feat(BT-003): add event preset backtest comparison
This commit is contained in:
Bu5hm4nn
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"""Backtesting services and historical market-data adapters."""
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from .comparison import EventComparisonService
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from .historical_provider import SyntheticHistoricalProvider, YFinanceHistoricalPriceSource
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from .service import BacktestService
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__all__ = ["BacktestService", "SyntheticHistoricalProvider", "YFinanceHistoricalPriceSource"]
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__all__ = [
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"BacktestService",
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"EventComparisonService",
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"SyntheticHistoricalProvider",
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"YFinanceHistoricalPriceSource",
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]
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126
app/services/backtesting/comparison.py
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126
app/services/backtesting/comparison.py
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from __future__ import annotations
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from datetime import timedelta
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from app.models.backtest import (
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BacktestPortfolioState,
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BacktestScenario,
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EventComparisonRanking,
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EventComparisonReport,
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ProviderRef,
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TemplateRef,
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)
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from app.models.event_preset import EventPreset
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from app.services.backtesting.historical_provider import SyntheticHistoricalProvider
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from app.services.backtesting.service import BacktestService
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from app.services.event_presets import EventPresetService
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from app.services.strategy_templates import StrategyTemplateService
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class EventComparisonService:
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def __init__(
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self,
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provider: SyntheticHistoricalProvider | None = None,
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template_service: StrategyTemplateService | None = None,
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event_preset_service: EventPresetService | None = None,
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backtest_service: BacktestService | None = None,
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) -> None:
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self.provider = provider or SyntheticHistoricalProvider()
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self.template_service = template_service or StrategyTemplateService()
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self.event_preset_service = event_preset_service or EventPresetService()
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self.backtest_service = backtest_service or BacktestService(
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provider=self.provider,
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template_service=self.template_service,
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)
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def compare_event(
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self,
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*,
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preset_slug: str,
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initial_portfolio: BacktestPortfolioState,
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template_slugs: tuple[str, ...] | None = None,
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provider_ref: ProviderRef | None = None,
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) -> EventComparisonReport:
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preset = self.event_preset_service.get_preset(preset_slug)
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scenario = self.materialize_scenario(
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preset,
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initial_portfolio=initial_portfolio,
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template_slugs=template_slugs,
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provider_ref=provider_ref,
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)
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run_result = self.backtest_service.run_scenario(scenario)
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ranked_results = sorted(
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run_result.template_results,
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key=lambda result: (
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result.summary_metrics.margin_call_days_hedged,
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result.summary_metrics.max_ltv_hedged,
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result.summary_metrics.total_hedge_cost,
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-result.summary_metrics.end_value_hedged_net,
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result.template_slug,
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),
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)
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rankings = tuple(
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EventComparisonRanking(
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rank=index,
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template_slug=result.template_slug,
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template_name=result.template_name,
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survived_margin_call=not result.summary_metrics.margin_threshold_breached_hedged,
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max_ltv_hedged=result.summary_metrics.max_ltv_hedged,
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hedge_cost=result.summary_metrics.total_hedge_cost,
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final_equity=result.summary_metrics.end_value_hedged_net,
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result=result,
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)
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for index, result in enumerate(ranked_results, start=1)
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)
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return EventComparisonReport(
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event_preset=preset,
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scenario=scenario,
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rankings=rankings,
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run_result=run_result,
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)
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def materialize_scenario(
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self,
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preset: EventPreset,
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*,
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initial_portfolio: BacktestPortfolioState,
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template_slugs: tuple[str, ...] | None = None,
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provider_ref: ProviderRef | None = None,
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) -> BacktestScenario:
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selected_template_slugs = tuple(template_slugs or preset.scenario_overrides.default_template_slugs)
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if not selected_template_slugs:
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raise ValueError("Event comparison requires at least one template slug")
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requested_start = preset.window_start - timedelta(days=preset.scenario_overrides.lookback_days or 0)
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requested_end = preset.window_end + timedelta(days=preset.scenario_overrides.recovery_days or 0)
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history = self.provider.load_history(preset.symbol, requested_start, requested_end)
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if not history:
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raise ValueError(f"No historical prices found for event preset: {preset.slug}")
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scenario_portfolio = BacktestPortfolioState(
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currency=initial_portfolio.currency,
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underlying_units=initial_portfolio.underlying_units,
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entry_spot=history[0].close,
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loan_amount=initial_portfolio.loan_amount,
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margin_call_ltv=initial_portfolio.margin_call_ltv,
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cash_balance=initial_portfolio.cash_balance,
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financing_rate=initial_portfolio.financing_rate,
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)
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template_refs = tuple(
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TemplateRef(slug=slug, version=self.template_service.get_template(slug).version)
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for slug in selected_template_slugs
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)
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return BacktestScenario(
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scenario_id=f"event-{preset.slug}",
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display_name=preset.display_name,
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symbol=preset.symbol,
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start_date=history[0].date,
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end_date=history[-1].date,
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initial_portfolio=scenario_portfolio,
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template_refs=template_refs,
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provider_ref=provider_ref
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or ProviderRef(
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provider_id=self.provider.provider_id,
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pricing_mode=self.provider.pricing_mode,
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),
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)
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116
app/services/event_presets.py
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116
app/services/event_presets.py
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from __future__ import annotations
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import json
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from datetime import date
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from pathlib import Path
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from app.models.event_preset import EventPreset, EventScenarioOverrides
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DEFAULT_EVENT_PRESET_FILE = Path(__file__).resolve().parents[2] / "config" / "event_presets.json"
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def default_event_presets() -> list[EventPreset]:
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return [
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EventPreset(
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event_preset_id="gld-jan-2024-selloff-v1",
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slug="gld-jan-2024-selloff",
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display_name="GLD January 2024 Selloff",
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symbol="GLD",
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window_start=date(2024, 1, 2),
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window_end=date(2024, 1, 8),
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anchor_date=date(2024, 1, 4),
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event_type="selloff",
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tags=("system", "selloff", "macro"),
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description="Short January 2024 selloff window for deterministic synthetic event comparisons.",
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scenario_overrides=EventScenarioOverrides(
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default_template_slugs=(
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"protective-put-atm-12m",
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"protective-put-95pct-12m",
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"protective-put-90pct-12m",
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"ladder-50-50-atm-95pct-12m",
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)
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),
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),
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EventPreset(
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event_preset_id="gld-jan-2024-drawdown-v1",
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slug="gld-jan-2024-drawdown",
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display_name="GLD January 2024 Drawdown",
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symbol="GLD",
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window_start=date(2024, 1, 2),
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window_end=date(2024, 1, 8),
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anchor_date=date(2024, 1, 5),
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event_type="selloff",
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tags=("system", "drawdown"),
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description="January 2024 drawdown preset for deterministic synthetic event comparison runs.",
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scenario_overrides=EventScenarioOverrides(
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lookback_days=0,
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recovery_days=0,
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default_template_slugs=(
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"protective-put-atm-12m",
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"ladder-50-50-atm-95pct-12m",
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"ladder-33-33-33-atm-95pct-90pct-12m",
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),
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),
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),
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EventPreset(
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event_preset_id="gld-jan-2024-stress-window-v1",
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slug="gld-jan-2024-stress-window",
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display_name="GLD January 2024 Stress Window",
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symbol="GLD",
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window_start=date(2024, 1, 2),
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window_end=date(2024, 1, 8),
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anchor_date=None,
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event_type="stress_test",
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tags=("system", "stress_test"),
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description="Stress-window preset with a modest warmup and recovery tail for report scaffolding.",
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scenario_overrides=EventScenarioOverrides(
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lookback_days=0,
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recovery_days=0,
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default_template_slugs=(
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"protective-put-atm-12m",
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"protective-put-95pct-12m",
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),
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),
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),
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]
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class FileEventPresetRepository:
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def __init__(self, path: str | Path = DEFAULT_EVENT_PRESET_FILE) -> None:
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self.path = Path(path)
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def list_presets(self) -> list[EventPreset]:
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self._ensure_seeded()
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payload = json.loads(self.path.read_text())
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return [EventPreset.from_dict(item) for item in payload.get("presets", [])]
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def get_by_slug(self, slug: str) -> EventPreset | None:
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return next((preset for preset in self.list_presets() if preset.slug == slug), None)
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def save_all(self, presets: list[EventPreset]) -> None:
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self.path.parent.mkdir(parents=True, exist_ok=True)
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payload = {"presets": [preset.to_dict() for preset in presets]}
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self.path.write_text(json.dumps(payload, indent=2) + "\n")
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def _ensure_seeded(self) -> None:
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if self.path.exists():
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return
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self.save_all(default_event_presets())
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class EventPresetService:
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def __init__(self, repository: FileEventPresetRepository | None = None) -> None:
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self.repository = repository or FileEventPresetRepository()
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def list_presets(self, symbol: str | None = None) -> list[EventPreset]:
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presets = self.repository.list_presets()
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if symbol is None:
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return presets
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normalized_symbol = symbol.strip().upper()
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return [preset for preset in presets if preset.symbol.strip().upper() == normalized_symbol]
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def get_preset(self, slug: str) -> EventPreset:
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preset = self.repository.get_by_slug(slug)
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if preset is None:
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raise KeyError(f"Unknown event preset: {slug}")
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return preset
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