mirror of
https://github.com/KhizarImran/backtestingfx.git
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Khizar Imran
872c8a30c8
Reuse the Python callback method-name string and expose constant-time position count and presence. Preserve dynamic callbacks, Bar identity, and snapshot behavior with regression tests. Add isolated callback measurements and replace approximate cross-library comparisons with matched trades and equity assertions, separate setup/run timings, and reproducible reports. Track the remaining ingestion bottleneck in #53. Refs #48, #38, #39, #53 Codex 🤖, On behalf of Khizar
70 lines
3.0 KiB
Python
70 lines
3.0 KiB
Python
from pathlib import Path
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import sys
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import unittest
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import numpy as np
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import pandas as pd
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try:
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import backtesting
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except ImportError:
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backtesting = None
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@unittest.skipIf(backtesting is None, "optional comparison requires backtesting==0.6.6")
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class ReferenceComparisonTest(unittest.TestCase):
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@classmethod
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def setUpClass(cls):
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sys.path.insert(0, str(Path(__file__).resolve().parents[1] / "examples"))
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from compare_bt import Comparison
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cls.comparison_type = Comparison
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def comparison(self, commission=7.0, decisions=None):
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opens = np.array([1.0, 1.1, 1.2, 1.4, 1.3, 1.5, 1.6])
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closes = np.array([1.05, 1.15, 1.25, 1.35, 1.4, 1.55, 1.65])
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data = pd.DataFrame(
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{"open": opens, "high": np.maximum(opens, closes) + 0.01,
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"low": np.minimum(opens, closes) - 0.01, "close": closes},
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index=pd.date_range("2026-01-01", periods=len(opens), freq="h", tz="UTC"),
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)
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if decisions is None:
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decisions = [0, 1, 0, -1, 1, 0, 0]
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return self.comparison_type(data, commission=commission, decisions=decisions)
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def test_next_open_trades_and_equity_match_hand_calculated_fixture(self):
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comparison = self.comparison()
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reference, _ = comparison.run("backtesting.py")
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actual, _ = comparison.run("backtestingfx")
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comparison.verify(reference, actual)
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self.assertEqual(actual.num_trades, 2)
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self.assertAlmostEqual(actual.final_cash, 10_199.72)
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np.testing.assert_allclose(actual.equity_curve[1:],
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[10_000, 10_000, 10_049.93, 10_149.93,
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10_099.86, 10_149.79, 10_199.72], rtol=0, atol=1e-8)
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np.testing.assert_allclose([trade.entry_price for trade in actual.trades], [1.2, 1.5])
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np.testing.assert_allclose([trade.exit_price for trade in actual.trades], [1.3, 1.6])
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np.testing.assert_allclose([trade.pnl for trade in actual.trades], [99.86, 99.86])
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def test_no_trade_and_zero_commission_cases_match(self):
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for decisions, expected_trades, equity in (([0] * 7, 0, 10_000),
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([0, 1, 0, -1, 1, 0, 0], 2, 10_200)):
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comparison = self.comparison(commission=0.0, decisions=decisions)
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reference, _ = comparison.run("backtesting.py")
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actual, _ = comparison.run("backtestingfx")
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comparison.verify(reference, actual)
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self.assertEqual(actual.num_trades, expected_trades)
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self.assertAlmostEqual(actual.final_cash, equity)
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def test_checker_rejects_price_mismatch_even_when_trade_count_matches(self):
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comparison = self.comparison()
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reference, _ = comparison.run("backtesting.py")
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actual, _ = comparison.run("backtestingfx")
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reference["_trades"] = reference["_trades"].copy()
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reference["_trades"].loc[0, "EntryPrice"] += 0.01
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with self.assertRaises(AssertionError):
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comparison.verify(reference, actual)
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if __name__ == "__main__":
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unittest.main()
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