feat(EXEC-001A): add named strategy templates

2026-03-24 12:27:39 +01:00
parent 78a01d9fc5
commit 2161e10626
10 changed files with 949 additions and 61 deletions
--- a/tests/test_strategy_templates.py
+++ b/tests/test_strategy_templates.py
@@ -0,0 +1,144 @@
+from __future__ import annotations
+
+from pathlib import Path
+
+import pytest
+
+import app.core.pricing.black_scholes as black_scholes
+from app.models.strategy_template import EntryPolicy, RollPolicy, StrategyTemplate, StrikeRule, TemplateLeg
+from app.services.strategy_templates import FileStrategyTemplateRepository, StrategyTemplateService
+from app.strategies.engine import StrategySelectionEngine
+
+
+def _force_analytic_pricing(monkeypatch: pytest.MonkeyPatch) -> None:
+    monkeypatch.setattr(black_scholes, "ql", None)
+
+
+def test_strategy_template_rejects_invalid_weight_sum() -> None:
+    template = StrategyTemplate.protective_put(
+        template_id="bad-template",
+        slug="bad-template",
+        display_name="Bad Template",
+        description="Invalid weights should fail validation.",
+        strike_pct=1.0,
+        target_expiry_days=365,
+    )
+
+    with pytest.raises(ValueError, match="weights must sum to 1.0"):
+        StrategyTemplate(
+            template_id=template.template_id,
+            slug=template.slug,
+            display_name=template.display_name,
+            description=template.description,
+            template_kind=template.template_kind,
+            status=template.status,
+            version=template.version,
+            underlying_symbol=template.underlying_symbol,
+            contract_mode=template.contract_mode,
+            legs=(
+                TemplateLeg(
+                    leg_id="leg-1",
+                    side="long",
+                    option_type="put",
+                    allocation_weight=0.6,
+                    strike_rule=template.legs[0].strike_rule,
+                    target_expiry_days=365,
+                    quantity_rule="target_coverage_pct",
+                    target_coverage_pct=1.0,
+                ),
+                TemplateLeg(
+                    leg_id="leg-2",
+                    side="long",
+                    option_type="put",
+                    allocation_weight=0.3,
+                    strike_rule=template.legs[0].strike_rule,
+                    target_expiry_days=365,
+                    quantity_rule="target_coverage_pct",
+                    target_coverage_pct=1.0,
+                ),
+            ),
+            roll_policy=template.roll_policy,
+            entry_policy=template.entry_policy,
+            tags=template.tags,
+            created_at=template.created_at,
+            updated_at=template.updated_at,
+        )
+
+
+def test_file_strategy_template_repository_seeds_default_templates(tmp_path: Path) -> None:
+    repository = FileStrategyTemplateRepository(tmp_path / "strategy_templates.json")
+
+    templates = repository.list_templates()
+
+    assert [template.slug for template in templates] == [
+        "protective-put-atm-12m",
+        "protective-put-95pct-12m",
+        "protective-put-90pct-12m",
+        "ladder-50-50-atm-95pct-12m",
+        "ladder-33-33-33-atm-95pct-90pct-12m",
+    ]
+    assert (tmp_path / "strategy_templates.json").exists() is True
+
+
+def test_strategy_template_rejects_collar_kind_for_mvp() -> None:
+    with pytest.raises(ValueError, match="unsupported template_kind"):
+        StrategyTemplate(
+            template_id="collar-template",
+            slug="collar-template",
+            display_name="Collar Template",
+            description="Collars are not supported by the template service in the MVP.",
+            template_kind="collar",  # type: ignore[arg-type]
+            status="active",
+            version=1,
+            underlying_symbol="GLD",
+            contract_mode="continuous_units",
+            legs=(
+                TemplateLeg(
+                    leg_id="collar-put-leg",
+                    side="long",
+                    option_type="put",
+                    allocation_weight=1.0,
+                    strike_rule=StrikeRule(rule_type="spot_pct", value=0.95),
+                    target_expiry_days=365,
+                    quantity_rule="target_coverage_pct",
+                    target_coverage_pct=1.0,
+                ),
+            ),
+            roll_policy=RollPolicy(policy_type="hold_to_expiry"),
+            entry_policy=EntryPolicy(entry_timing="scenario_start_close"),
+        )
+
+
+def test_strategy_selection_engine_uses_named_templates(monkeypatch: pytest.MonkeyPatch) -> None:
+    _force_analytic_pricing(monkeypatch)
+    service = StrategyTemplateService()
+    engine = StrategySelectionEngine(template_service=service)
+
+    strategies = engine.compare_all_strategies()
+
+    assert [item["name"] for item in strategies[:5]] == [
+        "protective_put_atm",
+        "protective_put_otm_95",
+        "protective_put_otm_90",
+        "laddered_put_50_50_atm_otm95",
+        "laddered_put_33_33_33_atm_otm95_otm90",
+    ]
+
+
+def test_strategy_template_service_catalog_reads_named_templates() -> None:
+    catalog = StrategyTemplateService().catalog_items()
+
+    assert [item["label"] for item in catalog] == [
+        "Protective Put ATM",
+        "Protective Put 95%",
+        "Protective Put 90%",
+        "Laddered Puts 50/50 ATM + 95%",
+        "Laddered Puts 33/33/33 ATM + 95% + 90%",
+    ]
+    assert [item["name"] for item in catalog] == [
+        "protective_put_atm",
+        "protective_put_otm_95",
+        "protective_put_otm_90",
+        "laddered_put_50_50_atm_otm95",
+        "laddered_put_33_33_33_atm_otm95_otm90",
+    ]