foxhunt/ml_strategy/tests/shared_ml_strategy_test.rs

//! Integration tests for SharedMLStrategy
//!
//! Validates that ONE SINGLE SYSTEM works for both trading and backtesting services.

use common::ml_strategy::{
    MLSignal, SharedMLConfig, SharedMLStrategy, SignalAction, StrategyPerformance,
};
use common::{MarketRegime, Symbol};

/// Test that SharedMLStrategy can be created and initialized
#[tokio::test]
async fn test_create_shared_strategy() {
    let strategy = SharedMLStrategy::new()
        .await
        .expect("Should create strategy");

    let perf = strategy.get_performance().await;
    assert_eq!(perf.total_signals, 0);
    assert_eq!(perf.win_rate, 0.0);
}

/// Test signal generation with valid features
#[tokio::test]
async fn test_generate_signal_valid_features() {
    let strategy = SharedMLStrategy::new()
        .await
        .expect("Should create strategy");

    strategy.set_symbol(Symbol::from("ES.FUT")).await;

    // Create 225-dimensional feature vector (matching ML system)
    let features: Vec<f64> = (0..225).map(|i| (i as f64) / 256.0).collect();

    let signal = strategy
        .generate_signal(features)
        .await
        .expect("Should generate signal");

    // Validate signal properties
    assert_eq!(signal.symbol, Symbol::from("ES.FUT"));
    assert!(signal.confidence >= 0.0 && signal.confidence <= 1.0);
    assert!(matches!(
        signal.action,
        SignalAction::Buy | SignalAction::Sell | SignalAction::Hold
    ));
}

/// Test that both trading and backtesting can use the same instance
#[tokio::test]
async fn test_shared_instance_multiple_services() {
    use std::sync::Arc;

    // Create ONE SINGLE SYSTEM
    let strategy = Arc::new(
        SharedMLStrategy::new()
            .await
            .expect("Should create strategy"),
    );

    strategy.set_symbol(Symbol::from("NQ.FUT")).await;

    // Simulate trading service using the strategy
    let trading_strategy = Arc::clone(&strategy);
    let trading_handle = tokio::spawn(async move {
        let features: Vec<f64> = vec![0.5; 225];
        trading_strategy
            .generate_signal(features)
            .await
            .expect("Trading service should generate signal")
    });

    // Simulate backtesting service using the same strategy
    let backtesting_strategy = Arc::clone(&strategy);
    let backtesting_handle = tokio::spawn(async move {
        let features: Vec<f64> = vec![0.6; 225];
        backtesting_strategy
            .generate_signal(features)
            .await
            .expect("Backtesting service should generate signal")
    });

    // Both services should succeed
    let trading_signal = trading_handle
        .await
        .expect("Trading task should complete");
    let backtesting_signal = backtesting_handle
        .await
        .expect("Backtesting task should complete");

    assert_eq!(trading_signal.symbol, Symbol::from("NQ.FUT"));
    assert_eq!(backtesting_signal.symbol, Symbol::from("NQ.FUT"));

    // Verify performance tracking shows both signals
    let perf = strategy.get_performance().await;
    assert_eq!(perf.total_signals, 2);
}

/// Test regime detection
#[tokio::test]
async fn test_regime_detection() {
    let strategy = SharedMLStrategy::new()
        .await
        .expect("Should create strategy");

    // Update with bullish market data
    let regime1 = strategy
        .update_regime(100.0, 1000.0)
        .await
        .expect("Should update regime");

    // Update with bearish market data
    let regime2 = strategy
        .update_regime(95.0, 1200.0)
        .await
        .expect("Should update regime");

    // Both should be valid regimes
    assert!(matches!(
        regime1,
        MarketRegime::Unknown
            | MarketRegime::Bull
            | MarketRegime::Bear
            | MarketRegime::Sideways
            | MarketRegime::HighVolatility
    ));

    assert!(matches!(
        regime2,
        MarketRegime::Unknown
            | MarketRegime::Bull
            | MarketRegime::Bear
            | MarketRegime::Sideways
            | MarketRegime::HighVolatility
    ));
}

/// Test outcome recording and performance tracking
#[tokio::test]
async fn test_outcome_recording() {
    let strategy = SharedMLStrategy::new()
        .await
        .expect("Should create strategy");

    strategy.set_symbol(Symbol::from("ZN.FUT")).await;

    // Generate signals
    let features: Vec<f64> = vec![0.5; 225];
    let _signal1 = strategy
        .generate_signal(features.clone())
        .await
        .expect("Should generate signal 1");

    let _signal2 = strategy
        .generate_signal(features.clone())
        .await
        .expect("Should generate signal 2");

    // Record outcomes
    strategy
        .record_outcome(0.05)
        .await
        .expect("Should record positive outcome");
    strategy
        .record_outcome(-0.02)
        .await
        .expect("Should record negative outcome");

    let perf = strategy.get_performance().await;
    assert_eq!(perf.total_signals, 2);
    assert!(perf.win_rate >= 0.0 && perf.win_rate <= 1.0);
}

/// Test configuration validation
#[tokio::test]
async fn test_invalid_configuration() {
    // Invalid confidence threshold (>1.0)
    let config1 = SharedMLConfig {
        min_confidence: 1.5,
        ..Default::default()
    };

    let result1 = SharedMLStrategy::with_config(config1).await;
    assert!(
        result1.is_err(),
        "Should reject min_confidence > 1.0"
    );

    // Invalid risk tolerance
    let config2 = SharedMLConfig {
        risk_tolerance: 2.0,
        ..Default::default()
    };

    let result2 = SharedMLStrategy::with_config(config2).await;
    assert!(
        result2.is_err(),
        "Should reject risk_tolerance > 1.0"
    );
}

/// Test confidence threshold filtering
#[tokio::test]
async fn test_confidence_threshold() {
    let config = SharedMLConfig {
        min_confidence: 0.95, // Very high threshold
        ..Default::default()
    };

    let strategy = SharedMLStrategy::with_config(config)
        .await
        .expect("Should create strategy");

    let features: Vec<f64> = vec![0.5; 225];

    let signal = strategy
        .generate_signal(features)
        .await
        .expect("Should generate signal");

    // With such a high threshold, should return Hold
    // (ensemble confidence unlikely to be 0.95+)
    assert_eq!(signal.action, SignalAction::Hold);
}

/// Test position sizing
#[tokio::test]
async fn test_position_sizing() {
    let config = SharedMLConfig {
        max_position_size: common::Quantity::from(100),
        risk_tolerance: 0.5,
        min_confidence: 0.6,
        ..Default::default()
    };

    let strategy = SharedMLStrategy::with_config(config)
        .await
        .expect("Should create strategy");

    let features: Vec<f64> = vec![0.7; 225];

    let signal = strategy
        .generate_signal(features)
        .await
        .expect("Should generate signal");

    // Position size should be:
    // - <= max_position_size (100)
    // - Adjusted by risk_tolerance (0.5)
    // - Adjusted by confidence
    assert!(signal.position_size.to_f64() > 0.0);
    assert!(signal.position_size.to_f64() <= 100.0);
}

/// Test performance metrics aggregation
#[tokio::test]
async fn test_performance_metrics() {
    let strategy = SharedMLStrategy::new()
        .await
        .expect("Should create strategy");

    strategy.set_symbol(Symbol::from("6E.FUT")).await;

    let features: Vec<f64> = vec![0.5; 225];

    // Generate multiple signals
    for _ in 0..10 {
        let _ = strategy
            .generate_signal(features.clone())
            .await
            .expect("Should generate signal");
    }

    let perf = strategy.get_performance().await;

    // Validate metrics
    assert_eq!(perf.total_signals, 10);
    assert!(!perf.signals_by_action.is_empty());
    assert!(perf.average_confidence >= 0.0);
    assert!(perf.average_confidence <= 1.0);
}

/// Test concurrent signal generation (thread safety)
#[tokio::test]
async fn test_concurrent_signal_generation() {
    use std::sync::Arc;

    let strategy = Arc::new(
        SharedMLStrategy::new()
            .await
            .expect("Should create strategy"),
    );

    strategy.set_symbol(Symbol::from("CL.FUT")).await;

    // Spawn multiple concurrent tasks
    let mut handles = Vec::new();
    for i in 0..20 {
        let strategy_clone = Arc::clone(&strategy);
        let handle = tokio::spawn(async move {
            let features: Vec<f64> = vec![0.5 + (i as f64) * 0.01; 225];
            strategy_clone
                .generate_signal(features)
                .await
                .expect("Should generate signal")
        });
        handles.push(handle);
    }

    // Wait for all tasks
    for handle in handles {
        let signal = handle.await.expect("Task should complete");
        assert_eq!(signal.symbol, Symbol::from("CL.FUT"));
    }

    // Verify all signals were tracked
    let perf = strategy.get_performance().await;
    assert_eq!(perf.total_signals, 20);
}

/// Test empty features rejection
#[tokio::test]
async fn test_empty_features_rejection() {
    let strategy = SharedMLStrategy::new()
        .await
        .expect("Should create strategy");

    let empty_features: Vec<f64> = Vec::new();

    let result = strategy.generate_signal(empty_features).await;
    assert!(
        result.is_err(),
        "Should reject empty features"
    );
}

/// Test regime persistence across signal generations
#[tokio::test]
async fn test_regime_persistence() {
    let strategy = SharedMLStrategy::new()
        .await
        .expect("Should create strategy");

    // Set regime
    let regime = strategy
        .update_regime(100.0, 1000.0)
        .await
        .expect("Should update regime");

    // Get regime
    let retrieved_regime = strategy.get_regime().await;
    assert_eq!(regime, retrieved_regime);

    // Generate signal - should include the regime
    let features: Vec<f64> = vec![0.5; 225];
    let signal = strategy
        .generate_signal(features)
        .await
        .expect("Should generate signal");

    assert_eq!(signal.regime, regime);
}

/// Test model vote transparency
#[tokio::test]
async fn test_model_vote_transparency() {
    let strategy = SharedMLStrategy::new()
        .await
        .expect("Should create strategy");

    let features: Vec<f64> = vec![0.5; 225];

    let signal = strategy
        .generate_signal(features)
        .await
        .expect("Should generate signal");

    // Should have votes from all 6 models (or hold signal with no votes)
    if signal.action != SignalAction::Hold {
        assert_eq!(
            signal.model_votes.len(),
            6,
            "Should have 6 model votes"
        );

        // Validate each vote
        for vote in &signal.model_votes {
            assert!(!vote.model_name.is_empty());
            assert!(vote.confidence >= 0.0 && vote.confidence <= 1.0);
            assert!(vote.weight >= 0.0 && vote.weight <= 1.0);
        }
    }
}

/// Test strategy with custom regime config
#[tokio::test]
async fn test_custom_regime_config() {
    use ml::ensemble::RegimeConfig;

    let config = SharedMLConfig {
        regime_config: RegimeConfig {
            trend_lookback: 30,
            volatility_window: 15,
            trend_threshold: 0.03,
            volatility_threshold: 2.0,
            min_data_points: 10,
        },
        ..Default::default()
    };

    let strategy = SharedMLStrategy::with_config(config)
        .await
        .expect("Should create strategy with custom regime config");

    // Update regime
    let regime = strategy
        .update_regime(100.0, 1000.0)
        .await
        .expect("Should update regime");

    assert!(matches!(
        regime,
        MarketRegime::Unknown
            | MarketRegime::Bull
            | MarketRegime::Bear
            | MarketRegime::Sideways
            | MarketRegime::HighVolatility
    ));
}