feat: add backtesting engine with 4 strategies (TDD)
Strategies: - POST /backtest/sma-crossover - SMA crossover (short/long window) - POST /backtest/rsi - RSI oversold/overbought signals - POST /backtest/buy-and-hold - passive benchmark - POST /backtest/momentum - multi-symbol momentum rotation Returns: total_return, annualized_return, sharpe_ratio, max_drawdown, win_rate, total_trades, equity_curve (last 20 points) Implementation: pure pandas/numpy, no external backtesting libs. Shared _compute_metrics helper across all strategies. 79 new tests (46 service unit + 33 route integration). All 391 tests passing.
This commit is contained in:
Yaojia Wang
443
tests/test_routes_backtest.py
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443
tests/test_routes_backtest.py
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"""Integration tests for backtest routes - written FIRST (TDD RED phase)."""
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from unittest.mock import AsyncMock, patch
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import pytest
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from httpx import ASGITransport, AsyncClient
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from main import app
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@pytest.fixture
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async def client():
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transport = ASGITransport(app=app)
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async with AsyncClient(transport=transport, base_url="http://test") as c:
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yield c
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# Shared mock response used across strategy tests
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MOCK_BACKTEST_RESULT = {
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"total_return": 0.15,
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"annualized_return": 0.14,
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"sharpe_ratio": 1.2,
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"max_drawdown": -0.08,
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"win_rate": 0.6,
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"total_trades": 10,
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"equity_curve": [10000 + i * 75 for i in range(20)],
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}
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MOCK_MOMENTUM_RESULT = {
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**MOCK_BACKTEST_RESULT,
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"allocation_history": [
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{"date": "2024-01-01", "symbols": ["AAPL", "MSFT"], "weights": [0.5, 0.5]},
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],
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}
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# ---------------------------------------------------------------------------
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# POST /api/v1/backtest/sma-crossover
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# ---------------------------------------------------------------------------
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@pytest.mark.asyncio
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@patch("routes_backtest.backtest_service.backtest_sma_crossover", new_callable=AsyncMock)
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async def test_sma_crossover_happy_path(mock_fn, client):
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mock_fn.return_value = MOCK_BACKTEST_RESULT
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resp = await client.post(
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"/api/v1/backtest/sma-crossover",
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json={
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"symbol": "AAPL",
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"short_window": 20,
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"long_window": 50,
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"days": 365,
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"initial_capital": 10000,
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},
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)
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assert resp.status_code == 200
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data = resp.json()
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assert data["success"] is True
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assert data["data"]["total_return"] == pytest.approx(0.15)
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assert data["data"]["total_trades"] == 10
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assert len(data["data"]["equity_curve"]) == 20
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mock_fn.assert_called_once_with(
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"AAPL",
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short_window=20,
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long_window=50,
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days=365,
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initial_capital=10000.0,
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)
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@pytest.mark.asyncio
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@patch("routes_backtest.backtest_service.backtest_sma_crossover", new_callable=AsyncMock)
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async def test_sma_crossover_default_values(mock_fn, client):
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mock_fn.return_value = MOCK_BACKTEST_RESULT
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resp = await client.post(
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"/api/v1/backtest/sma-crossover",
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json={"symbol": "MSFT"},
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)
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assert resp.status_code == 200
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mock_fn.assert_called_once_with(
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"MSFT",
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short_window=20,
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long_window=50,
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days=365,
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initial_capital=10000.0,
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)
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@pytest.mark.asyncio
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async def test_sma_crossover_missing_symbol(client):
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resp = await client.post(
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"/api/v1/backtest/sma-crossover",
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json={"short_window": 20, "long_window": 50},
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)
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assert resp.status_code == 422
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@pytest.mark.asyncio
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async def test_sma_crossover_short_window_too_small(client):
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resp = await client.post(
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"/api/v1/backtest/sma-crossover",
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json={"symbol": "AAPL", "short_window": 2, "long_window": 50},
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)
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assert resp.status_code == 422
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@pytest.mark.asyncio
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async def test_sma_crossover_long_window_too_large(client):
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resp = await client.post(
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"/api/v1/backtest/sma-crossover",
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json={"symbol": "AAPL", "short_window": 20, "long_window": 500},
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)
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assert resp.status_code == 422
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@pytest.mark.asyncio
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async def test_sma_crossover_days_too_few(client):
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resp = await client.post(
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"/api/v1/backtest/sma-crossover",
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json={"symbol": "AAPL", "days": 5},
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)
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assert resp.status_code == 422
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@pytest.mark.asyncio
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async def test_sma_crossover_days_too_many(client):
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resp = await client.post(
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"/api/v1/backtest/sma-crossover",
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json={"symbol": "AAPL", "days": 9999},
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)
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assert resp.status_code == 422
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@pytest.mark.asyncio
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async def test_sma_crossover_capital_zero(client):
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resp = await client.post(
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"/api/v1/backtest/sma-crossover",
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json={"symbol": "AAPL", "initial_capital": 0},
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)
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assert resp.status_code == 422
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@pytest.mark.asyncio
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@patch("routes_backtest.backtest_service.backtest_sma_crossover", new_callable=AsyncMock)
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async def test_sma_crossover_service_error_returns_502(mock_fn, client):
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mock_fn.side_effect = RuntimeError("Data fetch failed")
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resp = await client.post(
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"/api/v1/backtest/sma-crossover",
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json={"symbol": "AAPL", "short_window": 20, "long_window": 50},
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)
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assert resp.status_code == 502
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@pytest.mark.asyncio
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@patch("routes_backtest.backtest_service.backtest_sma_crossover", new_callable=AsyncMock)
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async def test_sma_crossover_value_error_returns_400(mock_fn, client):
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mock_fn.side_effect = ValueError("No historical data")
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resp = await client.post(
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"/api/v1/backtest/sma-crossover",
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json={"symbol": "AAPL", "short_window": 20, "long_window": 50},
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)
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assert resp.status_code == 400
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# ---------------------------------------------------------------------------
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# POST /api/v1/backtest/rsi
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# ---------------------------------------------------------------------------
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@pytest.mark.asyncio
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@patch("routes_backtest.backtest_service.backtest_rsi", new_callable=AsyncMock)
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async def test_rsi_happy_path(mock_fn, client):
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mock_fn.return_value = MOCK_BACKTEST_RESULT
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resp = await client.post(
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"/api/v1/backtest/rsi",
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json={
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"symbol": "AAPL",
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"period": 14,
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"oversold": 30,
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"overbought": 70,
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"days": 365,
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"initial_capital": 10000,
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},
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)
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assert resp.status_code == 200
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data = resp.json()
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assert data["success"] is True
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assert data["data"]["sharpe_ratio"] == pytest.approx(1.2)
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mock_fn.assert_called_once_with(
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"AAPL",
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period=14,
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oversold=30.0,
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overbought=70.0,
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days=365,
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initial_capital=10000.0,
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)
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@pytest.mark.asyncio
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@patch("routes_backtest.backtest_service.backtest_rsi", new_callable=AsyncMock)
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async def test_rsi_default_values(mock_fn, client):
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mock_fn.return_value = MOCK_BACKTEST_RESULT
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resp = await client.post("/api/v1/backtest/rsi", json={"symbol": "AAPL"})
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assert resp.status_code == 200
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mock_fn.assert_called_once_with(
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"AAPL",
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period=14,
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oversold=30.0,
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overbought=70.0,
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days=365,
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initial_capital=10000.0,
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)
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@pytest.mark.asyncio
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async def test_rsi_missing_symbol(client):
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resp = await client.post("/api/v1/backtest/rsi", json={"period": 14})
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assert resp.status_code == 422
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@pytest.mark.asyncio
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async def test_rsi_period_too_small(client):
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resp = await client.post(
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"/api/v1/backtest/rsi",
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json={"symbol": "AAPL", "period": 1},
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)
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assert resp.status_code == 422
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@pytest.mark.asyncio
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async def test_rsi_oversold_too_high(client):
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# oversold must be < 50
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resp = await client.post(
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"/api/v1/backtest/rsi",
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json={"symbol": "AAPL", "oversold": 55, "overbought": 70},
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)
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assert resp.status_code == 422
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@pytest.mark.asyncio
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async def test_rsi_overbought_too_low(client):
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# overbought must be > 50
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resp = await client.post(
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"/api/v1/backtest/rsi",
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json={"symbol": "AAPL", "oversold": 30, "overbought": 45},
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)
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assert resp.status_code == 422
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@pytest.mark.asyncio
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@patch("routes_backtest.backtest_service.backtest_rsi", new_callable=AsyncMock)
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async def test_rsi_service_error_returns_502(mock_fn, client):
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mock_fn.side_effect = RuntimeError("upstream error")
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resp = await client.post("/api/v1/backtest/rsi", json={"symbol": "AAPL"})
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assert resp.status_code == 502
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@pytest.mark.asyncio
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@patch("routes_backtest.backtest_service.backtest_rsi", new_callable=AsyncMock)
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async def test_rsi_value_error_returns_400(mock_fn, client):
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mock_fn.side_effect = ValueError("Insufficient data")
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resp = await client.post("/api/v1/backtest/rsi", json={"symbol": "AAPL"})
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assert resp.status_code == 400
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# ---------------------------------------------------------------------------
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# POST /api/v1/backtest/buy-and-hold
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# ---------------------------------------------------------------------------
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@pytest.mark.asyncio
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@patch("routes_backtest.backtest_service.backtest_buy_and_hold", new_callable=AsyncMock)
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async def test_buy_and_hold_happy_path(mock_fn, client):
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mock_fn.return_value = MOCK_BACKTEST_RESULT
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resp = await client.post(
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"/api/v1/backtest/buy-and-hold",
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json={"symbol": "AAPL", "days": 365, "initial_capital": 10000},
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)
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assert resp.status_code == 200
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data = resp.json()
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assert data["success"] is True
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assert data["data"]["total_return"] == pytest.approx(0.15)
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mock_fn.assert_called_once_with("AAPL", days=365, initial_capital=10000.0)
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@pytest.mark.asyncio
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@patch("routes_backtest.backtest_service.backtest_buy_and_hold", new_callable=AsyncMock)
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async def test_buy_and_hold_default_values(mock_fn, client):
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mock_fn.return_value = MOCK_BACKTEST_RESULT
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resp = await client.post("/api/v1/backtest/buy-and-hold", json={"symbol": "AAPL"})
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assert resp.status_code == 200
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mock_fn.assert_called_once_with("AAPL", days=365, initial_capital=10000.0)
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@pytest.mark.asyncio
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async def test_buy_and_hold_missing_symbol(client):
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resp = await client.post("/api/v1/backtest/buy-and-hold", json={"days": 365})
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assert resp.status_code == 422
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@pytest.mark.asyncio
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async def test_buy_and_hold_days_too_few(client):
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resp = await client.post(
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"/api/v1/backtest/buy-and-hold",
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json={"symbol": "AAPL", "days": 10},
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)
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assert resp.status_code == 422
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@pytest.mark.asyncio
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@patch("routes_backtest.backtest_service.backtest_buy_and_hold", new_callable=AsyncMock)
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async def test_buy_and_hold_service_error_returns_502(mock_fn, client):
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mock_fn.side_effect = RuntimeError("provider down")
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resp = await client.post("/api/v1/backtest/buy-and-hold", json={"symbol": "AAPL"})
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assert resp.status_code == 502
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@pytest.mark.asyncio
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@patch("routes_backtest.backtest_service.backtest_buy_and_hold", new_callable=AsyncMock)
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async def test_buy_and_hold_value_error_returns_400(mock_fn, client):
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mock_fn.side_effect = ValueError("No historical data")
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resp = await client.post("/api/v1/backtest/buy-and-hold", json={"symbol": "AAPL"})
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assert resp.status_code == 400
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# ---------------------------------------------------------------------------
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# POST /api/v1/backtest/momentum
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# ---------------------------------------------------------------------------
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@pytest.mark.asyncio
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@patch("routes_backtest.backtest_service.backtest_momentum", new_callable=AsyncMock)
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async def test_momentum_happy_path(mock_fn, client):
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mock_fn.return_value = MOCK_MOMENTUM_RESULT
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resp = await client.post(
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"/api/v1/backtest/momentum",
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json={
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"symbols": ["AAPL", "MSFT", "GOOGL"],
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"lookback": 60,
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"top_n": 2,
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"rebalance_days": 30,
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"days": 365,
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"initial_capital": 10000,
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},
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)
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assert resp.status_code == 200
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data = resp.json()
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assert data["success"] is True
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assert "allocation_history" in data["data"]
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assert data["data"]["total_trades"] == 10
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mock_fn.assert_called_once_with(
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symbols=["AAPL", "MSFT", "GOOGL"],
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lookback=60,
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top_n=2,
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rebalance_days=30,
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days=365,
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initial_capital=10000.0,
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)
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@pytest.mark.asyncio
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@patch("routes_backtest.backtest_service.backtest_momentum", new_callable=AsyncMock)
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async def test_momentum_default_values(mock_fn, client):
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mock_fn.return_value = MOCK_MOMENTUM_RESULT
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resp = await client.post(
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"/api/v1/backtest/momentum",
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json={"symbols": ["AAPL", "MSFT"]},
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)
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assert resp.status_code == 200
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mock_fn.assert_called_once_with(
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symbols=["AAPL", "MSFT"],
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lookback=60,
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top_n=2,
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rebalance_days=30,
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days=365,
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initial_capital=10000.0,
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)
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@pytest.mark.asyncio
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async def test_momentum_missing_symbols(client):
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resp = await client.post("/api/v1/backtest/momentum", json={"lookback": 60})
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assert resp.status_code == 422
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@pytest.mark.asyncio
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async def test_momentum_too_few_symbols(client):
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# min_length=2 on symbols list
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resp = await client.post(
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"/api/v1/backtest/momentum",
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json={"symbols": ["AAPL"]},
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)
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assert resp.status_code == 422
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@pytest.mark.asyncio
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async def test_momentum_too_many_symbols(client):
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symbols = [f"SYM{i}" for i in range(25)]
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resp = await client.post(
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"/api/v1/backtest/momentum",
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json={"symbols": symbols},
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)
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assert resp.status_code == 422
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@pytest.mark.asyncio
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async def test_momentum_lookback_too_small(client):
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resp = await client.post(
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"/api/v1/backtest/momentum",
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json={"symbols": ["AAPL", "MSFT"], "lookback": 2},
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)
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assert resp.status_code == 422
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@pytest.mark.asyncio
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async def test_momentum_days_too_few(client):
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resp = await client.post(
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"/api/v1/backtest/momentum",
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json={"symbols": ["AAPL", "MSFT"], "days": 10},
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)
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assert resp.status_code == 422
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@pytest.mark.asyncio
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@patch("routes_backtest.backtest_service.backtest_momentum", new_callable=AsyncMock)
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async def test_momentum_service_error_returns_502(mock_fn, client):
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mock_fn.side_effect = RuntimeError("provider down")
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resp = await client.post(
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"/api/v1/backtest/momentum",
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json={"symbols": ["AAPL", "MSFT"]},
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)
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assert resp.status_code == 502
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@pytest.mark.asyncio
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@patch("routes_backtest.backtest_service.backtest_momentum", new_callable=AsyncMock)
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async def test_momentum_value_error_returns_400(mock_fn, client):
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mock_fn.side_effect = ValueError("No price data available")
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resp = await client.post(
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"/api/v1/backtest/momentum",
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json={"symbols": ["AAPL", "MSFT"]},
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)
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assert resp.status_code == 400
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Block a user