feat: integrate v2 backtest pipeline for triple barrier and walk-forward (#305)

tests/test_backtest_pipeline_integration.py

@@ -0,0 +1,136 @@
+from __future__ import annotations
+
+from src.analysis.backtest_cost_guard import BacktestCostModel
+from src.analysis.backtest_pipeline import (
+    BacktestBar,
+    WalkForwardConfig,
+    fold_has_leakage,
+    run_v2_backtest_pipeline,
+)
+from src.analysis.triple_barrier import TripleBarrierSpec
+from src.analysis.walk_forward_split import generate_walk_forward_splits
+
+
+def _bars() -> list[BacktestBar]:
+    closes = [100.0, 101.0, 102.0, 101.5, 103.0, 102.5, 104.0, 103.5, 105.0, 104.5, 106.0, 105.5]
+    bars: list[BacktestBar] = []
+    for i, close in enumerate(closes):
+        bars.append(
+            BacktestBar(
+                high=close + 1.0,
+                low=close - 1.0,
+                close=close,
+                session_id="KRX_REG" if i % 2 == 0 else "US_PRE",
+            )
+        )
+    return bars
+
+
+def _cost_model() -> BacktestCostModel:
+    return BacktestCostModel(
+        commission_bps=3.0,
+        slippage_bps_by_session={"KRX_REG": 10.0, "US_PRE": 50.0},
+        failure_rate_by_session={"KRX_REG": 0.01, "US_PRE": 0.08},
+        unfavorable_fill_required=True,
+    )
+
+
+def test_pipeline_happy_path_returns_fold_and_artifact_contract() -> None:
+    out = run_v2_backtest_pipeline(
+        bars=_bars(),
+        entry_indices=[0, 1, 2, 3, 4, 5, 6, 7],
+        side=1,
+        triple_barrier_spec=TripleBarrierSpec(
+            take_profit_pct=0.02,
+            stop_loss_pct=0.01,
+            max_holding_bars=3,
+        ),
+        walk_forward=WalkForwardConfig(
+            train_size=4,
+            test_size=2,
+            step_size=2,
+            purge_size=1,
+            embargo_size=1,
+            min_train_size=3,
+        ),
+        cost_model=_cost_model(),
+    )
+
+    assert out.run_id.startswith("v2p-e8-f")
+    assert out.n_bars == 12
+    assert out.n_entries == 8
+    assert out.required_sessions == ["KRX_REG", "US_PRE"]
+    assert len(out.folds) > 0
+    assert set(out.label_distribution) == {-1, 0, 1}
+    for fold in out.folds:
+        names = {score.name for score in fold.baseline_scores}
+        assert names == {"B0", "B1", "M1"}
+        for score in fold.baseline_scores:
+            assert 0.0 <= score.accuracy <= 1.0
+
+
+def test_pipeline_cost_guard_fail_fast() -> None:
+    bad = BacktestCostModel(
+        commission_bps=3.0,
+        slippage_bps_by_session={"KRX_REG": 10.0},
+        failure_rate_by_session={"KRX_REG": 0.01},
+        unfavorable_fill_required=True,
+    )
+    try:
+        run_v2_backtest_pipeline(
+            bars=_bars(),
+            entry_indices=[0, 1, 2, 3],
+            side=1,
+            triple_barrier_spec=TripleBarrierSpec(
+                take_profit_pct=0.02,
+                stop_loss_pct=0.01,
+                max_holding_bars=3,
+            ),
+            walk_forward=WalkForwardConfig(train_size=2, test_size=1),
+            cost_model=bad,
+            required_sessions=["KRX_REG", "US_PRE"],
+        )
+    except ValueError as exc:
+        assert "missing slippage_bps_by_session" in str(exc)
+    else:
+        raise AssertionError("expected cost guard validation error")
+
+
+def test_pipeline_fold_leakage_guard() -> None:
+    folds = generate_walk_forward_splits(
+        n_samples=12,
+        train_size=6,
+        test_size=2,
+        step_size=2,
+        purge_size=1,
+        embargo_size=1,
+        min_train_size=5,
+    )
+    assert folds
+    for fold in folds:
+        assert not fold_has_leakage(fold)
+
+
+def test_pipeline_deterministic_seed_free_deterministic_result() -> None:
+    cfg = dict(
+        bars=_bars(),
+        entry_indices=[0, 1, 2, 3, 4, 5, 6, 7],
+        side=1,
+        triple_barrier_spec=TripleBarrierSpec(
+            take_profit_pct=0.02,
+            stop_loss_pct=0.01,
+            max_holding_bars=3,
+        ),
+        walk_forward=WalkForwardConfig(
+            train_size=4,
+            test_size=2,
+            step_size=2,
+            purge_size=1,
+            embargo_size=1,
+            min_train_size=3,
+        ),
+        cost_model=_cost_model(),
+    )
+    out1 = run_v2_backtest_pipeline(**cfg)
+    out2 = run_v2_backtest_pipeline(**cfg)
+    assert out1 == out2