fix(CORE-002C): explain undercollateralized historical seeds

app/services/backtesting/ui_service.py

@@ -20,6 +20,17 @@ from app.services.strategy_templates import StrategyTemplateService
 
 SUPPORTED_BACKTEST_PAGE_SYMBOL = "GLD"
 
+
+def _validate_initial_collateral(underlying_units: float, entry_spot: float, loan_amount: float) -> None:
+    initial_collateral_value = underlying_units * entry_spot
+    if loan_amount >= initial_collateral_value:
+        raise ValueError(
+            "Historical scenario starts undercollateralized: "
+            f"loan ${loan_amount:,.0f} exceeds initial collateral ${initial_collateral_value:,.0f} "
+            f"at entry spot ${entry_spot:,.2f}. Reduce loan amount or increase underlying units."
+        )
+
+
 DETERMINISTIC_UI_FIXTURE_HISTORY: tuple[DailyClosePoint, ...] = (
     DailyClosePoint(date=date(2024, 1, 2), close=100.0),
     DailyClosePoint(date=date(2024, 1, 3), close=96.0),
@@ -116,6 +127,7 @@ class BacktestPageService:
 
         template = self.template_service.get_template(template_slug)
         entry_spot = self.derive_entry_spot(normalized_symbol, start_date, end_date)
+        _validate_initial_collateral(underlying_units, entry_spot, loan_amount)
         initial_portfolio = materialize_backtest_portfolio_state(
             symbol=normalized_symbol,
             underlying_units=underlying_units,

app/services/event_comparison_ui.py

@@ -11,6 +11,17 @@ from app.services.strategy_templates import StrategyTemplateService
 
 SUPPORTED_EVENT_COMPARISON_SYMBOL = "GLD"
 
+
+def _validate_initial_collateral(underlying_units: float, entry_spot: float, loan_amount: float) -> None:
+    initial_collateral_value = underlying_units * entry_spot
+    if loan_amount >= initial_collateral_value:
+        raise ValueError(
+            "Historical scenario starts undercollateralized: "
+            f"loan ${loan_amount:,.0f} exceeds initial collateral ${initial_collateral_value:,.0f} "
+            f"at entry spot ${entry_spot:,.2f}. Reduce loan amount or increase underlying units."
+        )
+
+
 DETERMINISTIC_EVENT_COMPARISON_FIXTURE_HISTORY: tuple[DailyClosePoint, ...] = (
     DailyClosePoint(date=date(2024, 1, 2), close=100.0),
     DailyClosePoint(date=date(2024, 1, 3), close=96.0),
@@ -103,13 +114,27 @@ class EventComparisonPageService:
         loan_amount: float,
         margin_call_ltv: float,
     ) -> BacktestScenario:
-        return self.comparison_service.preview_scenario_from_inputs(
-            preset_slug=preset_slug,
-            template_slugs=template_slugs,
-            underlying_units=underlying_units,
-            loan_amount=loan_amount,
-            margin_call_ltv=margin_call_ltv,
-        )
+        try:
+            scenario = self.comparison_service.preview_scenario_from_inputs(
+                preset_slug=preset_slug,
+                template_slugs=template_slugs,
+                underlying_units=underlying_units,
+                loan_amount=loan_amount,
+                margin_call_ltv=margin_call_ltv,
+            )
+        except ValueError as exc:
+            if str(exc) == "loan_amount must be less than initial collateral value":
+                preset = self.event_preset_service.get_preset(preset_slug)
+                preview = self.comparison_service.provider.load_history(
+                    preset.symbol.strip().upper(),
+                    preset.window_start,
+                    preset.window_end,
+                )
+                if preview:
+                    _validate_initial_collateral(underlying_units, preview[0].close, loan_amount)
+            raise
+        _validate_initial_collateral(underlying_units, scenario.initial_portfolio.entry_spot, loan_amount)
+        return scenario
 
     def run_read_only_comparison(
         self,
@@ -134,6 +159,25 @@ class EventComparisonPageService:
         if normalized_symbol != SUPPORTED_EVENT_COMPARISON_SYMBOL:
             raise ValueError("BT-003A event comparison is currently limited to GLD on this page")
 
+        try:
+            preview = self.comparison_service.preview_scenario_from_inputs(
+                preset_slug=preset.slug,
+                template_slugs=tuple(template_slugs or preset.scenario_overrides.default_template_slugs),
+                underlying_units=underlying_units,
+                loan_amount=loan_amount,
+                margin_call_ltv=margin_call_ltv,
+            )
+        except ValueError as exc:
+            if str(exc) == "loan_amount must be less than initial collateral value":
+                preview_history = self.comparison_service.provider.load_history(
+                    normalized_symbol,
+                    preset.window_start,
+                    preset.window_end,
+                )
+                if preview_history:
+                    _validate_initial_collateral(underlying_units, preview_history[0].close, loan_amount)
+            raise
+        _validate_initial_collateral(underlying_units, preview.initial_portfolio.entry_spot, loan_amount)
         return self.comparison_service.compare_event_from_inputs(
             preset_slug=preset.slug,
             template_slugs=tuple(template_slugs or preset.scenario_overrides.default_template_slugs),

tests/test_backtest_ui.py

@@ -131,6 +131,18 @@ def test_backtest_page_service_keeps_fixture_history_while_using_caller_portfoli
             },
             "BT-001A backtests are currently limited to GLD on this page",
         ),
+        (
+            {
+                "symbol": "GLD",
+                "start_date": date(2024, 1, 2),
+                "end_date": date(2024, 1, 8),
+                "template_slug": "protective-put-atm-12m",
+                "underlying_units": 1000.0,
+                "loan_amount": 145000.0,
+                "margin_call_ltv": 0.75,
+            },
+            "Historical scenario starts undercollateralized",
+        ),
     ],
 )
 def test_backtest_page_service_validation_errors_are_user_facing(kwargs: dict[str, object], message: str) -> None:

tests/test_event_comparison_ui.py

@@ -118,6 +118,28 @@ def test_event_comparison_page_service_preview_uses_same_materialization_path()
     assert [ref.slug for ref in scenario.template_refs] == ["protective-put-atm-12m"]
 
 
+def test_event_comparison_page_service_rejects_undercollateralized_historical_start() -> None:
+    service = EventComparisonPageService()
+
+    with pytest.raises(ValueError, match="Historical scenario starts undercollateralized"):
+        service.preview_scenario(
+            preset_slug="gld-jan-2024-selloff",
+            template_slugs=("protective-put-atm-12m",),
+            underlying_units=1000.0,
+            loan_amount=145000.0,
+            margin_call_ltv=0.75,
+        )
+
+    with pytest.raises(ValueError, match="Historical scenario starts undercollateralized"):
+        service.run_read_only_comparison(
+            preset_slug="gld-jan-2024-selloff",
+            template_slugs=("protective-put-atm-12m",),
+            underlying_units=1000.0,
+            loan_amount=145000.0,
+            margin_call_ltv=0.75,
+        )
+
+
 def test_event_comparison_fixture_fails_closed_for_unsupported_range() -> None:
     source = EventComparisonFixtureHistoricalPriceSource()