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"""Tests for walk-forward analysis."""
import sys
from datetime import UTC, datetime, timedelta
from decimal import Decimal
from pathlib import Path
sys.path.insert(0, str(Path(__file__).resolve().parents[1] / "src"))
sys.path.insert(0, str(Path(__file__).resolve().parents[2] / "strategy-engine"))
from backtester.walk_forward import WalkForwardEngine, WalkForwardResult
from strategies.rsi_strategy import RsiStrategy
from shared.models import Candle
def _generate_candles(n=100, base_price=100.0):
candles = []
for i in range(n):
# Simple oscillating price
price = base_price + (i % 20) - 10
candles.append(
Candle(
symbol="AAPL",
timeframe="1h",
open_time=datetime(2025, 1, 1, tzinfo=UTC) + timedelta(hours=i),
open=Decimal(str(price)),
high=Decimal(str(price + 5)),
low=Decimal(str(price - 5)),
close=Decimal(str(price)),
volume=Decimal("100"),
)
)
return candles
def test_walk_forward_basic():
param_grid = [
{"period": 5, "oversold": 30, "overbought": 70, "quantity": "0.1"},
{"period": 10, "oversold": 25, "overbought": 75, "quantity": "0.1"},
]
engine = WalkForwardEngine(
strategy_factory=RsiStrategy,
param_grid=param_grid,
initial_balance=Decimal("10000"),
num_windows=3,
)
candles = _generate_candles(150)
result = engine.run(candles)
assert isinstance(result, WalkForwardResult)
assert result.strategy_name == "rsi"
assert result.num_windows > 0
def test_walk_forward_efficiency_ratio():
param_grid = [
{"period": 5, "oversold": 30, "overbought": 70, "quantity": "0.1"},
]
engine = WalkForwardEngine(
strategy_factory=RsiStrategy,
param_grid=param_grid,
num_windows=2,
)
candles = _generate_candles(100)
result = engine.run(candles)
# Efficiency ratio should be a finite number
assert isinstance(result.efficiency_ratio, float)
def test_walk_forward_empty_candles():
engine = WalkForwardEngine(
strategy_factory=RsiStrategy,
param_grid=[{"period": 5}],
)
result = engine.run([])
assert result.num_windows == 0
def test_walk_forward_too_few_candles():
engine = WalkForwardEngine(
strategy_factory=RsiStrategy,
param_grid=[{"period": 5}],
num_windows=10,
)
candles = _generate_candles(20)
result = engine.run(candles)
assert result.num_windows == 0 # window_size < 10
def test_walk_forward_selects_best_params():
param_grid = [
{"period": 3, "oversold": 40, "overbought": 60, "quantity": "0.1"}, # very aggressive
{"period": 14, "oversold": 30, "overbought": 70, "quantity": "0.1"}, # standard
]
engine = WalkForwardEngine(
strategy_factory=RsiStrategy,
param_grid=param_grid,
num_windows=2,
)
candles = _generate_candles(200)
result = engine.run(candles)
for window in result.windows:
assert window.best_params in param_grid
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