288 lines
8.7 KiB
Python
288 lines
8.7 KiB
Python
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"""
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Backtest engine unit tests
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"""
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import pytest
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from datetime import date, datetime
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from decimal import Decimal
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from app.backtest.engine import BacktestEngine
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from app.backtest.portfolio import BacktestPortfolio, Position
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from app.backtest.rebalancer import Rebalancer
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from app.backtest.metrics import (
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calculate_total_return,
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calculate_cagr,
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calculate_sharpe_ratio,
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calculate_sortino_ratio,
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calculate_max_drawdown,
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calculate_volatility,
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calculate_win_rate,
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calculate_calmar_ratio,
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)
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@pytest.mark.unit
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class TestBacktestMetrics:
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"""Test backtest performance metrics"""
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def test_total_return_positive(self):
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"""Test total return calculation with profit"""
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returns = [0.01, 0.02, -0.01, 0.03, 0.01]
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result = calculate_total_return(returns)
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assert result > 0
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def test_total_return_negative(self):
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"""Test total return calculation with loss"""
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returns = [-0.01, -0.02, -0.01, 0.01, -0.01]
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result = calculate_total_return(returns)
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assert result < 0
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def test_cagr_calculation(self):
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"""Test CAGR calculation"""
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initial = 10000000
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final = 12000000
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years = 2.0
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cagr = calculate_cagr(initial, final, years)
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# CAGR should be around 9.54%
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assert 9.0 < cagr < 10.0
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def test_sharpe_ratio_calculation(self):
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"""Test Sharpe ratio calculation"""
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returns = [0.01, 0.02, -0.01, 0.03, 0.01, 0.02]
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sharpe = calculate_sharpe_ratio(returns, risk_free_rate=0.0)
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# Positive returns should give positive Sharpe
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assert sharpe > 0
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def test_sharpe_ratio_zero_std(self):
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"""Test Sharpe ratio with zero std dev"""
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returns = [0.0, 0.0, 0.0]
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sharpe = calculate_sharpe_ratio(returns)
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# Should return 0 or handle gracefully
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assert sharpe == 0.0
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def test_sortino_ratio_calculation(self):
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"""Test Sortino ratio calculation"""
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returns = [0.01, 0.02, -0.01, 0.03, -0.02, 0.01]
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sortino = calculate_sortino_ratio(returns)
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# Should be calculated
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assert isinstance(sortino, float)
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def test_max_drawdown_calculation(self):
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"""Test MDD calculation"""
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equity_curve = [
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{"date": "2023-01-01", "value": 10000000},
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{"date": "2023-02-01", "value": 11000000},
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{"date": "2023-03-01", "value": 9500000}, # Drawdown
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{"date": "2023-04-01", "value": 10500000},
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]
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mdd = calculate_max_drawdown(equity_curve)
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# Should be negative
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assert mdd < 0
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# Should be around -13.6% ((9500000 - 11000000) / 11000000)
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assert -15 < mdd < -13
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def test_max_drawdown_no_drawdown(self):
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"""Test MDD with no drawdown (only upward)"""
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equity_curve = [
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{"date": "2023-01-01", "value": 10000000},
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{"date": "2023-02-01", "value": 11000000},
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{"date": "2023-03-01", "value": 12000000},
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]
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mdd = calculate_max_drawdown(equity_curve)
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# Should be 0 or very small
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assert mdd >= -0.01
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def test_volatility_calculation(self):
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"""Test volatility calculation"""
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returns = [0.01, -0.01, 0.02, -0.02, 0.01]
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volatility = calculate_volatility(returns)
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# Annualized volatility should be positive
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assert volatility > 0
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def test_win_rate_calculation(self):
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"""Test win rate calculation"""
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trades = [
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{"pnl": 100000},
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{"pnl": -50000},
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{"pnl": 200000},
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{"pnl": -30000},
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{"pnl": 150000},
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]
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win_rate = calculate_win_rate(trades)
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# 3 wins out of 5 = 60%
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assert win_rate == 60.0
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def test_win_rate_all_wins(self):
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"""Test win rate with all winning trades"""
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trades = [
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{"pnl": 100000},
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{"pnl": 200000},
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{"pnl": 150000},
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]
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win_rate = calculate_win_rate(trades)
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assert win_rate == 100.0
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def test_win_rate_no_trades(self):
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"""Test win rate with no trades"""
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trades = []
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win_rate = calculate_win_rate(trades)
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assert win_rate == 0.0
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def test_calmar_ratio_calculation(self):
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"""Test Calmar ratio calculation"""
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cagr = 15.0
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max_drawdown_pct = -20.0
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calmar = calculate_calmar_ratio(cagr, max_drawdown_pct)
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# Calmar = CAGR / abs(MDD) = 15 / 20 = 0.75
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assert abs(calmar - 0.75) < 0.01
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def test_calmar_ratio_zero_mdd(self):
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"""Test Calmar ratio with zero MDD"""
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cagr = 15.0
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max_drawdown_pct = 0.0
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calmar = calculate_calmar_ratio(cagr, max_drawdown_pct)
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# Should return 0 or inf, handled gracefully
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assert calmar >= 0
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@pytest.mark.unit
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class TestBacktestPortfolio:
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"""Test backtest portfolio management"""
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def test_add_position(self):
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"""Test adding a position"""
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portfolio = BacktestPortfolio(initial_cash=10000000, commission_rate=0.0015)
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portfolio.add_position("005930", 100, 70000)
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assert "005930" in portfolio.positions
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assert portfolio.positions["005930"].quantity == 100
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assert portfolio.positions["005930"].avg_price == 70000
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# Cash should be reduced
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expected_cash = 10000000 - (100 * 70000 * 1.0015)
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assert abs(portfolio.cash - expected_cash) < 1
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def test_remove_position(self):
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"""Test removing a position"""
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portfolio = BacktestPortfolio(initial_cash=10000000, commission_rate=0.0015)
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portfolio.add_position("005930", 100, 70000)
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portfolio.remove_position("005930", 100, 72000)
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# Position should be removed
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assert "005930" not in portfolio.positions or portfolio.positions["005930"].quantity == 0
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# Cash should increase (profit)
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assert portfolio.cash > 10000000 - (100 * 70000 * 1.0015)
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def test_partial_remove_position(self):
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"""Test partially removing a position"""
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portfolio = BacktestPortfolio(initial_cash=10000000, commission_rate=0.0015)
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portfolio.add_position("005930", 100, 70000)
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portfolio.remove_position("005930", 50, 72000)
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# Position should have 50 remaining
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assert portfolio.positions["005930"].quantity == 50
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def test_portfolio_value(self):
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"""Test portfolio value calculation"""
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portfolio = BacktestPortfolio(initial_cash=10000000, commission_rate=0.0015)
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portfolio.add_position("005930", 100, 70000)
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portfolio.add_position("000660", 50, 120000)
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current_prices = {"005930": 75000, "000660": 125000}
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total_value = portfolio.get_total_value(current_prices)
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# Total = cash + (100 * 75000) + (50 * 125000)
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positions_value = 100 * 75000 + 50 * 125000
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expected_total = portfolio.cash + positions_value
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assert abs(total_value - expected_total) < 1
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@pytest.mark.unit
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class TestRebalancer:
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"""Test rebalancing logic"""
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def test_rebalance_equal_weight(self):
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"""Test equal-weight rebalancing"""
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rebalancer = Rebalancer()
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target_stocks = {
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"005930": {"weight": 0.5},
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"000660": {"weight": 0.5},
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}
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current_prices = {
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"005930": 70000,
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"000660": 120000,
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}
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current_positions = {}
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available_cash = 10000000
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sell_trades, buy_trades = rebalancer.rebalance(
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target_stocks=target_stocks,
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current_positions=current_positions,
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current_prices=current_prices,
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total_value=available_cash,
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commission_rate=0.0015
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)
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# Should have buy trades for both stocks
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assert len(sell_trades) == 0
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assert len(buy_trades) == 2
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def test_rebalance_with_existing_positions(self):
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"""Test rebalancing with existing positions"""
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rebalancer = Rebalancer()
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target_stocks = {
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"005930": {"weight": 0.6},
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"000660": {"weight": 0.4},
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}
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current_prices = {
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"005930": 70000,
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"000660": 120000,
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}
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# Current: 50/50 split, need to rebalance to 60/40
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current_positions = {
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"005930": Position(ticker="005930", quantity=71, avg_price=70000),
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"000660": Position(ticker="000660", quantity=41, avg_price=120000),
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}
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# Total value = 71 * 70000 + 41 * 120000 = 9,890,000
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total_value = 71 * 70000 + 41 * 120000
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sell_trades, buy_trades = rebalancer.rebalance(
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target_stocks=target_stocks,
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current_positions=current_positions,
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current_prices=current_prices,
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total_value=total_value,
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commission_rate=0.0015
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)
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# Should have some rebalancing trades
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assert len(sell_trades) + len(buy_trades) > 0
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