foxhunt/crates/ml/tests/ppo_dual_phase_backtest_tests.rs

#![allow(
    clippy::assertions_on_constants,
    clippy::assertions_on_result_states,
    clippy::clone_on_copy,
    clippy::decimal_literal_representation,
    clippy::doc_markdown,
    clippy::empty_line_after_doc_comments,
    clippy::field_reassign_with_default,
    clippy::get_unwrap,
    clippy::identity_op,
    clippy::inconsistent_digit_grouping,
    clippy::indexing_slicing,
    clippy::integer_division,
    clippy::len_zero,
    clippy::let_underscore_must_use,
    clippy::manual_div_ceil,
    clippy::manual_let_else,
    clippy::manual_range_contains,
    clippy::modulo_arithmetic,
    clippy::needless_range_loop,
    clippy::non_ascii_literal,
    clippy::redundant_clone,
    clippy::shadow_reuse,
    clippy::shadow_same,
    clippy::shadow_unrelated,
    clippy::single_match_else,
    clippy::str_to_string,
    clippy::string_slice,
    clippy::tests_outside_test_module,
    clippy::too_many_lines,
    clippy::unnecessary_wraps,
    clippy::unseparated_literal_suffix,
    clippy::use_debug,
    clippy::useless_vec,
    clippy::wildcard_enum_match_arm,
    clippy::else_if_without_else,
    clippy::expect_used,
    clippy::missing_const_for_fn,
    clippy::similar_names,
    clippy::type_complexity,
    clippy::collapsible_else_if,
    clippy::doc_lazy_continuation,
    clippy::items_after_test_module,
    clippy::map_clone,
    clippy::multiple_unsafe_ops_per_block,
    clippy::unwrap_or_default,
    clippy::assign_op_pattern,
    clippy::needless_borrow,
    clippy::println_empty_string,
    clippy::unnecessary_cast,
    clippy::used_underscore_binding,
    clippy::create_dir,
    clippy::implicit_saturating_sub,
    clippy::exit,
    clippy::expect_fun_call,
    clippy::too_many_arguments,
    clippy::unnecessary_map_or,
    clippy::unwrap_used,
    dead_code,
    unused_imports,
    unused_variables,
    clippy::cloned_ref_to_slice_refs,
    clippy::neg_multiply,
    clippy::while_let_loop,
    clippy::bool_assert_comparison,
    clippy::excessive_precision,
    clippy::trivially_copy_pass_by_ref,
    clippy::op_ref,
    clippy::redundant_closure,
    clippy::unnecessary_lazy_evaluations,
    clippy::if_then_some_else_none,
    clippy::unnecessary_to_owned,
    clippy::single_component_path_imports,
)]
//! Tests for Continuous PPO Dual-Phase Backtest Tracking
//!
//! This test suite validates the separation of exploration phase (burn-in) from
//! exploitation phase (learned strategy) in Continuous PPO training.
//!
//! Test-Driven Development (TDD) approach:
//! 1. Write tests first (this file)
//! 2. Implement code to pass tests
//! 3. Run tests and verify all pass

use ml::evaluation::engine::{Action, EvaluationEngine};
use ml::evaluation::metrics::{PerformanceMetrics, OHLCVBarF32};

/// Results from dual-phase backtesting (exploration vs exploitation)
#[derive(Debug, Clone)]
pub struct DualPhaseBacktestResults {
    /// Metrics from exploration phase (epochs 0 to burn_in_epochs-1)
    pub exploration_metrics: PerformanceMetrics,
    /// Metrics from exploitation phase (epochs burn_in_epochs to total_epochs-1)
    pub exploitation_metrics: PerformanceMetrics,
    /// Number of burn-in epochs used
    pub burn_in_epochs: usize,
    /// Total number of epochs
    pub total_epochs: usize,
}

impl DualPhaseBacktestResults {
    /// Create results with default values for testing
    pub fn new(
        burn_in_epochs: usize,
        total_epochs: usize,
    ) -> Self {
        Self {
            exploration_metrics: PerformanceMetrics::default(),
            exploitation_metrics: PerformanceMetrics::default(),
            burn_in_epochs,
            total_epochs,
        }
    }

    /// Create results from two separate engines
    pub fn from_engines(
        exploration_engine: &EvaluationEngine,
        exploitation_engine: &EvaluationEngine,
        burn_in_epochs: usize,
        total_epochs: usize,
        initial_capital: f32,
    ) -> Self {
        let exploration_metrics = if burn_in_epochs > 0 && !exploration_engine.trades.is_empty() {
            PerformanceMetrics::from_trades(
                &exploration_engine.trades,
                initial_capital,
                &[], // Empty bars - not needed for metrics calculation
            )
        } else {
            PerformanceMetrics::default()
        };

        let exploitation_metrics = if total_epochs > burn_in_epochs && !exploitation_engine.trades.is_empty() {
            PerformanceMetrics::from_trades(
                &exploitation_engine.trades,
                initial_capital,
                &[], // Empty bars - not needed for metrics calculation
            )
        } else {
            PerformanceMetrics::default()
        };

        Self {
            exploration_metrics,
            exploitation_metrics,
            burn_in_epochs,
            total_epochs,
        }
    }
}

// Helper function to create a dummy OHLCVBar for testing
fn create_test_bar(price: f32) -> OHLCVBarF32 {
    OHLCVBarF32 {
        timestamp: 0,
        open: price,
        high: price + 1.0,
        low: price - 1.0,
        close: price,
        volume: 1000.0,
    }
}

/// Test 1: Burn-in CLI Flag Parsing
///
/// Verifies that burn_in_epochs can be set with different values
#[test]
fn test_burn_in_epochs_flag_parsing() {
    // Test default value (50)
    let default_burn_in = 50;
    let results = DualPhaseBacktestResults::new(default_burn_in, 100);
    assert_eq!(results.burn_in_epochs, 50, "Default burn-in should be 50");

    // Test custom value (0)
    let zero_burn_in = 0;
    let results_zero = DualPhaseBacktestResults::new(zero_burn_in, 100);
    assert_eq!(results_zero.burn_in_epochs, 0, "Zero burn-in should be accepted");

    // Test custom value (25)
    let custom_burn_in = 25;
    let results_custom = DualPhaseBacktestResults::new(custom_burn_in, 100);
    assert_eq!(results_custom.burn_in_epochs, 25, "Custom burn-in (25) should be accepted");

    // Test custom value (100)
    let full_burn_in = 100;
    let results_full = DualPhaseBacktestResults::new(full_burn_in, 100);
    assert_eq!(results_full.burn_in_epochs, 100, "Full burn-in (100) should be accepted");
}

/// Test 2: Dual-Phase Metrics Structure
///
/// Verifies that DualPhaseBacktestResults contains all required fields
#[test]
fn test_dual_phase_metrics_creation() {
    let burn_in = 50;
    let total = 100;
    let results = DualPhaseBacktestResults::new(burn_in, total);

    // Verify structure contains all fields
    assert_eq!(results.burn_in_epochs, 50);
    assert_eq!(results.total_epochs, 100);

    // Verify metrics exist (even if default/zero)
    assert!(results.exploration_metrics.sharpe_ratio.is_finite());
    assert!(results.exploitation_metrics.sharpe_ratio.is_finite());
}

/// Test 3: Phase Separation Logic
///
/// Mock training with 100 epochs, burn_in = 50
/// Verify epochs 0-49 go to exploration, epochs 50-99 go to exploitation
#[test]
fn test_phase_separation() {
    let burn_in_epochs = 50;
    let total_epochs = 100;
    let steps_per_epoch = 10; // Small for testing

    // Create separate engines for each phase
    let mut exploration_engine = EvaluationEngine::new(10000.0);
    let mut exploitation_engine = EvaluationEngine::new(10000.0);

    // Simulate 100 epochs with 10 steps each
    let total_steps = total_epochs * steps_per_epoch;

    for step in 0..total_steps {
        let current_epoch = step / steps_per_epoch;

        // Determine which engine to use based on epoch
        let engine = if current_epoch < burn_in_epochs {
            &mut exploration_engine
        } else {
            &mut exploitation_engine
        };

        // Simulate a trade (alternating buy/sell for testing)
        let action = if step % 2 == 0 {
            Action::Buy
        } else {
            Action::Sell
        };

        // Mock price (oscillating)
        let price = 100.0 + (step % 10) as f32;
        let bar = create_test_bar(price);
        engine.process_bar(step, &bar, action);
    }

    // Close any open positions
    let close_bar = create_test_bar(105.0);
    exploration_engine.close_position(499, &close_bar); // Last step of exploration
    exploitation_engine.close_position(999, &close_bar); // Last step of exploitation

    // Verify trades were distributed correctly
    let exploration_trades = exploration_engine.trades.len();
    let exploitation_trades = exploitation_engine.trades.len();

    // Both phases should have trades (since we're alternating actions)
    assert!(
        exploration_trades > 0,
        "Exploration phase should have trades (got {})",
        exploration_trades
    );
    assert!(
        exploitation_trades > 0,
        "Exploitation phase should have trades (got {})",
        exploitation_trades
    );

    // Create results
    let results = DualPhaseBacktestResults::from_engines(
        &exploration_engine,
        &exploitation_engine,
        burn_in_epochs,
        total_epochs,
        10000.0,
    );

    assert_eq!(results.burn_in_epochs, 50);
    assert_eq!(results.total_epochs, 100);
}

/// Test 4: Metrics Calculation
///
/// Mock scenario with different performance in each phase
#[test]
fn test_exploration_vs_exploitation_metrics() {
    // Create engines
    let mut exploration_engine = EvaluationEngine::new(10000.0);
    let mut exploitation_engine = EvaluationEngine::new(10000.0);

    // Exploration phase: Random/poor trades (losing money)
    // Simulate 50 bad trades
    for i in 0..50 {
        let action = if i % 2 == 0 {
            Action::Buy
        } else {
            Action::Sell
        };
        // Declining prices (losses)
        let price = 100.0 - (i as f32 * 0.1);
        let bar = create_test_bar(price);
        exploration_engine.process_bar(i, &bar, action);
    }
    let close_bar = create_test_bar(95.0);
    exploration_engine.close_position(49, &close_bar);

    // Exploitation phase: Good trades (making money)
    // Simulate 50 good trades
    for i in 0..50 {
        let action = if i % 2 == 0 {
            Action::Buy
        } else {
            Action::Sell
        };
        // Rising prices (profits)
        let price = 100.0 + (i as f32 * 0.1);
        let bar = create_test_bar(price);
        exploitation_engine.process_bar(i, &bar, action);
    }
    let close_bar2 = create_test_bar(105.0);
    exploitation_engine.close_position(49, &close_bar2);

    // Create results
    let results = DualPhaseBacktestResults::from_engines(
        &exploration_engine,
        &exploitation_engine,
        50,
        100,
        10000.0,
    );

    // Verify both phases have metrics
    assert!(
        results.exploration_metrics.total_trades > 0,
        "Exploration should have trades"
    );
    assert!(
        results.exploitation_metrics.total_trades > 0,
        "Exploitation should have trades"
    );

    // Verify metrics are calculated independently
    assert!(
        results.exploration_metrics.sharpe_ratio.is_finite(),
        "Exploration Sharpe should be finite"
    );
    assert!(
        results.exploitation_metrics.sharpe_ratio.is_finite(),
        "Exploitation Sharpe should be finite"
    );
}

/// Test 5: Zero Burn-In (Backward Compatibility)
///
/// burn_in_epochs = 0 means all epochs are "exploitation"
/// exploration_metrics should be empty/zero
#[test]
fn test_zero_burn_in_epochs() {
    let burn_in_epochs = 0;
    let total_epochs = 100;

    // Create engines
    let exploration_engine = EvaluationEngine::new(10000.0); // Should be empty
    let mut exploitation_engine = EvaluationEngine::new(10000.0);

    // All 100 epochs go to exploitation
    for i in 0..100 {
        let action = if i % 2 == 0 {
            Action::Buy
        } else {
            Action::Sell
        };
        let price = 100.0 + (i % 10) as f32;
        let bar = create_test_bar(price);
        exploitation_engine.process_bar(i, &bar, action);
    }
    let close_bar = create_test_bar(105.0);
    exploitation_engine.close_position(99, &close_bar);

    // Create results
    let results = DualPhaseBacktestResults::from_engines(
        &exploration_engine,
        &exploitation_engine,
        burn_in_epochs,
        total_epochs,
        10000.0,
    );

    // Verify zero burn-in behavior
    assert_eq!(results.burn_in_epochs, 0, "Burn-in should be 0");
    assert_eq!(
        results.exploration_metrics.total_trades, 0,
        "Exploration should have 0 trades with zero burn-in"
    );
    assert!(
        results.exploitation_metrics.total_trades > 0,
        "Exploitation should have all trades with zero burn-in"
    );
}

/// Test 6: Full Burn-In (All Exploration)
///
/// burn_in_epochs = total_epochs means all epochs are "exploration"
/// exploitation_metrics should be empty/zero
#[test]
fn test_full_burn_in_epochs() {
    let burn_in_epochs = 100;
    let total_epochs = 100;

    // Create engines
    let mut exploration_engine = EvaluationEngine::new(10000.0);
    let exploitation_engine = EvaluationEngine::new(10000.0); // Should be empty

    // All 100 epochs go to exploration
    for i in 0..100 {
        let action = if i % 2 == 0 {
            Action::Buy
        } else {
            Action::Sell
        };
        let price = 100.0 + (i % 10) as f32;
        let bar = create_test_bar(price);
        exploration_engine.process_bar(i, &bar, action);
    }
    let close_bar = create_test_bar(105.0);
    exploration_engine.close_position(99, &close_bar);

    // Create results
    let results = DualPhaseBacktestResults::from_engines(
        &exploration_engine,
        &exploitation_engine,
        burn_in_epochs,
        total_epochs,
        10000.0,
    );

    // Verify full burn-in behavior
    assert_eq!(results.burn_in_epochs, 100, "Burn-in should be 100");
    assert_eq!(results.total_epochs, 100, "Total epochs should be 100");
    assert!(
        results.exploration_metrics.total_trades > 0,
        "Exploration should have all trades with full burn-in"
    );
    assert_eq!(
        results.exploitation_metrics.total_trades, 0,
        "Exploitation should have 0 trades with full burn-in"
    );
}

/// Test 7: Integration Test - Realistic Scenario
///
/// Simulates a realistic training run with:
/// - 100 total epochs
/// - 50 burn-in epochs
/// - Different trading strategies in each phase
#[test]
fn test_realistic_dual_phase_scenario() {
    let burn_in_epochs = 50;
    let total_epochs = 100;
    let steps_per_epoch = 100;

    let mut exploration_engine = EvaluationEngine::new(10000.0);
    let mut exploitation_engine = EvaluationEngine::new(10000.0);

    // Simulate realistic training
    for epoch in 0..total_epochs {
        for step in 0..steps_per_epoch {
            let current_step = epoch * steps_per_epoch + step;
            let price = 100.0 + ((current_step as f32 * 0.01) as i32 % 10) as f32;

            let engine = if epoch < burn_in_epochs {
                &mut exploration_engine
            } else {
                &mut exploitation_engine
            };

            // Exploration: More random (50/50 buy/sell)
            // Exploitation: More strategic (70/30 buy/hold)
            let action = if epoch < burn_in_epochs {
                if step % 2 == 0 {
                    Action::Buy
                } else {
                    Action::Sell
                }
            } else {
                if step % 10 < 7 {
                    Action::Buy
                } else {
                    Action::Hold
                }
            };

            let bar = create_test_bar(price);
            engine.process_bar(current_step, &bar, action);
        }
    }

    // Close positions
    let close_bar1 = create_test_bar(105.0);
    let close_bar2 = create_test_bar(110.0);
    exploration_engine.close_position(4999, &close_bar1);
    exploitation_engine.close_position(9999, &close_bar2);

    // Create results
    let results = DualPhaseBacktestResults::from_engines(
        &exploration_engine,
        &exploitation_engine,
        burn_in_epochs,
        total_epochs,
        10000.0,
    );

    // Verify realistic behavior
    assert_eq!(results.burn_in_epochs, 50);
    assert_eq!(results.total_epochs, 100);
    assert!(results.exploration_metrics.total_trades > 0);
    assert!(results.exploitation_metrics.total_trades > 0);

    // Both phases should have reasonable metrics
    assert!(results.exploration_metrics.final_equity > 0.0);
    assert!(results.exploitation_metrics.final_equity > 0.0);
}