claude_dev
d73bbe6841
spec §4.5 决议 L 六件之 2:一处定义三处调用;frozen dataclass;压线=过; thresholds_from_overrides 支撑「代码默认+每机运行值」两级阈值。 Co-Authored-By: Claude Code <noreply@anthropic.com>
126 lines
4.7 KiB
Python
126 lines
4.7 KiB
Python
# tests/portfolio/test_promotion_gate.py
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"""gate 纯函数 TDD——spec §4.5 决议 L 六件之 2(默认值逐字抄 spec).
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回测 gate=夏普>=1.0+最大回撤<=30%;影子毕业 gate=4 周+TE 年化<=5%+fillRate>=95%
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+周均收益偏差<=3%。一处定义三处调用(转移闸门/梯子页/回测报告)。
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"""
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import pytest
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from sanguo_portfolio.promotion_gate import (
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DEFAULT_THRESHOLDS,
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THRESHOLD_KEYS,
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GateThresholds,
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evaluate_backtest_gate,
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evaluate_shadow_gate,
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thresholds_from_overrides,
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)
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def test_default_thresholds_match_spec():
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t = DEFAULT_THRESHOLDS
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assert t.backtest_sharpe_min == 1.0
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assert t.backtest_max_dd == 0.30
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assert t.shadow_weeks_min == 4
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assert t.shadow_te_annual_max == 0.05
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assert t.shadow_fill_rate_min == 0.95
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assert t.shadow_weekly_dev_max == 0.03
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assert THRESHOLD_KEYS == ("backtest_sharpe_min", "backtest_max_dd",
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"shadow_weeks_min", "shadow_te_annual_max",
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"shadow_fill_rate_min", "shadow_weekly_dev_max")
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def test_backtest_gate_pass_and_fail():
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ok = evaluate_backtest_gate(sharpe=1.4, max_dd=0.22)
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assert ok.passed and len(ok.checks) == 2
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bad_sharpe = evaluate_backtest_gate(sharpe=0.9, max_dd=0.22)
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assert not bad_sharpe.passed
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bad_dd = evaluate_backtest_gate(sharpe=1.4, max_dd=0.35)
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assert not bad_dd.passed
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def test_shadow_gate_all_four_checks():
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ok = evaluate_shadow_gate(weeks=4, te_annual=0.04, fill_rate=0.97,
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weekly_dev=0.01)
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assert ok.passed and len(ok.checks) == 4
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short = evaluate_shadow_gate(weeks=3, te_annual=0.04, fill_rate=0.97,
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weekly_dev=0.01)
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assert not short.passed
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te = evaluate_shadow_gate(weeks=4, te_annual=0.06, fill_rate=0.97,
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weekly_dev=0.01)
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assert not te.passed
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fill = evaluate_shadow_gate(weeks=4, te_annual=0.04, fill_rate=0.90,
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weekly_dev=0.01)
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assert not fill.passed
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dev = evaluate_shadow_gate(weeks=4, te_annual=0.04, fill_rate=0.97,
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weekly_dev=0.05)
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assert not dev.passed
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def test_boundary_is_inclusive():
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# 恰好压线=过(>=1.0 / <=0.30 / >=4 / <=0.05 / >=0.95 / <=0.03)
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assert evaluate_backtest_gate(sharpe=1.0, max_dd=0.30).passed
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assert evaluate_shadow_gate(weeks=4, te_annual=0.05, fill_rate=0.95,
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weekly_dev=0.03).passed
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def test_to_dict_roundtrip_for_snapshot():
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r = evaluate_shadow_gate(weeks=4, te_annual=0.04, fill_rate=0.97,
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weekly_dev=0.01)
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d = r.to_dict()
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assert d["passed"] is True and d["checks"][0]["key"] == "shadow_weeks_min"
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def test_thresholds_from_overrides_and_unknown_key():
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t = thresholds_from_overrides({"backtest_sharpe_min": 1.2})
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assert t.backtest_sharpe_min == 1.2 and t.shadow_weeks_min == 4
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with pytest.raises(ValueError, match="未知阈值键"):
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thresholds_from_overrides({"nope": 1.0})
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def test_frozen():
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with pytest.raises(Exception):
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DEFAULT_THRESHOLDS.backtest_sharpe_min = 2.0 # type: ignore[misc]
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def test_cli_backtest_explicit_flags(capsys):
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from sanguo_portfolio.promotion_gate import main
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rc = main(["backtest", "--sharpe", "1.4", "--max-dd", "0.22"])
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assert rc == 0
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out = capsys.readouterr().out
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assert '"passed": true' in out
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def test_cli_backtest_task_id_reads_stats(tmp_path, capsys):
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import json
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import sqlite3
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p = str(tmp_path / "bt.db")
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conn = sqlite3.connect(p)
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conn.execute("CREATE TABLE backtest_stats (id INTEGER PRIMARY KEY "
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"AUTOINCREMENT, task_id TEXT, statistics TEXT, equity_path TEXT)")
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conn.execute("INSERT INTO backtest_stats(task_id, statistics) VALUES(?,?)",
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("bt1", json.dumps({"sharpe_ratio": 1.05, "max_drawdown": 0.28})))
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conn.commit()
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conn.close()
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from sanguo_portfolio.promotion_gate import main
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rc = main(["backtest", "--task-id", "bt1", "--db", p])
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assert rc == 0
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out = capsys.readouterr().out
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assert '"passed": true' in out and '"value": 1.05' in out
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def test_cli_task_id_missing_keys_errors(tmp_path, capsys):
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import json
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import sqlite3
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p = str(tmp_path / "bt.db")
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conn = sqlite3.connect(p)
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conn.execute("CREATE TABLE backtest_stats (id INTEGER PRIMARY KEY "
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"AUTOINCREMENT, task_id TEXT, statistics TEXT, equity_path TEXT)")
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conn.execute("INSERT INTO backtest_stats(task_id, statistics) VALUES(?,?)",
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("bt2", json.dumps({"total_return": 0.2})))
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conn.commit()
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conn.close()
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from sanguo_portfolio.promotion_gate import main
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rc = main(["backtest", "--task-id", "bt2", "--db", p])
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assert rc == 1
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assert "显式" in capsys.readouterr().err
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