Merge pull request #12 from mlsys-io/claude/auto-test-markdown-files-Mj0Bh

Add GitHub Actions CI workflow and unit tests for auto-testing

Author: tjluyao

.github/workflows/test.yml

@@ -0,0 +1,261 @@
+name: Auto Test
+
+on:
+  push:
+    branches: [main, develop, "feature/**", "claude/**"]
+  pull_request:
+    branches: [main, develop]
+
+jobs:
+  # ---------------------------------------------------------------------------
+  # Job 1: Lint & import checks (fast, no data needed)
+  # ---------------------------------------------------------------------------
+  lint:
+    name: Lint & Syntax Check
+    runs-on: ubuntu-latest
+    steps:
+      - uses: actions/checkout@v4
+
+      - uses: actions/setup-python@v5
+        with:
+          python-version: "3.11"
+
+      - name: Install minimal dependencies
+        run: |
+          pip install --upgrade pip
+          pip install pyflakes
+
+      - name: Check Python syntax (all project modules)
+        run: |
+          pyflakes alpha/ strategy/ portfolio/ user_data/strategies/ dataset/
+
+  # ---------------------------------------------------------------------------
+  # Job 2: Unit tests for pure-Python portfolio logic (no freqtrade needed)
+  # ---------------------------------------------------------------------------
+  unit-tests:
+    name: Unit Tests
+    runs-on: ubuntu-latest
+    steps:
+      - uses: actions/checkout@v4
+        with:
+          lfs: true
+
+      - uses: actions/setup-python@v5
+        with:
+          python-version: "3.11"
+
+      - name: Install dependencies
+        run: |
+          pip install --upgrade pip
+          pip install -r requirements.txt
+          pip install scipy pytest
+          pip install -e .
+
+      - name: Run unit tests
+        run: pytest tests/ -v --tb=short
+
+  # ---------------------------------------------------------------------------
+  # Job 3: Strategy import validation (ensures all strategies load correctly)
+  # ---------------------------------------------------------------------------
+  strategy-import:
+    name: Strategy Import Validation
+    runs-on: ubuntu-latest
+    steps:
+      - uses: actions/checkout@v4
+        with:
+          lfs: true
+
+      - uses: actions/setup-python@v5
+        with:
+          python-version: "3.11"
+
+      - name: Install system dependencies (TA-Lib)
+        run: |
+          sudo apt-get update
+          sudo apt-get install -y build-essential wget
+          wget https://github.com/ta-lib/ta-lib/releases/download/v0.6.4/ta-lib-0.6.4-src.tar.gz
+          tar -xzf ta-lib-0.6.4-src.tar.gz
+          cd ta-lib-0.6.4
+          ./configure --prefix=/usr
+          make -j$(nproc)
+          sudo make install
+          sudo ldconfig
+
+      - name: Install Python dependencies
+        run: |
+          pip install --upgrade pip
+          pip install -r requirements.txt
+          pip install scipy
+          pip install -e .
+
+      - name: Validate all strategy imports
+        run: |
+          python -c "
+          import sys
+          errors = []
+
+          # Alpha modules
+          try:
+              from alpha.interface import IAlpha
+              print('OK: alpha.interface.IAlpha')
+          except Exception as e:
+              errors.append(f'alpha.interface: {e}')
+
+          try:
+              from alpha.SimpleEmaFactors import EmaAlpha
+              print('OK: alpha.SimpleEmaFactors.EmaAlpha')
+          except Exception as e:
+              errors.append(f'alpha.SimpleEmaFactors: {e}')
+
+          # Trading strategies
+          try:
+              from strategy.EmaCrossStrategy import EmaCrossStrategy
+              print('OK: strategy.EmaCrossStrategy')
+          except Exception as e:
+              errors.append(f'strategy.EmaCrossStrategy: {e}')
+
+          try:
+              from strategy.MacdAdxStrategy import MacdAdxStrategy
+              print('OK: strategy.MacdAdxStrategy')
+          except Exception as e:
+              errors.append(f'strategy.MacdAdxStrategy: {e}')
+
+          # Portfolio strategies
+          try:
+              from user_data.strategies.ONS import ONS_Portfolio
+              print('OK: user_data.strategies.ONS.ONS_Portfolio')
+          except Exception as e:
+              errors.append(f'user_data.strategies.ONS: {e}')
+
+          try:
+              from user_data.strategies.inv_vol import InverseVolatilityPortfolio
+              print('OK: user_data.strategies.inv_vol.InverseVolatilityPortfolio')
+          except Exception as e:
+              errors.append(f'user_data.strategies.inv_vol: {e}')
+
+          try:
+              from user_data.strategies.min_var import MinimumVariancePortfolio
+              print('OK: user_data.strategies.min_var.MinimumVariancePortfolio')
+          except Exception as e:
+              errors.append(f'user_data.strategies.min_var: {e}')
+
+          try:
+              from user_data.strategies.best_single_asset import BestSingleAssetPortfolio
+              print('OK: user_data.strategies.best_single_asset.BestSingleAssetPortfolio')
+          except Exception as e:
+              errors.append(f'user_data.strategies.best_single_asset: {e}')
+
+          # Portfolio pipeline
+          try:
+              from portfolio.PortfolioManagement import run_portfolio
+              print('OK: portfolio.PortfolioManagement.run_portfolio')
+          except Exception as e:
+              errors.append(f'portfolio.PortfolioManagement: {e}')
+
+          if errors:
+              print(f'\nFAILED: {len(errors)} import error(s):')
+              for err in errors:
+                  print(f'  - {err}')
+              sys.exit(1)
+          else:
+              print(f'\nAll imports passed.')
+          "
+
+  # ---------------------------------------------------------------------------
+  # Job 4: Portfolio pipeline smoke test (runs the standalone pipeline)
+  # ---------------------------------------------------------------------------
+  portfolio-pipeline:
+    name: Portfolio Pipeline Smoke Test
+    runs-on: ubuntu-latest
+    steps:
+      - uses: actions/checkout@v4
+        with:
+          lfs: true
+
+      - uses: actions/setup-python@v5
+        with:
+          python-version: "3.11"
+
+      - name: Install system dependencies (TA-Lib)
+        run: |
+          sudo apt-get update
+          sudo apt-get install -y build-essential wget
+          wget https://github.com/ta-lib/ta-lib/releases/download/v0.6.4/ta-lib-0.6.4-src.tar.gz
+          tar -xzf ta-lib-0.6.4-src.tar.gz
+          cd ta-lib-0.6.4
+          ./configure --prefix=/usr
+          make -j$(nproc)
+          sudo make install
+          sudo ldconfig
+
+      - name: Install Python dependencies
+        run: |
+          pip install --upgrade pip
+          pip install -r requirements.txt
+          pip install scipy
+          pip install -e .
+
+      - name: Run standalone portfolio pipeline
+        run: python -m portfolio.PortfolioManagement
+
+  # ---------------------------------------------------------------------------
+  # Job 5: Backtest smoke tests (crypto-only, fast timerange)
+  # ---------------------------------------------------------------------------
+  backtest-smoke:
+    name: Backtest Smoke Tests
+    runs-on: ubuntu-latest
+    steps:
+      - uses: actions/checkout@v4
+        with:
+          lfs: true
+
+      - uses: actions/setup-python@v5
+        with:
+          python-version: "3.11"
+
+      - name: Install system dependencies (TA-Lib)
+        run: |
+          sudo apt-get update
+          sudo apt-get install -y build-essential wget
+          wget https://github.com/ta-lib/ta-lib/releases/download/v0.6.4/ta-lib-0.6.4-src.tar.gz
+          tar -xzf ta-lib-0.6.4-src.tar.gz
+          cd ta-lib-0.6.4
+          ./configure --prefix=/usr
+          make -j$(nproc)
+          sudo make install
+          sudo ldconfig
+
+      - name: Install Python dependencies
+        run: |
+          pip install --upgrade pip
+          pip install -r requirements.txt
+          pip install scipy
+          pip install -e .
+
+      - name: Backtest EmaCrossStrategy (crypto, 1d)
+        run: |
+          freqtrade backtesting \
+            --strategy EmaCrossStrategy \
+            --strategy-path ./strategy \
+            --timeframe 1d \
+            --timerange 20250501-20250601 \
+            --pairs BTC/USDT ETH/USDT
+
+      - name: Backtest MacdAdxStrategy (stocks, 1d)
+        run: |
+          freqtrade backtesting \
+            --strategy MacdAdxStrategy \
+            --strategy-path ./strategy \
+            --timeframe 1d \
+            --timerange 20250501-20250601 \
+            --pairs AAPL/USDT MSFT/USDT
+
+      - name: Backtest ONS_Portfolio (mixed, 5m, short range)
+        run: |
+          freqtrade backtesting \
+            --strategy ONS_Portfolio \
+            --strategy-path ./user_data/strategies \
+            --timeframe 5m \
+            --timerange 20260101-20260103 \
+            --pairs BTC/USDT ETH/USDT AAPL/USDT \
+            --dry-run-wallet 1000000

tests/__init__.py

@@ -0,0 +1,68 @@
+"""Tests for the alpha factor interface and EMA alpha implementation."""
+
+import numpy as np
+import pandas as pd
+import pytest
+
+talib = pytest.importorskip("talib", reason="TA-Lib C library not installed")
+
+from alpha.interface import IAlpha
+from alpha.SimpleEmaFactors import EmaAlpha
+
+
+def _make_ohlcv(n=100):
+    """Create a minimal synthetic OHLCV DataFrame."""
+    np.random.seed(42)
+    close = 100 + np.cumsum(np.random.randn(n) * 0.5)
+    return pd.DataFrame({
+        "date": pd.date_range("2025-01-01", periods=n, freq="D"),
+        "open": close - 0.1,
+        "high": close + 0.5,
+        "low": close - 0.5,
+        "close": close,
+        "volume": np.random.randint(100, 10000, size=n).astype(float),
+    })
+
+
+class TestIAlpha:
+    def test_is_abstract(self):
+        with pytest.raises(TypeError):
+            IAlpha(pd.DataFrame(), {})
+
+    def test_subclass_must_implement_process(self):
+        class Incomplete(IAlpha):
+            pass
+
+        with pytest.raises(TypeError):
+            Incomplete(pd.DataFrame(), {})
+
+
+class TestEmaAlpha:
+    def test_process_adds_expected_columns(self):
+        df = _make_ohlcv()
+        result = EmaAlpha(df, {"pair": "BTC/USDT"}).process()
+
+        for col in ["ema_fast", "ema_slow", "ema_exit", "mean-volume"]:
+            assert col in result.columns, f"Missing column: {col}"
+
+    def test_ema_values_are_numeric(self):
+        df = _make_ohlcv()
+        result = EmaAlpha(df, {"pair": "BTC/USDT"}).process()
+        assert result["ema_fast"].dtype in [np.float64, np.float32]
+
+    def test_ema_fast_shorter_than_slow(self):
+        df = _make_ohlcv(200)
+        result = EmaAlpha(df, {"pair": "TEST"}).process()
+        # EMA fast (period 12) should be closer to recent prices than EMA slow (period 26)
+        # After warm-up, fast EMA std should be >= slow EMA std (reacts faster)
+        fast_std = result["ema_fast"].iloc[50:].std()
+        slow_std = result["ema_slow"].iloc[50:].std()
+        assert fast_std >= slow_std * 0.5  # fast reacts more (wider variance)
+
+    def test_mean_volume_is_rolling_average(self):
+        df = _make_ohlcv(50)
+        result = EmaAlpha(df, {}).process()
+        # First 19 rows should be NaN (rolling window = 20)
+        assert result["mean-volume"].iloc[:19].isna().all()
+        # Row 19 onward should have values
+        assert result["mean-volume"].iloc[19:].notna().all()

tests/test_alpha.py

@@ -0,0 +1,64 @@
+"""Tests for data file integrity — verifies feather files have correct schema."""
+
+import os
+import glob
+import pandas as pd
+import pytest
+
+DATA_DIR = os.path.join(os.path.dirname(__file__), "..", "user_data", "data", "binance")
+REQUIRED_COLUMNS = {"date", "open", "high", "low", "close", "volume"}
+
+# Representative subset: one crypto, one stock, one index per timeframe
+SAMPLE_FILES = [
+    "BTC_USDT-1d.feather",
+    "BTC_USDT-4h.feather",
+    "BTC_USDT-5m.feather",
+    "AAPL_USDT-1d.feather",
+    "DJI_USDT-1d.feather",
+]
+
+
+def _feather_available():
+    path = os.path.join(DATA_DIR, "BTC_USDT-1d.feather")
+    if not os.path.isfile(path):
+        return False
+    # Check it's not a Git LFS pointer (small text file starting with "version")
+    with open(path, "rb") as f:
+        header = f.read(20)
+    return not header.startswith(b"version ")
+
+
+@pytest.mark.skipif(not _feather_available(), reason="Data files not available (LFS not pulled)")
+class TestDataIntegrity:
+    @pytest.mark.parametrize("filename", SAMPLE_FILES)
+    def test_required_columns_present(self, filename):
+        path = os.path.join(DATA_DIR, filename)
+        if not os.path.isfile(path):
+            pytest.skip(f"{filename} not found")
+        df = pd.read_feather(path)
+        missing = REQUIRED_COLUMNS - set(df.columns)
+        assert not missing, f"{filename} missing columns: {missing}"
+
+    @pytest.mark.parametrize("filename", SAMPLE_FILES)
+    def test_no_empty_files(self, filename):
+        path = os.path.join(DATA_DIR, filename)
+        if not os.path.isfile(path):
+            pytest.skip(f"{filename} not found")
+        df = pd.read_feather(path)
+        assert len(df) > 0, f"{filename} is empty"
+
+    @pytest.mark.parametrize("filename", SAMPLE_FILES)
+    def test_close_prices_positive(self, filename):
+        path = os.path.join(DATA_DIR, filename)
+        if not os.path.isfile(path):
+            pytest.skip(f"{filename} not found")
+        df = pd.read_feather(path)
+        assert (df["close"] > 0).all(), f"{filename} has non-positive close prices"
+
+    def test_naming_convention_consistent(self):
+        files = glob.glob(os.path.join(DATA_DIR, "*.feather"))
+        for f in files:
+            basename = os.path.basename(f)
+            # Expected: {TICKER}_USDT-{timeframe}.feather
+            assert "_USDT-" in basename, f"Unexpected naming: {basename}"
+            assert basename.endswith(".feather"), f"Wrong extension: {basename}"