"""Unit tests for libs.backtest.scoring.""" from __future__ import annotations import pytest from libs.backtest.scoring import ( _close_strength_score, _direction_clarity_score, _earnings_surprise_score, _event_quality_score, _gap_score, _parse_confidence_score, _reaction_score, _risk_penalty_score, _text_sentiment_score, _volume_score, compute_entry_score, ) class TestReactionScore: """Reaction day return scoring — simple directional mapping.""" def test_strong_positive(self): """Strong positive return (>3%).""" assert _reaction_score({"reaction_day_return": 0.05}) == 0.7 assert _reaction_score({"reaction_day_return": 0.15}) == 0.7 def test_positive(self): """Positive return (0-3%).""" assert _reaction_score({"reaction_day_return": 0.01}) == 0.6 assert _reaction_score({"reaction_day_return": 0.025}) == 0.6 assert _reaction_score({"reaction_day_return": 0.002}) == 0.6 def test_flat_to_mild_negative(self): """Flat to mild negative (0% to -2%).""" assert _reaction_score({"reaction_day_return": -0.01}) == 0.45 def test_moderate_negative(self): """Moderate negative (-5% to -2%).""" assert _reaction_score({"reaction_day_return": -0.03}) == 0.3 def test_strongly_bearish(self): """Strongly bearish (<-5%).""" assert _reaction_score({"reaction_day_return": -0.08}) == 0.2 def test_missing_returns_default(self): assert _reaction_score({}) == 0.5 class TestCloseStrengthScore: """Close location scoring.""" def test_near_high(self): score = _close_strength_score({"close_location": 0.9}) assert score == pytest.approx(0.91, abs=0.01) def test_near_low(self): score = _close_strength_score({"close_location": 0.1}) assert score == pytest.approx(0.19, abs=0.01) def test_midpoint(self): score = _close_strength_score({"close_location": 0.5}) assert score == pytest.approx(0.55, abs=0.01) def test_missing_returns_default(self): assert _close_strength_score({}) == 0.5 def test_clamped_above_1(self): """Values > 1.0 are clamped.""" score = _close_strength_score({"close_location": 1.5}) assert score == pytest.approx(1.0, abs=0.01) class TestVolumeScore: """Volume ratio scoring.""" def test_healthy_conviction(self): assert _volume_score({"volume_ratio_20d": 1.5}) == 0.8 def test_normal(self): assert _volume_score({"volume_ratio_20d": 1.1}) == 0.6 def test_high_possible_exhaustion(self): assert _volume_score({"volume_ratio_20d": 2.5}) == 0.55 def test_extreme_exhaustion(self): assert _volume_score({"volume_ratio_20d": 4.0}) == 0.4 def test_below_average(self): assert _volume_score({"volume_ratio_20d": 0.8}) == 0.3 def test_missing_returns_default(self): assert _volume_score({}) == 0.5 class TestGapScore: """Gap size scoring.""" def test_orderly_positive(self): assert _gap_score({"gap_size": 0.01}) == 0.8 def test_neutral(self): assert _gap_score({"gap_size": 0.002}) == 0.6 def test_extended(self): assert _gap_score({"gap_size": 0.03}) == 0.5 def test_exhaustion_gap(self): assert _gap_score({"gap_size": 0.07}) == 0.3 def test_mild_negative(self): assert _gap_score({"gap_size": -0.01}) == 0.4 def test_bearish_gap(self): assert _gap_score({"gap_size": -0.03}) == 0.2 def test_missing_returns_default(self): assert _gap_score({}) == 0.5 class TestComputeEntryScore: """Composite score tests.""" def test_all_missing_returns_neutral(self): """All features missing → all defaults at 0.5 → composite 0.5.""" score = compute_entry_score({}) assert score == pytest.approx(0.5, abs=0.02) def test_ideal_setup_scores_high(self): """Positive return + healthy volume (no event features → event=0.5). event=0.5*0.65 + reaction=0.6*0.20 + volume=0.8*0.15 ≈ 0.565 """ row = { "reaction_day_return": 0.01, # positive → 0.6 "volume_ratio_20d": 1.5, # conviction → 0.8 } score = compute_entry_score(row) assert score > 0.55 def test_bearish_setup_scores_low(self): """Negative return + below avg volume (no event features → event=0.5). event=0.5*0.65 + reaction=0.3*0.20 + volume=0.3*0.15 ≈ 0.43 """ row = { "reaction_day_return": -0.04, # moderate negative → 0.3 "volume_ratio_20d": 0.8, # no conviction → 0.3 } score = compute_entry_score(row) assert score < 0.45 def test_extreme_positive_penalized(self): """Very large positive reaction should be penalized.""" extreme = compute_entry_score({ "reaction_day_return": 0.15, # extreme → 0.2 "close_location": 0.7, "volume_ratio_20d": 3.5, # extreme volume → 0.4 "gap_size": 0.08, # exhaustion gap → 0.3 }) moderate = compute_entry_score({ "reaction_day_return": 0.015, # sweet spot → 0.9 "close_location": 0.7, "volume_ratio_20d": 1.5, # healthy → 0.8 "gap_size": 0.01, # orderly → 0.8 }) assert moderate > extreme def test_score_bounded_0_to_1(self): """Score is always in [0, 1].""" extremes = [ {"reaction_day_return": -0.5, "close_location": 0.0, "volume_ratio_20d": 0.1, "gap_size": -0.1}, {"reaction_day_return": 0.5, "close_location": 1.0, "volume_ratio_20d": 10.0, "gap_size": 0.2}, ] for row in extremes: score = compute_entry_score(row) assert 0.0 <= score <= 1.0 def test_aapl_like_scores_highest(self): """AAPL-like setup (moderate +, close near high) scores well.""" aapl = compute_entry_score({ "reaction_day_return": 0.007, "close_location": 0.74, "volume_ratio_20d": 1.45, "gap_size": 0.006, }) # DDOG-like: extreme positive, high volume ddog = compute_entry_score({ "reaction_day_return": 0.137, "close_location": 0.63, "volume_ratio_20d": 2.83, "gap_size": 0.089, }) assert aapl > ddog, f"AAPL-like {aapl:.3f} should beat DDOG-like {ddog:.3f}" def test_real_data_scores(self): """Verify scores for real data samples match expectations. With no event features, both get event=0.5. TSLA: 0.5*0.65 + 0.3*0.20 + 0.6*0.15 = 0.475 AAPL: 0.5*0.65 + 0.6*0.20 + 0.8*0.15 = 0.565 """ # TSLA 1/2: bearish (return -2.6%) tsla = compute_entry_score({ "reaction_day_return": -0.026, "volume_ratio_20d": 1.13, }) # AAPL 1/29: bullish (moderate +) aapl = compute_entry_score({ "reaction_day_return": 0.007, "volume_ratio_20d": 1.45, }) assert aapl > 0.55, f"AAPL should be above 0.55, got {aapl:.3f}" assert tsla < 0.49, f"TSLA should be below 0.49, got {tsla:.3f}" assert aapl > tsla def test_event_features_boost_score(self): """Strong event features should boost overall score.""" market_only = compute_entry_score({ "reaction_day_return": 0.01, "close_location": 0.6, "volume_ratio_20d": 1.5, "gap_size": 0.01, }) with_events = compute_entry_score({ "reaction_day_return": 0.01, "close_location": 0.6, "volume_ratio_20d": 1.5, "gap_size": 0.01, "signal_strength_score": 0.8, "guidance_direction_score": 1.0, "document_quality_score": 0.7, "oneoff_penalty": 0.0, }) assert with_events > market_only def test_removed_features_dont_affect_composite(self): """Changing non-alpha features should not change composite score. eps_growth_qoq, oneoff_penalty, parse_confidence_overall, event_direction, and lm_net_sentiment are excluded from composite. """ base_row = { "reaction_day_return": 0.01, "close_location": 0.6, "volume_ratio_20d": 1.5, "gap_size": 0.01, } base_score = compute_entry_score(base_row) # Varying removed features should not change score for extra in [ {"eps_growth_qoq": 0.50}, {"oneoff_penalty": 1.0}, {"parse_confidence_overall": 0.9}, {"event_direction": "bullish"}, {"lm_net_sentiment": 0.01}, ]: row = {**base_row, **extra} assert compute_entry_score(row) == pytest.approx(base_score), ( f"Feature {list(extra.keys())[0]} should not affect composite" ) class TestEarningsSurpriseScore: """Earnings surprise (SUE) scoring.""" def test_strong_beat(self): assert _earnings_surprise_score({"event_type": "earnings_release", "eps_growth_qoq": 0.30}) == 0.9 def test_moderate_beat(self): assert _earnings_surprise_score({"event_type": "earnings_release", "eps_growth_qoq": 0.10}) == 0.75 def test_inline(self): assert _earnings_surprise_score({"event_type": "earnings_release", "eps_growth_qoq": 0.0}) == 0.5 def test_moderate_miss(self): assert _earnings_surprise_score({"event_type": "earnings_release", "eps_growth_qoq": -0.10}) == 0.25 def test_severe_miss(self): assert _earnings_surprise_score({"event_type": "earnings_release", "eps_growth_qoq": -0.30}) == 0.1 def test_non_earnings_returns_neutral(self): assert _earnings_surprise_score({"event_type": "guidance_update", "eps_growth_qoq": 0.30}) == 0.5 def test_missing_returns_neutral(self): assert _earnings_surprise_score({"event_type": "earnings_release"}) == 0.5 def test_no_event_type_returns_neutral(self): assert _earnings_surprise_score({}) == 0.5 class TestEventQualityScore: """Event quality scoring.""" def test_strong_signals(self): score = _event_quality_score({ "signal_strength_score": 0.8, "guidance_direction_score": 1.0, "document_quality_score": 0.7, }) assert score > 0.7 def test_weak_signals(self): score = _event_quality_score({ "signal_strength_score": 0.0, "guidance_direction_score": 0.0, "document_quality_score": 0.3, }) assert score < 0.15 def test_missing_returns_neutral(self): assert _event_quality_score({}) == 0.5 def test_partial_features(self): """Works with only some event features present.""" score = _event_quality_score({"signal_strength_score": 0.8}) assert score == pytest.approx(0.8, abs=0.01) class TestRiskPenaltyScore: """Risk penalty scoring.""" def test_no_risk(self): assert _risk_penalty_score({"oneoff_penalty": 0.0}) == pytest.approx(0.9) def test_max_risk(self): assert _risk_penalty_score({"oneoff_penalty": 1.0}) == pytest.approx(0.2) def test_moderate_risk(self): score = _risk_penalty_score({"oneoff_penalty": 0.5}) assert 0.4 < score < 0.7 def test_missing_returns_neutral(self): assert _risk_penalty_score({}) == 0.5 class TestParseConfidenceScore: """Parse confidence scoring.""" def test_high_confidence(self): assert _parse_confidence_score({"parse_confidence_overall": 0.9}) == 0.9 def test_moderate_confidence(self): assert _parse_confidence_score({"parse_confidence_overall": 0.7}) == 0.7 def test_borderline_confidence(self): assert _parse_confidence_score({"parse_confidence_overall": 0.55}) == 0.5 def test_low_confidence(self): assert _parse_confidence_score({"parse_confidence_overall": 0.45}) == 0.3 def test_very_low_confidence(self): assert _parse_confidence_score({"parse_confidence_overall": 0.3}) == 0.2 def test_missing_returns_neutral(self): assert _parse_confidence_score({}) == 0.5 class TestDirectionClarityScore: """Direction clarity scoring.""" def test_bullish(self): assert _direction_clarity_score({"event_direction": "bullish"}) == 0.9 def test_mixed(self): assert _direction_clarity_score({"event_direction": "mixed"}) == 0.4 def test_neutral(self): assert _direction_clarity_score({"event_direction": "neutral"}) == 0.3 def test_bearish(self): assert _direction_clarity_score({"event_direction": "bearish"}) == 0.1 def test_unknown(self): assert _direction_clarity_score({"event_direction": "unknown"}) == 0.2 def test_missing_returns_neutral(self): assert _direction_clarity_score({}) == 0.5