Parasitoid wasps are major causes of mortality of many species, resulting in host immune defences commonly being the target of adaptive evolution, though such targets outside model species are poorly understood. Here we compare the power of different molecular tests of selection to provide such insights in novel species. We combined our understanding of variation in immune defence capacity among three closely related Galerucella leaf beetles with a shared parasitoid wasp, with information on genomic targets of parasitoid attacks from exemplar insect species. Based on this, we predicted that these genomic targets would vary in their evolutionary history across three closely related leaf beetle species, such that genomic targets would experience stronger positive selection in the species with strongest immune response to attack. Codon based tests revealed variation among species in positive selection genome wide, and showed that parasitoid-relevant immune genes experienced more positive selection in the species with the greatest immunocompetence (G. pusilla), while almost no immune genes were under positive selection in the species with the least immunocompetence (G. calmariensis). Genome wide analyses of the haplotype frequency spectrum also identified genes experiencing positive selection across the species, though few were parasitoid-relevant immune genes and no species was particularly enriched for them. Thus, our codon based test, which summarizes all sweep events since the last common ancestor, found results consistent with our a priori hypothesis, providing a series of targets for future functional genomic study.