250 lines
12 KiB
Python
250 lines
12 KiB
Python
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"""
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Tests for strategy generator — genetic programming for strategy evolution.
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Verifies:
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- Genome creation and representation
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- Crossover produces valid offspring
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- Mutation produces valid variants
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- Tournament selection preferentially selects fitter genomes
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- Population initialization includes baseline
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- Evolution improves fitness over generations
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- Successful strategies are added to pool
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- Diverse strategies are returned
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- Hardcoded baseline is never replaced
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"""
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import random
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import pytest
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from malkhut.state import FulfilmentPolicyParams
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from malkhut.training.generator import (
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StrategyGenome, StrategyType, GeneticOperators,
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StrategyEvaluator, StrategyGenerator, GeneratorConfig,
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)
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from malkhut.training.cma_trainer import CMAParameterCodec, SelfPlayPool
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from malkhut.training.registry import PolicyRegistry
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def _baseline(**kw):
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d = dict(
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version="baseline", ucb_c=1.414, max_sims=256, max_depth=3,
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rollout_depth=3, root_temperature=0.5, min_root_entropy=0.25,
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quote_offsets_ticks=(0, 1, 2), quote_size_fractions=(0.1, 0.25, 0.5),
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passive_ttl_ms=200, aggressive_ttl_ms=50,
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maker_edge_min_bps=0.5, cross_spread_edge_min_bps=5.0,
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adverse_toxicity_cancel_threshold=0.5, queue_churn_cancel_threshold=0.5,
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mae_tail_cut_bps=50.0, mfe_giveback_cut_fraction=0.5,
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max_time_in_loss_s=300.0, failed_recovery_cut_count=3,
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recovery_velocity_min_bps_per_s=0.0,
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max_symbol_notional_fraction=0.20, max_single_order_notional_fraction=0.05,
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reduce_when_global_up_fraction=0.30, session_profit_lock_fraction=0.02,
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w_expected_pnl=1.0, w_fill_probability=0.5, w_adverse_selection=2.0,
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w_queue_priority=0.5, w_inventory_risk=1.5, w_tail_loss=5.0,
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w_fee_quality=0.5, w_time_decay=0.3, w_policy_entropy=0.5,
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robust_tail_weight=2.0, toxic_counterparty_weight=3.0,
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low_liquidity_weight=2.0, latency_stress_weight=1.0,
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)
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d.update(kw)
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return FulfilmentPolicyParams(**d)
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# ══════════════════════════════════════════════════════════════════════════════
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# 1. STRATEGY GENOME
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# ══════════════════════════════════════════════════════════════════════════════
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class TestStrategyGenome:
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def test_construction(self):
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genome = StrategyGenome(
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strategy_type=StrategyType.SM_MCTS,
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params=_baseline(),
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)
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assert genome.strategy_type == StrategyType.SM_MCTS
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assert genome.generation == 0
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assert genome.fitness == 0.0
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def test_genome_id(self):
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genome = StrategyGenome(
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strategy_type=StrategyType.SM_MCTS,
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params=_baseline(version="v1"),
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generation=3,
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)
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assert "SM_MCTS" in genome.genome_id
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assert "v1" in genome.genome_id
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assert "3" in genome.genome_id
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def test_frozen(self):
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genome = StrategyGenome(
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strategy_type=StrategyType.SM_MCTS,
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params=_baseline(),
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)
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with pytest.raises(AttributeError):
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genome.fitness = 10.0
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# ══════════════════════════════════════════════════════════════════════════════
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# 2. GENETIC OPERATORS
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# ══════════════════════════════════════════════════════════════════════════════
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class TestGeneticOperators:
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def _ops(self):
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return GeneticOperators(codec=CMAParameterCodec())
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def test_crossover_produces_valid_child(self):
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ops = self._ops()
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p1 = StrategyGenome(strategy_type=StrategyType.SM_MCTS, params=_baseline(version="p1"))
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p2 = StrategyGenome(strategy_type=StrategyType.UCB1, params=_baseline(version="p2"))
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child = ops.crossover(p1, p2, random.Random(42))
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assert isinstance(child, StrategyGenome)
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assert child.strategy_type in (StrategyType.SM_MCTS, StrategyType.UCB1)
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assert child.generation == 1
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assert len(child.parent_ids) == 2
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def test_crossover_inherits_fitter_parent_type(self):
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ops = self._ops()
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p1 = StrategyGenome(strategy_type=StrategyType.SM_MCTS, params=_baseline(), fitness=10.0)
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p2 = StrategyGenome(strategy_type=StrategyType.UCB1, params=_baseline(), fitness=5.0)
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child = ops.crossover(p1, p2, random.Random(42))
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assert child.strategy_type == StrategyType.SM_MCTS
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def test_mutation_produces_valid_child(self):
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ops = self._ops()
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parent = StrategyGenome(strategy_type=StrategyType.SM_MCTS, params=_baseline())
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child = ops.mutate(parent, random.Random(42))
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assert isinstance(child, StrategyGenome)
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assert child.generation == 1
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assert len(child.parent_ids) == 1
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def test_mutation_different_params(self):
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ops = self._ops()
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parent = StrategyGenome(strategy_type=StrategyType.SM_MCTS, params=_baseline())
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child = ops.mutate(parent, random.Random(42))
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# With high mutation rate, params should differ
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assert child.params.ucb_c != parent.params.ucb_c or child.params.root_temperature != parent.params.root_temperature
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def test_tournament_select_prefers_fitter(self):
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ops = self._ops()
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pop = [
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StrategyGenome(strategy_type=StrategyType.SM_MCTS, params=_baseline(), fitness=1.0),
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StrategyGenome(strategy_type=StrategyType.UCB1, params=_baseline(), fitness=10.0),
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StrategyGenome(strategy_type=StrategyType.GREEDY, params=_baseline(), fitness=5.0),
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]
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wins = 0
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for i in range(200):
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winner = ops.tournament_select(pop, tournament_size=2, rng=random.Random(i))
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if winner.fitness == 10.0:
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wins += 1
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# With 3 genomes and tournament_size=2, fitter wins ~50% (vs 25% random)
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assert wins > 60
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def test_random_genome_valid(self):
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ops = self._ops()
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genome = ops.random_genome(rng=random.Random(42))
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assert isinstance(genome, StrategyGenome)
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assert genome.strategy_type in list(StrategyType)
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assert genome.generation == 0
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def test_random_genome_respects_type(self):
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ops = self._ops()
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genome = ops.random_genome(strategy_type=StrategyType.THOMPSON_SAMPLING, rng=random.Random(42))
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assert genome.strategy_type == StrategyType.THOMPSON_SAMPLING
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# ══════════════════════════════════════════════════════════════════════════════
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# 3. STRATEGY GENERATOR
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# ══════════════════════════════════════════════════════════════════════════════
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class TestStrategyGenerator:
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def test_initialize_population(self):
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gen = StrategyGenerator(config=GeneratorConfig(population_size=5, generations=1))
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from malkhut.training.cma_trainer import ScenarioFactory
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factory = ScenarioFactory()
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scenarios = factory.build_suite(symbols=("BTCUSDT",), steps_per_scenario=3)
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gen.initialize_population(_baseline(), scenarios)
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assert gen.population_size == 5
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# First should be baseline
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assert gen.population[0].strategy_type == StrategyType.SM_MCTS
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def test_baseline_always_first(self):
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gen = StrategyGenerator(config=GeneratorConfig(population_size=10, generations=1))
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from malkhut.training.cma_trainer import ScenarioFactory
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factory = ScenarioFactory()
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scenarios = factory.build_suite(symbols=("BTCUSDT",), steps_per_scenario=3)
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gen.initialize_population(_baseline(), scenarios)
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# Baseline should be in population
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types = [g.strategy_type for g in gen.population]
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assert StrategyType.SM_MCTS in types
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def test_evolve_returns_population(self):
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config = GeneratorConfig(population_size=5, generations=2)
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gen = StrategyGenerator(config=config)
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from malkhut.training.cma_trainer import ScenarioFactory
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factory = ScenarioFactory()
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scenarios = factory.build_suite(symbols=("BTCUSDT",), steps_per_scenario=3)
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result = gen.evolve(_baseline(), scenarios)
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# Population may be slightly larger due to baseline preservation
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assert len(result) >= 5
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assert all(isinstance(g, StrategyGenome) for g in result)
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def test_evolve_improves_over_generations(self):
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config = GeneratorConfig(population_size=8, generations=3, elitism_count=2)
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gen = StrategyGenerator(config=config)
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from malkhut.training.cma_trainer import ScenarioFactory
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factory = ScenarioFactory()
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scenarios = factory.build_suite(symbols=("BTCUSDT",), steps_per_scenario=3)
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gen.evolve(_baseline(), scenarios)
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# Population should have diverse fitness
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fitnesses = [g.fitness for g in gen.population]
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assert len(set(fitnesses)) > 1 # not all same
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def test_get_successful_strategies(self):
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gen = StrategyGenerator(config=GeneratorConfig(population_size=5, generations=1))
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from malkhut.training.cma_trainer import ScenarioFactory
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factory = ScenarioFactory()
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scenarios = factory.build_suite(symbols=("BTCUSDT",), steps_per_scenario=3)
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gen.evolve(_baseline(), scenarios)
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successful = gen.get_successful_strategies(min_fitness=-1000)
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assert len(successful) > 0
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def test_get_diverse_strategies(self):
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gen = StrategyGenerator(config=GeneratorConfig(population_size=10, generations=2))
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from malkhut.training.cma_trainer import ScenarioFactory
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factory = ScenarioFactory()
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scenarios = factory.build_suite(symbols=("BTCUSDT",), steps_per_scenario=3)
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gen.evolve(_baseline(), scenarios)
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diverse = gen.get_diverse_strategies(n=3)
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assert len(diverse) == 3
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def test_add_to_pool(self):
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gen = StrategyGenerator()
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genome = StrategyGenome(
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strategy_type=StrategyType.SM_MCTS,
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params=_baseline(version="test"),
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fitness=10.0,
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)
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gen.add_to_pool(genome)
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assert len(gen._pool.policies()) == 1
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def test_baseline_never_replaced(self):
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"""The hardcoded baseline should always be in the population."""
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gen = StrategyGenerator(config=GeneratorConfig(population_size=5, generations=3))
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from malkhut.training.cma_trainer import ScenarioFactory
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factory = ScenarioFactory()
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scenarios = factory.build_suite(symbols=("BTCUSDT",), steps_per_scenario=3)
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gen.evolve(_baseline(), scenarios)
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# At least one SM_MCTS should exist (the baseline)
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assert any(g.strategy_type == StrategyType.SM_MCTS for g in gen.population)
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def test_best_fitness_tracked(self):
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gen = StrategyGenerator(config=GeneratorConfig(population_size=5, generations=1))
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from malkhut.training.cma_trainer import ScenarioFactory
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factory = ScenarioFactory()
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scenarios = factory.build_suite(symbols=("BTCUSDT",), steps_per_scenario=3)
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gen.evolve(_baseline(), scenarios)
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assert gen.best_fitness > -float("inf")
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def test_history_tracked(self):
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gen = StrategyGenerator(config=GeneratorConfig(population_size=5, generations=2))
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from malkhut.training.cma_trainer import ScenarioFactory
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factory = ScenarioFactory()
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scenarios = factory.build_suite(symbols=("BTCUSDT",), steps_per_scenario=3)
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gen.evolve(_baseline(), scenarios)
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assert len(gen._history) > 0
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