 TPTBusiness
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827f80ce2e
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test: 343 deep hypothesis property-based tests across engine, DB, risk, ground truth, robustness, CV
- Backtest engine: 68 tests (IC symmetry, Sharpe formula, MaxDD bounds, cost monotonicity)
- Results DB: 78 tests (add_factor idempotence, metric roundtrip, sorting, persistence)
- Risk management: 71 tests (correlation PSD, MV weights, RP convergence, threshold checks)
- Ground truth: 44 tests (Sharpe sign, MaxDD, win_rate, signal invariants)
- Robustness: 44 tests (slippage, latency, MC reshuffle, OOS stress, random data)
- Cross-validation: 38 tests (IC ∈ [-1,1], scaling invariance, multi-instrument)
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2026-05-10 23:42:46 +02:00 |
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TPTBusiness
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953fb2d278
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test: Add backtesting tests with 98.77% coverage
New test infrastructure:
1. pytest + pytest-cov installed
- requirements.txt updated
- pytest.ini configured
- .coveragerc for coverage
2. Test suite created (97 tests):
- test_backtest_engine.py (32 tests)
* BacktestMetrics: IC, Sharpe, Drawdown, Win Rate
* FactorBacktester: run_backtest, JSON export
* Edge cases: NaN, empty, insufficient data
- test_results_db.py (33 tests)
* ResultsDatabase: CRUD operations
* Queries: get_top_factors, get_aggregate_stats
* Database cleanup
- test_risk_management.py (32 tests)
* CorrelationAnalyzer: Matrix, uncorrelated factors
* PortfolioOptimizer: Mean-Variance, Risk Parity
* AdvancedRiskManager: Limit checks
3. Fixtures (conftest.py):
- 22 reusable test fixtures
- Mock data for all scenarios
- Sample factors, returns, equity curves
4. Coverage: 98.77% (target: >80%)
- BacktestMetrics: 100%
- FactorBacktester: 100%
- ResultsDatabase: 95.92%
- CorrelationAnalyzer: 100%
- PortfolioOptimizer: 100%
- AdvancedRiskManager: 100%
5. Documentation:
- test/backtesting/README.md
- How to run tests
- Generate coverage reports
Run tests:
pytest test/backtesting/ -v
Coverage report:
pytest test/backtesting/ --cov=rdagent/components/backtesting --cov-report=html
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2026-04-02 19:24:38 +02:00 |
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