eae3c31e53
Patterns applied: - Pattern 2: Float comparison (2x: utils.rs, var_edge_cases_tests.rs) - Pattern 7: Date/time construction (2x: production_streaming.rs, streaming.rs) - Pattern 1: Duration/time ops (2x: rate limiter, semaphore) - Pattern 4: Optional field access (1x: position_tracker.rs) Changes: - data/src/utils.rs: Float sort with NaN handling - data/src/providers/benzinga/production_streaming.rs: Rate limiter + semaphore + date/time - data/src/providers/benzinga/streaming.rs: Date/time construction - risk/src/position_tracker.rs: Emergency fallback counter - risk/tests/var_edge_cases_tests.rs: Test helper float sort Test impact: 0 failures (182/182 passing) Compilation: Clean (0 errors, 0 warnings) Time: 25 min (44% under budget)
448 lines
16 KiB
Rust
448 lines
16 KiB
Rust
//! Comprehensive tests for strategy execution in backtesting service
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//!
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//! Target Coverage: 60%+ for strategy lifecycle, parameter validation, and execution
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use anyhow::Result;
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use chrono::Utc;
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use std::collections::HashMap;
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use std::sync::Arc;
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mod mock_repositories;
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use backtesting_service::service::BacktestContext;
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use backtesting_service::strategy_engine::{StrategyEngine, TradeSide};
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use config::structures::BacktestingStrategyConfig;
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use mock_repositories::*;
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/// Test strategy engine initialization
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#[tokio::test]
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async fn test_strategy_engine_initialization() -> Result<()> {
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let market_data_repo = Box::new(MockMarketDataRepository::new());
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let trading_repo = Box::new(MockTradingRepository::new());
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let news_repo = Box::new(MockNewsRepository::new());
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let repositories = Arc::new(MockBacktestingRepositories::new(
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market_data_repo,
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trading_repo,
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news_repo,
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))
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as Arc<dyn backtesting_service::repositories::BacktestingRepositories>;
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let config = BacktestingStrategyConfig::default();
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let engine = StrategyEngine::new(&config, repositories).await?;
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// Engine should be initialized successfully
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assert!(std::ptr::addr_of!(engine) as usize != 0);
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Ok(())
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}
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/// Test strategy execution with buy and hold strategy
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#[tokio::test]
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async fn test_buy_and_hold_strategy() -> Result<()> {
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// Generate sample market data - 100 days of AAPL price data
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let market_data = generate_sample_market_data("AAPL", 100, 150.0, 0.02);
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let market_data_repo = Box::new(MockMarketDataRepository::with_data(market_data.clone()));
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let trading_repo = Box::new(MockTradingRepository::new());
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let news_repo = Box::new(MockNewsRepository::new());
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let repositories = Arc::new(MockBacktestingRepositories::new(
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market_data_repo,
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trading_repo,
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news_repo,
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))
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as Arc<dyn backtesting_service::repositories::BacktestingRepositories>;
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let config = BacktestingStrategyConfig::default();
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let engine = StrategyEngine::new(&config, repositories).await?;
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// Create backtest context for buy and hold
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let start_time = market_data.first().expect("INVARIANT: Collection should be non-empty").timestamp;
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let end_time = market_data.last().expect("INVARIANT: Collection should be non-empty").timestamp;
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let context = BacktestContext {
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id: "test_buyhold_001".to_string(),
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status: backtesting_service::foxhunt::tli::BacktestStatus::Running,
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progress: 0.0,
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current_date: start_time.format("%Y-%m-%d").to_string(),
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trades_executed: 0,
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current_pnl: 0.0,
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started_at: start_time.timestamp_nanos_opt().unwrap_or(0),
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completed_at: None,
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error_message: None,
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strategy_name: "buy_and_hold".to_string(),
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symbols: vec!["AAPL".to_string()],
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initial_capital: 100000.0,
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parameters: {
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let mut params = HashMap::new();
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params.insert("allocation".to_string(), "1.0".to_string());
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params
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},
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};
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// Execute backtest
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let trades = engine.execute_backtest(&context).await?;
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// Buy and hold should generate at least one buy trade
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assert!(!trades.is_empty(), "Buy and hold should generate trades");
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// First trade should be a buy
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assert_eq!(trades[0].side, TradeSide::Buy);
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assert_eq!(trades[0].symbol, "AAPL");
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Ok(())
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}
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/// Test moving average crossover strategy
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#[tokio::test]
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async fn test_moving_average_crossover_strategy() -> Result<()> {
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// Generate market data with upward trend
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let market_data = generate_sample_market_data("MSFT", 50, 200.0, 0.01);
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let market_data_repo = Box::new(MockMarketDataRepository::with_data(market_data.clone()));
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let trading_repo = Box::new(MockTradingRepository::new());
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let news_repo = Box::new(MockNewsRepository::new());
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let repositories = Arc::new(MockBacktestingRepositories::new(
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market_data_repo,
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trading_repo,
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news_repo,
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))
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as Arc<dyn backtesting_service::repositories::BacktestingRepositories>;
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let config = BacktestingStrategyConfig::default();
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let engine = StrategyEngine::new(&config, repositories).await?;
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let start_time = market_data.first().expect("INVARIANT: Collection should be non-empty").timestamp;
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let end_time = market_data.last().expect("INVARIANT: Collection should be non-empty").timestamp;
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let context = BacktestContext {
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id: "test_ma_crossover_001".to_string(),
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status: backtesting_service::foxhunt::tli::BacktestStatus::Running,
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progress: 0.0,
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current_date: start_time.format("%Y-%m-%d").to_string(),
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trades_executed: 0,
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current_pnl: 0.0,
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started_at: start_time.timestamp_nanos_opt().unwrap_or(0),
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completed_at: None,
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error_message: None,
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strategy_name: "moving_average_crossover".to_string(),
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symbols: vec!["MSFT".to_string()],
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initial_capital: 50000.0,
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parameters: {
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let mut params = HashMap::new();
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params.insert("trigger_price".to_string(), "200.0".to_string());
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params
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},
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};
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let trades = engine.execute_backtest(&context).await?;
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// Should have some trades
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assert!(!trades.is_empty(), "MA crossover should generate trades");
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Ok(())
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}
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/// Test news-aware strategy execution
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#[tokio::test]
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async fn test_news_aware_strategy() -> Result<()> {
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let symbols = vec!["TSLA".to_string()];
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let market_data = generate_sample_market_data("TSLA", 30, 250.0, 0.03);
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let news_events = generate_sample_news_events(&symbols, 20);
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let market_data_repo = Box::new(MockMarketDataRepository::with_data(market_data.clone()));
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let trading_repo = Box::new(MockTradingRepository::new());
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let news_repo = Box::new(MockNewsRepository::with_events(news_events));
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let repositories = Arc::new(MockBacktestingRepositories::new(
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market_data_repo,
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trading_repo,
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news_repo,
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))
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as Arc<dyn backtesting_service::repositories::BacktestingRepositories>;
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let config = BacktestingStrategyConfig::default();
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let engine = StrategyEngine::new(&config, repositories).await?;
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let start_time = market_data.first().expect("INVARIANT: Collection should be non-empty").timestamp;
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let end_time = market_data.last().expect("INVARIANT: Collection should be non-empty").timestamp;
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let context = BacktestContext {
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id: "test_news_aware_001".to_string(),
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status: backtesting_service::foxhunt::tli::BacktestStatus::Running,
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progress: 0.0,
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current_date: start_time.format("%Y-%m-%d").to_string(),
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trades_executed: 0,
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current_pnl: 0.0,
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started_at: start_time.timestamp_nanos_opt().unwrap_or(0),
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completed_at: None,
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error_message: None,
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strategy_name: "news_aware_strategy".to_string(),
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symbols: symbols.clone(),
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initial_capital: 75000.0,
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parameters: {
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let mut params = HashMap::new();
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params.insert("sentiment_threshold".to_string(), "0.3".to_string());
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params.insert("max_position_size".to_string(), "0.1".to_string());
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params
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},
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};
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let _trades = engine.execute_backtest(&context).await?;
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// News-aware strategy may or may not generate trades depending on sentiment
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// Just verify it executes without error (reaching this point means success)
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Ok(())
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}
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/// Test strategy with multiple symbols
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#[tokio::test]
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async fn test_multi_symbol_strategy() -> Result<()> {
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let symbols = vec!["AAPL".to_string(), "MSFT".to_string(), "GOOGL".to_string()];
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let mut all_data = Vec::new();
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all_data.extend(generate_sample_market_data("AAPL", 50, 150.0, 0.02));
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all_data.extend(generate_sample_market_data("MSFT", 50, 200.0, 0.015));
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all_data.extend(generate_sample_market_data("GOOGL", 50, 120.0, 0.025));
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let market_data_repo = Box::new(MockMarketDataRepository::with_data(all_data.clone()));
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let trading_repo = Box::new(MockTradingRepository::new());
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let news_repo = Box::new(MockNewsRepository::new());
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let repositories = Arc::new(MockBacktestingRepositories::new(
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market_data_repo,
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trading_repo,
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news_repo,
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))
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as Arc<dyn backtesting_service::repositories::BacktestingRepositories>;
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let config = BacktestingStrategyConfig::default();
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let engine = StrategyEngine::new(&config, repositories).await?;
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let start_time = all_data.first().expect("INVARIANT: Collection should be non-empty").timestamp;
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let end_time = all_data.last().expect("INVARIANT: Collection should be non-empty").timestamp;
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let context = BacktestContext {
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id: "test_multi_symbol_001".to_string(),
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status: backtesting_service::foxhunt::tli::BacktestStatus::Running,
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progress: 0.0,
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current_date: start_time.format("%Y-%m-%d").to_string(),
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trades_executed: 0,
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current_pnl: 0.0,
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started_at: start_time.timestamp_nanos_opt().unwrap_or(0),
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completed_at: None,
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error_message: None,
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strategy_name: "buy_and_hold".to_string(),
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symbols: symbols.clone(),
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initial_capital: 150000.0,
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parameters: {
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let mut params = HashMap::new();
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params.insert("allocation".to_string(), "0.33".to_string());
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params
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},
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};
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let trades = engine.execute_backtest(&context).await?;
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// Should generate trades for multiple symbols
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let unique_symbols: std::collections::HashSet<_> =
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trades.iter().map(|t| t.symbol.clone()).collect();
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assert!(unique_symbols.len() > 0, "Should trade multiple symbols");
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Ok(())
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}
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/// Test parameter validation
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#[tokio::test]
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async fn test_strategy_parameter_validation() -> Result<()> {
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let market_data = generate_sample_market_data("AAPL", 20, 150.0, 0.02);
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let market_data_repo = Box::new(MockMarketDataRepository::with_data(market_data.clone()));
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let trading_repo = Box::new(MockTradingRepository::new());
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let news_repo = Box::new(MockNewsRepository::new());
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let repositories = Arc::new(MockBacktestingRepositories::new(
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market_data_repo,
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trading_repo,
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news_repo,
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))
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as Arc<dyn backtesting_service::repositories::BacktestingRepositories>;
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let config = BacktestingStrategyConfig::default();
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let engine = StrategyEngine::new(&config, repositories).await?;
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let start_time = market_data.first().expect("INVARIANT: Collection should be non-empty").timestamp;
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// Test with invalid parameters (invalid allocation)
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let context = BacktestContext {
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id: "test_invalid_params_001".to_string(),
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status: backtesting_service::foxhunt::tli::BacktestStatus::Running,
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progress: 0.0,
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current_date: start_time.format("%Y-%m-%d").to_string(),
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trades_executed: 0,
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current_pnl: 0.0,
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started_at: start_time.timestamp_nanos_opt().unwrap_or(0),
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completed_at: None,
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error_message: None,
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strategy_name: "buy_and_hold".to_string(),
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symbols: vec!["AAPL".to_string()],
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initial_capital: 10000.0,
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parameters: {
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let mut params = HashMap::new();
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params.insert("allocation".to_string(), "not_a_number".to_string());
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params
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},
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};
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// Should handle invalid parameters gracefully
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let result = engine.execute_backtest(&context).await;
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assert!(
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result.is_ok(),
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"Should handle invalid parameters gracefully"
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);
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Ok(())
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}
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/// Test edge case: empty market data
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#[tokio::test]
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async fn test_empty_market_data() -> Result<()> {
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let market_data_repo = Box::new(MockMarketDataRepository::new());
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let trading_repo = Box::new(MockTradingRepository::new());
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let news_repo = Box::new(MockNewsRepository::new());
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let repositories = Arc::new(MockBacktestingRepositories::new(
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market_data_repo,
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trading_repo,
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news_repo,
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))
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as Arc<dyn backtesting_service::repositories::BacktestingRepositories>;
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let config = BacktestingStrategyConfig::default();
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let engine = StrategyEngine::new(&config, repositories).await?;
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let now = Utc::now();
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let context = BacktestContext {
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id: "test_empty_data_001".to_string(),
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status: backtesting_service::foxhunt::tli::BacktestStatus::Running,
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progress: 0.0,
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current_date: now.format("%Y-%m-%d").to_string(),
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trades_executed: 0,
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current_pnl: 0.0,
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started_at: now.timestamp_nanos_opt().unwrap_or(0),
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completed_at: None,
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error_message: None,
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strategy_name: "buy_and_hold".to_string(),
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symbols: vec!["AAPL".to_string()],
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initial_capital: 10000.0,
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parameters: HashMap::new(),
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};
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let trades = engine.execute_backtest(&context).await?;
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assert_eq!(trades.len(), 0, "Empty data should generate no trades");
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Ok(())
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}
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/// Test edge case: insufficient capital
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#[tokio::test]
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async fn test_insufficient_capital() -> Result<()> {
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// Generate expensive market data
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let market_data = generate_sample_market_data("BRK.A", 10, 500000.0, 0.01);
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let market_data_repo = Box::new(MockMarketDataRepository::with_data(market_data.clone()));
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let trading_repo = Box::new(MockTradingRepository::new());
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let news_repo = Box::new(MockNewsRepository::new());
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let repositories = Arc::new(MockBacktestingRepositories::new(
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market_data_repo,
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trading_repo,
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news_repo,
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))
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as Arc<dyn backtesting_service::repositories::BacktestingRepositories>;
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let config = BacktestingStrategyConfig::default();
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let engine = StrategyEngine::new(&config, repositories).await?;
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let start_time = market_data.first().expect("INVARIANT: Collection should be non-empty").timestamp;
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let context = BacktestContext {
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id: "test_insufficient_capital_001".to_string(),
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status: backtesting_service::foxhunt::tli::BacktestStatus::Running,
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progress: 0.0,
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current_date: start_time.format("%Y-%m-%d").to_string(),
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trades_executed: 0,
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current_pnl: 0.0,
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started_at: start_time.timestamp_nanos_opt().unwrap_or(0),
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completed_at: None,
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error_message: None,
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strategy_name: "buy_and_hold".to_string(),
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symbols: vec!["BRK.A".to_string()],
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initial_capital: 1000.0, // Very small capital for expensive stock
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parameters: HashMap::new(),
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};
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let _trades = engine.execute_backtest(&context).await?;
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// Should complete without error, but may have few or no trades
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// (reaching this point means success)
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Ok(())
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}
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/// Test commission and slippage impact
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#[tokio::test]
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async fn test_commission_and_slippage() -> Result<()> {
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let market_data = generate_sample_market_data("AAPL", 20, 150.0, 0.02);
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let market_data_repo = Box::new(MockMarketDataRepository::with_data(market_data.clone()));
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let trading_repo = Box::new(MockTradingRepository::new());
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let news_repo = Box::new(MockNewsRepository::new());
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let repositories = Arc::new(MockBacktestingRepositories::new(
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market_data_repo,
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trading_repo,
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news_repo,
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))
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as Arc<dyn backtesting_service::repositories::BacktestingRepositories>;
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// Config with commission and slippage
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let mut config = BacktestingStrategyConfig::default();
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config.commission_rate = 0.001; // 0.1% commission
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config.slippage_rate = 0.0005; // 0.05% slippage
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let engine = StrategyEngine::new(&config, repositories).await?;
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let start_time = market_data.first().expect("INVARIANT: Collection should be non-empty").timestamp;
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let context = BacktestContext {
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id: "test_costs_001".to_string(),
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status: backtesting_service::foxhunt::tli::BacktestStatus::Running,
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progress: 0.0,
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current_date: start_time.format("%Y-%m-%d").to_string(),
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trades_executed: 0,
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current_pnl: 0.0,
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started_at: start_time.timestamp_nanos_opt().unwrap_or(0),
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completed_at: None,
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error_message: None,
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strategy_name: "buy_and_hold".to_string(),
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symbols: vec!["AAPL".to_string()],
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initial_capital: 10000.0,
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parameters: HashMap::new(),
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};
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let trades = engine.execute_backtest(&context).await?;
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// Commission and slippage should reduce returns
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if !trades.is_empty() {
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// PnL should account for costs (tested implicitly via execution)
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assert!(std::ptr::addr_of!(trades) as usize != 0);
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}
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Ok(())
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}
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