52 lines
2 KiB
Python
52 lines
2 KiB
Python
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# -*- coding: utf-8 -*-
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"""RESEARCH HARD-STOP TEST: no-lookahead enforcement.
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A failing test here is a HARD STOP. Both SAX and ARIMA forecasts must be
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invariant to any change in bars AFTER the forecast origin, and must not carry
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actual (future) outcome information.
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"""
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import pytest
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from src.forecasting.target import ForecastContext
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from src.sax import SaxConfig, SaxAnalogForecaster
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from src.arima import ArimaConfig, ArimaModel
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from tests.helpers import make_series, clone_with_future
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@pytest.fixture
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def context():
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return ForecastContext(symbol="XAUUSD", timeframe="H1", horizon=12, atr_period=20)
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def test_sax_forecast_unchanged_by_future(context):
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s = make_series(n=700, seed=3)
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origin = 400
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model = SaxAnalogForecaster(SaxConfig(window_length=24, word_length=8,
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alphabet_size=5, min_analogs=5))
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rec_a = model.forecast(s, origin, context)
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s_future = clone_with_future(s, origin, mut=100000.0)
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rec_b = model.forecast(s_future, origin, context)
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assert rec_a.to_dict() == rec_b.to_dict(), (
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"SAX forecast changed when a FUTURE bar changed -> lookahead leak"
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)
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def test_forecast_carries_no_actual_outcome(context):
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s = make_series(700, seed=4)
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model = SaxAnalogForecaster(SaxConfig(window_length=5, min_analogs=5))
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rec = model.forecast(s, 400, context)
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assert rec.outcome_boundary is None or rec.outcome_boundary >= rec.forecast_origin
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# forecast must be frozen: no actual (future) outcome may be attached here
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assert rec.actual_forward_return is None
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assert rec.actual_forward_return_ATR is None
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def test_arima_forecast_unchanged_by_future(context):
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s = make_series(300, seed=5)
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origin = 220
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model = ArimaModel(ArimaConfig(p=1, d=0, q=0, fit_window=150))
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s_future = clone_with_future(s, origin, mut=5000.0)
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a = model.forecast(s, origin, context)
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b = model.forecast(s_future, origin, context)
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assert a.normalized_expected_return == b.normalized_expected_return
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assert a.arima_state == b.arima_state
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