cyb50-quant/index-rotation/tests/test_compare.py

from __future__ import annotations

import json
import tempfile
import unittest
from pathlib import Path

from src.backtest.compare import build_rows, render_markdown_table


class CompareTests(unittest.TestCase):
    def test_build_rows_includes_momentum_profile_cost_label_and_relative_columns(self) -> None:
        temp_dir = tempfile.TemporaryDirectory()
        self.addCleanup(temp_dir.cleanup)
        root = Path(temp_dir.name)
        backtests_root = root / "outputs" / "backtests"
        result_dir = backtests_root / "demo_strategy"
        result_dir.mkdir(parents=True, exist_ok=True)

        (result_dir / "summary.json").write_text(
            json.dumps(
                {
                    "cumulative_return": 0.20,
                    "annual_return": 0.05,
                    "max_drawdown": -0.10,
                    "annual_volatility": 0.20,
                    "sharpe": 0.25,
                    "calmar": 0.50,
                    "turnover": 12.0,
                    "rebalance_count": 8,
                    "cash_days_ratio": 0.10,
                }
            ),
            encoding="utf-8",
        )
        (result_dir / "benchmark_summary.json").write_text(
            json.dumps(
                {
                    "equal_weight": {"cumulative_return": 0.15},
                    "hs300": {"cumulative_return": 0.08},
                    "chinext50": {"cumulative_return": 0.30},
                }
            ),
            encoding="utf-8",
        )

        frame = build_rows(
            backtests_root=backtests_root,
            strategy_configs={
                "demo_strategy": {
                    "name": "demo_strategy",
                    "top_n": 1,
                    "rebalance_frequency": "every_5_days",
                    "risk_penalty_multiplier": 0.5,
                    "commission_bps": 7.5,
                    "slippage_bps": 7.5,
                    "momentum_weights": {
                        "ret_5d": 0.25,
                        "ret_10d": 0.25,
                        "ret_20d": 0.30,
                        "ret_60d": 0.20,
                    },
                }
            },
            cost_scenarios={10.0: "optimistic", 15.0: "base", 20.0: "conservative"},
        )

        self.assertEqual(len(frame.index), 1)
        row = frame.iloc[0]
        self.assertEqual(row["cost_scenario"], "base")
        self.assertEqual(row["momentum_profile"], "5d=0.25, 10d=0.25, 20d=0.30, 60d=0.20")
        self.assertAlmostEqual(row["vs_equal_weight_cum"], 0.05)
        self.assertAlmostEqual(row["vs_hs300_cum"], 0.12)
        self.assertAlmostEqual(row["vs_chinext50_cum"], -0.10)
        markdown = render_markdown_table(frame)
        self.assertIn("Top1 Every 5 Days P05 Base 15bp Momentum Experiment", markdown)
        self.assertIn("5d=0.25, 10d=0.25, 20d=0.30, 60d=0.20", markdown)


if __name__ == "__main__":
    unittest.main()