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feat(CORE-001D): close remaining boundary cleanup slices

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Bu5hm4nn
2026-03-26 17:27:44 +01:00
parent 99d22302ee
commit 94f3c1ef83
16 changed files with 552 additions and 107 deletions
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37
app/services/backtesting/comparison.py
View File

@@ -13,6 +13,7 @@ from app.models.backtest import (
)
from app.models.event_preset import EventPreset
from app.services.backtesting.historical_provider import DailyClosePoint, SyntheticHistoricalProvider
from app.services.backtesting.input_normalization import normalize_historical_scenario_inputs
from app.services.backtesting.service import BacktestService
from app.services.event_presets import EventPresetService
from app.services.strategy_templates import StrategyTemplateService
@@ -64,16 +65,24 @@ class EventComparisonService:
financing_rate: float = 0.0,
provider_ref: ProviderRef | None = None,
) -> EventComparisonReport:
preset = self.event_preset_service.get_preset(preset_slug)
scenario = self.preview_scenario_from_inputs(
preset_slug=preset_slug,
normalized_inputs = normalize_historical_scenario_inputs(
underlying_units=underlying_units,
loan_amount=loan_amount,
margin_call_ltv=margin_call_ltv,
template_slugs=template_slugs,
currency=currency,
cash_balance=cash_balance,
financing_rate=financing_rate,
)
preset = self.event_preset_service.get_preset(preset_slug)
scenario = self.preview_scenario_from_inputs(
preset_slug=preset_slug,
underlying_units=normalized_inputs.underlying_units,
loan_amount=normalized_inputs.loan_amount,
margin_call_ltv=normalized_inputs.margin_call_ltv,
template_slugs=template_slugs,
currency=normalized_inputs.currency,
cash_balance=normalized_inputs.cash_balance,
financing_rate=normalized_inputs.financing_rate,
provider_ref=provider_ref,
)
return self._compare_materialized_event(preset=preset, scenario=scenario)
@@ -91,19 +100,27 @@ class EventComparisonService:
financing_rate: float = 0.0,
provider_ref: ProviderRef | None = None,
) -> BacktestScenario:
preset = self.event_preset_service.get_preset(preset_slug)
history = self._load_preset_history(preset)
entry_spot = history[0].close
initial_portfolio = materialize_backtest_portfolio_state(
symbol=preset.symbol,
normalized_inputs = normalize_historical_scenario_inputs(
underlying_units=underlying_units,
entry_spot=entry_spot,
loan_amount=loan_amount,
margin_call_ltv=margin_call_ltv,
currency=currency,
cash_balance=cash_balance,
financing_rate=financing_rate,
)
preset = self.event_preset_service.get_preset(preset_slug)
history = self._load_preset_history(preset)
entry_spot = history[0].close
initial_portfolio = materialize_backtest_portfolio_state(
symbol=preset.symbol,
underlying_units=normalized_inputs.underlying_units,
entry_spot=entry_spot,
loan_amount=normalized_inputs.loan_amount,
margin_call_ltv=normalized_inputs.margin_call_ltv,
currency=normalized_inputs.currency,
cash_balance=normalized_inputs.cash_balance,
financing_rate=normalized_inputs.financing_rate,
)
return self.materialize_scenario(
preset,
initial_portfolio=initial_portfolio,

37
app/services/backtesting/historical_provider.py
View File

@@ -2,6 +2,7 @@ from __future__ import annotations
from dataclasses import dataclass
from datetime import date, timedelta
from math import isfinite
from typing import Protocol
from app.models.backtest import ProviderRef
@@ -35,6 +36,24 @@ class SyntheticOptionQuote:
quantity: float
mark: float
def __post_init__(self) -> None:
for field_name in ("position_id", "leg_id"):
value = getattr(self, field_name)
if not isinstance(value, str) or not value:
raise ValueError(f"{field_name} is required")
for field_name in ("spot", "strike", "quantity", "mark"):
value = getattr(self, field_name)
if not isinstance(value, (int, float)) or isinstance(value, bool) or not isfinite(float(value)):
raise TypeError(f"{field_name} must be a finite number")
if self.spot <= 0:
raise ValueError("spot must be positive")
if self.strike <= 0:
raise ValueError("strike must be positive")
if self.quantity <= 0:
raise ValueError("quantity must be positive")
if self.mark < 0:
raise ValueError("mark must be non-negative")
class HistoricalPriceSource(Protocol):
def load_daily_closes(self, symbol: str, start_date: date, end_date: date) -> list[DailyClosePoint]:
@@ -42,6 +61,17 @@ class HistoricalPriceSource(Protocol):
class YFinanceHistoricalPriceSource:
@staticmethod
def _normalize_daily_close_row(*, row_date: object, close: object) -> DailyClosePoint | None:
if close is None:
return None
if not hasattr(row_date, "date"):
raise TypeError(f"historical row date must support .date(), got {type(row_date)!r}")
normalized_close = float(close)
if not isfinite(normalized_close):
raise ValueError("historical close must be finite")
return DailyClosePoint(date=row_date.date(), close=normalized_close)
def load_daily_closes(self, symbol: str, start_date: date, end_date: date) -> list[DailyClosePoint]:
if yf is None:
raise RuntimeError("yfinance is required to load historical backtest prices")
@@ -50,10 +80,9 @@ class YFinanceHistoricalPriceSource:
history = ticker.history(start=start_date.isoformat(), end=inclusive_end_date.isoformat(), interval="1d")
rows: list[DailyClosePoint] = []
for index, row in history.iterrows():
close = row.get("Close")
if close is None:
continue
rows.append(DailyClosePoint(date=index.date(), close=float(close)))
point = self._normalize_daily_close_row(row_date=index, close=row.get("Close"))
if point is not None:
rows.append(point)
return rows

51
app/services/backtesting/input_normalization.py Normal file
View File

@@ -0,0 +1,51 @@
from __future__ import annotations
from dataclasses import dataclass
from app.services.boundary_values import boundary_decimal
@dataclass(frozen=True, slots=True)
class NormalizedHistoricalScenarioInputs:
underlying_units: float
loan_amount: float
margin_call_ltv: float
currency: str = "USD"
cash_balance: float = 0.0
financing_rate: float = 0.0
def normalize_historical_scenario_inputs(
*,
underlying_units: object,
loan_amount: object,
margin_call_ltv: object,
currency: object = "USD",
cash_balance: object = 0.0,
financing_rate: object = 0.0,
) -> NormalizedHistoricalScenarioInputs:
normalized_currency = str(currency).strip().upper()
if not normalized_currency:
raise ValueError("Currency is required")
units = float(boundary_decimal(underlying_units, field_name="underlying_units"))
normalized_loan_amount = float(boundary_decimal(loan_amount, field_name="loan_amount"))
ltv = float(boundary_decimal(margin_call_ltv, field_name="margin_call_ltv"))
normalized_cash_balance = float(boundary_decimal(cash_balance, field_name="cash_balance"))
normalized_financing_rate = float(boundary_decimal(financing_rate, field_name="financing_rate"))
if units <= 0:
raise ValueError("Underlying units must be positive")
if normalized_loan_amount < 0:
raise ValueError("Loan amount must be non-negative")
if not 0 < ltv < 1:
raise ValueError("Margin call LTV must be between 0 and 1")
return NormalizedHistoricalScenarioInputs(
underlying_units=units,
loan_amount=normalized_loan_amount,
margin_call_ltv=ltv,
currency=normalized_currency,
cash_balance=normalized_cash_balance,
financing_rate=normalized_financing_rate,
)

29
app/services/backtesting/ui_service.py
View File

@@ -18,6 +18,7 @@ from app.services.backtesting.historical_provider import (
SyntheticHistoricalProvider,
SyntheticOptionQuote,
)
from app.services.backtesting.input_normalization import normalize_historical_scenario_inputs
from app.services.backtesting.service import BacktestService
from app.services.strategy_templates import StrategyTemplateService
@@ -149,12 +150,11 @@ class BacktestPageService:
raise ValueError("BT-001A backtests are currently limited to GLD on this page")
if start_date > end_date:
raise ValueError("Start date must be on or before end date")
if underlying_units <= 0:
raise ValueError("Underlying units must be positive")
if loan_amount < 0:
raise ValueError("Loan amount must be non-negative")
if not 0 < margin_call_ltv < 1:
raise ValueError("Margin call LTV must be between 0 and 1")
normalized_inputs = normalize_historical_scenario_inputs(
underlying_units=underlying_units,
loan_amount=loan_amount,
margin_call_ltv=margin_call_ltv,
)
if not template_slug:
raise ValueError("Template selection is required")
@@ -169,7 +169,11 @@ class BacktestPageService:
raise ValueError(
f"Supplied entry spot ${entry_spot:,.2f} does not match derived historical entry spot ${derived_entry_spot:,.2f}"
)
_validate_initial_collateral(underlying_units, derived_entry_spot, loan_amount)
_validate_initial_collateral(
normalized_inputs.underlying_units,
derived_entry_spot,
normalized_inputs.loan_amount,
)
return derived_entry_spot
def run_read_only_scenario(
@@ -193,13 +197,18 @@ class BacktestPageService:
loan_amount=loan_amount,
margin_call_ltv=margin_call_ltv,
)
normalized_inputs = normalize_historical_scenario_inputs(
underlying_units=underlying_units,
loan_amount=loan_amount,
margin_call_ltv=margin_call_ltv,
)
template = self.template_service.get_template(template_slug)
initial_portfolio = materialize_backtest_portfolio_state(
symbol=normalized_symbol,
underlying_units=underlying_units,
underlying_units=normalized_inputs.underlying_units,
entry_spot=entry_spot,
loan_amount=loan_amount,
margin_call_ltv=margin_call_ltv,
loan_amount=normalized_inputs.loan_amount,
margin_call_ltv=normalized_inputs.margin_call_ltv,
)
scenario = BacktestScenario(
scenario_id=(