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117 lines
4.3 KiB
Python
117 lines
4.3 KiB
Python
"""Unit tests for libs/backtest/splits.py."""
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from __future__ import annotations
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import datetime as dt
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import pytest
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from libs.backtest.calendar import get_trading_days
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class TestGenerateWalkForwardWindows:
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def test_basic(self):
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from libs.backtest.splits import generate_walk_forward_windows
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dates = [dt.date(2026, 1, 1) + dt.timedelta(days=i) for i in range(400)]
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windows = generate_walk_forward_windows(dates, train_days=252, test_days=63, step_days=63)
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assert len(windows) > 0
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for w in windows:
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assert w.train_start < w.train_end
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assert w.test_start <= w.test_end
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assert w.train_end < w.test_start
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def test_no_windows_when_not_enough_data(self):
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from libs.backtest.splits import generate_walk_forward_windows
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dates = [dt.date(2026, 1, 1) + dt.timedelta(days=i) for i in range(10)]
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windows = generate_walk_forward_windows(dates, train_days=252, test_days=63)
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assert windows == []
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def test_window_indices(self):
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from libs.backtest.splits import generate_walk_forward_windows
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dates = [dt.date(2026, 1, 1) + dt.timedelta(days=i) for i in range(400)]
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windows = generate_walk_forward_windows(dates, train_days=100, test_days=50, step_days=50)
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for i, w in enumerate(windows):
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assert w.window_index == i
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def test_repr(self):
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from libs.backtest.splits import WalkForwardWindow
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w = WalkForwardWindow(
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0,
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dt.date(2026, 1, 1), dt.date(2026, 6, 1),
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dt.date(2026, 6, 2), dt.date(2026, 9, 1),
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)
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assert "WalkForwardWindow" in repr(w)
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class TestGenerateRobustnessWindows:
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def test_generates_expected_horizons_and_step_spacing(self):
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from libs.backtest.splits import generate_robustness_windows
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dates = [dt.date(2026, 1, 1) + dt.timedelta(days=i) for i in range(200)]
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windows = generate_robustness_windows(dates, horizons_days=[21, 63, 126], step_days=21)
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assert set(windows.keys()) == {21, 63, 126}
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assert all(len(windows[horizon]) > 0 for horizon in (21, 63, 126))
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for horizon, horizon_windows in windows.items():
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assert [window.window_index for window in horizon_windows] == list(range(len(horizon_windows)))
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assert all(window.start <= window.end for window in horizon_windows)
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assert all(window.horizon_days == horizon for window in horizon_windows)
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for previous, current in zip(horizon_windows, horizon_windows[1:]):
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assert (current.start - previous.start).days == 21
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def test_skips_horizons_without_enough_data(self):
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from libs.backtest.splits import generate_robustness_windows
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dates = [dt.date(2026, 1, 1) + dt.timedelta(days=i) for i in range(40)]
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windows = generate_robustness_windows(dates, horizons_days=[21, 63], step_days=21)
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assert 21 in windows
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assert len(windows[21]) > 0
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assert 63 not in windows or windows[63] == []
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class TestSplitByYear:
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def test_groups_by_year(self):
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from libs.backtest.splits import split_by_year
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dates = (
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[dt.date(2024, 12, i) for i in range(1, 10)]
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+ [dt.date(2025, 1, i) for i in range(1, 10)]
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)
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by_year = split_by_year(dates)
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assert 2024 in by_year
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assert 2025 in by_year
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assert all(d.year == 2024 for d in by_year[2024])
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assert all(d.year == 2025 for d in by_year[2025])
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def test_empty(self):
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from libs.backtest.splits import split_by_year
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assert split_by_year([]) == {}
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class TestSplitByRegime:
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def test_basic_grouping(self):
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from libs.backtest.splits import split_by_regime
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dates = [dt.date(2026, 1, i) for i in range(1, 11)]
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regime_map = {
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dt.date(2026, 1, 1): "bull",
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dt.date(2026, 1, 2): "bull",
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dt.date(2026, 1, 3): "bear",
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}
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grouped = split_by_regime(dates, regime_map)
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assert "bull" in grouped
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assert "bear" in grouped
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assert "unknown" in grouped # dates without regime
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def test_custom_default(self):
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from libs.backtest.splits import split_by_regime
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dates = [dt.date(2026, 1, 5)]
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grouped = split_by_regime(dates, {}, default_regime="neutral")
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assert "neutral" in grouped
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