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Python

"""Smoke tests for the tac_qlib contrib package (model/strategy).
Covers the pieces a workflow YAML resolves via ``module_path``:
- ``tac_qlib.contrib.model.rank_gbdt`` -> RankICLGBModel (+ rank feval)
- ``tac_qlib.contrib.strategy.optimal_stop`` -> OptimalStopControl
The strategy smoke test runs a real (tiny) daily backtest through qlib's
executor against the TradeAC lake. The model smoke test checks data
preparation (per-day query groups) + the rank feval without a full fit.
Run::
TAC_LAKE_DIR=/home/data/lake .venv/bin/python tests/test_contrib.py
"""
import os
import sys
import numpy as np
import pandas as pd
sys.path.insert(0, os.path.join(os.path.dirname(__file__), ".."))
LAKE_ROOT = os.environ["TAC_LAKE_DIR"]
CODES = ["AAPL", "MSFT", "NVDA", "GOOGL", "AMZN", "META"]
START, END = "2026-06-01", "2026-07-31"
def _signal(close: pd.DataFrame) -> pd.Series:
"""3-day momentum score indexed (datetime, instrument) covering [START, END]."""
mom = close.pct_change(3).stack()
mom.index = mom.index.set_names(["datetime", "instrument"])
return mom.dropna()
def main():
from tac_qlib.qlib_init import qlib_init
qlib_init(provider_uri=LAKE_ROOT, market="US", freq="day", log_level="WARN")
from qlib.data import D
close = D.features(CODES, ["$close"], START, END, freq="day")["$close"]
close = close.unstack("instrument")
sig = _signal(close)
assert len(sig) > 0, "empty synthetic signal"
print(f"[ok] synthetic signal: {len(sig)} rows, {sig.index.get_level_values(0).nunique()} days")
# ---- OptimalStopControl end-to-end ------------------------------------
from tac_qlib.contrib.strategy.optimal_stop import OptimalStopControl
from qlib.contrib.evaluate import backtest_daily
strat = OptimalStopControl(
signal=sig, topk=2, entry_pct=0.8, exit_pct=0.5,
max_hold_days=5, min_hold_days=1, sl=-0.05, notional=10_000.0,
)
report, positions = backtest_daily(
start_time=START, end_time=END, strategy=strat, account=1_000_000,
benchmark=None,
exchange_kwargs={"codes": CODES, "deal_price": "$close", "freq": "day",
"open_cost": 0.0005, "close_cost": 0.0015, "min_cost": 5.0},
)
assert isinstance(report, pd.DataFrame) and "return" in report and len(report) >= 5
assert not report["return"].isna().all()
print(f"[ok] OptimalStopControl backtest: {len(report)} days, "
f"end equity {float(report['return'].add(1).cumprod().iloc[-1]):.4f}")
# ---- RankICLGBModel: instantiate + _prepare_data (per-day groups) ------
from tac_qlib.contrib.data.handler import TACHandler
from qlib.data.dataset import DatasetH
h = TACHandler(
instruments=CODES, start_time=START, end_time=END,
fit_start_time=START, fit_end_time="2026-06-30", freq="day",
lake_root=LAKE_ROOT, market="US",
label="Ref($close,-6)/Ref($close,-1)-1",
)
ds = DatasetH(
handler=h,
segments={"train": (START, "2026-06-30"), "valid": ("2026-07-01", END)},
)
from tac_qlib.contrib.model.rank_gbdt import RankICLGBModel, rankic_feval
model = RankICLGBModel(loss="mse", learning_rate=0.05, num_leaves=7, n_estimators=50)
data = model._prepare_data(ds)
lgb_ds, names = list(zip(*data))
assert names == ("train", "valid")
groups = lgb_ds[0].get_group()
assert groups is not None and len(groups) >= 5, f"per-day query groups missing: {groups}"
# every group size == number of instruments that day
assert set(groups) <= {len(CODES), len(CODES) - 1}, f"unexpected group sizes {groups}"
print(f"[ok] RankICLGBModel._prepare_data: groups={groups[:5]}... (n_days={len(groups)})")
# rank feval on a hand-built lgb.Dataset
import lightgbm as lgb
y = np.array([1.0, 2.0, 3.0, 3.0, 2.0, 1.0])
preds = np.array([1.0, 2.0, 3.0, 3.0, 2.0, 1.0])
dv = lgb.Dataset(np.zeros((6, 2)), label=y, group=np.array([3, 3]))
name, value, higher = rankic_feval(preds, dv)
assert name == "rankic" and higher is True and abs(value - 1.0) < 1e-9
print(f"[ok] rankic_feval: {name}={value:.4f} (higher_is_better={higher})")
print("\nALL CONTRIB CHECKS PASSED")
if __name__ == "__main__":
main()