f818bd3290
- Add WalkForwardResult model with train/test window metrics
- Create WalkForwardEngine that reuses existing BacktestEngine
with rolling train/test window splits
- Add POST/GET /api/backtest/{id}/walkforward endpoints
- Add Walk-forward tab to backtest detail page with parameter
controls, cumulative return chart, and window results table
- Add Alembic migration for walkforward_results table
- Add 8 unit tests for window generation logic (100 total passed)
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
116 lines
3.8 KiB
Python
116 lines
3.8 KiB
Python
"""
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Unit tests for WalkForwardEngine window generation logic.
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"""
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from datetime import date
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import pytest
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from app.services.backtest.walkforward_engine import WalkForwardEngine, Window
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class TestGenerateWindows:
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"""Test _generate_windows static method."""
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def test_basic_windows(self):
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"""2-year period with 12m train, 3m test, 3m step -> 4 windows."""
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windows = WalkForwardEngine._generate_windows(
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start=date(2020, 1, 1),
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end=date(2021, 12, 31),
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train_months=12,
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test_months=3,
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step_months=3,
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)
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assert len(windows) == 4
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assert windows[0].index == 0
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assert windows[0].train_start == date(2020, 1, 1)
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assert windows[0].train_end == date(2020, 12, 31)
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assert windows[0].test_start == date(2021, 1, 1)
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assert windows[0].test_end == date(2021, 3, 31)
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def test_single_window(self):
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"""Exactly 15 months -> 1 window with 12m train + 3m test."""
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windows = WalkForwardEngine._generate_windows(
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start=date(2020, 1, 1),
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end=date(2021, 3, 31),
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train_months=12,
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test_months=3,
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step_months=3,
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)
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assert len(windows) == 1
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assert windows[0].train_start == date(2020, 1, 1)
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assert windows[0].test_end == date(2021, 3, 31)
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def test_no_windows_period_too_short(self):
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"""Period shorter than train + test -> 0 windows."""
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windows = WalkForwardEngine._generate_windows(
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start=date(2020, 1, 1),
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end=date(2020, 12, 31),
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train_months=12,
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test_months=3,
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step_months=3,
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)
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assert len(windows) == 0
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def test_partial_last_window(self):
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"""Last window with partial test period is included."""
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windows = WalkForwardEngine._generate_windows(
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start=date(2020, 1, 1),
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end=date(2021, 2, 15),
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train_months=12,
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test_months=3,
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step_months=3,
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)
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assert len(windows) == 1
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assert windows[0].test_end == date(2021, 2, 15)
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def test_step_larger_than_test(self):
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"""step_months > test_months creates non-overlapping test windows."""
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windows = WalkForwardEngine._generate_windows(
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start=date(2019, 1, 1),
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end=date(2022, 12, 31),
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train_months=12,
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test_months=3,
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step_months=6,
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)
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assert len(windows) >= 2
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# test windows should not overlap
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for i in range(1, len(windows)):
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assert windows[i].test_start > windows[i - 1].test_end
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def test_monthly_step(self):
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"""step_months=1 creates many overlapping windows."""
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windows = WalkForwardEngine._generate_windows(
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start=date(2020, 1, 1),
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end=date(2021, 6, 30),
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train_months=6,
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test_months=3,
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step_months=1,
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)
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assert len(windows) >= 9
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def test_window_indices_sequential(self):
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"""Window indices should be sequential starting from 0."""
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windows = WalkForwardEngine._generate_windows(
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start=date(2019, 1, 1),
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end=date(2022, 12, 31),
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train_months=12,
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test_months=3,
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step_months=3,
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)
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for i, w in enumerate(windows):
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assert w.index == i
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def test_window_dates_consistent(self):
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"""train_end < test_start and test_start <= test_end for all windows."""
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windows = WalkForwardEngine._generate_windows(
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start=date(2019, 1, 1),
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end=date(2023, 12, 31),
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train_months=12,
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test_months=6,
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step_months=3,
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)
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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.train_end < w.test_start
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assert w.test_start <= w.test_end
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