25 lines
1.2 KiB
Python
25 lines
1.2 KiB
Python
import pytest
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from src.portfolio.base import Portfolio, SleeveSpec
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from scripts.analysis.report_families import build_everything
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from scripts.analysis.combine_portfolio import port_returns, metrics, SPLIT
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def _master9_specs():
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fade = [SleeveSpec(kind="single", name=f"{c}", sid=f"{c}_{a}", asset=a, cluster=f"{a}-rev")
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for a in ("BTC", "ETH") for c in ("MR01", "MR02", "MR07")]
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honest = [SleeveSpec(kind="single", name="DIP01", sid="DIP01_BTC", asset="BTC", cluster="BTC-rev"),
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SleeveSpec(kind="single", name="TR01", sid="TR01_basket", cluster="trend"),
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SleeveSpec(kind="single", name="ROT02", sid="ROT02_rot", cluster="rotation")]
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return fade + honest
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def test_master9_backtest_matches_report():
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p = Portfolio(code="PORT03", label="Master", sleeves=_master9_specs(), weighting="equal")
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res = p.backtest()
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S, _, _, _ = build_everything()
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dr_ref = port_returns(S)
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ref_full, ref_oos = metrics(dr_ref), metrics(dr_ref, lo=SPLIT)
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assert res.full["sharpe"] == pytest.approx(ref_full["sharpe"], abs=1e-6)
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assert res.full["dd"] == pytest.approx(ref_full["dd"], abs=1e-6)
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assert res.oos["sharpe"] == pytest.approx(ref_oos["sharpe"], abs=1e-6)
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