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42 lines
2.3 KiB
JavaScript
42 lines
2.3 KiB
JavaScript
import assert from "node:assert/strict";
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import fs from "node:fs";
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const report = JSON.parse(fs.readFileSync(new URL("../research/shock-strategy-3-audit.json", import.meta.url), "utf8"));
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const independent = JSON.parse(fs.readFileSync(new URL("../research/shock-strategy-3-independent-audit.json", import.meta.url), "utf8"));
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const candidate = report.candidates.find(row => row.rule.id === "fade_h12_w3_m0.08_accelerating_v1_All_All");
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assert.equal(report.markets, 2000);
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assert.equal(report.observations, 534894);
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assert.equal(report.methodology.costCents, 2);
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assert.deepEqual(report.methodology.entryPriceRange, [0.08, 0.92]);
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assert.deepEqual(report.methodology.returnWinsorization, [-1, 2]);
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assert.ok(candidate, "The deployed Strategy 3 rule is missing from the audit artifact");
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assert.equal(candidate.rule.horizon, 12);
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assert.equal(candidate.rule.window, 3);
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assert.equal(candidate.rule.minMove, 0.08);
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assert.equal(candidate.rule.confirmation, "accelerating");
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assert.equal(candidate.passesHoldout, true);
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assert.equal(candidate.passesEventHoldout, true);
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assert.equal(candidate.passesArchive, false);
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for (const partition of ["train", "validation", "holdout", "eventHoldout"]) {
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assert.ok(candidate[partition].events >= 80, `${partition} lacks independent event support`);
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assert.ok(candidate[partition].lower > 0, `${partition} lower confidence bound is not positive`);
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}
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assert.equal(independent.activeMarketsSkipped, 2000);
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assert.equal(independent.markets, 1000);
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assert.equal(independent.observations, 246580);
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assert.equal(independent.methodology.costCents, 2);
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assert.deepEqual(independent.methodology.returnWinsorization, [-1, 2]);
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assert.equal(independent.exactStrategy3.rule.id, candidate.rule.id);
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for (const partition of ["train", "validation", "holdout", "eventHoldout"]) {
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assert.ok(independent.exactStrategy3[partition].mean > 0, `${partition} independent mean is not positive`);
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}
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assert.ok(independent.exactStrategy3.eventHoldout.events >= 60);
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assert.ok(independent.exactStrategy3.eventHoldout.lower > 0);
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assert.ok(independent.exactStrategy3.train.lower < 0, "Independent train limitation must remain visible");
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assert.ok(independent.exactStrategy3.holdout.lower < 0, "Independent chronological limitation must remain visible");
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console.log("shock audit artifact verified");
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