c8c58f24c2
- Fixed all FromPrimitive imports across codebase - Resolved all common::types import paths (219+ files) - Fixed Volume constructor issues (type alias vs struct) - Resolved all E0308 type mismatches - Fixed ExecutionReport and BrokerError imports - Added missing Price arithmetic assignment traits - Fixed Decimal to_f64 method calls with ToPrimitive - Eliminated all re-exports per architectural rules Errors reduced from 436 to 106 - 76% reduction achieved
117 lines
4.0 KiB
Rust
117 lines
4.0 KiB
Rust
//! Integration tests for ML models in backtesting framework
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use backtesting::{
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create_adaptive_strategy_with_config, AdaptiveStrategyConfig, AdaptiveStrategyRunner,
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BacktestConfig, BacktestEngine, FeatureSettings, RiskSettings, Strategy,
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};
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use common::*;
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#[tokio::test]
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async fn test_dqn_strategy_integration() {
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// Create backtesting engine
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let config = BacktestConfig {
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initial_capital: Decimal::from(100000),
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..Default::default()
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};
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let mut engine = BacktestEngine::new(config).await.unwrap();
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// Set adaptive strategy with DQN model
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let adaptive_config = AdaptiveStrategyConfig {
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active_models: vec!["DQN".to_string()],
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..AdaptiveStrategyConfig::default()
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};
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let dqn_strategy = Box::new(create_adaptive_strategy_with_config(adaptive_config));
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engine.set_strategy(dqn_strategy).await.unwrap();
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// Verify strategy is set
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let state = engine.get_state().await;
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assert!(!state.is_running);
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// Note: Actual backtesting would require market data loading
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// This test validates the integration is working
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}
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#[tokio::test]
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async fn test_ppo_strategy_integration() {
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let config = BacktestConfig::default();
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let mut engine = BacktestEngine::new(config).await.unwrap();
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// Set adaptive strategy with PPO model
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let adaptive_config = AdaptiveStrategyConfig {
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active_models: vec!["PPO".to_string()],
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..AdaptiveStrategyConfig::default()
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};
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let ppo_strategy = Box::new(create_adaptive_strategy_with_config(adaptive_config));
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engine.set_strategy(ppo_strategy).await.unwrap();
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let state = engine.get_state().await;
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assert!(!state.is_running);
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}
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#[tokio::test]
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async fn test_tlob_strategy_integration() {
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let config = BacktestConfig::default();
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let mut engine = BacktestEngine::new(config).await.unwrap();
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// Set adaptive strategy with TLOB model
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let adaptive_config = AdaptiveStrategyConfig {
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active_models: vec!["TLOB".to_string()],
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..AdaptiveStrategyConfig::default()
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};
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let tlob_strategy = Box::new(create_adaptive_strategy_with_config(adaptive_config));
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engine.set_strategy(tlob_strategy).await.unwrap();
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let state = engine.get_state().await;
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assert!(!state.is_running);
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}
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#[tokio::test]
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async fn test_ensemble_strategy_integration() {
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let config = BacktestConfig::default();
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let mut engine = BacktestEngine::new(config).await.unwrap();
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// Set adaptive strategy with multiple ML models (ensemble)
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let adaptive_config = AdaptiveStrategyConfig {
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active_models: vec!["DQN".to_string(), "PPO".to_string(), "TLOB".to_string()],
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..AdaptiveStrategyConfig::default()
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};
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let ensemble_strategy = Box::new(create_adaptive_strategy_with_config(adaptive_config));
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engine.set_strategy(ensemble_strategy).await.unwrap();
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let state = engine.get_state().await;
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assert!(!state.is_running);
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assert_eq!(state.portfolio_value, Decimal::ZERO); // Not yet initialized
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}
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#[tokio::test]
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async fn test_adaptive_strategy_configuration() {
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// Create custom adaptive strategy configuration
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let config = AdaptiveStrategyConfig {
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active_models: vec!["DQN".to_string(), "PPO".to_string(), "TLOB".to_string()],
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min_confidence: 0.7, // Higher confidence requirement
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max_position_size: 0.05, // 5% position size
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lookback_period: 20,
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model_update_frequency: 100,
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risk_settings: RiskSettings {
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max_drawdown: 0.15, // 15% max drawdown
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stop_loss: 0.05,
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take_profit: 0.10,
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kelly_fraction: 0.25,
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},
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feature_settings: FeatureSettings::default(),
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};
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let adaptive_strategy = create_adaptive_strategy_with_config(config.clone());
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// Test as a Strategy trait object to verify it implements the trait
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let strategy: Box<dyn backtesting::Strategy> = Box::new(adaptive_strategy);
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// Verify strategy has a name (strategy trait method)
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let strategy_name = strategy.name();
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assert!(
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!strategy_name.is_empty(),
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"Strategy should have a non-empty name"
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);
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}
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