115 lines
4.5 KiB
Python
115 lines
4.5 KiB
Python
"""The forward read-model DTOs and the state_reader that normalizes heterogeneous tracker state files."""
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from __future__ import annotations
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import json
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import math
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from fxhnt.adapters.persistence.state_reader import ForwardStateReader
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from fxhnt.application.forward_models import ForwardNavRow, ForwardSummary
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def test_forward_summary_total_return_pct() -> None:
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s = ForwardSummary(strategy_id="x", as_of="2026-06-12", days=7, nav=1.05,
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total_return=0.05, sharpe=1.2, maxdd=-0.04)
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assert round(s.total_return_pct, 2) == 5.0
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def test_forward_nav_row_is_immutable() -> None:
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r = ForwardNavRow(strategy_id="x", date="2026-06-05", ret=0.01, nav=1.01)
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assert r.strategy_id == "x" and r.nav == 1.01
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def _write(tmp_path, name, obj):
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p = tmp_path / f"{name}.json"
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p.write_text(json.dumps(obj))
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return p
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def test_reads_days_list_family(tmp_path) -> None:
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_write(tmp_path, "fxhnt_combined_forward", {
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"inception": "2026-06-04", "last_date": "2026-06-06", "nav": 1.0201,
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"days": [
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{"date": "2026-06-05", "ret": 0.01, "nav": 1.01},
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{"date": "2026-06-06", "ret": 0.0099, "nav": 1.0201},
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],
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})
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reader = ForwardStateReader()
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summary, rows = reader.read(tmp_path / "fxhnt_combined_forward.json", "combined")
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assert summary.strategy_id == "combined"
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assert summary.days == 2
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assert summary.as_of == "2026-06-06"
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assert math.isclose(summary.nav, 1.0201, rel_tol=1e-9)
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assert [r.date for r in rows] == ["2026-06-05", "2026-06-06"]
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assert all(r.strategy_id == "combined" for r in rows)
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def test_reads_welford_equity_family(tmp_path) -> None:
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_write(tmp_path, "multistrat_state", {
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"last_date": "2026-06-12", "days": 5, "sum_r": -0.0007245543702343088,
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"sumsq_r": 1.8807003187214318e-05, "equity": 0.9992663073361069,
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"peak": 1.001482883251981, "max_dd": -0.004599760548340659,
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})
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reader = ForwardStateReader()
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summary, rows = reader.read(tmp_path / "multistrat_state.json", "multistrat")
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assert summary.days == 5
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assert summary.as_of == "2026-06-12"
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assert math.isclose(summary.nav, 0.9992663073361069, rel_tol=1e-9)
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assert math.isclose(summary.total_return, -0.0007336926638931, rel_tol=1e-6)
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assert math.isclose(summary.maxdd, -0.004599760548340659, rel_tol=1e-9)
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# snapshot-only: one forward point at as_of with nav == equity
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assert len(rows) == 1 and rows[0].date == "2026-06-12"
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assert math.isclose(rows[0].nav, 0.9992663073361069, rel_tol=1e-9)
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def test_reads_cumulative_funding_family(tmp_path) -> None:
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_write(tmp_path, "funding_state", {
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"positions": {"LAB": 0.2, "TON": 0.2}, "cum_gross": 0.0046, "cum_net": -6.11e-05,
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"days": 8, "last_run_date": "2026-06-14",
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})
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reader = ForwardStateReader()
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summary, rows = reader.read(tmp_path / "funding_state.json", "funding")
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assert summary.days == 8
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assert summary.as_of == "2026-06-14"
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assert math.isclose(summary.total_return, -6.11e-05, rel_tol=1e-9)
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assert math.isclose(summary.nav, 1.0 - 6.11e-05, rel_tol=1e-9)
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assert summary.sharpe == 0.0 # not derivable from cumulative-only
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assert len(rows) == 1 and rows[0].date == "2026-06-14"
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def test_unknown_shape_raises_valueerror(tmp_path) -> None:
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_write(tmp_path, "weird", {"foo": 1})
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reader = ForwardStateReader()
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try:
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reader.read(tmp_path / "weird.json", "weird")
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assert False, "expected ValueError"
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except ValueError:
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pass
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def test_welford_sample_variance_sharpe(tmp_path) -> None:
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"""Verify _welford uses SAMPLE variance (/(n-1)) matching the days-list _sharpe path.
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Fixture: days=2, r1=0.01, r2=0.03
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sum_r = 0.04
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sumsq_r = 0.01**2 + 0.03**2 = 0.001
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mean = 0.02
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sample var = (0.001 - 0.04**2/2) / (2-1) = (0.001 - 0.0008) / 1 = 0.0002
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std = sqrt(0.0002)
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sharpe = (0.02 / sqrt(0.0002)) * sqrt(365)
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"""
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sum_r = 0.04
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sumsq_r = 0.01 ** 2 + 0.03 ** 2 # = 0.001
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mean = sum_r / 2
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sample_var = (sumsq_r - sum_r ** 2 / 2) / (2 - 1)
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expected_sharpe = mean / math.sqrt(sample_var) * math.sqrt(365.0)
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_write(tmp_path, "welford_fixture", {
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"last_date": "2026-06-10", "days": 2,
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"sum_r": sum_r, "sumsq_r": sumsq_r,
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"equity": 1.04, "max_dd": 0.0,
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})
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reader = ForwardStateReader()
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summary, _ = reader.read(tmp_path / "welford_fixture.json", "w")
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assert summary.sharpe > 0, "sharpe must be positive for two positive returns"
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assert math.isclose(summary.sharpe, expected_sharpe, rel_tol=1e-9)
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