Files
manifoldbt/python/tests/test_golden_buy_and_hold.py
2026-07-19 02:07:07 +00:00

121 lines
4.6 KiB
Python

"""Python mirror of the Rust golden_buy_and_hold test.
Verifies that the Python DSL + Rust engine produce identical results
to the Rust-only golden test fixtures.
"""
import json
import os
import pytest
import manifoldbt as bt
from manifoldbt import run_with_parquet
# The golden fixtures assert on 1-second output resolution, below even the Pro
# floor (60s) — exactly like the Rust golden test, which sets BT_UNLOCKED=1.
# The override is only honored by debug builds (cargo test / maturin develop),
# so this needs BOTH: a dev build and BT_UNLOCKED=1 in the environment.
pytestmark = pytest.mark.skipif(
os.environ.get("BT_UNLOCKED") != "1",
reason="requires BT_UNLOCKED=1 on a dev (debug) build: fixtures assert 1s output, below the Pro 60s floor",
)
def test_golden_buy_and_hold_matches_fixtures(golden_buy_hold_dir):
"""Mirror of Rust golden_buy_and_hold_equity_trade_metrics_and_manifest_match_fixture."""
# Build strategy using Python DSL — same as Rust golden test
signal_expr = bt.lit(1.0)
sizing_expr = bt.col("signal")
strategy = bt.Strategy(
name="golden_buy_and_hold",
signals={"signal": signal_expr},
position_sizing=sizing_expr,
)
config = bt.BacktestConfig(
universe=[1],
time_range_start=0,
time_range_end=4_000_000_000,
# The fixture is 4 bars at 1-second spacing; the Rust golden test runs
# them at Seconds(1) with per-bar output. Days(1) would resample the
# whole range into a single bar and the comparison would be meaningless.
bar_interval={"Seconds": 1},
output_resolution={"Seconds": 1},
initial_capital=1000.0,
currency="USD",
risk_free_rate=0.025,
execution=bt.ExecutionConfig(
signal_delay=1,
execution_price="AtClose",
max_position_pct=1.0,
allow_short=False,
allow_fractional=True,
skip_gap_bars=False,
position_sizing_mode="Units",
),
fees=bt.FeeConfig(),
slippage={"FixedBps": {"bps": 0.0}},
data_version="golden_v1",
rng_seed=7,
)
parquet_path = os.path.join(golden_buy_hold_dir, "bars_1m.parquet")
result = run_with_parquet(
strategy.to_json(),
config.to_json(),
parquet_path,
"golden_v1",
)
# -- Assert equity curve matches --
with open(os.path.join(golden_buy_hold_dir, "expected_equity.json")) as f:
expected_equity = json.load(f)
equity = result.equity_curve.to_pylist()
assert equity == expected_equity, f"Equity mismatch: {equity} != {expected_equity}"
# -- Assert trades match --
with open(os.path.join(golden_buy_hold_dir, "expected_trades.json")) as f:
expected_trades = json.load(f)
trades_batch = result.trades
actual_trades = []
for i in range(trades_batch.num_rows):
actual_trades.append({
"symbol_id": trades_batch.column("symbol_id")[i].as_py(),
"side": trades_batch.column("side")[i].as_py(),
"quantity": trades_batch.column("quantity")[i].as_py(),
"fill_price": trades_batch.column("fill_price")[i].as_py(),
})
assert actual_trades == expected_trades, (
f"Trade mismatch: {actual_trades} != {expected_trades}"
)
# -- Assert metrics match --
with open(os.path.join(golden_buy_hold_dir, "expected_metrics.json")) as f:
expected_metrics = json.load(f)
# Mirror the Rust golden test: annualized metrics (CAGR, volatility,
# sharpe, sortino, calmar) are not compared because the fixture uses 4
# synthetic 1-second bars, making annualization numerically extreme.
metrics = result.metrics
for key in ("total_return", "max_drawdown"):
assert abs(metrics[key] - expected_metrics[key]) <= 1e-12, (
f"Metric {key}: {metrics[key]} != {expected_metrics[key]}"
)
# -- Assert manifest snapshot fields match --
with open(os.path.join(golden_buy_hold_dir, "expected_manifest_snapshot.json")) as f:
expected_manifest = json.load(f)
# Mirror the Rust golden test: engine_version is excluded from the snapshot
# (it tracks the crate version and would break on every release bump);
# assert only that it is populated.
manifest = result.manifest
assert manifest["strategy_name"] == expected_manifest["strategy_name"]
assert manifest["engine_version"], "engine_version should be populated"
assert manifest["data_versions"].get("bars_1m", "") == expected_manifest["data_version"]
assert manifest["config"] == expected_manifest["config"]