1f630be2b5
Add a point-in-time (PIT) factor/data store and a score provider so the backtest engine can rebuild per-symbol scores from data actually knowable at a given date, instead of silently reusing the live board: - backend/app/factor_vintages.py: append-only, provenance-complete store (observed_at/released_at/retrieved_at) with a SHA-256 canonical hash chain. value_at(as_of) only ever returns rows whose released_at <= as_of (real, testable anti-look-ahead); no value by as_of fails closed (returns None). - backend/app/pit_scorer.py: PitScoreProvider computes theme surprises from PIT factor values only, and a partial siamchart fundamental view (EPS growth from the 5-year series; current ratios marked partial). score_board attaches pit_meta so callers can tell PIT from fallback. - backend/app/backtest.py: _resolve_scores now sets leakage_guard ONLY when the supplied score_fn's meta asserts pit_meta.pit=true; an arbitrary callable with no PIT proof is no longer treated as PIT (closes the 'supplied fn => PIT' hole). - backend/app/__init__.py: /api/v1/backtest accepts use_pit, wiring the PIT provider; _load_siamchart_snapshot loads the SET50 fundamental snapshot. - tests: factor store (9), pit scorer (5), backtest leakage-guard gating (2 new + 1 corrected) — full backend suite 255 passed. Empty store fail-closes (leakage_guard=false) as proven by a live route probe. Honest scope: theme dimension is PIT from this store forward; siamchart fundamental remains partial (current ratios) and is flagged as such. No historical factor data before today exists, so pre-today backtests remain non-PIT by construction.
88 lines
3.4 KiB
Python
88 lines
3.4 KiB
Python
"""Tests for the partial point-in-time score provider (PIT enabler)."""
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from __future__ import annotations
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import tempfile
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import unittest
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from pathlib import Path
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from app.factor_vintages import FactorVintageStore
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from app.pit_scorer import PitScoreProvider, _eps_growth_from_series
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def _make_store():
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tmp = tempfile.TemporaryDirectory()
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return FactorVintageStore(Path(tmp.name)), tmp
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class EpsGrowthTest(unittest.TestCase):
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def test_growth_from_five_year_series(self):
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# 1.0 -> 1.1 -> 1.2 -> 1.3 -> 1.4 : latest growth = (1.4-1.3)/1.3
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self.assertAlmostEqual(
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_eps_growth_from_series({"1": 1.0, "2": 1.1, "3": 1.2, "4": 1.3, "5": 1.4}),
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round((1.4 - 1.3) / 1.3 * 100, 2),
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)
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def test_growth_none_when_fewer_than_two(self):
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self.assertIsNone(_eps_growth_from_series({"1": 1.0}))
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self.assertIsNone(_eps_growth_from_series({}))
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class PitScoreProviderTest(unittest.TestCase):
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def setUp(self):
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self.store, self._tmp = _make_store()
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self.addCleanup(self._tmp.cleanup)
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# tourism theme uses tourism_arrivals_ytd (BOT, monthly) in the real
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# registry; build a tiny explicit map so the test is self-contained.
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self.provider = PitScoreProvider(
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self.store,
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siamchart_snapshot=None,
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theme_factor_map={"tourism": [{"key": "tourism_arrivals_ytd", "weight": 1.0}]},
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)
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def test_theme_surprise_uses_only_released_before_as_of(self):
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# real value released Feb
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self.store.record(
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"tourism_arrivals_ytd", 16.2,
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observed_at="2026-01-31T00:00:00+07:00",
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released_at="2026-02-15T09:00:00+07:00",
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)
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# decoy released June — must be invisible at 2026-03-01
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self.store.record(
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"tourism_arrivals_ytd", 999.0,
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observed_at="2026-05-31T00:00:00+07:00",
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released_at="2026-06-15T09:00:00+07:00",
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)
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at_march = self.provider.theme_surprise_report("tourism", "2026-03-01T00:00:00+07:00")
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self.assertFalse(at_march["blocked"])
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# normalize(16.2, center=20, span=15) = (16.2-20)/15 = -0.2533 (sign +1)
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self.assertAlmostEqual(at_march["surprise"], round((16.2 - 20.0) / 15.0, 4), places=3)
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def test_theme_blocked_when_no_value_released_by_as_of(self):
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self.store.record(
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"tourism_arrivals_ytd", 16.2,
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observed_at="2026-01-31T00:00:00+07:00",
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released_at="2026-02-15T09:00:00+07:00",
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)
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report = self.provider.theme_surprise_report("tourism", "2026-01-15T00:00:00+07:00")
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self.assertTrue(report["blocked"])
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self.assertIsNone(report["surprise"])
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def test_siamchart_partial_grade_and_eps_growth(self):
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snap = {
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"retrieved_at": "2026-08-25T01:41:43Z",
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"rows": [{"symbol": "AOT", "eps": {"1": 1.0, "2": 1.1, "3": 1.2, "4": 1.3, "5": 1.4}}],
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"details": {"AOT": {"ratios": {"Yield %": 1.21, "PE": 51.25}}},
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}
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provider = PitScoreProvider(self.store, siamchart_snapshot=snap)
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view = provider.siamchart_factor_view("2026-08-25T00:00:00+07:00")
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aot = view["AOT"]
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self.assertEqual(aot["pit_grade"], "partial")
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self.assertAlmostEqual(aot["eps_growth_yoy"], round((1.4 - 1.3) / 1.3 * 100, 2))
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self.assertEqual(aot["dividend_yield"], 1.21)
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self.assertTrue(aot["is_dividend"])
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if __name__ == "__main__":
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unittest.main()
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