60 lines
2.3 KiB
Python
60 lines
2.3 KiB
Python
from __future__ import annotations
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import pytest
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from src.analysis.backtest_cost_guard import BacktestCostModel, validate_backtest_cost_model
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def test_valid_backtest_cost_model_passes() -> None:
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model = BacktestCostModel(
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commission_bps=5.0,
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slippage_bps_by_session={"KRX_REG": 10.0, "US_PRE": 50.0},
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failure_rate_by_session={"KRX_REG": 0.01, "US_PRE": 0.08},
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unfavorable_fill_required=True,
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)
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validate_backtest_cost_model(model=model, required_sessions=["KRX_REG", "US_PRE"])
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def test_missing_required_slippage_session_raises() -> None:
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model = BacktestCostModel(
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commission_bps=5.0,
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slippage_bps_by_session={"KRX_REG": 10.0},
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failure_rate_by_session={"KRX_REG": 0.01, "US_PRE": 0.08},
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unfavorable_fill_required=True,
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)
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with pytest.raises(ValueError, match="missing slippage_bps_by_session.*US_PRE"):
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validate_backtest_cost_model(model=model, required_sessions=["KRX_REG", "US_PRE"])
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def test_missing_required_failure_rate_session_raises() -> None:
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model = BacktestCostModel(
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commission_bps=5.0,
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slippage_bps_by_session={"KRX_REG": 10.0, "US_PRE": 50.0},
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failure_rate_by_session={"KRX_REG": 0.01},
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unfavorable_fill_required=True,
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)
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with pytest.raises(ValueError, match="missing failure_rate_by_session.*US_PRE"):
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validate_backtest_cost_model(model=model, required_sessions=["KRX_REG", "US_PRE"])
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def test_invalid_failure_rate_range_raises() -> None:
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model = BacktestCostModel(
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commission_bps=5.0,
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slippage_bps_by_session={"KRX_REG": 10.0},
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failure_rate_by_session={"KRX_REG": 1.2},
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unfavorable_fill_required=True,
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)
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with pytest.raises(ValueError, match="failure rate must be within"):
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validate_backtest_cost_model(model=model, required_sessions=["KRX_REG"])
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def test_unfavorable_fill_requirement_cannot_be_disabled() -> None:
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model = BacktestCostModel(
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commission_bps=5.0,
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slippage_bps_by_session={"KRX_REG": 10.0},
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failure_rate_by_session={"KRX_REG": 0.02},
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unfavorable_fill_required=False,
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)
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with pytest.raises(ValueError, match="unfavorable_fill_required must be True"):
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validate_backtest_cost_model(model=model, required_sessions=["KRX_REG"])
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