foxhunt/ml/tests/walk_forward_validation_tests.rs

#[cfg(test)]
mod walk_forward_tests {
    use chrono::{DateTime, Duration, Utc};

    /// Test data structure representing temporal market data
    #[derive(Debug, Clone)]
    struct TemporalDataPoint {
        timestamp: DateTime<Utc>,
        features: Vec<f32>,
        target: f32,
    }

    /// Walk-forward validation configuration
    #[derive(Debug, Clone)]
    struct WalkForwardConfig {
        train_window_days: i64,
        validation_window_days: i64,
        embargo_days: i64,
        step_days: i64,
    }

    /// Result of a single fold in walk-forward validation
    #[derive(Debug)]
    struct FoldResult {
        train_start: DateTime<Utc>,
        train_end: DateTime<Utc>,
        embargo_start: DateTime<Utc>,
        embargo_end: DateTime<Utc>,
        val_start: DateTime<Utc>,
        val_end: DateTime<Utc>,
        train_indices: Vec<usize>,
        val_indices: Vec<usize>,
    }

    // Helper function to generate mock temporal data
    fn generate_mock_data(start_date: DateTime<Utc>, num_days: usize) -> Vec<TemporalDataPoint> {
        (0..num_days)
            .map(|i| TemporalDataPoint {
                timestamp: start_date + Duration::days(i as i64),
                features: vec![i as f32; 10],
                target: (i as f32) * 0.01,
            })
            .collect()
    }

    // Mock walk-forward split function (to be implemented)
    fn walk_forward_split(
        data: &[TemporalDataPoint],
        config: &WalkForwardConfig,
    ) -> Vec<FoldResult> {
        // This will be implemented in the actual codebase
        // For now, return empty vec to make tests compilable but failing
        vec![]
    }

    #[test]
    fn test_temporal_split_maintains_order() {
        // GIVEN: A dataset with known temporal ordering
        let start_date = Utc::now();
        let data = generate_mock_data(start_date, 365);

        let config = WalkForwardConfig {
            train_window_days: 90,
            validation_window_days: 30,
            embargo_days: 5,
            step_days: 30,
        };

        // WHEN: We perform walk-forward validation splits
        let folds = walk_forward_split(&data, &config);

        // THEN: Every fold must maintain temporal order
        for fold in &folds {
            // Training data must come before embargo period
            assert!(
                fold.train_end <= fold.embargo_start,
                "Training period must end before embargo period starts. \
                 Train end: {:?}, Embargo start: {:?}",
                fold.train_end,
                fold.embargo_start
            );

            // Embargo period must come before validation period
            assert!(
                fold.embargo_end <= fold.val_start,
                "Embargo period must end before validation period starts. \
                 Embargo end: {:?}, Val start: {:?}",
                fold.embargo_end,
                fold.val_start
            );

            // Overall: train_start < train_end < embargo_start < embargo_end < val_start < val_end
            assert!(fold.train_start < fold.train_end);
            assert!(fold.embargo_start < fold.embargo_end);
            assert!(fold.val_start < fold.val_end);

            // Verify indices maintain temporal order
            for window in fold.train_indices.windows(2) {
                let earlier_timestamp = data[window[0]].timestamp;
                let later_timestamp = data[window[1]].timestamp;
                assert!(
                    earlier_timestamp <= later_timestamp,
                    "Training indices must be in temporal order"
                );
            }

            for window in fold.val_indices.windows(2) {
                let earlier_timestamp = data[window[0]].timestamp;
                let later_timestamp = data[window[1]].timestamp;
                assert!(
                    earlier_timestamp <= later_timestamp,
                    "Validation indices must be in temporal order"
                );
            }
        }
    }

    #[test]
    fn test_embargo_period_prevents_leakage() {
        // GIVEN: A dataset with daily data points
        let start_date = Utc::now();
        let data = generate_mock_data(start_date, 365);

        let config = WalkForwardConfig {
            train_window_days: 90,
            validation_window_days: 30,
            embargo_days: 5, // Critical gap to prevent leakage
            step_days: 30,
        };

        // WHEN: We perform walk-forward validation splits
        let folds = walk_forward_split(&data, &config);

        // THEN: There must be exactly embargo_days gap between train and validation
        for fold in &folds {
            // Calculate actual gap duration
            let gap_duration = fold.val_start.signed_duration_since(fold.train_end);
            let expected_gap = Duration::days(config.embargo_days);

            assert_eq!(
                gap_duration,
                expected_gap,
                "Embargo period must be exactly {} days. Found: {} days",
                config.embargo_days,
                gap_duration.num_days()
            );

            // Verify no data points exist in embargo period
            for &train_idx in &fold.train_indices {
                let train_timestamp = data[train_idx].timestamp;
                assert!(
                    train_timestamp < fold.embargo_start,
                    "Training data timestamp ({:?}) must not overlap with embargo period ({:?} to {:?})",
                    train_timestamp,
                    fold.embargo_start,
                    fold.embargo_end
                );
            }

            for &val_idx in &fold.val_indices {
                let val_timestamp = data[val_idx].timestamp;
                assert!(
                    val_timestamp >= fold.embargo_end,
                    "Validation data timestamp ({:?}) must not overlap with embargo period ({:?} to {:?})",
                    val_timestamp,
                    fold.embargo_start,
                    fold.embargo_end
                );
            }

            // Verify embargo period is strictly empty
            let embargo_data_count = data
                .iter()
                .filter(|d| d.timestamp >= fold.embargo_start && d.timestamp < fold.embargo_end)
                .count();

            assert!(
                embargo_data_count > 0,
                "Embargo period should contain data points that are excluded from both train and val"
            );
        }
    }

    #[test]
    fn test_multiple_folds_cover_data() {
        // GIVEN: A dataset spanning 365 days
        let start_date = Utc::now();
        let data = generate_mock_data(start_date, 365);

        let config = WalkForwardConfig {
            train_window_days: 90,
            validation_window_days: 30,
            embargo_days: 5,
            step_days: 30, // Move forward 30 days each fold
        };

        // WHEN: We perform walk-forward validation splits
        let folds = walk_forward_split(&data, &config);

        // THEN: All data should be used across validation folds
        // (training data can overlap, but validation should be disjoint)

        // Verify we have multiple folds
        assert!(
            folds.len() >= 3,
            "Should have at least 3 folds with these parameters. Found: {}",
            folds.len()
        );

        // Collect all validation indices across folds
        let mut all_val_indices = std::collections::HashSet::new();
        for fold in &folds {
            for &idx in &fold.val_indices {
                // Validation periods should be disjoint (no overlap)
                assert!(
                    all_val_indices.insert(idx),
                    "Validation index {} appears in multiple folds - validation periods must be disjoint",
                    idx
                );
            }
        }

        // Calculate expected coverage
        // Total data points that can be in validation (excluding early train-only period)
        let min_train_embargo_days = config.train_window_days + config.embargo_days;
        let validation_eligible_start = data
            .iter()
            .position(|d| {
                d.timestamp >= start_date + Duration::days(min_train_embargo_days)
            })
            .unwrap_or(data.len());

        let validation_eligible_count = data.len() - validation_eligible_start;

        // We should validate on a significant portion of eligible data
        let coverage_ratio = all_val_indices.len() as f64 / validation_eligible_count as f64;
        assert!(
            coverage_ratio >= 0.7,
            "Should validate on at least 70% of eligible data. Coverage: {:.1}%",
            coverage_ratio * 100.0
        );

        // Verify folds are temporally ordered and non-overlapping
        for i in 1..folds.len() {
            let prev_fold = &folds[i - 1];
            let curr_fold = &folds[i];

            // Current fold should start after previous fold's validation
            assert!(
                curr_fold.val_start >= prev_fold.val_end,
                "Fold {} validation period must start after fold {} validation ends",
                i,
                i - 1
            );
        }
    }

    #[test]
    fn test_no_future_data_in_training() {
        // CRITICAL TEST: Verify no look-ahead bias

        // GIVEN: A dataset with known temporal ordering
        let start_date = Utc::now();
        let data = generate_mock_data(start_date, 365);

        let config = WalkForwardConfig {
            train_window_days: 90,
            validation_window_days: 30,
            embargo_days: 5,
            step_days: 30,
        };

        // WHEN: We perform walk-forward validation splits
        let folds = walk_forward_split(&data, &config);

        // THEN: No training data can have timestamps >= validation start (including embargo)
        for (fold_idx, fold) in folds.iter().enumerate() {
            for &train_idx in &fold.train_indices {
                let train_timestamp = data[train_idx].timestamp;

                // Training data must be strictly before validation period
                assert!(
                    train_timestamp < fold.val_start,
                    "LOOK-AHEAD BIAS DETECTED in fold {}: Training data timestamp ({:?}) \
                     is not before validation start ({:?})",
                    fold_idx,
                    train_timestamp,
                    fold.val_start
                );

                // Training data must also be before embargo period
                assert!(
                    train_timestamp < fold.embargo_start,
                    "LOOK-AHEAD BIAS DETECTED in fold {}: Training data timestamp ({:?}) \
                     overlaps with embargo period (starts {:?})",
                    fold_idx,
                    train_timestamp,
                    fold.embargo_start
                );

                // Verify no training index >= any validation index
                for &val_idx in &fold.val_indices {
                    assert!(
                        train_idx < val_idx,
                        "CRITICAL: Training index ({}) must be < validation index ({}) in fold {}",
                        train_idx,
                        val_idx,
                        fold_idx
                    );
                }
            }

            // Verify validation data is strictly after all training data
            if let (Some(&last_train_idx), Some(&first_val_idx)) = (
                fold.train_indices.last(),
                fold.val_indices.first()
            ) {
                let last_train_timestamp = data[last_train_idx].timestamp;
                let first_val_timestamp = data[first_val_idx].timestamp;

                let gap = first_val_timestamp.signed_duration_since(last_train_timestamp);

                assert!(
                    gap >= Duration::days(config.embargo_days),
                    "Gap between last training point and first validation point must be >= embargo period. \
                     Found: {} days, Expected: >= {} days",
                    gap.num_days(),
                    config.embargo_days
                );
            }
        }
    }

    #[test]
    fn test_sliding_window_progression() {
        // GIVEN: A dataset with daily data
        let start_date = Utc::now();
        let data = generate_mock_data(start_date, 365);

        let config = WalkForwardConfig {
            train_window_days: 90,
            validation_window_days: 30,
            embargo_days: 5,
            step_days: 30, // Slide forward by 30 days each fold
        };

        // WHEN: We perform walk-forward validation splits
        let folds = walk_forward_split(&data, &config);

        // THEN: Each fold should progress by step_days
        for i in 1..folds.len() {
            let prev_fold = &folds[i - 1];
            let curr_fold = &folds[i];

            // Validation periods should progress by step_days
            let val_progression = curr_fold
                .val_start
                .signed_duration_since(prev_fold.val_start);

            assert_eq!(
                val_progression,
                Duration::days(config.step_days),
                "Validation period should advance by {} days between folds. \
                 Fold {} to {}: {} days",
                config.step_days,
                i - 1,
                i,
                val_progression.num_days()
            );
        }
    }

    #[test]
    fn test_consistent_window_sizes() {
        // GIVEN: A dataset with sufficient data
        let start_date = Utc::now();
        let data = generate_mock_data(start_date, 365);

        let config = WalkForwardConfig {
            train_window_days: 90,
            validation_window_days: 30,
            embargo_days: 5,
            step_days: 30,
        };

        // WHEN: We perform walk-forward validation splits
        let folds = walk_forward_split(&data, &config);

        // THEN: Each fold should have consistent window sizes
        for (fold_idx, fold) in folds.iter().enumerate() {
            // Training window duration
            let train_duration = fold.train_end.signed_duration_since(fold.train_start);
            assert_eq!(
                train_duration,
                Duration::days(config.train_window_days),
                "Fold {} training window should be {} days, found {} days",
                fold_idx,
                config.train_window_days,
                train_duration.num_days()
            );

            // Validation window duration
            let val_duration = fold.val_end.signed_duration_since(fold.val_start);
            assert_eq!(
                val_duration,
                Duration::days(config.validation_window_days),
                "Fold {} validation window should be {} days, found {} days",
                fold_idx,
                config.validation_window_days,
                val_duration.num_days()
            );

            // Embargo period duration
            let embargo_duration = fold.embargo_end.signed_duration_since(fold.embargo_start);
            assert_eq!(
                embargo_duration,
                Duration::days(config.embargo_days),
                "Fold {} embargo period should be {} days, found {} days",
                fold_idx,
                config.embargo_days,
                embargo_duration.num_days()
            );
        }
    }

    #[test]
    fn test_data_point_assignment_is_exhaustive() {
        // GIVEN: A dataset
        let start_date = Utc::now();
        let data = generate_mock_data(start_date, 200);

        let config = WalkForwardConfig {
            train_window_days: 60,
            validation_window_days: 20,
            embargo_days: 3,
            step_days: 20,
        };

        // WHEN: We perform walk-forward validation splits
        let folds = walk_forward_split(&data, &config);

        // THEN: Every fold should have data points assigned
        for (fold_idx, fold) in folds.iter().enumerate() {
            assert!(
                !fold.train_indices.is_empty(),
                "Fold {} must have training data",
                fold_idx
            );

            assert!(
                !fold.val_indices.is_empty(),
                "Fold {} must have validation data",
                fold_idx
            );

            // Verify indices are within bounds
            for &idx in &fold.train_indices {
                assert!(idx < data.len(), "Training index out of bounds");
            }

            for &idx in &fold.val_indices {
                assert!(idx < data.len(), "Validation index out of bounds");
            }
        }
    }

    #[test]
    fn test_edge_case_insufficient_data() {
        // GIVEN: A dataset too small for the configuration
        let start_date = Utc::now();
        let data = generate_mock_data(start_date, 30); // Only 30 days

        let config = WalkForwardConfig {
            train_window_days: 90,
            validation_window_days: 30,
            embargo_days: 5,
            step_days: 30,
        };

        // WHEN: We attempt walk-forward validation
        let folds = walk_forward_split(&data, &config);

        // THEN: Should return empty or handle gracefully
        // (Implementation should validate data sufficiency)
        assert!(
            folds.is_empty(),
            "Should return no folds when data is insufficient for window sizes"
        );
    }
}