wehub-resource-sync
58 lines
2.2 KiB
Python
58 lines
2.2 KiB
Python
from __future__ import annotations
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from case_studies.utils.backtest_loaders import (
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get_backtest_config,
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load_backtest_prices,
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)
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from utils.modeling import load_modeling_dataset
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def test_us_equities_pilot_helpers_preserve_current_outputs() -> None:
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bt = get_backtest_config("us_equities_panel")
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prices = load_backtest_prices("us_equities_panel", max_symbols=2)
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mds = load_modeling_dataset("us_equities_panel", "fwd_ret_1d", max_symbols=2)
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assert bt.primary_label == "fwd_ret_1d"
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assert bt.label_buffer == "1D"
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assert bt.calendar == "NYSE"
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assert bt.cadence == "daily_close"
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assert prices.columns == ["symbol", "timestamp", "open", "high", "low", "close", "volume"]
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assert prices["symbol"].n_unique() == 2
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assert mds.label_col == "fwd_ret_1d"
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assert mds.date_col == "timestamp"
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assert mds.entity_cols == ["symbol"]
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assert mds.join_cols == ["symbol", "timestamp"]
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assert len(mds.feature_names) == 72
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assert len(mds.splits) == 16
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assert mds.label_buffer == "1D"
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assert mds.task_type == "regression"
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def test_microstructure_pilot_helpers_preserve_current_outputs() -> None:
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bt = get_backtest_config("nasdaq100_microstructure")
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prices = load_backtest_prices("nasdaq100_microstructure", max_symbols=2)
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mds = load_modeling_dataset("nasdaq100_microstructure", "fwd_ret_15m", max_symbols=2)
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assert bt.primary_label == "fwd_ret_15m"
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assert bt.label_buffer == "15min"
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assert bt.calendar == "NYSE"
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assert bt.cadence == "15_minute"
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# Microstructure carries OHLCV + bid/ask OHLC so the backtest engine can
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# cost spread-aware fills.
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required_cols = ["symbol", "timestamp", "open", "high", "low", "close", "volume"]
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assert all(c in prices.columns for c in required_cols)
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assert "bid_close" in prices.columns and "ask_close" in prices.columns
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assert prices["symbol"].n_unique() == 2
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assert mds.label_col == "fwd_ret_15m"
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assert mds.date_col == "timestamp"
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assert mds.entity_cols == ["symbol"]
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assert mds.join_cols == ["symbol", "timestamp"]
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assert len(mds.feature_names) == 88
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assert len(mds.splits) == 2
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assert mds.label_buffer == "15min"
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assert mds.task_type == "regression"
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