Function test_pt_sl_levels

crates/openquant/tests/labeling.rs:201–247

()

fn test_triple_barrier_labeling() {
    let close = load_close();
    let prices: Vec<f64> = close.iter().map(|(_, p)| *p).collect();
    let timestamps: Vec<NaiveDateTime> = close.iter().map(|(ts, _)| *ts).collect();
    let cusum_events =
        cusum_filter_timestamps(&prices, &timestamps, Threshold::Scalar(0.02)).unwrap();
    let daily_vol = get_daily_vol(&close, 100);
    let vertical_barriers = add_vertical_barrier(&cusum_events, &close, 1, 0, 0, 0);

    // standard labeling
    let events = get_events(
        &close,
        &cusum_events,
        (1.0, 1.0),
        &daily_vol,
        0.005,
        3,
        Some(&vertical_barriers),
        None,
    );
    let labels = get_bins(&events, &close);
    assert_eq!(labels.len(), 8);
    assert!(labels.iter().all(|(_, _, _, bin, _)| matches!(bin, -1..=1)));
    let reference = load_reference();
    assert_labels_match(&labels, &reference["events"]);

    // meta labeling with side=1
    let side: Vec<(NaiveDateTime, f64)> = close.iter().map(|(ts, _)| (*ts, 1.0)).collect();
    let meta_events = get_events(
        &close,
        &cusum_events,
        (1.0, 1.0),
        &daily_vol,
        0.005,
        3,
        Some(&vertical_barriers),
        Some(&side),
    );
    let meta_labels = get_bins(&meta_events, &close);
    assert_eq!(meta_labels.len(), 8);
    assert_labels_match(&meta_labels, &reference["meta_events"]);
    assert!(meta_labels.iter().all(|(_, _, _, bin, _)| matches!(bin, 0 | 1)));
    assert!(meta_labels.iter().any(|(_, _, _, bin, _)| *bin == 1));
}

#[test]
fn test_pt_sl_levels() {
    let close = load_close();
    let prices: Vec<f64> = close.iter().map(|(_, p)| *p).collect();
    let timestamps: Vec<NaiveDateTime> = close.iter().map(|(ts, _)| *ts).collect();
    let cusum_events =
        cusum_filter_timestamps(&prices, &timestamps, Threshold::Scalar(0.02)).unwrap();