test: define benchmark-relative performance contract

2026-08-21 22:15:05 +08:00
parent 19fe22b01a
commit de2f9494fc
2 changed files with 74 additions and 0 deletions
@@ -265,3 +265,29 @@ def test_factor_backtest_starts_at_first_signal_instead_of_price_warmup() -> Non
        pd.Series([1.0, 1.1, 1.2], index=dates[2:], name="nav"),
    )
    assert result.stats()["n_days"] == 3
+
+
+def test_factor_backtest_exposes_net_benchmark_metrics() -> None:
+    dates = _calendar()
+    scores = pd.DataFrame({"A": [1.0]}, index=dates[:1])
+    prices = pd.DataFrame({"A": [10.0, 10.0, 11.0, 11.0]}, index=dates)
+    result = run_factor_backtest_research(
+        scores,
+        prices,
+        prices,
+        top_k=1,
+        execution_price_field="open",
+        valuation_price_field="close",
+        config=ExecutionConfig(
+            commission_bps=0,
+            stamp_tax_bps=0,
+            slippage_bps=0,
+            min_trade_amount=0,
+        ),
+    )
+    benchmark = pd.Series([0.0, 0.01, -0.01, 0.0], index=dates)
+
+    relative = result.benchmark_stats(benchmark)
+
+    assert relative["n_observations"] == len(result.returns)
+    assert relative["tracking_error"] > 0