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109 lines
3.7 KiB
Python
109 lines
3.7 KiB
Python
"""Python mirror of the Rust golden_buy_and_hold test.
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Verifies that the Python DSL + Rust engine produce identical results
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to the Rust-only golden test fixtures.
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"""
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import json
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import os
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import pytest
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import manifoldbt as bt
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from manifoldbt import run_with_parquet
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# The golden fixtures were generated at full (Pro) resolution; the Community
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# resolution cap changes the equity-point count and the comparison is
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# meaningless. CI unlocks via BT_UNLOCKED=1 (debug builds); locally this needs
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# an activated Pro license.
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pytestmark = pytest.mark.skipif(
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bt.license_info()[0] != "Pro",
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reason="requires Pro (fixtures generated at sub-daily resolution); activate a license or use a BT_UNLOCKED dev build",
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)
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def test_golden_buy_and_hold_matches_fixtures(golden_buy_hold_dir):
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"""Mirror of Rust golden_buy_and_hold_equity_trade_metrics_and_manifest_match_fixture."""
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# Build strategy using Python DSL — same as Rust golden test
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signal_expr = bt.lit(1.0)
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sizing_expr = bt.col("signal")
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strategy = bt.Strategy(
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name="golden_buy_and_hold",
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signals={"signal": signal_expr},
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position_sizing=sizing_expr,
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)
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config = bt.BacktestConfig(
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universe=[1],
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time_range_start=0,
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time_range_end=4_000_000_000,
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bar_interval={"Days": 1},
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initial_capital=1000.0,
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currency="USD",
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execution=bt.ExecutionConfig(
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signal_delay=1,
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execution_price="AtClose",
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max_position_pct=1.0,
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allow_short=False,
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allow_fractional=True,
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skip_gap_bars=False,
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position_sizing_mode="Units",
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),
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fees=bt.FeeConfig(),
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slippage={"FixedBps": {"bps": 0.0}},
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data_version="golden_v1",
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rng_seed=7,
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)
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parquet_path = os.path.join(golden_buy_hold_dir, "bars_1m.parquet")
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result = run_with_parquet(
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strategy.to_json(),
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config.to_json(),
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parquet_path,
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"golden_v1",
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)
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# -- Assert equity curve matches --
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with open(os.path.join(golden_buy_hold_dir, "expected_equity.json")) as f:
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expected_equity = json.load(f)
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equity = result.equity_curve.to_pylist()
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assert equity == expected_equity, f"Equity mismatch: {equity} != {expected_equity}"
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# -- Assert trades match --
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with open(os.path.join(golden_buy_hold_dir, "expected_trades.json")) as f:
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expected_trades = json.load(f)
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trades_batch = result.trades
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actual_trades = []
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for i in range(trades_batch.num_rows):
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actual_trades.append({
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"symbol_id": trades_batch.column("symbol_id")[i].as_py(),
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"side": trades_batch.column("side")[i].as_py(),
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"quantity": trades_batch.column("quantity")[i].as_py(),
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"fill_price": trades_batch.column("fill_price")[i].as_py(),
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})
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assert actual_trades == expected_trades, (
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f"Trade mismatch: {actual_trades} != {expected_trades}"
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)
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# -- Assert metrics match --
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with open(os.path.join(golden_buy_hold_dir, "expected_metrics.json")) as f:
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expected_metrics = json.load(f)
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metrics = result.metrics
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for key in expected_metrics:
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assert abs(metrics[key] - expected_metrics[key]) <= 1e-12, (
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f"Metric {key}: {metrics[key]} != {expected_metrics[key]}"
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)
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# -- Assert manifest snapshot fields match --
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with open(os.path.join(golden_buy_hold_dir, "expected_manifest_snapshot.json")) as f:
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expected_manifest = json.load(f)
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manifest = result.manifest
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assert manifest["strategy_name"] == expected_manifest["strategy_name"]
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assert manifest["engine_version"] == expected_manifest["engine_version"]
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assert manifest["config"] == expected_manifest["config"]
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