Feature/#66 convert strategy examples to integration tests

[joaquinbejar]

Description

This pull request focuses on converting example-based strategy implementations into integration tests, optimizing trading strategy logic, and improving the overall performance, readability, and test coverage of the codebase. Key updates include a refactor of the call butterfly optimization logic, parallelization of combination processing, modularized testing for strategies, and improvements to logging and test configurations.

These changes aim to enhance maintainability, performance, and reliability, particularly in the testing and validation of various options trading strategies.

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Changes Made

Refactors and Optimizations:

1. Call Butterfly Optimization Logic:

   • Streamlined combination filtering and strategy creation.
   • Introduced reusable methods to reduce redundancy.
   • Added enhanced validation and dynamic leg grouping.

2. Parallel Processing with Rayon:

   • Refactored process_n_times_iter to leverage Rayon for parallel execution.
   • Ensured thread safety by adding Send and Sync bounds.
   • Wrapped closures in Mutex for safe handling of FnMut in parallel contexts.

3. Logging and Configuration:

   • Replaced println! with tracing::info for consistent and efficient logging.
   • Updated the Makefile to set LOGLEVEL to WARN, suppressing non-critical log messages during tests.

4. Code Readability:

   • Addressed formatting inconsistencies.
   • Refactored strategy logic and tests for better readability and modularity.

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Testing Enhancements:

1. Integration Tests:

   • Converted examples into integration tests for strategies like:
     • Poor Man’s Covered Call
     • Straddles
     • Strangles
     • Butterfly Spreads
     • Iron Condors
     • Custom strategies.
   • Tests validate profit areas, ratios, and other metrics using realistic data.

2. Unit Tests:

   • Expanded unit tests for "optimal" trading strategies.
   • Introduced a dedicated module for optimal strategies to enhance test organization.
   • Added tests to cover edge cases, such as invalid inputs or extreme market scenarios.

3. Test Organization:

   • Modularized unit test files for improved clarity and maintainability.

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Testing

• Unit Tests:
  • Added and refactored tests for strategy modules, ensuring edge cases and realistic scenarios are covered.
• Integration Tests:
  • Comprehensive coverage of end-to-end strategy logic using realistic configurations and market data.
• Manual Validation:
  • Verified results from integration and unit tests against expected outcomes for key trading strategies.
• Performance Testing:
  • Benchmarked parallel processing improvements using Rayon to confirm significant performance gains.

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Additional Notes

• These updates improve code maintainability and extensibility, particularly for future enhancements or new strategies.
• Potential follow-ups include refining parallel processing further and exploring additional optimizations for strategy filtering.

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References

• Resolves Convert Strategy examples to Integration Tests #66.

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Checklist

• Code changes reviewed and tested.
• Integration tests added for all converted examples.
• Unit tests expanded for optimal strategies.
• Documentation updated where necessary.
• All tests passing locally and in CI pipeline.