yuqei
202 lines
8.1 KiB
Python
202 lines
8.1 KiB
Python
import os
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import contextlib
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import io
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import json
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import unittest
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from unittest.mock import patch
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from sqlalchemy.exc import OperationalError
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os.environ.setdefault("DATABASE_URL", "postgresql+psycopg://user:pass@localhost:5432/ai_ict_test")
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from scripts import run_backtest
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from scripts.run_backtest import build_cost_config_from_env, build_quality_gate_from_env, build_require_quality_gate_from_env, run_backtest_once
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from src.services.backtest import BacktestOutcome
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class RunBacktestScriptTests(unittest.TestCase):
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def test_build_cost_config_from_env_uses_zero_defaults(self) -> None:
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config = build_cost_config_from_env({})
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self.assertEqual(config.fee_rate, 0.0)
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self.assertEqual(config.slippage_rate, 0.0)
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self.assertEqual(config.fixed_cost_r, 0.0)
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def test_empty_env_overrides_ambient_backtest_settings(self) -> None:
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with patch.dict(
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os.environ,
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{
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"BACKTEST_FEE_RATE": "0.02",
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"BACKTEST_REQUIRE_QUALITY_GATE": "1",
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"BACKTEST_MIN_TOTAL_SIGNALS": "999",
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"BACKTEST_MIN_EXECUTED_SIGNALS": "888",
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},
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clear=False,
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):
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config = build_cost_config_from_env({})
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require_gate = build_require_quality_gate_from_env({})
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gate = build_quality_gate_from_env({})
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self.assertEqual(config.fee_rate, 0.0)
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self.assertFalse(require_gate)
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self.assertNotEqual(gate.min_total_signals, 999)
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self.assertNotEqual(gate.min_executed_signals, 888)
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def test_build_cost_config_from_env_reads_cost_values(self) -> None:
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config = build_cost_config_from_env(
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{
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"BACKTEST_FEE_RATE": "0.0005",
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"BACKTEST_SLIPPAGE_RATE": "0.0007",
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"BACKTEST_FIXED_COST_R": "0.05",
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}
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)
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self.assertEqual(config.fee_rate, 0.0005)
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self.assertEqual(config.slippage_rate, 0.0007)
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self.assertEqual(config.fixed_cost_r, 0.05)
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def test_build_require_quality_gate_from_env(self) -> None:
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self.assertFalse(build_require_quality_gate_from_env({}))
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self.assertFalse(build_require_quality_gate_from_env({"BACKTEST_REQUIRE_QUALITY_GATE": "0"}))
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self.assertTrue(build_require_quality_gate_from_env({"BACKTEST_REQUIRE_QUALITY_GATE": "true"}))
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self.assertTrue(build_require_quality_gate_from_env({"BACKTEST_REQUIRE_QUALITY_GATE": "1"}))
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def test_build_quality_gate_from_env_reads_thresholds(self) -> None:
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gate = build_quality_gate_from_env(
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{
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"BACKTEST_MIN_TOTAL_SIGNALS": "50",
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"BACKTEST_MIN_EXECUTED_SIGNALS": "20",
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"BACKTEST_MIN_EXPECTANCY_R": "0.1",
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"BACKTEST_MIN_PROFIT_FACTOR_R": "1.5",
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"BACKTEST_MAX_DRAWDOWN_R": "6.0",
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"BACKTEST_MAX_CONSECUTIVE_LOSSES": "3",
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}
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)
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self.assertEqual(gate.min_total_signals, 50)
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self.assertEqual(gate.min_executed_signals, 20)
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self.assertEqual(gate.min_expectancy_r, 0.1)
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self.assertEqual(gate.min_profit_factor_r, 1.5)
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self.assertEqual(gate.max_drawdown_r, 6.0)
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self.assertEqual(gate.max_consecutive_losses, 3)
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def test_run_backtest_once_allows_failed_quality_gate_when_not_required(self) -> None:
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service = FakeBacktestService([])
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output = io.StringIO()
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with contextlib.redirect_stdout(output):
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exit_code = run_backtest_once(service=service, instrument_id=3, limit=5, require_quality_gate=False)
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self.assertEqual(exit_code, 0)
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self.assertEqual(service.calls[0]["instrument_id"], 3)
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self.assertEqual(service.calls[0]["limit"], 5)
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self.assertIsNone(service.calls[0]["quality_gate"])
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self.assertIn("Backtest quality gate passed: False", output.getvalue())
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def test_run_backtest_once_blocks_failed_quality_gate_when_required(self) -> None:
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output = io.StringIO()
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with contextlib.redirect_stdout(output):
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exit_code = run_backtest_once(service=FakeBacktestService([]), require_quality_gate=True)
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self.assertEqual(exit_code, 2)
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self.assertIn("sample_size_too_small", output.getvalue())
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def test_run_backtest_once_passes_when_required_quality_gate_is_healthy(self) -> None:
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outcomes = [_build_win_outcome(signal_id=index) for index in range(100)]
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output = io.StringIO()
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with contextlib.redirect_stdout(output):
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exit_code = run_backtest_once(service=FakeBacktestService(outcomes), require_quality_gate=True)
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self.assertEqual(exit_code, 0)
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self.assertIn("Backtest quality gate passed: True", output.getvalue())
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def test_run_backtest_once_outputs_json_success_summary(self) -> None:
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outcomes = [_build_win_outcome(signal_id=index) for index in range(100)]
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output = io.StringIO()
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with contextlib.redirect_stdout(output):
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exit_code = run_backtest_once(service=FakeBacktestService(outcomes), require_quality_gate=True, output_json=True)
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payload = json.loads(output.getvalue())
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self.assertEqual(exit_code, 0)
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self.assertTrue(payload["passed"])
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self.assertTrue(payload["quality_gate_required"])
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self.assertEqual(payload["backtest_run_id"], 99)
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self.assertEqual(payload["result_count"], 100)
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self.assertTrue(payload["quality_gate"]["passed"])
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self.assertEqual(payload["quality_diagnostics"]["quality_state"], "passed")
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self.assertEqual(payload["summary"]["executed_signals"], 100)
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self.assertIn("quality_diagnostics", payload["summary"])
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def test_run_backtest_once_outputs_json_quality_failure(self) -> None:
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output = io.StringIO()
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with contextlib.redirect_stdout(output):
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exit_code = run_backtest_once(service=FakeBacktestService([]), require_quality_gate=True, output_json=True)
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payload = json.loads(output.getvalue())
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self.assertEqual(exit_code, 2)
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self.assertFalse(payload["passed"])
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self.assertFalse(payload["quality_gate"]["passed"])
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self.assertIn("sample_size_too_small", payload["quality_gate"]["reasons"])
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self.assertIn("expand_historical_signal_sample_before_rule_changes", payload["quality_diagnostics"]["recommended_actions"])
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def test_main_reports_database_unavailable(self) -> None:
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output = io.StringIO()
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with patch("scripts.run_backtest.BacktestService.run_backtest", side_effect=OperationalError("stmt", {}, Exception())), contextlib.redirect_stdout(output):
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exit_code = run_backtest.main()
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self.assertEqual(exit_code, 2)
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self.assertIn("Database unavailable for backtest sample: OperationalError", output.getvalue())
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def test_main_reports_database_unavailable_as_json(self) -> None:
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output = io.StringIO()
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with patch("scripts.run_backtest.BacktestService.run_backtest", side_effect=OperationalError("stmt", {}, Exception())), contextlib.redirect_stdout(output):
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exit_code = run_backtest.main(env={"BACKTEST_OUTPUT_JSON": "1"})
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payload = json.loads(output.getvalue())
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self.assertEqual(exit_code, 2)
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self.assertFalse(payload["passed"])
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self.assertEqual(payload["error_type"], "OperationalError")
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self.assertIsNone(payload["quality_gate"])
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class FakeBacktestService:
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def __init__(self, outcomes: list[BacktestOutcome]) -> None:
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self.outcomes = outcomes
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self.calls = []
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def run_backtest(self, **kwargs):
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self.calls.append(kwargs)
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return 99, self.outcomes
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def _build_win_outcome(signal_id: int) -> BacktestOutcome:
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return BacktestOutcome(
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signal_id=signal_id,
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outcome="win",
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mfe=2.0,
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mae=0.0,
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tp1_hit=True,
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tp2_hit=True,
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invalidated_before_entry=False,
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error_tags=[],
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meta={
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"signal_side": "buy",
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"session_codes": ["LONDON"],
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"weekday": "Wednesday",
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"mfe_r": 2.0,
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"mae_r": 0.0,
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"cost_r": 0.0,
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"r_multiple": 2.0,
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},
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)
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if __name__ == "__main__":
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unittest.main()
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