Gahow Wang
24663ebd35
Add tests for trend rider (integration, robustness, v4), US combo sweep, and US fundamentals modules.
66 lines
2.5 KiB
Python
66 lines
2.5 KiB
Python
import unittest
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import pandas as pd
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class USComboSweepTests(unittest.TestCase):
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def test_apply_filter_threshold_masks_names_below_rank_cutoff(self):
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from research.us_combo_sweep import apply_filter_threshold
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index = pd.DatetimeIndex([pd.Timestamp("2024-01-31")])
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score = pd.DataFrame({"AAA": [0.9], "BBB": [0.8], "CCC": [0.7]}, index=index)
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filter_rank = pd.DataFrame({"AAA": [0.2], "BBB": [0.6], "CCC": [0.9]}, index=index)
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filtered = apply_filter_threshold(score, filter_rank, min_rank=0.5)
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self.assertTrue(pd.isna(filtered.iloc[0]["AAA"]))
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self.assertEqual(float(filtered.iloc[0]["BBB"]), 0.8)
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self.assertEqual(float(filtered.iloc[0]["CCC"]), 0.7)
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def test_run_combo_backtests_returns_candidates_and_yearly_summary(self):
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from research.us_combo_sweep import run_combo_backtests
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dates = pd.date_range("2022-01-01", periods=800, freq="D")
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close = pd.DataFrame(
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{
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"AAA": [50.0 + 0.12 * i for i in range(800)],
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"BBB": [40.0 + 0.08 * i for i in range(800)],
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"CCC": [35.0 + 0.06 * i for i in range(800)],
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"DDD": [30.0 + 0.04 * i for i in range(800)],
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"EEE": [25.0 + 0.03 * i for i in range(800)],
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"FFF": [20.0 + 0.02 * i for i in range(800)],
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"GGG": [18.0 + 0.015 * i for i in range(800)],
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"HHH": [16.0 + 0.010 * i for i in range(800)],
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"III": [14.0 + 0.008 * i for i in range(800)],
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"JJJ": [12.0 + 0.005 * i for i in range(800)],
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"SPY": [300.0 + 0.20 * i for i in range(800)],
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},
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index=dates,
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)
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fundamental_score = pd.DataFrame(
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{
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"AAA": [0.95] * 800,
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"BBB": [0.90] * 800,
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"CCC": [0.85] * 800,
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"DDD": [0.80] * 800,
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"EEE": [0.75] * 800,
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"FFF": [0.70] * 800,
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"GGG": [0.65] * 800,
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"HHH": [0.60] * 800,
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"III": [0.55] * 800,
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"JJJ": [0.50] * 800,
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},
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index=dates,
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)
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yearly, summary = run_combo_backtests(close, fundamental_score, top_n=3)
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self.assertIn("Recovery+Mom Top10", yearly.columns)
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self.assertIn("rm_fund_tilt_20", yearly.columns)
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self.assertIn("rm_fund_filter_50", yearly.columns)
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self.assertIn("mega_quality_fund", set(summary["strategy"]))
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if __name__ == "__main__":
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unittest.main()
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