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TPTBusiness
101 lines
3.7 KiB
Python
101 lines
3.7 KiB
Python
"""Tests for runtime backtest verification."""
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from __future__ import annotations
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import sys
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from pathlib import Path
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import numpy as np
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import pytest
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PROJECT_ROOT = Path(__file__).parent.parent.parent
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sys.path.insert(0, str(PROJECT_ROOT))
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GOOD_RESULT = {
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"sharpe": 1.5,
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"max_drawdown": -0.15,
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"win_rate": 0.55,
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"total_return": 0.25,
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"annual_return_pct": 15.0,
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"monthly_return_pct": 1.2,
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"n_trades": 50,
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"status": "success",
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}
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class TestVerifyBacktestResult:
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def test_good_result_passes(self):
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from rdagent.components.backtesting.verify import verify_backtest_result
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assert verify_backtest_result(GOOD_RESULT) == []
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def test_missing_key_detected(self):
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from rdagent.components.backtesting.verify import verify_backtest_result
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bad = {**GOOD_RESULT}
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del bad["sharpe"]
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w = verify_backtest_result(bad)
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assert len(w) > 0
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assert any("Missing" in x for x in w)
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def test_max_dd_out_of_bounds(self):
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from rdagent.components.backtesting.verify import verify_backtest_result
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for val in [-1.5, 0.5]:
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bad = {**GOOD_RESULT, "max_drawdown": val}
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assert len(verify_backtest_result(bad)) > 0
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def test_win_rate_out_of_bounds(self):
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from rdagent.components.backtesting.verify import verify_backtest_result
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for val in [-0.1, 1.5]:
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bad = {**GOOD_RESULT, "win_rate": val}
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assert len(verify_backtest_result(bad)) > 0
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def test_infinite_sharpe(self):
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from rdagent.components.backtesting.verify import verify_backtest_result
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bad = {**GOOD_RESULT, "sharpe": float("inf")}
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assert len(verify_backtest_result(bad)) > 0
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def test_nan_total_return(self):
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from rdagent.components.backtesting.verify import verify_backtest_result
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bad = {**GOOD_RESULT, "total_return": float("nan")}
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assert len(verify_backtest_result(bad)) > 0
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def test_negative_trades(self):
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from rdagent.components.backtesting.verify import verify_backtest_result
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bad = {**GOOD_RESULT, "n_trades": -5}
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assert len(verify_backtest_result(bad)) > 0
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def test_opposite_signs(self):
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from rdagent.components.backtesting.verify import verify_backtest_result
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bad = {**GOOD_RESULT, "sharpe": 2.0, "annual_return_pct": -10.0}
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assert len(verify_backtest_result(bad)) > 0
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def test_invalid_status(self):
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from rdagent.components.backtesting.verify import verify_backtest_result
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bad = {**GOOD_RESULT, "status": "unknown"}
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assert len(verify_backtest_result(bad)) > 0
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def test_verify_and_log_returns_false_on_bad(self):
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from rdagent.components.backtesting.verify import verify_and_log
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assert verify_and_log({**GOOD_RESULT, "n_trades": -1}) is False
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def test_verify_and_log_returns_true_on_good(self):
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from rdagent.components.backtesting.verify import verify_and_log
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assert verify_and_log(GOOD_RESULT) is True
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class TestRuntimeVerification:
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"""Verify that backtest_signal automatically calls the verifier."""
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def test_backtest_signal_produces_verified_output(self):
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from rdagent.components.backtesting.vbt_backtest import backtest_signal
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import pandas as pd
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dates = pd.date_range("2024-01-01", periods=500, freq="1min")
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close = pd.Series(1.10 + np.random.default_rng(42).normal(0, 0.0001, 500).cumsum(), index=dates)
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signal = pd.Series(np.where(np.random.default_rng(99).normal(0, 1, 500) > 0, 1.0, -1.0), index=dates)
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result = backtest_signal(close, signal)
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# All fields should pass verification
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from rdagent.components.backtesting.verify import verify_backtest_result
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assert verify_backtest_result(result) == []
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