67 lines
2.0 KiB
Python
67 lines
2.0 KiB
Python
"""runner_backtest 基准对齐/回撤/扩展指标 纯函数单测(B1)。"""
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import pytest
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from sanguo_portfolio.runner_backtest import (
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_align_benchmark,
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_compute_extended_metrics,
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_extract_drawdown,
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)
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EQ = [
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{"date": "2024-01-01", "equity": 100.0},
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{"date": "2024-01-02", "equity": 110.0},
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{"date": "2024-01-03", "equity": 99.0},
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{"date": "2024-01-04", "equity": 120.0},
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{"date": "2024-01-05", "equity": 90.0},
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]
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BD = [
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{"date": "2024-01-01", "close": 200.0},
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{"date": "2024-01-02", "close": 220.0},
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{"date": "2024-01-03", "close": 210.0},
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{"date": "2024-01-04", "close": 260.0},
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{"date": "2024-01-05", "close": 208.0},
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]
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def test_drawdown_series():
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dd = _extract_drawdown(EQ)
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vals = [p["drawdown"] for p in dd]
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assert vals[0] == 0.0 and vals[1] == 0.0 and vals[3] == 0.0
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assert vals[2] == pytest.approx(-10.0)
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assert vals[4] == pytest.approx(-25.0)
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def test_align_benchmark_normalizes_and_matches_length():
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bench = _align_benchmark(BD, EQ)
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assert len(bench) == len(EQ)
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assert bench[0]["benchmark"] == pytest.approx(1.0)
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assert bench[4]["benchmark"] == pytest.approx(1.04)
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def test_align_benchmark_ffill_missing_dates():
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bench = _align_benchmark(BD[:2], EQ)
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# 后 3 天无基准数据 → 前向填充 1.1
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assert [p["benchmark"] for p in bench] == [1.0, 1.1, 1.1, 1.1, 1.1]
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def test_align_benchmark_empty_inputs():
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assert _align_benchmark([], EQ) == []
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assert _align_benchmark(BD, []) == []
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def test_extended_metrics_values():
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bench = _align_benchmark(BD, EQ)
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m = _compute_extended_metrics(EQ, bench)
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assert m["benchmark_return"] == pytest.approx(4.0)
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assert m["excess_return"] == pytest.approx(-14.0) # -10% 策略 - +4% 基准
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assert m["beta"] == pytest.approx(1.0874, abs=1e-3)
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assert "annual_volatility" in m
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assert "sortino" in m
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assert "calmar" in m
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def test_extended_metrics_short_series():
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assert _compute_extended_metrics([{"date": "d", "equity": 1.0}], []) == {}
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assert _compute_extended_metrics([], []) == {}
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