test: add strategy and integration tests

Add tests for trend rider (integration, robustness, v4), US combo sweep, and US fundamentals modules.
2026-05-14 12:53:26 +08:00
parent 541f7bcf5b
commit 24663ebd35
5 changed files with 302 additions and 0 deletions
--- a/tests/test_us_fundamentals.py
+++ b/tests/test_us_fundamentals.py
@@ -0,0 +1,52 @@
+import unittest
+
+import pandas as pd
+
+
+class USFundamentalTransformsTests(unittest.TestCase):
+    def test_build_quarterly_factor_pack_derives_expected_signals(self):
+        from research.us_fundamentals import build_quarterly_factor_pack
+
+        quarter_ends = pd.to_datetime(
+            ["2023-03-31", "2023-06-30", "2023-09-30", "2023-12-31", "2024-03-31"]
+        )
+        close = pd.DataFrame(
+            {"AAA": [100.0, 105.0], "BBB": [50.0, 48.0]},
+            index=pd.to_datetime(["2024-06-03", "2024-06-04"]),
+        )
+        quarterly = {
+            "net_income": pd.DataFrame(
+                {"AAA": [10.0, 11.0, 12.0, 13.0, 14.0], "BBB": [4.0, 4.0, 5.0, 5.0, 5.0]},
+                index=quarter_ends,
+            ),
+            "gross_profit": pd.DataFrame(
+                {"AAA": [30.0, 31.0, 32.0, 33.0, 34.0], "BBB": [10.0, 10.0, 11.0, 11.0, 11.0]},
+                index=quarter_ends,
+            ),
+            "equity": pd.DataFrame(
+                {"AAA": [200.0, 205.0, 210.0, 215.0, 220.0], "BBB": [80.0, 81.0, 82.0, 83.0, 84.0]},
+                index=quarter_ends,
+            ),
+            "assets": pd.DataFrame(
+                {"AAA": [300.0, 305.0, 310.0, 315.0, 320.0], "BBB": [130.0, 131.0, 132.0, 133.0, 134.0]},
+                index=quarter_ends,
+            ),
+            "shares": pd.DataFrame(
+                {"AAA": [10.0, 10.0, 10.0, 10.0, 10.0], "BBB": [10.0, 10.0, 11.0, 11.0, 11.0]},
+                index=quarter_ends,
+            ),
+        }
+
+        factor_pack = build_quarterly_factor_pack(quarterly, close, lag_days=60)
+
+        self.assertIn("composite", factor_pack)
+        self.assertIn("book_to_market", factor_pack)
+        self.assertEqual(list(factor_pack["composite"].columns), ["AAA", "BBB"])
+        self.assertGreater(
+            float(factor_pack["composite"].iloc[-1]["AAA"]),
+            float(factor_pack["composite"].iloc[-1]["BBB"]),
+        )
+
+
+if __name__ == "__main__":
+    unittest.main()