| |
| """ |
| Unit tests for Institutional Alpha Engine (OFI, Micro-Price, OU Stat-Arb, Lead-Lag Alphas). |
| """ |
|
|
| import unittest |
| from backend.app.alpha_engine import InstitutionalAlphaEngine |
|
|
|
|
| class TestInstitutionalAlphaEngine(unittest.TestCase): |
| def setUp(self): |
| self.engine = InstitutionalAlphaEngine() |
|
|
| def test_ofi_alpha_positive(self): |
| row = {"Close": 110.0, "High": 110.5, "Low": 108.5, "Open": 108.8, "Volume": 50000, "RVOL": 2.0} |
| prev = {"Close": 108.8, "High": 109.0, "Low": 108.0, "Open": 108.2, "Volume": 30000, "RVOL": 1.0} |
| ofi = self.engine.compute_ofi_alpha(row, prev) |
| self.assertGreater(ofi, 0.0) |
|
|
| def test_micro_price_alpha_upper_wick_rejection(self): |
| |
| row = {"Close": 109.20, "High": 110.89, "Low": 108.50, "Open": 108.80, "ATR": 1.5, "bid_size": 50, "ask_size": 300} |
| micro = self.engine.compute_micro_price_alpha(row) |
| self.assertLess(micro, 0.0) |
|
|
| def test_ou_stat_arb_overbought_in_range(self): |
| |
| row = {"Close": 115.0, "VWAP": 109.0, "ATR": 1.5} |
| ou = self.engine.compute_ou_stat_arb_alpha(row, adx=15.0) |
| self.assertLess(ou, -0.4) |
|
|
| def test_lead_lag_alpha_catch_up(self): |
| |
| row = {"momentum_3_pct": -0.20} |
| lead_lag = self.engine.compute_lead_lag_alpha(row, sector_return_pct=1.50) |
| self.assertGreater(lead_lag, 0.50) |
|
|
| def test_evaluate_composite_alpha(self): |
| row = {"Close": 110.0, "High": 110.5, "Low": 108.5, "Open": 108.8, "Volume": 50000, "VWAP": 109.0, "ATR": 1.5, "RVOL": 2.0} |
| prev = {"Close": 108.8, "High": 109.0, "Low": 108.0, "Open": 108.2, "Volume": 30000, "RVOL": 1.0} |
| res = self.engine.evaluate_composite_alpha(row, prev_row=prev, sector_return_pct=1.0, adx=18.0) |
| self.assertIn("composite_alpha_score", res) |
| self.assertIn("alpha_ofi", res) |
| self.assertIn("alpha_micro", res) |
|
|
|
|
| if __name__ == "__main__": |
| unittest.main() |
|
|
