aprender-core 0.29.2

#[cfg(test)]
mod tests {
    #[allow(clippy::wildcard_imports)]
    use super::super::*;

    fn sample_returns() -> Vec<f64> {
        vec![
            0.01, 0.02, -0.01, 0.03, 0.01, -0.02, 0.02, 0.01, 0.005, -0.015,
        ]
    }

    fn sample_benchmark() -> Vec<f64> {
        vec![
            0.008, 0.015, -0.005, 0.025, 0.01, -0.01, 0.018, 0.008, 0.003, -0.012,
        ]
    }

    #[test]
    fn test_sharpe_ratio_positive() {
        let returns = sample_returns();
        let sharpe = sharpe_ratio(&returns, 0.001);

        // Should be positive (positive mean return exceeds risk-free rate)
        assert!(sharpe > 0.0, "Sharpe should be positive: {sharpe}");
        assert!(sharpe.is_finite());
    }

    #[test]
    fn test_sharpe_ratio_zero_variance() {
        let returns = vec![0.01, 0.01, 0.01, 0.01, 0.01];
        let sharpe = sharpe_ratio(&returns, 0.001);

        // With zero variance and positive excess return, should be infinity
        assert!(
            sharpe.is_infinite() && sharpe > 0.0,
            "Sharpe with zero variance: {sharpe}"
        );
    }

    #[test]
    fn test_sharpe_ratio_annualized() {
        let returns = sample_returns();

        // Daily returns, annualize with 252 trading days
        let sharpe_daily = sharpe_ratio_annualized(&returns, 0.05, 252.0);
        let sharpe_monthly = sharpe_ratio_annualized(&returns, 0.05, 12.0);

        assert!(sharpe_daily.is_finite());
        assert!(sharpe_monthly.is_finite());
    }

    #[test]
    fn test_sortino_ratio() {
        let returns = sample_returns();
        let sortino = sortino_ratio(&returns, 0.001, 0.0);

        // Should be positive and typically higher than Sharpe
        assert!(sortino > 0.0, "Sortino should be positive: {sortino}");
        assert!(sortino.is_finite());
    }

    #[test]
    fn test_sortino_no_downside() {
        let returns = vec![0.01, 0.02, 0.03, 0.04, 0.05];
        let sortino = sortino_ratio(&returns, 0.0, 0.0);

        // No negative returns, downside deviation = 0, infinite Sortino
        assert!(
            sortino.is_infinite() && sortino > 0.0,
            "Sortino with no downside: {sortino}"
        );
    }

    #[test]
    fn test_calmar_ratio() {
        let calmar = calmar_ratio(0.15, 0.10);
        assert!((calmar - 1.5).abs() < 0.001);

        let calmar_high = calmar_ratio(0.30, 0.10);
        assert!((calmar_high - 3.0).abs() < 0.001);
    }

    #[test]
    fn test_calmar_ratio_zero_drawdown() {
        let calmar = calmar_ratio(0.10, 0.0);
        assert!(calmar.is_infinite() && calmar > 0.0);
    }

    #[test]
    fn test_treynor_ratio() {
        let returns = sample_returns();
        let benchmark = sample_benchmark();
        let treynor = treynor_ratio(&returns, &benchmark, 0.001);

        assert!(treynor.is_finite());
    }

    #[test]
    fn test_information_ratio() {
        let returns = sample_returns();
        let benchmark = sample_benchmark();
        let ir = information_ratio(&returns, &benchmark);

        assert!(ir.is_finite());
    }

    #[test]
    fn test_omega_ratio() {
        let returns = sample_returns();
        let omega = omega_ratio(&returns, 0.0);

        // With positive mean, omega should be > 1
        assert!(omega > 0.0, "Omega should be positive: {omega}");
    }

    #[test]
    fn test_omega_ratio_threshold() {
        let returns = sample_returns();

        // Higher threshold should give lower omega
        let omega_0 = omega_ratio(&returns, 0.0);
        let omega_high = omega_ratio(&returns, 0.02);

        assert!(omega_high < omega_0, "Higher threshold = lower omega");
    }

    #[test]
    fn test_jensens_alpha() {
        let returns = sample_returns();
        let benchmark = sample_benchmark();
        let alpha = jensens_alpha(&returns, &benchmark, 0.001);

        assert!(alpha.is_finite());
    }

    #[test]
    fn test_gain_to_pain_ratio() {
        let returns = sample_returns();
        let gpr = gain_to_pain_ratio(&returns);

        assert!(gpr > 0.0);
        assert!(gpr.is_finite());
    }

    #[test]
    fn test_gain_to_pain_all_positive() {
        let returns = vec![0.01, 0.02, 0.03, 0.04];
        let gpr = gain_to_pain_ratio(&returns);

        assert!(gpr.is_infinite() && gpr > 0.0);
    }

    #[test]
    fn test_calculate_beta() {
        let returns = sample_returns();
        let benchmark = sample_benchmark();
        let beta = calculate_beta(&returns, &benchmark);

        // Portfolio with similar behavior to benchmark should have beta near 1
        assert!(
            beta > 0.0 && beta < 3.0,
            "Beta should be reasonable: {beta}"
        );
    }

    #[test]
    fn test_empty_inputs() {
        assert!(sharpe_ratio(&[], 0.0).abs() < 1e-10);
        assert!(sortino_ratio(&[], 0.0, 0.0).abs() < 1e-10);
        assert!(information_ratio(&[], &[]).abs() < 1e-10);
        assert!((omega_ratio(&[], 0.0) - 1.0).abs() < 1e-10);
    }

    #[test]
    fn test_single_value() {
        let returns = vec![0.01];
        assert!(sharpe_ratio(&returns, 0.0).abs() < 1e-10);
        assert!(sortino_ratio(&returns, 0.0, 0.0).abs() < 1e-10);
    }

    #[test]
    fn test_sharpe_ratio_zero_variance_negative_excess() {
        // All identical returns below risk-free rate => negative infinity
        let returns = vec![0.01, 0.01, 0.01, 0.01, 0.01];
        let sharpe = sharpe_ratio(&returns, 0.05);
        assert!(
            sharpe.is_infinite() && sharpe < 0.0,
            "Sharpe with zero variance and negative excess should be -Infinity: {sharpe}"
        );
    }

    #[test]
    fn test_sharpe_ratio_zero_variance_zero_excess() {
        // All identical returns equal to risk-free rate => 0
        let returns = vec![0.01, 0.01, 0.01, 0.01, 0.01];
        let sharpe = sharpe_ratio(&returns, 0.01);
        assert!(
            sharpe.abs() < 1e-10,
            "Sharpe with zero variance and zero excess should be 0: {sharpe}"
        );
    }

    #[test]
    fn test_sharpe_annualized_short_returns() {
        // Less than 2 returns should return 0
        let sharpe = sharpe_ratio_annualized(&[0.01], 0.05, 252.0);
        assert!(sharpe.abs() < 1e-10);
    }

    #[test]
    fn test_sharpe_annualized_zero_vol_positive_excess() {
        // All identical returns with positive annualized excess => Infinity
        let returns = vec![0.01, 0.01, 0.01, 0.01, 0.01];
        let sharpe = sharpe_ratio_annualized(&returns, 0.0, 252.0);
        // annualized return = 0.01 * 252 = 2.52, excess = 2.52 - 0.0 = 2.52
        // annualized vol = 0
        assert!(
            sharpe.is_infinite() && sharpe > 0.0,
            "Annualized Sharpe with zero vol and positive excess should be +Infinity: {sharpe}"
        );
    }

    #[test]
    fn test_sharpe_annualized_zero_vol_negative_excess() {
        // All identical returns below annualized risk-free => -Infinity
        let returns = vec![0.001, 0.001, 0.001, 0.001, 0.001];
        let sharpe = sharpe_ratio_annualized(&returns, 10.0, 252.0);
        // annualized return = 0.001 * 252 = 0.252, excess = 0.252 - 10.0 = -9.748
        assert!(
            sharpe.is_infinite() && sharpe < 0.0,
            "Annualized Sharpe with zero vol and negative excess should be -Infinity: {sharpe}"
        );
    }

    #[test]
    fn test_sharpe_annualized_zero_vol_zero_excess() {
        // All identical returns equal to annualized risk-free => 0
        let returns = vec![0.01, 0.01, 0.01, 0.01, 0.01];
        // annualized return = 0.01 * 12 = 0.12
        let sharpe = sharpe_ratio_annualized(&returns, 0.12, 12.0);
        assert!(
            sharpe.abs() < 1e-10,
            "Annualized Sharpe with zero vol and zero excess should be 0: {sharpe}"
        );
    }

    #[test]
    fn test_sortino_zero_downside_negative_excess() {
        // All positive returns but mean below risk-free => negative infinity
        let returns = vec![0.01, 0.02, 0.03, 0.04, 0.05];
        let sortino = sortino_ratio(&returns, 0.10, 0.0);
        // mean = 0.03, excess = 0.03 - 0.10 = -0.07
        // No returns below target, downside_deviation = 0
        assert!(
            sortino.is_infinite() && sortino < 0.0,
            "Sortino with zero downside and negative excess should be -Infinity: {sortino}"
        );
    }

    #[test]
    fn test_sortino_zero_downside_zero_excess() {
        // All positive returns, mean equals risk-free, no downside => 0
        let returns = vec![0.03, 0.03, 0.03, 0.03, 0.03];
        let sortino = sortino_ratio(&returns, 0.03, 0.0);
        assert!(
            sortino.abs() < 1e-10,
            "Sortino with zero downside and zero excess should be 0: {sortino}"
        );
    }

    #[test]
    fn test_calmar_zero_drawdown_negative_return() {
        let calmar = calmar_ratio(-0.10, 0.0);
        assert!(
            calmar.is_infinite() && calmar < 0.0,
            "Calmar with zero drawdown and negative return should be -Infinity: {calmar}"
        );
    }

    #[test]
    fn test_calmar_zero_drawdown_zero_return() {
        let calmar = calmar_ratio(0.0, 0.0);
        assert!(
            calmar.abs() < 1e-10,
            "Calmar with zero drawdown and zero return should be 0: {calmar}"
        );
    }

    #[test]
    fn test_treynor_empty_returns() {
        let treynor = treynor_ratio(&[], &[], 0.01);
        assert!(
            treynor.abs() < 1e-10,
            "Treynor with empty returns should be 0: {treynor}"
        );
    }

    #[test]
    fn test_treynor_mismatched_lengths() {
        // Mismatched lengths: beta defaults to 1.0
        let returns = vec![0.01, 0.02, 0.03];
        let benchmark = vec![0.01, 0.02];
        let treynor = treynor_ratio(&returns, &benchmark, 0.0);
        // beta = 1.0 (from mismatched lengths)
        // excess = mean(returns) - rf = 0.02 - 0.0 = 0.02
        // treynor = 0.02 / 1.0 = 0.02
        assert!(treynor.is_finite());
    }

    #[test]
    fn test_treynor_zero_beta() {
        // When benchmark has zero variance, beta = 1.0 (fallback)
        let returns = vec![0.01, 0.02, 0.03, 0.04];
        let benchmark = vec![0.05, 0.05, 0.05, 0.05]; // zero variance
        let treynor = treynor_ratio(&returns, &benchmark, 0.0);
        // var_benchmark = 0, so beta = 1.0
        // excess = 0.025 / 1.0 = 0.025
        assert!(treynor.is_finite());
        assert!(treynor > 0.0);
    }

    #[test]
    fn test_information_ratio_mismatched_lengths() {
        let returns = vec![0.01, 0.02, 0.03];
        let benchmark = vec![0.01, 0.02];
        let ir = information_ratio(&returns, &benchmark);
        assert!(
            ir.abs() < 1e-10,
            "IR with mismatched lengths should be 0: {ir}"
        );
    }

    #[test]
    fn test_information_ratio_single_value() {
        let ir = information_ratio(&[0.01], &[0.01]);
        assert!(ir.abs() < 1e-10, "IR with single value should be 0: {ir}");
    }

    #[test]
    fn test_omega_ratio_all_above_threshold() {
        // All returns above threshold, losses = 0, gains > 0 => Infinity
        let returns = vec![0.05, 0.06, 0.07, 0.08];
        let omega = omega_ratio(&returns, 0.0);
        assert!(
            omega.is_infinite() && omega > 0.0,
            "Omega with no losses and gains should be Infinity: {omega}"
        );
    }

    #[test]
    fn test_omega_ratio_all_equal_threshold() {
        // All returns exactly at threshold: gains=0, losses=0 => 1.0
        let returns = vec![0.0, 0.0, 0.0, 0.0];
        let omega = omega_ratio(&returns, 0.0);
        assert!(
            (omega - 1.0).abs() < 1e-10,
            "Omega with all returns at threshold should be 1.0: {omega}"
        );
    }

    #[test]
    fn test_gain_to_pain_all_negative() {
        let returns = vec![-0.01, -0.02, -0.03, -0.04];
        let gpr = gain_to_pain_ratio(&returns);
        assert!(
            gpr.abs() < 1e-10,
            "Gain-to-pain with all negative and no gains should be 0: {gpr}"
        );
    }

    #[test]
    fn test_gain_to_pain_all_zero() {
        let returns = vec![0.0, 0.0, 0.0];
        let gpr = gain_to_pain_ratio(&returns);
        assert!(
            gpr.abs() < 1e-10,
            "Gain-to-pain with all zeros should be 0: {gpr}"
        );
    }

    #[test]
    fn test_gain_to_pain_empty() {
        let gpr = gain_to_pain_ratio(&[]);
        assert!(
            gpr.abs() < 1e-10,
            "Gain-to-pain with empty should be 0: {gpr}"
        );
    }

    #[test]
    fn test_jensens_alpha_empty_returns() {
        let alpha = jensens_alpha(&[], &[0.01, 0.02], 0.01);
        assert!(
            alpha.abs() < 1e-10,
            "Alpha with empty returns should be 0: {alpha}"
        );
    }

    #[test]
    fn test_jensens_alpha_empty_benchmark() {
        let alpha = jensens_alpha(&[0.01, 0.02], &[], 0.01);
        assert!(
            alpha.abs() < 1e-10,
            "Alpha with empty benchmark should be 0: {alpha}"
        );
    }

    #[test]
    fn test_calculate_beta_mismatched() {
        // Mismatched lengths returns default beta of 1.0
        let beta = calculate_beta(&[0.01, 0.02, 0.03], &[0.01, 0.02]);
        assert!(
            (beta - 1.0).abs() < 1e-10,
            "Beta with mismatched lengths should be 1.0: {beta}"
        );
    }

    #[test]
    fn test_calculate_beta_single_value() {
        let beta = calculate_beta(&[0.01], &[0.02]);
        assert!(
            (beta - 1.0).abs() < 1e-10,
            "Beta with single value should be 1.0: {beta}"
        );
    }

    #[test]
    fn test_calculate_beta_zero_benchmark_variance() {
        let beta = calculate_beta(&[0.01, 0.02, 0.03], &[0.05, 0.05, 0.05]);
        assert!(
            (beta - 1.0).abs() < 1e-10,
            "Beta with zero benchmark variance should be 1.0: {beta}"
        );
    }

    // Property-based tests
    #[cfg(test)]
    mod proptests {
        use super::*;
        use proptest::prelude::*;

        proptest! {
            #[test]
            fn prop_sharpe_finite(returns in prop::collection::vec(-0.5..0.5f64, 10..100)) {
                let sharpe = sharpe_ratio(&returns, 0.01);
                prop_assert!(sharpe.is_finite() || sharpe.is_infinite(), "Sharpe must be defined");
            }

            #[test]
            fn prop_sortino_geq_zero_or_negative(
                returns in prop::collection::vec(-0.5..0.5f64, 10..100)
            ) {
                let sortino = sortino_ratio(&returns, 0.0, 0.0);
                // Sortino can be negative if mean is negative
                prop_assert!(sortino.is_finite() || sortino.is_infinite());
            }

            #[test]
            fn prop_calmar_sign_matches_return(
                ret in -0.5..0.5f64,
                dd in 0.01..0.5f64,
            ) {
                let calmar = calmar_ratio(ret, dd);
                if ret > 0.0 {
                    prop_assert!(calmar > 0.0);
                } else if ret < 0.0 {
                    prop_assert!(calmar < 0.0);
                }
            }

            #[test]
            fn prop_omega_positive(
                returns in prop::collection::vec(-0.1..0.1f64, 10..100),
                threshold in -0.1..0.1f64,
            ) {
                let omega = omega_ratio(&returns, threshold);
                prop_assert!(omega >= 0.0 || omega.is_infinite(), "Omega must be non-negative");
            }

            #[test]
            fn prop_information_ratio_finite(
                returns in prop::collection::vec(-0.1..0.1f64, 20..100),
                benchmark in prop::collection::vec(-0.1..0.1f64, 20..100),
            ) {
                let len = returns.len().min(benchmark.len());
                let ir = information_ratio(&returns[..len], &benchmark[..len]);
                prop_assert!(ir.is_finite() || ir.abs() < 1e-10, "IR should be finite: {ir}");
            }
        }
    }
}