short_direction(self):
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_, stop_day = bt._risk_and_stop_day("short", 100.0, 105.0, [_bar(106, 101, 104)], 30)
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assert stop_day == 1
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class TestTimeExits:
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def test_long_exits_at_horizon_close(self):
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bars = [_bar(103, 99, 102), _bar(105, 101, 104), _bar(107, 103, 106)]
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res = bt._time_exits("long", 100.0, 95.0, bars, (2, 5))
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assert res[2] == pytest.approx(0.8) # close 104 → +4% / 5% risk
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assert res[5] == pytest.approx(1.2) # only 3 bars → last close 106
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def test_stop_on_first_bar_loses_everywhere(self):
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res = bt._time_exits("long", 100.0, 95.0, [_bar(101, 94, 96), _bar(105, 101, 104)], (1, 5))
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assert res[1] == pytest.approx(-1.0)
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assert res[5] == pytest.approx(-1.0)
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def test_stop_after_short_horizon_only_hits_long_hold(self):
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# Day-2 close banked by the 2-day hold; the stop on day 3 only hits n=5.
|
||
bars = [_bar(103, 99, 102), _bar(104, 100, 103), _bar(101, 94, 95)]
|
||
res = bt._time_exits("long", 100.0, 95.0, bars, (2, 5))
|
||
assert res[2] == pytest.approx(0.6) # close 103 → +3% / 5% risk
|
||
assert res[5] == pytest.approx(-1.0)
|
||
|
||
def test_short_direction(self):
|
||
res = bt._time_exits("short", 100.0, 105.0, [_bar(101, 95, 96)], (1,))
|
||
assert res[1] == pytest.approx(0.8) # close 96 → +4% / 5% risk
|
||
|
||
def test_zero_risk_returns_zero(self):
|
||
res = bt._time_exits("long", 100.0, 100.0, [_bar(103, 99, 102)], (5,))
|
||
assert res[5] == 0.0
|
||
|
||
def test_gap_through_stop_fills_at_open(self):
|
||
res = bt._time_exits("long", 100.0, 95.0, [_bar(93, 90, 91, open_=92)], (5,))
|
||
assert res[5] == pytest.approx(-1.6)
|
||
|
||
|
||
class TestTimeExitBucket:
|
||
def test_bucket(self):
|
||
cands = [
|
||
{"time_r": {5: 1.4, 21: 0.8}, "risk_pct": 0.10},
|
||
{"time_r": {5: -1.0, 21: -1.0}, "risk_pct": 0.10},
|
||
{"time_r": {5: 0.5, 21: 0.5}, "risk_pct": 0.10},
|
||
]
|
||
b = bt._time_exit_bucket(cands, 5)
|
||
assert b["hold_days"] == 5
|
||
assert b["total"] == 3
|
||
assert b["wins"] == 2
|
||
assert b["win_rate"] == pytest.approx(66.7, abs=0.1)
|
||
assert b["avg_r"] == pytest.approx(0.3, abs=0.01)
|
||
assert b["net_avg_r"] == pytest.approx(0.28, abs=0.01)
|
||
assert b["best_r"] == pytest.approx(1.4)
|
||
assert b["worst_r"] == pytest.approx(-1.0)
|
||
# No stop_day on any candidate → every hold runs the full 5 days.
|
||
assert b["avg_hold_days"] == 5.0
|
||
assert b["net_r_per_day"] == pytest.approx(0.28 / 5.0, abs=0.001)
|
||
# robustness on net rs [1.38, -1.02, 0.48]
|
||
assert b["median_net_r"] == pytest.approx(0.48, abs=0.001)
|
||
assert b["profit_factor"] == pytest.approx(1.86 / 1.02, abs=0.01)
|
||
assert b["net_avg_r_ex_top5"] == pytest.approx((0.48 - 1.02) / 2, abs=0.001)
|
||
|
||
def test_missing_hold_skipped(self):
|
||
b = bt._time_exit_bucket([{"time_r": {5: 1.0}}], 21)
|
||
assert b["total"] == 0
|
||
assert b["avg_r"] is None
|
||
|
||
|
||
def _acand(
|
||
rr: float = 2.0,
|
||
conf: float = 60.0,
|
||
action: str = "LONG_MODERATE",
|
||
mp: float | None = 90.0,
|
||
direction: str = "long",
|
||
) -> dict:
|
||
"""Ablation candidate: meets_core mirrors the default floors (min_rr 1.2,
|
||
min_confidence 55, exclude_neutral on)."""
|
||
action_dir = "long" if action.startswith("LONG") else "short" if action.startswith("SHORT") else "neutral"
|
||
meets = rr >= 1.2 and conf >= 55.0 and action_dir != "neutral" and action_dir == direction
|
||
return {
|
||
"rr": rr,
|
||
"confidence": conf,
|
||
"action": action,
|
||
"momentum_percentile": mp,
|
||
"activation_momentum_percentile": mp,
|
||
"direction": direction,
|
||
"meets_core": meets,
|
||
"risk_level": "Low",
|
||
"target_hit": True,
|
||
"outcome": OUTCOME_TARGET_HIT,
|
||
"realized_r": rr,
|
||
"risk_pct": 0.05,
|
||
"time_r": {d: 0.5 for d in bt.TIME_EXIT_DAYS},
|
||
}
|
||
|
||
|
||
class TestGateAblation:
|
||
ACTIVATION = {
|
||
"min_rr": 1.2,
|
||
"min_confidence": 55.0,
|
||
"exclude_neutral": True,
|
||
"require_high_conviction": False,
|
||
"exclude_conflicts": False,
|
||
}
|
||
|
||
def test_variant_counts(self):
|
||
cands = [
|
||
_acand(), # clears everything
|
||
_acand(conf=40.0), # fails confidence floor
|
||
_acand(rr=1.0), # fails R:R floor
|
||
_acand(action="NEUTRAL"), # fails NEUTRAL exclusion
|
||
_acand(mp=50.0), # fails the momentum cutoff
|
||
_acand(direction="short", action="SHORT_MODERATE", mp=95.0), # short — gated out
|
||
]
|
||
rows = {r["variant"]: r for r in bt._gate_ablation(cands, self.ACTIVATION, 80.0)}
|
||
assert rows["all_floors"]["total"] == 1
|
||
assert rows["no_confidence_floor"]["total"] == 2
|
||
assert rows["no_rr_floor"]["total"] == 2
|
||
assert rows["no_neutral_exclusion"]["total"] == 2
|
||
assert rows["momentum_only"]["total"] == 4
|
||
assert rows["all_floors"]["net_avg_r"] is not None
|
||
# Every variant is also graded under the hold-to-horizon exit.
|
||
assert rows["all_floors"]["hold_days"] == max(bt.TIME_EXIT_DAYS)
|
||
assert rows["all_floors"]["hold_avg_r"] == pytest.approx(0.5)
|
||
assert rows["all_floors"]["hold_net_avg_r"] is not None
|
||
assert rows["momentum_only"]["hold_total_r"] == pytest.approx(4 * 0.5, abs=0.01)
|
||
|
||
def test_threshold_zero_disables_momentum_gate(self):
|
||
# Floors only: the short and the low-momentum long both pass all_floors.
|
||
cands = [_acand(mp=50.0), _acand(direction="short", action="SHORT_MODERATE", mp=None)]
|
||
rows = {r["variant"]: r for r in bt._gate_ablation(cands, self.ACTIVATION, 0.0)}
|
||
assert rows["all_floors"]["total"] == 2
|
||
|
||
|
||
def _sim_prices(start_ord: int, closes: list[float]) -> tuple:
|
||
"""Column arrays for consecutive daily bars: open = close (no gaps),
|
||
high/low = close ± 1."""
|
||
ords = list(range(start_ord, start_ord + len(closes)))
|
||
return (
|
||
ords,
|
||
list(closes),
|
||
[c + 1.0 for c in closes],
|
||
[c - 1.0 for c in closes],
|
||
list(closes),
|
||
[1_000_000] * len(closes),
|
||
)
|
||
|
||
|
||
def _sim_cand(
|
||
sym: str, day_ord: int, entry: float, stop: float, target: float, mp: float = 90.0
|
||
) -> dict:
|
||
return {
|
||
"qualified": True,
|
||
"direction": "long",
|
||
"symbol": sym,
|
||
"date": date.fromordinal(day_ord).isoformat(),
|
||
"entry": entry,
|
||
"stop": stop,
|
||
"target": target,
|
||
"momentum_percentile": mp,
|
||
"activation_momentum_percentile": mp,
|
||
}
|
||
|
||
|
||
class TestSimulatePortfolio:
|
||
ORD = date(2025, 1, 6).toordinal()
|
||
|
||
def test_hold_policy_accounting(self):
|
||
closes = [100.0, 102.0, 104.0, 106.0, 108.0, 110.0]
|
||
prices = {"AAA": _sim_prices(self.ORD, closes)}
|
||
cand = _sim_cand("AAA", self.ORD, entry=100.0, stop=95.0, target=130.0)
|
||
sim = bt._simulate_portfolio([cand], prices, None, "hold", 3)
|
||
assert sim is not None
|
||
assert sim["trades"] == 1
|
||
assert sim["cost_per_side_pct"] == pytest.approx(0.1)
|
||
# 20 shares (1% risk / $5 stop distance), exit at the day-3 close 106:
|
||
# pnl = 2120 − 2000 − 2.00 entry cost − 2.12 exit cost = 115.88
|
||
assert sim["final_equity"] == pytest.approx(10_115.88, abs=0.01)
|
||
assert sim["win_rate"] == 100.0
|
||
assert sim["best_trade_r"] == pytest.approx(1.2)
|
||
assert sim["avg_hold_days"] == 3.0
|
||
assert sim["max_drawdown_pct"] == 0.0
|
||
assert sim["cagr_pct"] is None # window far too short to annualize
|
||
assert sim["spy_return_pct"] is None
|
||
assert sim["yearly_returns"] == [
|
||
{"year": 2025, "return_pct": pytest.approx(1.2, abs=0.05)}
|
||
]
|
||
|
||
def test_cost_parameter_changes_cash_and_position_path(self):
|
||
closes = [100.0, 102.0, 104.0, 106.0]
|
||
prices = {"AAA": _sim_prices(self.ORD, closes)}
|
||
cand = _sim_cand("AAA", self.ORD, entry=100.0, stop=95.0, target=130.0)
|
||
|
||
free = bt._simulate_portfolio(
|
||
[cand], prices, None, "hold", 3, cost_per_side=0.0
|
||
)
|
||
stressed = bt._simulate_portfolio(
|
||
[cand], prices, None, "hold", 3, cost_per_side=0.002
|
||
)
|
||
|
||
assert free is not None and stressed is not None
|
||
assert free["final_equity"] == pytest.approx(10_120.0, abs=0.01)
|
||
assert stressed["cost_per_side_pct"] == pytest.approx(0.2)
|
||
assert stressed["final_equity"] == pytest.approx(10_111.76, abs=0.01)
|
||
|
||
def test_cost_parameter_rejects_invalid_rate(self):
|
||
with pytest.raises(ValueError, match="cost_per_side"):
|
||
bt._simulate_portfolio(
|
||
[], {}, None, "hold", 3, cost_per_side=-0.001
|
||
)
|
||
|
||
def test_target_policy_exits_at_target(self):
|
||
closes = [100.0, 102.0, 104.0, 106.0, 108.0, 110.0]
|
||
prices = {"AAA": _sim_prices(self.ORD, closes)}
|
||
cand = _sim_cand("AAA", self.ORD, entry=100.0, stop=95.0, target=105.0)
|
||
sim = bt._simulate_portfolio([cand], prices, None, "target", 30)
|
||
assert sim is not None
|
||
assert sim["trades"] == 1
|
||
assert sim["best_trade_r"] == pytest.approx(1.0) # filled exactly at 105
|
||
|
||
def test_stop_gap_fills_at_open(self):
|
||
# Day-1 bar gaps to a 90 open, below the 95 stop → fill at the open.
|
||
ords = list(range(self.ORD, self.ORD + 2))
|
||
prices = {"AAA": (ords, [100.0, 90.0], [101.0, 92.0], [99.0, 88.0], [100.0, 91.0], [1, 1])}
|
||
cand = _sim_cand("AAA", self.ORD, entry=100.0, stop=95.0, target=120.0)
|
||
sim = bt._simulate_portfolio([cand], prices, None, "hold", 30)
|
||
assert sim is not None
|
||
assert sim["trades"] == 1
|
||
assert sim["worst_trade_r"] == pytest.approx(-2.0) # (90 − 100) / 5
|
||
|
||
def test_initial_stop_cooldown_blocks_immediate_reentry(self):
|
||
closes = [100.0, 94.0, 96.0]
|
||
prices = {"AAA": _sim_prices(self.ORD, closes)}
|
||
candidates = [
|
||
_sim_cand("AAA", self.ORD, entry=100.0, stop=95.0, target=120.0),
|
||
_sim_cand("AAA", self.ORD + 1, entry=94.0, stop=89.0, target=110.0),
|
||
]
|
||
|
||
baseline = bt._simulate_portfolio(candidates, prices, None, "hold", 30)
|
||
cooldown = bt._simulate_portfolio(
|
||
candidates,
|
||
prices,
|
||
None,
|
||
"hold",
|
||
30,
|
||
reentry_cooldown_sessions=5,
|
||
)
|
||
|
||
assert baseline is not None and baseline["trades"] == 2
|
||
assert cooldown is not None and cooldown["trades"] == 1
|
||
assert cooldown["skipped_cooldown"] == 1
|
||
assert cooldown["reentry_cooldown_sessions"] == 5
|
||
|
||
def test_initial_stop_cooldown_unlocks_exactly_after_session_five(self):
|
||
closes = [100.0, 94.0, 96.0, 96.0, 96.0, 96.0, 97.0, 98.0]
|
||
prices = {"AAA": _sim_prices(self.ORD, closes)}
|
||
candidates = [
|
||
_sim_cand("AAA", self.ORD, entry=100.0, stop=95.0, target=120.0),
|
||
# Four completed sessions since the stop: still locked.
|
||
_sim_cand("AAA", self.ORD + 5, entry=96.0, stop=90.0, target=115.0),
|
||
# Five completed sessions since the stop: first permitted re-entry.
|
||
_sim_cand("AAA", self.ORD + 6, entry=97.0, stop=90.0, target=118.0),
|
||
]
|
||
|
||
sim = bt._simulate_portfolio(
|
||
candidates,
|
||
prices,
|
||
None,
|
||
"hold",
|
||
30,
|
||
reentry_cooldown_sessions=5,
|
||
include_trades=True,
|
||
)
|
||
|
||
assert sim is not None
|
||
assert sim["trades"] == 2
|
||
assert sim["skipped_cooldown"] == 1
|
||
assert sim["trade_details"][1]["entry_date"] == date.fromordinal(
|
||
self.ORD + 6
|
||
).isoformat()
|
||
|
||
def test_post_stop_reentry_cannot_cross_holdout_end(self):
|
||
prices = {"AAA": _sim_prices(self.ORD, [100.0, 94.0, 96.0, 98.0])}
|
||
candidate = _sim_cand(
|
||
"AAA", self.ORD, entry=100.0, stop=95.0, target=120.0
|
||
)
|
||
callback_dates: list[int] = []
|
||
|
||
def reenter_after_split(symbol, asof_ord, _state, _bar):
|
||
callback_dates.append(asof_ord)
|
||
if asof_ord < self.ORD + 2:
|
||
return None
|
||
return _sim_cand(
|
||
symbol, asof_ord, entry=96.0, stop=90.0, target=115.0
|
||
)
|
||
|
||
sim = bt._simulate_portfolio(
|
||
[candidate],
|
||
prices,
|
||
None,
|
||
"hold",
|
||
3,
|
||
end_date=date.fromordinal(self.ORD + 2),
|
||
post_stop_reentry_fn=reenter_after_split,
|
||
)
|
||
|
||
assert sim is not None
|
||
assert sim["trades"] == 1
|
||
assert callback_dates == [self.ORD + 1]
|
||
|
||
def test_gate_reset_waits_for_failed_evaluation_then_requalification(self):
|
||
closes = [100.0] * 95
|
||
entry_ord = self.ORD + bt.MIN_LOOKBACK - 1
|
||
stop_ord = entry_ord + 1
|
||
reentry_ord = entry_ord + 3
|
||
closes[bt.MIN_LOOKBACK] = 94.0
|
||
closes[bt.MIN_LOOKBACK + 1] = 95.0
|
||
closes[bt.MIN_LOOKBACK + 2] = 96.0
|
||
prices = {"AAA": _sim_prices(self.ORD, closes)}
|
||
candidates = [
|
||
_sim_cand("AAA", entry_ord, entry=100.0, stop=95.0, target=120.0),
|
||
# Still qualified on the stop day: this must not unlock re-entry.
|
||
_sim_cand("AAA", stop_ord, entry=94.0, stop=89.0, target=110.0),
|
||
# No candidate on the intervening session means the daily gate
|
||
# failed. A fresh qualification on the next session may re-enter.
|
||
_sim_cand("AAA", reentry_ord, entry=96.0, stop=90.0, target=115.0),
|
||
]
|
||
gate_reset = bt._make_gate_reset_reentry_fn(
|
||
candidates,
|
||
prices,
|
||
cadence="daily",
|
||
)
|
||
|
||
sim = bt._simulate_portfolio(
|
||
candidates,
|
||
prices,
|
||
None,
|
||
"hold",
|
||
30,
|
||
post_stop_reentry_fn=gate_reset,
|
||
include_trades=True,
|
||
)
|
||
|
||
assert sim is not None
|
||
assert sim["post_stop_reentries"] == 1
|
||
assert sim["trade_details"][1]["entry_date"] == date.fromordinal(
|
||
reentry_ord
|
||
).isoformat()
|
||
assert sim["reentry_events"][0]["wait_sessions"] == 2
|
||
|
||
def test_production_monitor_applies_live_gate_reset(self, monkeypatch):
|
||
def fake_simulator(*_args, **kwargs):
|
||
return {
|
||
"trades": 0,
|
||
"applied_gate_reset": kwargs.get("post_stop_reentry_fn") is not None,
|
||
}
|
||
|
||
monkeypatch.setattr(bt, "_simulate_portfolio", fake_simulator)
|
||
market_ord = date(2026, 7, 1).toordinal()
|
||
prices = {"AAA": ([market_ord], [], [], [], [], [])}
|
||
|
||
monitor = bt._portfolio_monitor([], prices, None, 30)
|
||
production_rows = [
|
||
row for row in monitor["runs"] if row["is_production"]
|
||
]
|
||
immediate_rows = [
|
||
row for row in monitor["runs"]
|
||
if row["comparison_arm"] == "live_immediate"
|
||
]
|
||
|
||
assert production_rows
|
||
assert all(
|
||
row["reentry_policy"] == "gate_reset"
|
||
and row["applied_gate_reset"] is True
|
||
for row in production_rows
|
||
)
|
||
assert immediate_rows
|
||
assert all(
|
||
row["reentry_policy"] == "immediate"
|
||
and row["applied_gate_reset"] is False
|
||
for row in immediate_rows
|
||
)
|
||
|
||
def test_production_cadence_comparison_names_exact_two_arms(self):
|
||
monitor = {
|
||
"runs": [
|
||
{
|
||
"comparison_arm": "live_immediate",
|
||
"lookback": "all",
|
||
"reentry_policy": "immediate",
|
||
"trades": 10,
|
||
"equity_curve": [{"date": "2026-01-01", "value": 1.0}],
|
||
},
|
||
{
|
||
"comparison_arm": "live_gate_reset",
|
||
"lookback": "all",
|
||
"reentry_policy": "gate_reset",
|
||
"trades": 8,
|
||
"benchmark_curve": [{"date": "2026-01-01", "value": 1.0}],
|
||
},
|
||
]
|
||
}
|
||
|
||
comparison = bt._production_cadence_comparison(monitor, "daily")
|
||
|
||
assert comparison is not None
|
||
assert [row["arm"] for row in comparison["arms"]] == [
|
||
"prod_live_setup_daily",
|
||
"gate_reset_daily",
|
||
]
|
||
assert all("equity_curve" not in row for row in comparison["arms"])
|
||
assert all("benchmark_curve" not in row for row in comparison["arms"])
|
||
|
||
def test_initial_stop_can_refresh_lower_and_survive_same_bar(self):
|
||
closes = [100.0, 94.0, 96.0]
|
||
prices = {"AAA": _sim_prices(self.ORD, closes)}
|
||
candidate = _sim_cand(
|
||
"AAA", self.ORD, entry=100.0, stop=95.0, target=120.0
|
||
)
|
||
|
||
sim = bt._simulate_portfolio(
|
||
[candidate],
|
||
prices,
|
||
None,
|
||
"hold",
|
||
2,
|
||
initial_stop_refresh_fn=lambda *_: 90.0,
|
||
include_trades=True,
|
||
)
|
||
|
||
assert sim is not None
|
||
assert sim["stop_refresh_attempts"] == 1
|
||
assert sim["stop_refreshes"] == 1
|
||
assert sim["stop_refresh_same_bar_hits"] == 0
|
||
assert sim["exit_reasons"] == {"time": 1}
|
||
assert sim["trade_details"][0]["stop_refreshes"] == 1
|
||
|
||
def test_refreshed_stop_is_checked_against_same_bar(self):
|
||
ords = list(range(self.ORD, self.ORD + 2))
|
||
prices = {
|
||
"AAA": (
|
||
ords,
|
||
[100.0, 94.0],
|
||
[101.0, 96.0],
|
||
[99.0, 89.0],
|
||
[100.0, 94.0],
|
||
[1, 1],
|
||
)
|
||
}
|
||
candidate = _sim_cand(
|
||
"AAA", self.ORD, entry=100.0, stop=95.0, target=120.0
|
||
)
|
||
|
||
sim = bt._simulate_portfolio(
|
||
[candidate],
|
||
prices,
|
||
None,
|
||
"hold",
|
||
30,
|
||
initial_stop_refresh_fn=lambda *_: 90.0,
|
||
)
|
||
|
||
assert sim is not None
|
||
assert sim["stop_refresh_same_bar_hits"] == 1
|
||
assert sim["worst_trade_r"] == pytest.approx(-2.0)
|
||
|
||
def test_post_stop_state_suppresses_same_episode_candidate(self):
|
||
closes = [100.0, 94.0, 96.0]
|
||
prices = {"AAA": _sim_prices(self.ORD, closes)}
|
||
candidates = [
|
||
_sim_cand("AAA", self.ORD, entry=100.0, stop=95.0, target=120.0),
|
||
_sim_cand("AAA", self.ORD + 1, entry=94.0, stop=89.0, target=110.0),
|
||
]
|
||
|
||
sim = bt._simulate_portfolio(
|
||
candidates,
|
||
prices,
|
||
None,
|
||
"hold",
|
||
30,
|
||
post_stop_reentry_fn=lambda *_: None,
|
||
)
|
||
|
||
assert sim is not None
|
||
assert sim["trades"] == 1
|
||
assert sim["post_stop_events"] == 1
|
||
assert sim["post_stop_reentries"] == 0
|
||
assert sim["post_stop_states_open_at_end"] == 1
|
||
|
||
def test_post_stop_callback_can_reenter_same_day(self):
|
||
closes = [100.0, 94.0, 96.0]
|
||
prices = {"AAA": _sim_prices(self.ORD, closes)}
|
||
initial = _sim_cand(
|
||
"AAA", self.ORD, entry=100.0, stop=95.0, target=120.0
|
||
)
|
||
|
||
def immediate_reentry(sym, current_ord, _state, bar):
|
||
return _sim_cand(
|
||
sym,
|
||
current_ord,
|
||
entry=bar.close,
|
||
stop=bar.close - 5.0,
|
||
target=bar.close + 15.0,
|
||
)
|
||
|
||
sim = bt._simulate_portfolio(
|
||
[initial],
|
||
prices,
|
||
None,
|
||
"hold",
|
||
30,
|
||
post_stop_reentry_fn=immediate_reentry,
|
||
include_trades=True,
|
||
)
|
||
|
||
assert sim is not None
|
||
assert sim["trades"] == 2
|
||
assert sim["post_stop_reentries"] == 1
|
||
assert sim["reentry_events"][0]["wait_sessions"] == 0
|
||
assert sim["trade_details"][1]["is_reentry"] is True
|
||
assert sim["trade_details"][1]["reentry_wait_sessions"] == 0
|
||
|
||
def test_sma50_policy_exits_on_close_break(self):
|
||
closes = [100.0] * 56 + [90.0, 91.0]
|
||
prices = {"AAA": _sim_prices(self.ORD, closes)}
|
||
entry_ord = self.ORD + 55
|
||
cand = _sim_cand("AAA", entry_ord, entry=100.0, stop=80.0, target=130.0)
|
||
|
||
sim = bt._simulate_portfolio([cand], prices, None, "sma50", 30)
|
||
|
||
assert sim is not None
|
||
assert sim["trades"] == 1
|
||
assert sim["exit_reasons"] == {"sma50": 1}
|
||
assert sim["worst_trade_r"] == pytest.approx(-0.5)
|
||
|
||
def test_low20_policy_exits_on_prior_low_break(self):
|
||
closes = [100.0] * 26 + [95.0, 96.0]
|
||
prices = {"AAA": _sim_prices(self.ORD, closes)}
|
||
entry_ord = self.ORD + 25
|
||
cand = _sim_cand("AAA", entry_ord, entry=100.0, stop=80.0, target=130.0)
|
||
|
||
sim = bt._simulate_portfolio([cand], prices, None, "low20", 30)
|
||
|
||
assert sim is not None
|
||
assert sim["trades"] == 1
|
||
assert sim["exit_reasons"] == {"low20": 1}
|
||
assert sim["worst_trade_r"] == pytest.approx(-0.25)
|
||
|
||
def test_nothing_qualified_returns_none(self):
|
||
assert bt._simulate_portfolio([], {}, None, "hold", 30) is None
|
||
|
||
def test_next_open_fill_anchors_stop_to_fill_and_allows_same_day_stop(self):
|
||
# Signal day ORD close=100; next day gaps to open=102, low pierces stop.
|
||
# ATR on flat history is small; build a series with ATR ≈ 2.
|
||
n = 40
|
||
closes = [100.0] * n
|
||
highs = [102.0] * n
|
||
lows = [98.0] * n
|
||
opens = [100.0] * n
|
||
ords = list(range(self.ORD, self.ORD + n))
|
||
# Signal on last warm-up bar; fill bar is the next session.
|
||
signal_i = n - 2
|
||
fill_i = n - 1
|
||
opens[fill_i] = 102.0
|
||
highs[fill_i] = 103.0
|
||
lows[fill_i] = 90.0 # pierces fill − 1.5×ATR
|
||
closes[fill_i] = 91.0
|
||
prices = {
|
||
"AAA": (ords, opens, highs, lows, closes, [1_000_000] * n)
|
||
}
|
||
cand = _sim_cand(
|
||
"AAA",
|
||
self.ORD + signal_i,
|
||
entry=100.0,
|
||
stop=95.0,
|
||
target=130.0,
|
||
)
|
||
sim = bt._simulate_portfolio(
|
||
[cand],
|
||
prices,
|
||
None,
|
||
"hold",
|
||
30,
|
||
fill_mode=bt.FILL_MODE_NEXT_OPEN,
|
||
cost_per_side=0.0,
|
||
include_trades=True,
|
||
)
|
||
assert sim is not None
|
||
assert sim["fill_mode"] == "next_open"
|
||
assert sim["trades"] == 1
|
||
trade = sim["trade_details"][0]
|
||
assert trade["entry"] == pytest.approx(102.0)
|
||
# Stop = 102 − 1.5×ATR; ATR on this series is 4 (high-low), so stop=96.
|
||
# Same-day low 90 → stop fill at 96 (not open).
|
||
assert trade["reason"] == "stop"
|
||
assert trade["initial_stop"] == pytest.approx(102.0 - 1.5 * 4.0)
|
||
assert "overnight_slippage" in sim
|
||
assert sim["overnight_slippage"]["n"] == 1
|
||
assert sim["overnight_slippage"]["mean_pct"] == pytest.approx(2.0)
|
||
|
||
def test_next_open_skips_when_fill_bar_missing(self):
|
||
closes = [100.0, 101.0]
|
||
prices = {"AAA": _sim_prices(self.ORD, closes)}
|
||
cand = _sim_cand("AAA", self.ORD + 1, entry=101.0, stop=96.0, target=120.0)
|
||
sim = bt._simulate_portfolio(
|
||
[cand], prices, None, "hold", 5, fill_mode=bt.FILL_MODE_NEXT_OPEN
|
||
)
|
||
# Signal on last bar → no t+1 open → no trade.
|
||
assert sim is None or sim["trades"] == 0 or sim.get("skipped_missing_fill", 0) >= 0
|
||
|
||
def test_vol_target_reports_avg_scalar_near_one_on_flat_book(self):
|
||
# Long enough equity path for 20d vol lookback; mild uptrend.
|
||
closes = [100.0 + i * 0.1 for i in range(80)]
|
||
prices = {"AAA": _sim_prices(self.ORD, closes)}
|
||
candidates = [
|
||
_sim_cand(
|
||
"AAA",
|
||
self.ORD + 10 + k * 5,
|
||
entry=closes[10 + k * 5],
|
||
stop=closes[10 + k * 5] - 5.0,
|
||
target=closes[10 + k * 5] + 20.0,
|
||
)
|
||
for k in range(8)
|
||
]
|
||
sim = bt._simulate_portfolio(
|
||
candidates,
|
||
prices,
|
||
None,
|
||
"hold",
|
||
4,
|
||
vol_target=0.20,
|
||
vol_lookback=20,
|
||
vol_clamp=(0.5, 1.5),
|
||
cost_per_side=0.0,
|
||
)
|
||
assert sim is not None
|
||
assert sim["vol_target"] == 0.20
|
||
assert sim["avg_vol_scalar"] is not None
|
||
assert 0.5 <= sim["avg_vol_scalar"] <= 1.5
|
||
assert sim["sharpe_se"] is not None or sim["n_returns"] < 3
|
||
|
||
def test_corr_skip_blocks_highly_correlated_second_name(self):
|
||
n = 150
|
||
base = [100.0]
|
||
for i in range(1, n):
|
||
base.append(base[-1] * (1.0 + 0.001 * ((-1) ** i)))
|
||
# BBB nearly identical path → corr ≈ 1.
|
||
prices = {
|
||
"AAA": _sim_prices(self.ORD, base),
|
||
"BBB": _sim_prices(self.ORD, [c * 1.01 for c in base]),
|
||
}
|
||
day = self.ORD + 130
|
||
candidates = [
|
||
_sim_cand("AAA", day, entry=base[130], stop=base[130] - 5, target=base[130] + 20),
|
||
_sim_cand(
|
||
"BBB",
|
||
day,
|
||
entry=base[130] * 1.01,
|
||
stop=base[130] * 1.01 - 5,
|
||
target=base[130] * 1.01 + 20,
|
||
mp=80.0,
|
||
),
|
||
]
|
||
# Rank AAA first.
|
||
candidates[0]["momentum_percentile"] = 99.0
|
||
candidates[0]["activation_momentum_percentile"] = 99.0
|
||
sim = bt._simulate_portfolio(
|
||
candidates,
|
||
prices,
|
||
None,
|
||
"hold",
|
||
5,
|
||
corr_max=0.5,
|
||
corr_action="skip",
|
||
corr_lookback=120,
|
||
corr_min_overlap=60,
|
||
cost_per_side=0.0,
|
||
include_trades=True,
|
||
)
|
||
assert sim is not None
|
||
assert sim["skipped_corr"] >= 1
|
||
assert sim["trades"] == 1
|
||
assert sim["trade_details"][0]["symbol"] == "AAA"
|
||
|
||
def test_calendar_truncates_after_last_signal_plus_hold(self):
|
||
closes = [100.0 + i for i in range(100)]
|
||
prices = {"AAA": _sim_prices(self.ORD, closes)}
|
||
cand = _sim_cand("AAA", self.ORD + 10, entry=110.0, stop=105.0, target=200.0)
|
||
sim = bt._simulate_portfolio(
|
||
[cand], prices, None, "hold", 5, cost_per_side=0.0, include_trades=True
|
||
)
|
||
assert sim is not None
|
||
end = date.fromisoformat(sim["end_date"])
|
||
entry = date.fromisoformat(sim["trade_details"][0]["entry_date"])
|
||
# end should be near entry + hold (trading days ≈ calendar for synthetic series)
|
||
assert (end - entry).days <= 10
|
||
|
||
def test_stale_close_fills_next_session_close_with_reanchored_stop(self):
|
||
n = 40
|
||
closes = [100.0 + 0.1 * i for i in range(n)]
|
||
opens = list(closes)
|
||
highs = [c + 2.0 for c in closes]
|
||
lows = [c - 2.0 for c in closes]
|
||
ords = list(range(self.ORD, self.ORD + n))
|
||
signal_i = n - 2
|
||
fill_i = n - 1
|
||
closes[fill_i] = 110.0
|
||
opens[fill_i] = 105.0
|
||
highs[fill_i] = 111.0
|
||
lows[fill_i] = 104.0
|
||
prices = {
|
||
"AAA": (ords, opens, highs, lows, closes, [1_000_000] * n)
|
||
}
|
||
cand = _sim_cand(
|
||
"AAA",
|
||
self.ORD + signal_i,
|
||
entry=closes[signal_i],
|
||
stop=closes[signal_i] - 5.0,
|
||
target=200.0,
|
||
)
|
||
sim = bt._simulate_portfolio(
|
||
[cand],
|
||
prices,
|
||
None,
|
||
"hold",
|
||
5,
|
||
fill_mode=bt.FILL_MODE_STALE_CLOSE,
|
||
cost_per_side=0.0,
|
||
include_trades=True,
|
||
)
|
||
assert sim is not None
|
||
assert sim["fill_mode"] == "stale_close"
|
||
assert sim["trades"] == 1
|
||
trade = sim["trade_details"][0]
|
||
assert trade["entry"] == pytest.approx(110.0)
|
||
# ATR ~4 on this synthetic series → stop = 110 − 1.5×4 = 104
|
||
assert trade["initial_stop"] == pytest.approx(110.0 - 1.5 * 4.0, abs=0.5)
|
||
assert "signal_to_fill_drift" in sim
|
||
|
||
def test_next_open_gap_cap_skips_large_gap_ups(self):
|
||
n = 40
|
||
closes = [100.0] * n
|
||
opens = [100.0] * n
|
||
highs = [102.0] * n
|
||
lows = [98.0] * n
|
||
ords = list(range(self.ORD, self.ORD + n))
|
||
signal_i = n - 2
|
||
fill_i = n - 1
|
||
opens[fill_i] = 110.0 # +10% gap vs signal close 100
|
||
highs[fill_i] = 111.0
|
||
lows[fill_i] = 109.0
|
||
closes[fill_i] = 110.5
|
||
prices = {
|
||
"AAA": (ords, opens, highs, lows, closes, [1_000_000] * n)
|
||
}
|
||
cand = _sim_cand(
|
||
"AAA", self.ORD + signal_i, entry=100.0, stop=95.0, target=130.0
|
||
)
|
||
blocked = bt._simulate_portfolio(
|
||
[cand],
|
||
prices,
|
||
None,
|
||
"hold",
|
||
5,
|
||
fill_mode=bt.FILL_MODE_NEXT_OPEN,
|
||
max_entry_gap_pct=0.02,
|
||
cost_per_side=0.0,
|
||
)
|
||
allowed = bt._simulate_portfolio(
|
||
[cand],
|
||
prices,
|
||
None,
|
||
"hold",
|
||
5,
|
||
fill_mode=bt.FILL_MODE_NEXT_OPEN,
|
||
cost_per_side=0.0,
|
||
include_trades=True,
|
||
)
|
||
assert blocked is None or blocked.get("trades", 0) == 0
|
||
if blocked is not None:
|
||
assert blocked.get("skipped_gap_cap", 0) >= 1
|
||
assert allowed is not None and allowed["trades"] == 1
|
||
assert allowed["trade_details"][0]["entry"] == pytest.approx(110.0)
|
||
|
||
|
||
def test_fip_id_sign_convention_steady_climber_vs_jump():
|
||
# Steady climber: many up days, continuous path → lower (more negative) ID.
|
||
steady = [100.0]
|
||
for _ in range(280):
|
||
steady.append(steady[-1] * 1.002)
|
||
# Jump then flat: one big up day, then zeros → higher ID (more discrete).
|
||
jumpy = [100.0] * 252
|
||
jumpy.append(100.0 * 1.5)
|
||
jumpy.extend([100.0 * 1.5] * 40)
|
||
i = 260
|
||
id_steady = bt._fip_id(steady, i)
|
||
id_jumpy = bt._fip_id(jumpy, i)
|
||
assert id_steady is not None and id_jumpy is not None
|
||
assert id_steady < 0 # continuous positive PRET → negative ID
|
||
assert id_jumpy > id_steady
|
||
|
||
|
||
def test_fip_id_emitted_in_signal_values():
|
||
dates, closes, highs, _ = _signal_test_series(extra_return=0.0005)
|
||
out = bt._signal_values(dates, closes, highs, 260)
|
||
assert "fip_id" in out
|
||
assert -1.0 <= out["fip_id"] <= 1.0
|
||
|
||
|
||
def test_sharpe_diagnostics_psr_and_se():
|
||
# Positive-drift daily returns → positive Sharpe, high PSR vs 0.
|
||
rets = [0.001 + 0.0001 * (i % 5) for i in range(300)]
|
||
diag = bt.sharpe_diagnostics(rets)
|
||
assert diag["sharpe"] is not None and diag["sharpe"] > 0
|
||
assert diag["sharpe_se"] is not None and diag["sharpe_se"] > 0
|
||
assert diag["psr"] is not None and diag["psr"] > 0.9
|
||
assert diag["n_returns"] == 300
|
||
|
||
|
||
def test_deflated_sharpe_requires_multiple_trials():
|
||
rets = [0.001 + 0.0005 * ((-1) ** i) for i in range(400)]
|
||
diag = bt.sharpe_diagnostics(rets)
|
||
assert diag["sharpe"] is not None and diag["sharpe_se"] is not None
|
||
assert bt.deflated_sharpe_ratio(
|
||
diag["sharpe"], diag["sharpe_se"], n_trials=1, n_returns=diag["n_returns"]
|
||
) is None
|
||
dsr = bt.deflated_sharpe_ratio(
|
||
diag["sharpe"],
|
||
diag["sharpe_se"],
|
||
n_trials=20,
|
||
n_returns=diag["n_returns"],
|
||
return_skew=diag["return_skew"],
|
||
return_kurtosis=diag["return_kurtosis"],
|
||
)
|
||
assert dsr is not None
|
||
assert 0.0 <= dsr <= 1.0
|
||
|
||
|
||
def test_bucket_stats_counts_and_expectancy():
|
||
cands = [
|
||
_cand(70, OUTCOME_TARGET_HIT, 3.0), # +3R win
|
||
_cand(60, OUTCOME_TARGET_HIT, 2.0), # +2R win
|
||
_cand(40, OUTCOME_STOP_HIT, 3.0), # -1R loss
|
||
_cand(30, OUTCOME_EXPIRED, 3.0), # 0R expired
|
||
]
|
||
s = bt._bucket_stats(cands)
|
||
assert s["total"] == 4
|
||
assert s["wins"] == 2
|
||
assert s["losses"] == 1
|
||
assert s["expired"] == 1
|
||
# hit rate is over decided (wins+losses) only
|
||
assert s["hit_rate"] == round(2 / 3 * 100, 1)
|
||
# avg R = (3 + 2 - 1 + 0) / 4 = 1.0
|
||
assert s["avg_r"] == 1.0
|
||
assert s["total_r"] == 4.0
|
||
# net = gross minus a 0.04R round trip per candidate (risk_pct 0.05)
|
||
assert s["net_avg_r"] == pytest.approx(1.0 - _COST_R_005, abs=0.001)
|
||
assert s["net_total_r"] == pytest.approx(4.0 - 4 * _COST_R_005, abs=0.01)
|
||
assert s["best_r"] == 3.0
|
||
assert s["worst_r"] == -1.0
|
||
assert s["avg_hold_days"] == 10.0
|
||
assert s["net_r_per_day"] == pytest.approx((1.0 - _COST_R_005) / 10.0, abs=0.001)
|
||
# robustness: net rs are [2.96, 1.96, -1.04, -0.04]
|
||
assert s["median_net_r"] == pytest.approx(0.96, abs=0.001)
|
||
assert s["profit_factor"] == pytest.approx(4.92 / 1.08, abs=0.01)
|
||
# ex-top-5%: ceil(4 * 0.05) = 1 winner trimmed → mean of the remaining three
|
||
assert s["net_avg_r_ex_top5"] == pytest.approx((1.96 - 1.04 - 0.04) / 3, abs=0.001)
|
||
|
||
|
||
def test_bucket_stats_empty():
|
||
s = bt._bucket_stats([])
|
||
assert s["total"] == 0
|
||
assert s["hit_rate"] is None
|
||
assert s["avg_r"] is None
|
||
assert s["net_avg_r"] is None
|
||
|
||
|
||
def test_bucket_stats_no_risk_pct_means_no_cost():
|
||
c = _cand(50, OUTCOME_TARGET_HIT, 2.0)
|
||
del c["risk_pct"]
|
||
s = bt._bucket_stats([c])
|
||
assert s["net_avg_r"] == s["avg_r"]
|
||
assert s["net_total_r"] == s["total_r"]
|
||
|
||
|
||
def test_build_recommendation_reads_the_report():
|
||
report = {
|
||
"overall_qualified": {"net_avg_r": 0.13, "net_avg_r_ex_top5": 0.05},
|
||
"time_exit_sweep": [
|
||
{"hold_days": 21, "net_avg_r": 0.38},
|
||
{"hold_days": 30, "net_avg_r": 0.50, "net_avg_r_ex_top5": 0.21},
|
||
],
|
||
"gate_ablation": [
|
||
{"variant": "all_floors", "total": 100, "hold_net_avg_r": 0.50},
|
||
{"variant": "no_confidence_floor", "total": 130, "hold_net_avg_r": 0.49},
|
||
{"variant": "no_rr_floor", "total": 400, "hold_net_avg_r": 0.34},
|
||
{"variant": "no_neutral_exclusion", "total": 120, "hold_net_avg_r": 0.46},
|
||
],
|
||
"sweep": [
|
||
{"min_momentum_percentile": 80.0, "net_avg_r": 0.13, "total": 100},
|
||
{"min_momentum_percentile": 60.0, "net_avg_r": 0.05, "total": 300},
|
||
{"min_momentum_percentile": 0.0, "net_avg_r": -0.12, "total": 1000},
|
||
],
|
||
"portfolio_sim": {"policies": [
|
||
{"policy": "target", "cagr_pct": 23.7, "total_return_pct": 134.8,
|
||
"spy_return_pct": 95.9, "max_drawdown_pct": 20.7},
|
||
{"policy": "hold", "cagr_pct": 31.9, "total_return_pct": 203.6,
|
||
"spy_return_pct": 95.9, "max_drawdown_pct": 21.2},
|
||
]},
|
||
}
|
||
rec = bt._build_recommendation(report)
|
||
by_topic: dict[str, list[str]] = {}
|
||
for item in rec["items"]:
|
||
by_topic.setdefault(item["topic"], []).append(item["text"])
|
||
|
||
assert rec["headline"] is not None and "hold 30" in rec["headline"]
|
||
assert any("hold 30 trading days" in t for t in by_topic["exit"])
|
||
gate_texts = " | ".join(by_topic["gate"])
|
||
assert "confidence floor adds nothing" in gate_texts
|
||
assert "keep the R:R floor" in gate_texts
|
||
assert "keep the NEUTRAL exclusion" in gate_texts
|
||
assert "80" in by_topic["cutoff"][0]
|
||
assert "beats" in by_topic["benchmark"][0]
|
||
# robustness is judged under the RECOMMENDED exit (the 30d hold), not the
|
||
# target model the recommendation advises abandoning
|
||
assert any(
|
||
"not a handful of outliers" in t and "under the recommended 30d hold" in t
|
||
for t in by_topic["robustness"]
|
||
)
|
||
|
||
|
||
def test_build_recommendation_flags_outlier_dependence():
|
||
rec = bt._build_recommendation({
|
||
"overall_qualified": {"net_avg_r": 0.13, "net_avg_r_ex_top5": -0.02},
|
||
})
|
||
robustness = [i["text"] for i in rec["items"] if i["topic"] == "robustness"]
|
||
assert robustness and "WARNING" in robustness[0]
|
||
|
||
|
||
def test_build_recommendation_prefers_production_monitor_headline():
|
||
rec = bt._build_recommendation({
|
||
"portfolio_monitor": {
|
||
"production_strategy": bt.PRODUCTION_PORTFOLIO_STRATEGY,
|
||
"runs": [{
|
||
"strategy": bt.PRODUCTION_PORTFOLIO_STRATEGY,
|
||
"lookback": "all",
|
||
"lookback_label": "All history",
|
||
"cagr_pct": 44.4,
|
||
"sharpe": 1.72,
|
||
"max_drawdown_pct": 23.8,
|
||
}],
|
||
},
|
||
"overall_qualified": {},
|
||
})
|
||
assert rec["headline"] is not None
|
||
assert "3x ATR trailing exit" in rec["headline"]
|
||
assert "after the gate fails" in rec["headline"]
|
||
assert any(item["topic"] == "production" for item in rec["items"])
|
||
|
||
|
||
def test_window_setups_too_short_returns_empty():
|
||
assert bt._window_setups([], {}, {}) == []
|
||
|
||
|
||
def test_backtest_target_model_is_small_and_validated():
|
||
assert bt.validate_backtest_target_model(" PRODUCTION_GTL ") == "production_gtl"
|
||
assert bt.validate_backtest_target_model("structural_sr") == "structural_sr"
|
||
with pytest.raises(ValueError, match="Unknown backtest target model"):
|
||
bt.validate_backtest_target_model("legacy_range_grid_touch")
|
||
|
||
|
||
def test_backtest_cadence_is_small_validated_and_session_based():
|
||
assert bt.validate_backtest_cadence(" WEEKLY ") == "weekly"
|
||
assert bt.validate_backtest_cadence("daily") == "daily"
|
||
assert bt.backtest_step_sessions("weekly") == 5
|
||
assert bt.backtest_step_sessions("daily") == 1
|
||
with pytest.raises(ValueError, match="Unknown backtest cadence"):
|
||
bt.validate_backtest_cadence("monthly")
|
||
|
||
|
||
def _flat_window_records():
|
||
return [
|
||
SimpleNamespace(
|
||
date=date(2024, 1, 1) + timedelta(days=i),
|
||
open=100.0,
|
||
high=101.0,
|
||
low=99.0,
|
||
close=100.0,
|
||
volume=1_000_000,
|
||
)
|
||
for i in range(bt.MIN_LOOKBACK)
|
||
]
|
||
|
||
|
||
def test_window_setups_routes_production_gtl_by_default(monkeypatch):
|
||
captured = {}
|
||
|
||
def fake_detector(highs, lows, closes):
|
||
captured.update({"highs": highs, "lows": lows, "closes": closes})
|
||
return []
|
||
|
||
monkeypatch.setattr(bt, "detect_gate_target_ladder", fake_detector)
|
||
assert bt._window_setups(_flat_window_records(), {}, {}) == []
|
||
assert captured == {
|
||
"highs": [101.0] * bt.MIN_LOOKBACK,
|
||
"lows": [99.0] * bt.MIN_LOOKBACK,
|
||
"closes": [100.0] * bt.MIN_LOOKBACK,
|
||
}
|
||
|
||
|
||
def test_window_setups_routes_structural_comparison(monkeypatch):
|
||
captured = {}
|
||
|
||
def fake_detector(highs, lows, closes, volumes):
|
||
captured.update({
|
||
"highs": highs,
|
||
"lows": lows,
|
||
"closes": closes,
|
||
"volumes": volumes,
|
||
})
|
||
return []
|
||
|
||
monkeypatch.setattr(bt, "detect_sr_levels", fake_detector)
|
||
assert bt._window_setups(
|
||
_flat_window_records(),
|
||
{},
|
||
{},
|
||
target_model=bt.STRUCTURAL_SR_TARGET_MODEL,
|
||
) == []
|
||
assert captured == {
|
||
"highs": [101.0] * bt.MIN_LOOKBACK,
|
||
"lows": [99.0] * bt.MIN_LOOKBACK,
|
||
"closes": [100.0] * bt.MIN_LOOKBACK,
|
||
"volumes": [1_000_000] * bt.MIN_LOOKBACK,
|
||
}
|
||
|
||
|
||
def test_window_setups_rejects_removed_research_arm():
|
||
with pytest.raises(ValueError, match="Unknown backtest target model"):
|
||
bt._window_setups(
|
||
_flat_window_records(),
|
||
{},
|
||
{},
|
||
target_model="production_control",
|
||
)
|
||
|
||
|
||
def test_replay_ticker_candidates_carry_gate_fields():
|
||
"""The ablation recomputes floors from candidate fields — a candidate missing
|
||
action/risk_level silently zeroes the ablation rows (July 2026 regression)."""
|
||
from app.services.admin_service import ACTIVATION_DEFAULTS
|
||
from app.services.recommendation_service import DEFAULT_RECOMMENDATION_CONFIG
|
||
|
||
base = date(2025, 1, 1)
|
||
bars = []
|
||
for i in range(160):
|
||
close = 100.0 + 8.0 * math.sin(i / 6.0)
|
||
bars.append(SimpleNamespace(
|
||
date=base + timedelta(days=i),
|
||
open=close,
|
||
high=close + 1.5,
|
||
low=close - 1.5,
|
||
close=close,
|
||
volume=1_000_000 + (i % 5) * 1000,
|
||
))
|
||
cands = bt._replay_ticker(
|
||
"OSC", bars, dict(DEFAULT_RECOMMENDATION_CONFIG), dict(ACTIVATION_DEFAULTS)
|
||
)
|
||
assert cands, "expected the oscillating series to produce candidates"
|
||
for c in cands:
|
||
assert c.get("action") is not None
|
||
assert "risk_level" in c
|
||
assert c["target_model"] == bt.PRODUCTION_GTL_TARGET_MODEL
|
||
assert c["ranking_period"][0] == "week"
|
||
|
||
daily_cands = bt._replay_ticker(
|
||
"OSC",
|
||
bars,
|
||
dict(DEFAULT_RECOMMENDATION_CONFIG),
|
||
dict(ACTIVATION_DEFAULTS),
|
||
cadence="daily",
|
||
)
|
||
assert len(daily_cands) > len(cands)
|
||
assert all(c["ranking_period"][0] == "date" for c in daily_cands)
|
||
|
||
|
||
def test_slim_replay_can_retain_shorts_for_ranking_universe(monkeypatch):
|
||
setup = {
|
||
"entry": 100.0,
|
||
"stop": 95.0,
|
||
"target": 110.0,
|
||
"rr": 2.0,
|
||
"confidence": 80.0,
|
||
"primary_prob": 0.6,
|
||
"best_prob": 0.7,
|
||
"momentum": 0.1,
|
||
"meets_core": True,
|
||
"action": "BUY_MODERATE",
|
||
"risk_level": "MEDIUM",
|
||
}
|
||
monkeypatch.setattr(
|
||
bt,
|
||
"_window_setups",
|
||
lambda *_args, **_kwargs: [
|
||
{**setup, "direction": "long"},
|
||
{**setup, "direction": "short", "stop": 105.0, "target": 90.0},
|
||
],
|
||
)
|
||
count = bt.MIN_LOOKBACK + bt.HORIZON
|
||
first_ord = date(2025, 1, 1).toordinal()
|
||
columns = (
|
||
list(range(first_ord, first_ord + count)),
|
||
[100.0] * count,
|
||
[101.0] * count,
|
||
[99.0] * count,
|
||
[100.0] * count,
|
||
[1_000_000] * count,
|
||
)
|
||
|
||
long_only = bt._replay_candidates_for_period(
|
||
"AAA", columns, {}, {}, None, date.min, "daily"
|
||
)
|
||
full_ranking_universe = bt._replay_candidates_for_period(
|
||
"AAA", columns, {}, {}, None, date.min, "daily", True
|
||
)
|
||
dual_ranking_replay = bt._replay_candidates_for_period(
|
||
"AAA", columns, {}, {}, None, date.min, "daily", True, True
|
||
)
|
||
|
||
assert [row["direction"] for row in long_only] == ["long"]
|
||
assert {row["direction"] for row in full_ranking_universe} == {
|
||
"long",
|
||
"short",
|
||
}
|
||
assert len(dual_ranking_replay) == 2
|
||
assert sum(
|
||
bool(row.get("_universe_rank_observation"))
|
||
for row in dual_ranking_replay
|
||
) == 1
|
||
|
||
monkeypatch.setattr(bt, "_window_setups", lambda *_args, **_kwargs: [])
|
||
rank_only = bt._replay_candidates_for_period(
|
||
"AAA", columns, {}, {}, None, date.min, "daily", True, True
|
||
)
|
||
assert len(rank_only) == 1
|
||
assert rank_only[0]["direction"] == "rank_only"
|
||
assert rank_only[0]["_rank_only"] is True
|
||
assert rank_only[0]["_universe_rank_observation"] is True
|
||
|
||
|
||
def test_daily_replay_uses_exact_date_ranking_periods():
|
||
candidates = [
|
||
{
|
||
"iso_week": (2026, 1),
|
||
"ranking_period": ("date", date(2026, 1, 5).toordinal()),
|
||
"momentum": 0.10,
|
||
},
|
||
{
|
||
"iso_week": (2026, 1),
|
||
"ranking_period": ("date", date(2026, 1, 5).toordinal()),
|
||
"momentum": 0.20,
|
||
},
|
||
{
|
||
"iso_week": (2026, 1),
|
||
"ranking_period": ("date", date(2026, 1, 6).toordinal()),
|
||
"momentum": 0.90,
|
||
},
|
||
{
|
||
"iso_week": (2026, 1),
|
||
"ranking_period": ("date", date(2026, 1, 6).toordinal()),
|
||
"momentum": 0.30,
|
||
},
|
||
]
|
||
|
||
bt._assign_momentum_percentiles(candidates)
|
||
|
||
assert [row["momentum_percentile"] for row in candidates] == [0.0, 100.0, 100.0, 0.0]
|
||
|
||
|
||
async def _seed_oscillating_ticker(session, symbol: str, n: int = 160) -> None:
|
||
t = Ticker(symbol=symbol)
|
||
session.add(t)
|
||
await session.flush()
|
||
base = date(2025, 1, 1)
|
||
for i in range(n):
|
||
close = 100.0 + 8.0 * math.sin(i / 6.0)
|
||
session.add(OHLCVRecord(
|
||
ticker_id=t.id,
|
||
date=base + timedelta(days=i),
|
||
open=close,
|
||
high=close + 1.5,
|
||
low=close - 1.5,
|
||
close=close,
|
||
volume=1_000_000 + (i % 5) * 1000,
|
||
))
|
||
await session.commit()
|
||
|
||
|
||
async def test_run_backtest_smoke(session):
|
||
await _seed_oscillating_ticker(session, "OSC")
|
||
report = await bt.run_backtest(session)
|
||
|
||
# well-formed report
|
||
assert report["tickers"] == 1
|
||
assert isinstance(report["candidates"], int)
|
||
for key in (
|
||
"overall_qualified", "overall_all", "by_direction", "sweep",
|
||
"gate_ablation", "time_exit_sweep", "portfolio_sim", "strategy_variants",
|
||
"exit_policy_variants", "portfolio_monitor", "recommendation", "research_recommendation",
|
||
):
|
||
assert key in report
|
||
# the oscillating series should yield at least some resolved setups
|
||
assert report["candidates"] >= 1
|
||
|
||
# cost assumption is reported, and every bucket carries net numbers
|
||
assert report["params"]["cost_per_side_pct"] == pytest.approx(bt.COST_PER_SIDE * 100)
|
||
assert report["params"]["target_model"] == bt.PRODUCTION_GTL_TARGET_MODEL
|
||
assert report["params"]["is_production_target_model"] is True
|
||
assert report["params"]["entry_cadence"] == "weekly"
|
||
assert report["params"]["step_sessions"] == 5
|
||
assert report["params"]["production_reentry_policy"] == "gate_reset"
|
||
assert "net_avg_r" in report["overall_all"]
|
||
|
||
# ablation baseline reproduces the qualified set exactly, and every row
|
||
# carries the hold-to-horizon grading alongside the target model
|
||
ablation = {r["variant"]: r for r in report["gate_ablation"]}
|
||
assert ablation["all_floors"]["total"] == report["overall_qualified"]["total"]
|
||
|
||
daily_report = await bt.run_backtest(session, cadence="daily")
|
||
assert daily_report["params"]["entry_cadence"] == "daily"
|
||
assert daily_report["params"]["step_sessions"] == 1
|
||
assert daily_report["candidates"] > report["candidates"]
|
||
for row in report["gate_ablation"]:
|
||
assert "hold_net_avg_r" in row
|
||
|
||
# time-exit sweep covers the configured hold lengths
|
||
assert [r["hold_days"] for r in report["time_exit_sweep"]] == list(bt.TIME_EXIT_DAYS)
|
||
|
||
# portfolio simulation section is always present (policies may be empty
|
||
# when nothing qualifies)
|
||
assert "portfolio_sim" in report
|
||
assert isinstance(report["portfolio_sim"]["policies"], list)
|
||
assert report["portfolio_sim"]["params"]["max_positions"] == bt.SIM_MAX_POSITIONS
|
||
assert isinstance(report["strategy_variants"]["variants"], list)
|
||
assert isinstance(report["exit_policy_variants"]["variants"], list)
|
||
assert report["portfolio_monitor"] is None or isinstance(report["portfolio_monitor"]["runs"], list)
|
||
|
||
# sweep: lowering the momentum-percentile cutoff can only add qualifiers
|
||
sweep = sorted(report["sweep"], key=lambda r: r["min_momentum_percentile"], reverse=True)
|
||
counts = [r["total"] for r in sweep]
|
||
assert counts == sorted(counts) # ascending as threshold descends
|