feat: add Quant OS A-share baseline
This commit is contained in:
@@ -0,0 +1,212 @@
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import hashlib
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import json
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import tempfile
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import unittest
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from datetime import datetime
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from pathlib import Path
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from quant60.backtest import BacktestEngine, verify_artifact_manifest
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from quant60.cli import main
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from quant60.config import config_from_dict, load_config
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from quant60.ledger import HashChainLedger
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from quant60.synthetic import generate_synthetic_bars
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PROJECT = Path(__file__).resolve().parents[1]
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class BacktestCliTests(unittest.TestCase):
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def test_empty_config_uses_valid_defaults(self):
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config = config_from_dict({})
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config.validate()
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def test_non_finite_config_values_are_rejected(self):
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cases = (
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{"initial_cash": "NaN"},
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{"fees": {"commission_rate": float("inf")}},
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{"execution": {"participation_rate": float("nan")}},
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{"execution": {"slippage_bps": float("inf")}},
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{"strategy": {"max_weight": float("nan")}},
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{"strategy": {"gross_target": float("inf")}},
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{"strategy": {"cash_buffer": float("nan")}},
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{"initial_cash": True},
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{"execution": {"lot_size": 100.0}},
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{"execution": {"cancel_open_orders_at_end": 1}},
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{"strategy": {"lookback": True}},
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{"strategy": {"rebalance_every": 5.0}},
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{"synthetic": {"trading_days": 90.0}},
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{"symbols": "600000.XSHG"},
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)
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for raw in cases:
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with self.subTest(raw=raw):
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with self.assertRaises(ValueError):
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config_from_dict(raw)
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def test_backtest_is_byte_deterministic(self):
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config = load_config(PROJECT / "configs" / "baseline.json")
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bars = generate_synthetic_bars(
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config.symbols,
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config.synthetic.start_date,
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config.synthetic.trading_days,
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config.synthetic.seed,
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config.synthetic.base_volume,
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)
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first = BacktestEngine(config).run(bars)
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second = BacktestEngine(config).run(bars)
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self.assertEqual(first.run_id, second.run_id)
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self.assertEqual(first.report, second.report)
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with tempfile.TemporaryDirectory() as left, tempfile.TemporaryDirectory() as right:
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left_paths = first.write_artifacts(left)
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right_paths = second.write_artifacts(right)
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for key in left_paths:
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left_hash = hashlib.sha256(left_paths[key].read_bytes()).hexdigest()
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right_hash = hashlib.sha256(right_paths[key].read_bytes()).hexdigest()
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self.assertEqual(left_hash, right_hash, key)
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self.assertTrue(HashChainLedger.read_jsonl(left_paths["events"]).verify())
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report = json.loads(left_paths["report"].read_text(encoding="utf-8"))
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self.assertFalse(report["investment_value_claim"])
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self.assertGreater(report["fill_count"], 0)
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records = [
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json.loads(line)
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for line in left_paths["events"].read_text(
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encoding="utf-8"
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).splitlines()
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]
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timestamps = [
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datetime.fromisoformat(record["timestamp"]) for record in records
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]
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self.assertEqual(timestamps, sorted(timestamps))
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def test_decisions_use_first_trading_session_close_of_each_week(self):
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config = load_config(PROJECT / "configs" / "baseline.json")
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bars = generate_synthetic_bars(
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config.symbols,
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config.synthetic.start_date,
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config.synthetic.trading_days,
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config.synthetic.seed,
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config.synthetic.base_volume,
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)
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result = BacktestEngine(config).run(bars)
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sessions = sorted({item.trading_date for item in bars})
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first_by_week = {}
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for session in sessions:
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first_by_week.setdefault(session.isocalendar()[:2], session)
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decision_dates = {
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datetime.fromisoformat(item["as_of"]).date()
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for item in result.targets
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}
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self.assertTrue(decision_dates)
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for decision_date in decision_dates:
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self.assertEqual(
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decision_date,
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first_by_week[decision_date.isocalendar()[:2]],
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)
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def test_incomplete_market_session_fails_closed(self):
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config = load_config(PROJECT / "configs" / "baseline.json")
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bars = generate_synthetic_bars(
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config.symbols,
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config.synthetic.start_date,
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config.synthetic.trading_days,
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config.synthetic.seed,
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config.synthetic.base_volume,
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)
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removed = bars.pop(len(config.symbols) * 30)
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with self.assertRaisesRegex(
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ValueError,
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"incomplete market-data session.*" + removed.symbol.replace(".", r"\."),
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):
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BacktestEngine(config).run(bars)
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def test_cli_smoke_and_ledger_verify(self):
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with tempfile.TemporaryDirectory() as directory:
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output = Path(directory) / "run"
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self.assertEqual(
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main(
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[
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"smoke",
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"--config",
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str(PROJECT / "configs" / "baseline.json"),
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"--output",
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str(output),
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]
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),
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0,
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)
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self.assertEqual(main(["verify-ledger", str(output / "events.jsonl")]), 0)
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self.assertEqual(
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main(["verify-manifest", str(output / "manifest.json")]),
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0,
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)
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self.assertTrue(
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verify_artifact_manifest(output / "manifest.json")["ok"]
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)
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def test_manifest_verifier_rejects_tampered_or_incomplete_runs(self):
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config = load_config(PROJECT / "configs" / "baseline.json")
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bars = generate_synthetic_bars(
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config.symbols,
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config.synthetic.start_date,
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config.synthetic.trading_days,
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config.synthetic.seed,
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config.synthetic.base_volume,
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)
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with tempfile.TemporaryDirectory() as directory:
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output = Path(directory) / "run"
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BacktestEngine(config).run(bars).write_artifacts(output)
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report_path = output / "report.json"
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report_path.write_bytes(report_path.read_bytes() + b" ")
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with self.assertRaisesRegex(ValueError, "report artifact hash mismatch"):
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verify_artifact_manifest(output / "manifest.json")
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(output / ".quant60-incomplete").write_text(
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"interrupted\n",
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encoding="ascii",
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)
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with self.assertRaisesRegex(ValueError, "publication is incomplete"):
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verify_artifact_manifest(output / "manifest.json")
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second_output = Path(directory) / "second-run"
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BacktestEngine(config).run(bars).write_artifacts(second_output)
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manifest_path = second_output / "manifest.json"
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unexpected = second_output / "untracked-result.txt"
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unexpected.write_text("not part of the run\n", encoding="utf-8")
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with self.assertRaisesRegex(
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ValueError,
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"artifact directory is not an exact completed set",
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):
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verify_artifact_manifest(manifest_path)
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unexpected.unlink()
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manifest = json.loads(manifest_path.read_text(encoding="utf-8"))
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manifest["engine_sources"]["portable_core.py"] = "0" * 64
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manifest_path.write_text(
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json.dumps(manifest, sort_keys=True),
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encoding="utf-8",
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)
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with self.assertRaisesRegex(
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ValueError,
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"engine_sources aggregate hash mismatch",
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):
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verify_artifact_manifest(manifest_path)
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def test_cli_backtest_alias(self):
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with tempfile.TemporaryDirectory() as directory:
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output = Path(directory) / "run"
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self.assertEqual(
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main(
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[
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"backtest",
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"--config",
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str(PROJECT / "configs" / "baseline.json"),
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"--output",
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str(output),
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]
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),
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0,
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)
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self.assertTrue((output / "report.json").is_file())
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if __name__ == "__main__":
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unittest.main()
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