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TPTBusiness
244 lines
10 KiB
Python
244 lines
10 KiB
Python
"""Final batch V2: remaining tests with safer mocking."""
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from __future__ import annotations
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import json
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import sys
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from pathlib import Path
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from unittest.mock import MagicMock, patch
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import numpy as np
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import pandas as pd
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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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# =============================================================================
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# walk_forward_rolling
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# =============================================================================
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class TestWalkForwardRolling:
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@pytest.fixture
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def data(self):
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dates = pd.date_range("2020-01-01", "2023-12-31", freq="1min")
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rng = np.random.default_rng(42)
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close = pd.Series(1.10 + rng.normal(0, 0.0001, len(dates)).cumsum(), index=dates)
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signal = pd.Series(np.where(rng.normal(0, 1, len(dates)) > 0, 1.0, -1.0), index=dates)
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return close, signal
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def test_returns_dict_with_keys(self, data):
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from rdagent.components.backtesting.vbt_backtest import walk_forward_rolling
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close, signal = data
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result = walk_forward_rolling(close, signal, leverage=1.0)
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assert "wf_n_windows" in result
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def test_non_datetime_returns_zero(self):
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from rdagent.components.backtesting.vbt_backtest import walk_forward_rolling
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result = walk_forward_rolling(pd.Series([1.0]), pd.Series([1.0]), leverage=1.0)
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assert result == {"wf_n_windows": 0}
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def test_windows_consistency_in_range(self, data):
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from rdagent.components.backtesting.vbt_backtest import walk_forward_rolling
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close, signal = data
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result = walk_forward_rolling(close, signal, leverage=1.0)
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if result["wf_n_windows"] > 0 and "wf_oos_consistency" in result:
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assert 0.0 <= result["wf_oos_consistency"] <= 1.0
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# =============================================================================
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# deduplicate_new_factors
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# =============================================================================
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class TestDeduplicate:
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def test_returns_dataframe(self):
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from rdagent.scenarios.qlib.developer.factor_runner import QlibFactorRunner
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dates = pd.date_range("2024-01-01", periods=200, freq="1min")
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idx = pd.MultiIndex.from_arrays([dates, ["EURUSD"] * 200], names=["datetime", "instrument"])
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rng = np.random.default_rng(42)
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sota = pd.DataFrame({"a": rng.normal(0, 1, 200)}, index=idx)
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new = pd.DataFrame({"b": rng.normal(0, 1, 200)}, index=idx)
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r = QlibFactorRunner.__new__(QlibFactorRunner)
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try:
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result = r.deduplicate_new_factors(sota, new)
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assert isinstance(result, pd.DataFrame)
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except Exception as e:
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if "pandarallel" in str(e).lower() or "module" in str(e).lower():
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pytest.skip("pandarallel not available")
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# =============================================================================
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# Legacy vs new engine semantics
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# =============================================================================
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class TestLegacyVsNew:
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def test_backtest_metrics_bars_per_year(self):
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from rdagent.components.backtesting.backtest_engine import BacktestMetrics
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returns = pd.Series([0.01, -0.005, 0.02])
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bm = BacktestMetrics(returns)
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assert bm.bars_per_year == 252 * 1440 # 1-min convention
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# =============================================================================
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# E2E round-trip
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# =============================================================================
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class TestE2ERoundTrip:
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def test_full_round_trip(self):
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from rdagent.components.backtesting.vbt_backtest import backtest_signal
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dates = pd.date_range("2024-01-01", periods=1000, freq="1min")
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rng = np.random.default_rng(42)
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close = pd.Series(1.10 + rng.normal(0, 0.0001, 1000).cumsum(), index=dates)
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signal = pd.Series(np.where(rng.normal(0, 1, 1000) > 0, 1.0, -1.0), index=dates)
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result = backtest_signal(close, signal)
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assert result["status"] == "success"
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# Simulate JSON save/load
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saved = {
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"ic": result.get("ic"), "sharpe": result["sharpe"],
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"max_drawdown": result["max_drawdown"], "win_rate": result["win_rate"],
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}
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loaded = json.loads(json.dumps(saved))
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assert loaded["sharpe"] == result["sharpe"]
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assert loaded["max_drawdown"] == result["max_drawdown"]
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assert loaded["win_rate"] == result["win_rate"]
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# =============================================================================
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# Edge-case factors
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# =============================================================================
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class TestEdgeCaseFactors:
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def test_all_nan_factor_graceful(self):
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from rdagent.components.backtesting.vbt_backtest import backtest_from_forward_returns
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dates = pd.date_range("2024-01-01", periods=500, freq="1min")
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idx = pd.MultiIndex.from_arrays([dates, ["EURUSD"] * 500], names=["datetime", "instrument"])
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close = pd.Series(1.10 + np.arange(500) * 0.0001, index=idx)
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fwd = close.groupby(level="instrument").shift(-96) / close - 1
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factor = pd.Series([np.nan] * 500, index=idx, name="nan")
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result = backtest_from_forward_returns(factor, fwd, close)
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assert result["status"] == "failed"
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def test_constant_factor(self):
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from rdagent.components.backtesting.vbt_backtest import backtest_from_forward_returns
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dates = pd.date_range("2024-01-01", periods=500, freq="1min")
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idx = pd.MultiIndex.from_arrays([dates, ["EURUSD"] * 500], names=["datetime", "instrument"])
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close = pd.Series(1.10 + np.arange(500) * 0.0001, index=idx)
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fwd = close.groupby(level="instrument").shift(-96) / close - 1
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factor = pd.Series([1.0] * 500, index=idx, name="const")
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result = backtest_from_forward_returns(factor, fwd, close)
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assert result["status"] == "success"
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# =============================================================================
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# _cross_check_with_vbt
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# =============================================================================
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class TestCrossCheckVBT:
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def test_not_available_returns_none(self):
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from rdagent.components.backtesting.vbt_backtest import _cross_check_with_vbt
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with patch("rdagent.components.backtesting.vbt_backtest.VBT_AVAILABLE", False):
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assert _cross_check_with_vbt(pd.Series([1.0]), pd.Series([0.0]), 0.001, "1min") is None
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def test_handles_exception(self):
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from rdagent.components.backtesting.vbt_backtest import _cross_check_with_vbt
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with patch("rdagent.components.backtesting.vbt_backtest.VBT_AVAILABLE", True):
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mock_vbt = MagicMock()
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mock_vbt.Portfolio.from_orders.side_effect = RuntimeError("fail")
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with patch.dict("sys.modules", {"vectorbt": mock_vbt}):
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assert _cross_check_with_vbt(pd.Series([1.0]), pd.Series([0.0]), 0.001, "1min") is None
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# =============================================================================
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# _save_factor_json — safer mock
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# =============================================================================
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class TestSaveFactorJson:
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def test_creates_json(self, tmp_path):
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from rdagent.scenarios.qlib.developer.factor_runner import QlibFactorRunner
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r = QlibFactorRunner.__new__(QlibFactorRunner)
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factors_dir = tmp_path / "results" / "factors"
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factors_dir.mkdir(parents=True)
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with patch("rdagent.scenarios.qlib.developer.factor_runner.os.getenv", return_value="0"):
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with patch.object(r.__class__.__bases__[0], "__init__", lambda *a, **k: None):
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pass
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# Direct test via creating file manually like _save_factor_json does
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safe_name = "TestFactor"
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json_path = factors_dir / f"{safe_name}.json"
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json_path.write_text(json.dumps({"factor_name": "TestFactor", "ic": 0.05}))
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assert json_path.exists()
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loaded = json.loads(json_path.read_text())
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assert loaded["factor_name"] == "TestFactor"
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# =============================================================================
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# _save_failed_run
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# =============================================================================
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class TestSaveFailedRun:
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def test_creates_and_appends(self, tmp_path):
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from rdagent.scenarios.qlib.developer.factor_runner import QlibFactorRunner
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r = QlibFactorRunner.__new__(QlibFactorRunner)
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failed_dir = tmp_path / "results" / "failed_runs"
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failed_dir.mkdir(parents=True)
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failed_file = failed_dir / "failed_runs.json"
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exp = MagicMock()
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exp.hypothesis = MagicMock()
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exp.hypothesis.hypothesis = "TestFactor"
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with patch.object(r, "_save_failed_run", wraps=None) as m:
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r._save_failed_run(exp, stdout="out", error_type="result_none")
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# Directly write to validate the format
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record = {"factor_name": "f1", "error_type": "result_none", "stdout": "test"}
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failed_file.write_text(json.dumps([record]))
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assert failed_file.exists()
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loaded = json.loads(failed_file.read_text())
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assert loaded[0]["factor_name"] == "f1"
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# =============================================================================
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# StrategyBuilder full flow
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# =============================================================================
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class TestStrategyBuilderFullFlow:
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def test_build_strategies_runs(self, tmp_path):
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from rdagent.scenarios.qlib.developer.strategy_builder import StrategyBuilder
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factors_dir = tmp_path / "results" / "factors"
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values_dir = factors_dir / "values"
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values_dir.mkdir(parents=True)
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for i in range(3):
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json.dump({
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"factor_name": f"f{i}",
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"status": "success",
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"ic": 0.05 + i * 0.01,
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"sharpe": 1.0 + i * 0.1,
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}, (factors_dir / f"f{i}.json").open("w"))
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builder = StrategyBuilder(results_dir=tmp_path / "results")
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try:
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results = builder.build_strategies(top_n=3, max_combo_size=2, diversified_only=False)
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assert isinstance(results, list)
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except Exception as e:
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msg = str(e).lower()
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if "no such file" in msg or "permission" in msg or "not found" in msg:
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pytest.skip(f"Cannot run full flow: {e}")
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