foxhunt/ml/examples/validate_regime_features.rs

//! Agent F4: Wave D Features 201-225 Validation Script
//!
//! This script validates all regime detection features using synthetic data
//! and measures their latency performance.

use chrono::Utc;
use ml::ensemble::MarketRegime;
use ml::features::extraction::OHLCVBar as ExtBar;
use ml::features::regime_adaptive::RegimeAdaptiveFeatures;
use ml::features::regime_adx::{OHLCVBar as AdxBar, RegimeADXFeatures};
use ml::features::regime_cusum::RegimeCUSUMFeatures;
use std::time::Instant;

fn main() {
    println!("=== Agent F4: Wave D Features 201-225 Validation ===\n");

    // Validate CUSUM features (201-210)
    validate_cusum_features();

    // Validate ADX features (211-215)
    validate_adx_features();

    // Validate Adaptive features (221-224)
    validate_adaptive_features();

    // Note: Transition features (216-220) are stubs, skip validation

    println!("\n=== Validation Complete ===");
}

fn validate_cusum_features() {
    println!("## Validating CUSUM Features (201-210)");

    let mut features = RegimeCUSUMFeatures::new(0.0, 1.0, 0.5, 5.0);
    let mut passing = 0;
    let mut total = 0;

    // Test 1: Initialization
    total += 1;
    let result = features.update(0.0);
    if result.len() == 10 && result.iter().all(|&x| x.is_finite()) {
        passing += 1;
        println!("✓ Test 1: Initialization - PASS");
    } else {
        println!("✗ Test 1: Initialization - FAIL");
    }

    // Test 2: Positive break detection
    total += 1;
    let mut detected_break = false;
    for _ in 0..10 {
        let result = features.update(3.0);
        if result[2] == 1.0 {
            // Feature 203: break indicator
            detected_break = true;
            break;
        }
    }
    if detected_break {
        passing += 1;
        println!("✓ Test 2: Positive break detection - PASS");
    } else {
        println!("✗ Test 2: Positive break detection - FAIL");
    }

    // Test 3: Normalization bounds
    total += 1;
    features = RegimeCUSUMFeatures::new(0.0, 1.0, 0.5, 5.0);
    for _ in 0..20 {
        features.update(5.0);
    }
    let result = features.update(5.0);
    if result[0] >= 0.0 && result[0] <= 1.5 && result[1] >= 0.0 && result[1] <= 1.5 {
        passing += 1;
        println!("✓ Test 3: Normalization bounds - PASS");
    } else {
        println!(
            "✗ Test 3: Normalization bounds - FAIL (S+={}, S-={})",
            result[0], result[1]
        );
    }

    // Test 4: Latency benchmark
    total += 1;
    let mut features = RegimeCUSUMFeatures::new(0.0, 1.0, 0.5, 5.0);
    let iterations = 10000;
    let start = Instant::now();
    for i in 0..iterations {
        let value = ((i as f64) * 0.1).sin() * 2.0;
        features.update(value);
    }
    let elapsed = start.elapsed();
    let avg_latency_ns = elapsed.as_nanos() / iterations as u128;
    let avg_latency_us = avg_latency_ns as f64 / 1000.0;

    if avg_latency_us < 50.0 {
        passing += 1;
        println!(
            "✓ Test 4: Latency - PASS ({:.2}μs < 50μs target)",
            avg_latency_us
        );
    } else {
        println!(
            "✗ Test 4: Latency - FAIL ({:.2}μs >= 50μs target)",
            avg_latency_us
        );
    }

    println!("CUSUM Results: {}/{} passing\n", passing, total);
}

fn validate_adx_features() {
    println!("## Validating ADX Features (211-215)");

    let mut features = RegimeADXFeatures::new(14);
    let mut passing = 0;
    let mut total = 0;

    // Create test bars
    let bars = create_test_bars(50);

    // Test 1: Initialization
    total += 1;
    let result = features.update(&bars[0]);
    if result.len() == 5 && result == [0.0; 5] {
        passing += 1;
        println!("✓ Test 1: Initialization - PASS");
    } else {
        println!("✗ Test 1: Initialization - FAIL");
    }

    // Test 2: Valid range after warmup
    total += 1;
    for bar in &bars[1..30] {
        features.update(bar);
    }
    let result = features.update(&bars[30]);
    if result[0] >= 0.0 && result[0] <= 100.0 && // ADX
       result[1] >= 0.0 && result[1] <= 100.0 && // +DI
       result[2] >= 0.0 && result[2] <= 100.0 && // -DI
       result[3] >= 0.0 && result[3] <= 100.0 && // DX
       result[4] >= 0.0
    {
        // ATR
        passing += 1;
        println!("✓ Test 2: Valid range after warmup - PASS");
    } else {
        println!("✗ Test 2: Valid range after warmup - FAIL");
    }

    // Test 3: Trend detection
    total += 1;
    let mut features = RegimeADXFeatures::new(14);
    let trend_bars = create_trend_bars(50);
    for bar in &trend_bars {
        features.update(bar);
    }
    let result = features.update(&trend_bars[49]);
    if result[0] > 15.0 && result[1] > result[2] {
        // ADX > 15 and +DI > -DI
        passing += 1;
        println!(
            "✓ Test 3: Trend detection - PASS (ADX={:.2}, +DI={:.2}, -DI={:.2})",
            result[0], result[1], result[2]
        );
    } else {
        println!(
            "✗ Test 3: Trend detection - FAIL (ADX={:.2}, +DI={:.2}, -DI={:.2})",
            result[0], result[1], result[2]
        );
    }

    // Test 4: Latency benchmark
    total += 1;
    let mut features = RegimeADXFeatures::new(14);
    let test_bars = create_test_bars(100);

    // Warmup
    for bar in &test_bars[0..30] {
        features.update(bar);
    }

    let iterations = 1000;
    let start = Instant::now();
    for bar in test_bars.iter().cycle().take(iterations) {
        features.update(bar);
    }
    let elapsed = start.elapsed();
    let avg_latency_us = elapsed.as_micros() as f64 / iterations as f64;

    if avg_latency_us < 50.0 {
        passing += 1;
        println!(
            "✓ Test 4: Latency - PASS ({:.2}μs < 50μs target)",
            avg_latency_us
        );
    } else {
        println!(
            "✗ Test 4: Latency - FAIL ({:.2}μs >= 50μs target)",
            avg_latency_us
        );
    }

    println!("ADX Results: {}/{} passing\n", passing, total);
}

fn validate_adaptive_features() {
    println!("## Validating Adaptive Features (221-224)");

    let mut features = RegimeAdaptiveFeatures::new(20, 100_000.0, 14);
    let mut passing = 0;
    let mut total = 0;

    let bars = create_ext_bars(20);

    // Test 1: Position multiplier validation
    total += 1;
    let result = features.update(MarketRegime::Normal, 0.01, 50_000.0, &bars);
    if result[0] == 1.0 {
        // Normal regime = 1.0x
        passing += 1;
        println!("✓ Test 1: Position multiplier (Normal) - PASS");
    } else {
        println!(
            "✗ Test 1: Position multiplier (Normal) - FAIL (expected 1.0, got {})",
            result[0]
        );
    }

    // Test 2: All regimes
    total += 1;
    let regimes = vec![
        (MarketRegime::Trending, 1.5),
        (MarketRegime::Sideways, 0.8),
        (MarketRegime::Bull, 1.2),
        (MarketRegime::Bear, 0.7),
        (MarketRegime::HighVolatility, 0.5),
        (MarketRegime::Crisis, 0.2),
    ];

    let mut all_correct = true;
    for (regime, expected_mult) in regimes {
        let result = features.update(regime, 0.01, 50_000.0, &bars);
        if result[0] != expected_mult {
            all_correct = false;
            println!(
                "  ✗ {:?}: expected {}, got {}",
                regime, expected_mult, result[0]
            );
        }
    }

    if all_correct {
        passing += 1;
        println!("✓ Test 2: All regime multipliers - PASS");
    } else {
        println!("✗ Test 2: All regime multipliers - FAIL");
    }

    // Test 3: Risk budget bounds
    total += 1;
    let result = features.update(MarketRegime::Normal, 0.01, 50_000.0, &bars);
    if result[3] >= 0.0 && result[3] <= 1.0 {
        passing += 1;
        println!("✓ Test 3: Risk budget bounds - PASS");
    } else {
        println!("✗ Test 3: Risk budget bounds - FAIL (got {})", result[3]);
    }

    // Test 4: Latency benchmark
    total += 1;
    let mut features = RegimeAdaptiveFeatures::new(20, 100_000.0, 14);
    let test_bars = create_ext_bars(30);

    let iterations = 10000;
    let start = Instant::now();
    for i in 0..iterations {
        let regime = if i % 2 == 0 {
            MarketRegime::Normal
        } else {
            MarketRegime::Trending
        };
        features.update(regime, 0.01, 50_000.0, &test_bars);
    }
    let elapsed = start.elapsed();
    let avg_latency_us = elapsed.as_micros() as f64 / iterations as f64;

    if avg_latency_us < 50.0 {
        passing += 1;
        println!(
            "✓ Test 4: Latency - PASS ({:.2}μs < 50μs target)",
            avg_latency_us
        );
    } else {
        println!(
            "✗ Test 4: Latency - FAIL ({:.2}μs >= 50μs target)",
            avg_latency_us
        );
    }

    println!("Adaptive Results: {}/{} passing\n", passing, total);
}

// Helper functions

fn create_test_bars(count: usize) -> Vec<AdxBar> {
    let mut bars = Vec::new();
    let mut price = 100.0;

    for i in 0..count {
        price += ((i as f64) * 0.3).sin() * 0.5;
        bars.push(AdxBar {
            timestamp: i as i64,
            open: price,
            high: price + 0.5,
            low: price - 0.5,
            close: price,
            volume: 1000.0,
        });
    }

    bars
}

fn create_trend_bars(count: usize) -> Vec<AdxBar> {
    let mut bars = Vec::new();
    let mut price = 100.0;

    for i in 0..count {
        price += 1.0; // Strong uptrend
        bars.push(AdxBar {
            timestamp: i as i64,
            open: price - 0.3,
            high: price + 0.5,
            low: price - 0.6,
            close: price,
            volume: 1000.0,
        });
    }

    bars
}

fn create_ext_bars(count: usize) -> Vec<ExtBar> {
    let mut bars = Vec::new();
    let base_time = Utc::now();
    let mut price = 100.0;

    for i in 0..count {
        price += ((i as f64) * 0.3).sin() * 0.5;
        bars.push(ExtBar {
            timestamp: base_time + chrono::Duration::seconds(i as i64 * 60),
            open: price,
            high: price + 0.5,
            low: price - 0.5,
            close: price,
            volume: 1000.0,
        });
    }

    bars
}