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@@ -9,6 +9,7 @@ import pytest
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from quant_engine.alpha_factors import (
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ALPHA158_REGISTRY,
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ALPHA158_PHASE1_OPERATOR_SPECS,
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ALPHA158_PHASE2_OPERATOR_SPECS,
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alpha_001,
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alpha_002,
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alpha_003,
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@@ -168,7 +169,9 @@ from quant_engine.alpha_factors import (
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alpha_157,
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alpha_158,
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evaluate_phase1_operator,
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evaluate_phase2_operator,
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list_phase1_operators,
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list_phase2_operators,
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correlation,
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covariance,
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decay_linear,
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@@ -1328,3 +1331,135 @@ def test_phase1_dispatch_rejects_window_above_supported_limit():
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with pytest.raises(ValueError, match="maximum"):
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evaluate_phase1_operator("ts_mean", values, window=2**63)
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# ── v1.2.0 Phase 2: cumulative deterministic operator contract ─────────────
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def test_phase2_operator_catalog_is_cumulative_stable_and_serializable():
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"""Phase 2 exposes all existing building blocks without changing Phase 1."""
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import json
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phase1 = list_phase1_operators()
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expected_phase2 = (
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*phase1,
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"ts_argmin",
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"ts_argmax",
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"product",
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"returns",
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"scale",
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"signed_power",
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"stddev",
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"covariance",
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"log",
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"abs_series",
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"sign",
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"max_pair",
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"min_pair",
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"indneutralize",
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)
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assert list_phase2_operators() == expected_phase2
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assert tuple(ALPHA158_PHASE2_OPERATOR_SPECS) == expected_phase2
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assert tuple(ALPHA158_PHASE1_OPERATOR_SPECS) == phase1
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json.dumps(ALPHA158_PHASE2_OPERATOR_SPECS)
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for name, spec in ALPHA158_PHASE2_OPERATOR_SPECS.items():
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assert spec["name"] == name
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assert isinstance(spec["inputs"], list)
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assert isinstance(spec["parameters"], list)
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assert isinstance(spec["formula"], str)
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@pytest.mark.parametrize("name", ["ts_argmin", "ts_argmax", "product", "stddev"])
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def test_phase2_windowed_unary_dispatch_is_deterministic(name: str):
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values = pd.Series([3.0, 1.0, 4.0, 2.0], index=["a", "b", "c", "d"])
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first = evaluate_phase2_operator(name, values, window=3)
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second = evaluate_phase2_operator(name, values, window=3)
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pd.testing.assert_series_equal(first, second)
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assert first.index.equals(values.index)
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with pytest.raises(ValueError, match="window"):
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evaluate_phase2_operator(name, values)
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@pytest.mark.parametrize("name", ["returns", "scale", "log", "abs_series", "sign"])
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def test_phase2_unary_dispatch_rejects_unused_arguments(name: str):
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values = pd.Series([1.0, 2.0, 4.0], index=["a", "b", "c"])
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result = evaluate_phase2_operator(name, values)
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assert result.index.equals(values.index)
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with pytest.raises(ValueError, match="window"):
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evaluate_phase2_operator(name, values, window=2)
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with pytest.raises(ValueError, match="secondary"):
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evaluate_phase2_operator(name, values, secondary=values)
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@pytest.mark.parametrize(
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("name", "window"),
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[("correlation", 2), ("covariance", 2), ("max_pair", None), ("min_pair", None)],
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)
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def test_phase2_binary_dispatch_requires_aligned_secondary(name: str, window: int | None):
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values = pd.Series([1.0, 2.0, 3.0], index=["a", "b", "c"])
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secondary = pd.Series([3.0, 2.0, 1.0], index=values.index)
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result = evaluate_phase2_operator(name, values, secondary=secondary, window=window)
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assert result.index.equals(values.index)
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with pytest.raises(ValueError, match="secondary is required"):
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evaluate_phase2_operator(name, values, window=window)
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with pytest.raises(ValueError, match="secondary index"):
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evaluate_phase2_operator(
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name,
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values,
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secondary=secondary.rename(index={"c": "z"}),
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window=window,
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)
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def test_phase2_signed_power_requires_finite_numeric_exponent():
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values = pd.Series([-4.0, 0.0, 9.0])
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result = evaluate_phase2_operator("signed_power", values, exponent=0.5)
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pd.testing.assert_series_equal(result, pd.Series([-2.0, 0.0, 3.0]))
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for exponent in (None, True, float("inf"), float("nan"), "2"):
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with pytest.raises(ValueError, match="exponent"):
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evaluate_phase2_operator( # type: ignore[arg-type]
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"signed_power",
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values,
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exponent=exponent,
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)
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def test_phase2_indneutralize_requires_aligned_groups():
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values = pd.Series([1.0, 3.0, 10.0, 14.0], index=["a", "b", "c", "d"])
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groups = pd.Series(["x", "x", "y", "y"], index=values.index)
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result = evaluate_phase2_operator("indneutralize", values, groups=groups)
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pd.testing.assert_series_equal(result, pd.Series([-1.0, 1.0, -2.0, 2.0], index=values.index))
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with pytest.raises(ValueError, match="groups is required"):
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evaluate_phase2_operator("indneutralize", values)
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with pytest.raises(ValueError, match="groups index"):
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evaluate_phase2_operator(
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"indneutralize",
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values,
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groups=groups.rename(index={"d": "z"}),
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)
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def test_phase2_dispatch_validates_primary_series_and_unused_parameters():
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values = pd.Series([1.0, 2.0, 3.0])
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with pytest.raises(TypeError, match="series must be a pandas Series"):
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evaluate_phase2_operator("rank", [1.0, 2.0, 3.0]) # type: ignore[arg-type]
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with pytest.raises(KeyError, match="not registered"):
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evaluate_phase2_operator("unknown", values)
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with pytest.raises(ValueError, match="exponent"):
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evaluate_phase2_operator("rank", values, exponent=2.0)
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with pytest.raises(ValueError, match="groups"):
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evaluate_phase2_operator("rank", values, groups=pd.Series(["x", "x", "x"]))
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with pytest.raises(ValueError, match="maximum"):
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evaluate_phase2_operator("product", values, window=253)
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