wehub-resource-sync
104 lines
4.1 KiB
Python
104 lines
4.1 KiB
Python
"""Tests for ``case_studies.utils.backtest_loaders.warmup_periods_for`` +
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``_calendar_days_per_period`` — the helpers that replaced the hardcoded
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``warmup_periods=126`` constant duplicated across 16 call-sites in 5 CSes.
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These tests close P2.8 of the roborev cleanup (review #2510 / #2511).
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"""
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from __future__ import annotations
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import yaml
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from case_studies.utils.backtest_loaders import (
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_calendar_days_per_period,
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_load_case_setup_yaml,
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warmup_periods_for,
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)
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# The expected per-CS warmup is the max over ``execution.allocator_lookback``
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# and any per-sweep allocator ``vol_window`` / ``lookback`` overrides. These
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# expectations are anchored on the current setup.yaml values; if a CS
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# tunes its allocator lookbacks, update the expected value here.
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_EXPECTED_WARMUP: dict[str, int] = {
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"etfs": 63,
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"crypto_perps_funding": 240,
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"nasdaq100_microstructure": 520,
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"us_equities_panel": 126, # mvo_ledoit_wolf lookback=126 > allocator_lookback=63
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"us_firm_characteristics": 12,
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"fx_pairs": 63,
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"cme_futures": 63,
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"sp500_options": 63,
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"sp500_equity_option_analytics": 126, # mvo_ledoit_wolf lookback=126
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}
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def test_warmup_periods_for_matches_setup_yaml() -> None:
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for cs, expected in _EXPECTED_WARMUP.items():
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actual = warmup_periods_for(cs)
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assert actual == expected, (
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f"warmup_periods_for({cs}) = {actual}, expected {expected} "
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f"(max of execution.allocator_lookback + sweep allocator overrides)"
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)
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def test_warmup_periods_for_unknown_returns_zero(tmp_path) -> None:
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# No setup.yaml → defaults to 0 (the unbounded fallback inside
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# load_backtest_prices_for then skips the prefix-day computation).
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assert warmup_periods_for("__nonexistent_cs__") == 0
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def test_warmup_periods_for_picks_max_over_overrides(tmp_path, monkeypatch) -> None:
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"""When a per-allocator override exceeds allocator_lookback, the helper
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must surface the override rather than the CS-level default."""
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fake_setup = {
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"execution": {"allocator_lookback": 50},
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"backtest": {
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"sweep": {
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"allocators": [
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{"name": "equal_weight"},
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{"name": "iv", "vol_window": 200},
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{"name": "mvo_lw", "lookback": 100},
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]
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}
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},
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}
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cs_dir = tmp_path / "fake_cs" / "config"
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cs_dir.mkdir(parents=True)
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(cs_dir / "setup.yaml").write_text(yaml.safe_dump(fake_setup))
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# Drop the cache so the synthetic CS gets a fresh read.
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_load_case_setup_yaml.cache_clear()
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from case_studies.utils.backtest_loaders import warmup_periods_for as wpf
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from utils.paths import get_case_study_dir as orig_get_dir
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def fake_get_dir(cs: str):
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if cs == "fake_cs":
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return tmp_path / "fake_cs"
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return orig_get_dir(cs)
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monkeypatch.setattr("case_studies.utils.backtest_loaders.get_case_study_dir", fake_get_dir)
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_load_case_setup_yaml.cache_clear()
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assert wpf("fake_cs") == 200
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def test_calendar_days_per_period_cadence_aware() -> None:
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# Daily NYSE cadence: 1.5× (weekend + holiday allowance)
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assert abs(_calendar_days_per_period("fx_pairs") - 1.5) < 1e-9
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assert abs(_calendar_days_per_period("us_equities_panel") - 1.5) < 1e-9
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# Weekly cadence: 7 calendar days per bar
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assert abs(_calendar_days_per_period("cme_futures") - 7.0) < 1e-9
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assert abs(_calendar_days_per_period("sp500_equity_option_analytics") - 7.0) < 1e-9
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# 8-hour cadence: ~0.333 day per bar (3 bars / 24h day)
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assert abs(_calendar_days_per_period("crypto_perps_funding") - 1.0 / 3.0) < 1e-9
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# 15-minute cadence: ~0.054 day per bar (1/26 trading day × 1.4 calendar buffer)
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assert _calendar_days_per_period("nasdaq100_microstructure") < 0.1
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# Monthly cadence: ~31 calendar days per bar
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assert abs(_calendar_days_per_period("us_firm_characteristics") - 31.0) < 1e-9
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def test_calendar_days_per_period_default_for_unknown_cs() -> None:
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# Falls back to the daily 1.5× heuristic when no setup.yaml is present
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# or the cadence token isn't in the lookup table.
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assert _calendar_days_per_period("__nonexistent_cs__") == 1.5
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