66 lines
2.5 KiB
Python
66 lines
2.5 KiB
Python
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from decimal import Decimal
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from app.service.asset_allocation_service import AssetAllocationService
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from app.service.dynamic_allocation_optimizer import (
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AssetClassMarketMetric,
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DynamicAllocationOptimizer,
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)
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def metric(
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asset_class: str, return_pct: str, drawdown: str, turnover: str
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) -> AssetClassMarketMetric:
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return AssetClassMarketMetric(
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asset_class=asset_class,
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trailing_120d_return_pct=Decimal(return_pct),
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max_drawdown_pct=Decimal(drawdown),
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average_daily_turnover_amount=Decimal(turnover),
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product_count=2,
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)
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def test_strategic_weights_apply_horizon_liquidity_and_drawdown_constraints() -> None:
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weights = AssetAllocationService._strategic_weights("C1", 6, "daily", Decimal("10"))
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assert weights == {"cash_management_etf": 65, "bond_etf": 35, "equity_etf": 0}
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weights = AssetAllocationService._strategic_weights("C5", 72, "over_30_days", Decimal("30"))
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assert weights == {"cash_management_etf": 5, "bond_etf": 10, "equity_etf": 85}
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def test_optimizer_uses_return_drawdown_and_liquidity_evidence() -> None:
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metrics = [
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metric("cash_management_etf", "2", "1", "20000000"),
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metric("bond_etf", "6", "8", "5000000"),
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metric("equity_etf", "12", "25", "1000000"),
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]
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result = DynamicAllocationOptimizer.optimize(
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{"cash_management_etf": 15, "bond_etf": 45, "equity_etf": 40},
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metrics,
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return_target_lower_pct=Decimal("6"),
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max_drawdown_pct=Decimal("15"),
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liquidity_requirement="within_7_days",
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)
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assert result.dynamic is True
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assert sum(result.weights.values()) == 100
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assert result.weights["equity_etf"] <= 40
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assert result.metric_coverage_pct == Decimal("100")
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evidence = {item["asset_class"]: item for item in result.factors}
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assert evidence["equity_etf"]["composite_score"] is not None
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def test_optimizer_falls_back_to_static_weights_when_coverage_is_insufficient() -> None:
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strategic = {"cash_management_etf": 30, "bond_etf": 50, "equity_etf": 20}
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result = DynamicAllocationOptimizer.optimize(
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strategic,
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[metric("bond_etf", "6", "8", "5000000")],
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return_target_lower_pct=Decimal("6"),
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max_drawdown_pct=Decimal("15"),
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liquidity_requirement="within_7_days",
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)
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assert result.dynamic is False
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assert result.weights == strategic
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assert result.metric_coverage_pct == Decimal("33.33333333333333333333333333")
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assert result.factors[0]["composite_score"] is None
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