feat(BT-001A): add backtest scenario runner page
This commit is contained in:
Bu5hm4nn
@@ -1,3 +1,3 @@
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from . import hedge, options, overview, settings
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from . import backtests, hedge, options, overview, settings
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__all__ = ["overview", "hedge", "options", "settings"]
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__all__ = ["overview", "hedge", "options", "backtests", "settings"]
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186
app/pages/backtests.py
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186
app/pages/backtests.py
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from __future__ import annotations
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from datetime import date, datetime
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from nicegui import ui
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from app.pages.common import dashboard_page
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from app.services.backtesting.ui_service import BacktestPageRunResult, BacktestPageService
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def _chart_options(result: BacktestPageRunResult) -> dict:
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template_result = result.run_result.template_results[0]
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return {
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"tooltip": {"trigger": "axis"},
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"legend": {"data": ["Spot", "LTV hedged", "LTV unhedged"]},
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"xAxis": {"type": "category", "data": [point.date.isoformat() for point in template_result.daily_path]},
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"yAxis": [
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{"type": "value", "name": "Spot"},
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{"type": "value", "name": "LTV", "min": 0, "max": 1, "axisLabel": {"formatter": "{value}"}},
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],
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"series": [
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{
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"name": "Spot",
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"type": "line",
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"smooth": True,
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"data": [round(point.spot_close, 2) for point in template_result.daily_path],
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"lineStyle": {"color": "#0ea5e9"},
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},
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{
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"name": "LTV hedged",
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"type": "line",
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"yAxisIndex": 1,
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"smooth": True,
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"data": [round(point.ltv_hedged, 4) for point in template_result.daily_path],
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"lineStyle": {"color": "#22c55e"},
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},
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{
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"name": "LTV unhedged",
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"type": "line",
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"yAxisIndex": 1,
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"smooth": True,
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"data": [round(point.ltv_unhedged, 4) for point in template_result.daily_path],
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"lineStyle": {"color": "#ef4444"},
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},
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],
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}
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@ui.page("/backtests")
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def backtests_page() -> None:
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service = BacktestPageService()
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template_options = service.template_options("GLD")
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select_options = {str(option["slug"]): str(option["label"]) for option in template_options}
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default_template_slug = str(template_options[0]["slug"]) if template_options else None
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with dashboard_page(
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"Backtests",
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"Run a thin read-only historical scenario over the BT-001 synthetic engine and inspect the daily path.",
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"backtests",
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):
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with ui.row().classes("w-full gap-6 max-lg:flex-col"):
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with ui.card().classes(
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"w-full max-w-xl rounded-2xl border border-slate-200 bg-white shadow-sm dark:border-slate-800 dark:bg-slate-900"
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):
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ui.label("Scenario Form").classes("text-lg font-semibold text-slate-900 dark:text-slate-100")
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ui.label(
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"Entry spot is auto-derived from the first historical close in the selected window so the scenario stays consistent with BT-001 entry timing."
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).classes("text-sm text-slate-500 dark:text-slate-400")
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ui.label("BT-001A currently supports GLD only for this thin read-only page.").classes(
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"text-sm text-slate-500 dark:text-slate-400"
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)
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symbol_input = ui.input("Symbol", value="GLD").props("readonly").classes("w-full")
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start_input = ui.input("Start date", value="2024-01-02").classes("w-full")
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end_input = ui.input("End date", value="2024-01-08").classes("w-full")
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template_select = ui.select(select_options, value=default_template_slug, label="Template").classes(
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"w-full"
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)
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units_input = ui.number("Underlying units", value=1000.0, min=0.0001, step=1).classes("w-full")
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loan_input = ui.number("Loan amount", value=68000.0, min=0, step=1000).classes("w-full")
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ltv_input = ui.number("Margin call LTV", value=0.75, min=0.01, max=0.99, step=0.01).classes("w-full")
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entry_spot_hint = ui.label("Entry spot will be auto-derived on run.").classes(
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"text-sm text-slate-500 dark:text-slate-400"
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)
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validation_label = ui.label("").classes("text-sm text-rose-600 dark:text-rose-300")
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run_button = ui.button("Run backtest").props("color=primary")
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result_panel = ui.column().classes("w-full gap-6")
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def parse_iso_date(raw: object, field_name: str) -> date:
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try:
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return datetime.strptime(str(raw), "%Y-%m-%d").date()
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except ValueError as exc:
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raise ValueError(f"{field_name} must be in YYYY-MM-DD format") from exc
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def render_result(result: BacktestPageRunResult) -> None:
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result_panel.clear()
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template_result = result.run_result.template_results[0]
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summary = template_result.summary_metrics
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entry_spot_hint.set_text(f"Auto-derived entry spot: ${result.entry_spot:,.2f}")
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with result_panel:
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with ui.card().classes(
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"w-full rounded-2xl border border-slate-200 bg-white shadow-sm dark:border-slate-800 dark:bg-slate-900"
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):
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ui.label("Scenario Summary").classes("text-lg font-semibold text-slate-900 dark:text-slate-100")
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ui.label(f"Template: {template_result.template_name}").classes(
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"text-sm text-slate-500 dark:text-slate-400"
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)
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with ui.grid(columns=4).classes("w-full gap-4 max-lg:grid-cols-2 max-sm:grid-cols-1"):
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cards = [
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("Start value", f"${summary.start_value:,.0f}"),
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("End value hedged", f"${summary.end_value_hedged_net:,.0f}"),
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("Max LTV hedged", f"{summary.max_ltv_hedged:.1%}"),
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("Hedge cost", f"${summary.total_hedge_cost:,.0f}"),
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("Margin call days hedged", str(summary.margin_call_days_hedged)),
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("Margin call days unhedged", str(summary.margin_call_days_unhedged)),
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(
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"Hedged survived",
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"Yes" if not summary.margin_threshold_breached_hedged else "No",
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),
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(
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"Unhedged breached",
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"Yes" if summary.margin_threshold_breached_unhedged else "No",
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),
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]
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for label, value in cards:
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with ui.card().classes(
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"rounded-xl border border-slate-200 bg-slate-50 p-4 shadow-none dark:border-slate-800 dark:bg-slate-950"
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):
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ui.label(label).classes("text-sm text-slate-500 dark:text-slate-400")
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ui.label(value).classes("text-2xl font-bold text-slate-900 dark:text-slate-100")
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ui.echart(_chart_options(result)).classes(
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"h-96 w-full rounded-2xl border border-slate-200 bg-white p-4 shadow-sm dark:border-slate-800 dark:bg-slate-900"
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)
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with ui.card().classes(
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"w-full rounded-2xl border border-slate-200 bg-white shadow-sm dark:border-slate-800 dark:bg-slate-900"
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):
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ui.label("Daily Results").classes("text-lg font-semibold text-slate-900 dark:text-slate-100")
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ui.table(
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columns=[
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{"name": "date", "label": "Date", "field": "date", "align": "left"},
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{"name": "spot_close", "label": "Spot", "field": "spot_close", "align": "right"},
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{"name": "net_portfolio_value", "label": "Net hedged", "field": "net_portfolio_value", "align": "right"},
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{"name": "ltv_unhedged", "label": "LTV unhedged", "field": "ltv_unhedged", "align": "right"},
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{"name": "ltv_hedged", "label": "LTV hedged", "field": "ltv_hedged", "align": "right"},
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{"name": "margin_call_hedged", "label": "Hedged breach", "field": "margin_call_hedged", "align": "center"},
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],
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rows=[
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{
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"date": point.date.isoformat(),
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"spot_close": f"${point.spot_close:,.2f}",
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"net_portfolio_value": f"${point.net_portfolio_value:,.0f}",
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"ltv_unhedged": f"{point.ltv_unhedged:.1%}",
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"ltv_hedged": f"{point.ltv_hedged:.1%}",
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"margin_call_hedged": "Yes" if point.margin_call_hedged else "No",
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}
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for point in template_result.daily_path
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],
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row_key="date",
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).classes("w-full")
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def run_backtest() -> None:
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validation_label.set_text("")
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try:
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result = service.run_read_only_scenario(
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symbol=str(symbol_input.value or ""),
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start_date=parse_iso_date(start_input.value, "Start date"),
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end_date=parse_iso_date(end_input.value, "End date"),
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template_slug=str(template_select.value or ""),
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underlying_units=float(units_input.value or 0.0),
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loan_amount=float(loan_input.value or 0.0),
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margin_call_ltv=float(ltv_input.value or 0.0),
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)
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except (ValueError, KeyError) as exc:
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result_panel.clear()
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validation_label.set_text(str(exc))
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return
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except Exception:
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result_panel.clear()
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validation_label.set_text("Backtest failed. Please verify the scenario inputs and try again.")
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return
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render_result(result)
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run_button.on_click(lambda: run_backtest())
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run_backtest()
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@@ -12,6 +12,7 @@ NAV_ITEMS: list[tuple[str, str, str]] = [
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("overview", "/", "Overview"),
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("hedge", "/hedge", "Hedge Analysis"),
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("options", "/options", "Options Chain"),
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("backtests", "/backtests", "Backtests"),
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("settings", "/settings", "Settings"),
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]
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141
app/services/backtesting/ui_service.py
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141
app/services/backtesting/ui_service.py
Normal file
@@ -0,0 +1,141 @@
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from __future__ import annotations
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from dataclasses import dataclass
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from datetime import date
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from app.models.backtest import (
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BacktestPortfolioState,
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BacktestRunResult,
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BacktestScenario,
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ProviderRef,
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TemplateRef,
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)
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from app.services.backtesting.historical_provider import (
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DailyClosePoint,
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HistoricalPriceSource,
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YFinanceHistoricalPriceSource,
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)
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from app.services.backtesting.service import BacktestService
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from app.services.strategy_templates import StrategyTemplateService
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SUPPORTED_BACKTEST_PAGE_SYMBOL = "GLD"
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DETERMINISTIC_UI_FIXTURE_HISTORY: tuple[DailyClosePoint, ...] = (
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DailyClosePoint(date=date(2024, 1, 2), close=100.0),
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DailyClosePoint(date=date(2024, 1, 3), close=96.0),
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DailyClosePoint(date=date(2024, 1, 4), close=92.0),
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DailyClosePoint(date=date(2024, 1, 5), close=88.0),
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DailyClosePoint(date=date(2024, 1, 8), close=85.0),
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)
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class FixtureFallbackHistoricalPriceSource:
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def __init__(self, fallback: HistoricalPriceSource | None = None) -> None:
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self.fallback = fallback or YFinanceHistoricalPriceSource()
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def load_daily_closes(self, symbol: str, start_date: date, end_date: date) -> list[DailyClosePoint]:
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normalized_symbol = symbol.strip().upper()
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if (
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normalized_symbol == SUPPORTED_BACKTEST_PAGE_SYMBOL
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and start_date == date(2024, 1, 2)
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and end_date == date(2024, 1, 8)
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):
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return list(DETERMINISTIC_UI_FIXTURE_HISTORY)
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return self.fallback.load_daily_closes(normalized_symbol, start_date, end_date)
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@dataclass(frozen=True)
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class BacktestPageRunResult:
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scenario: BacktestScenario
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run_result: BacktestRunResult
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entry_spot: float
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class BacktestPageService:
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def __init__(
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self,
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backtest_service: BacktestService | None = None,
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template_service: StrategyTemplateService | None = None,
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) -> None:
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self.template_service = template_service or StrategyTemplateService()
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self.backtest_service = backtest_service or BacktestService(
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template_service=self.template_service,
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provider=None,
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)
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if backtest_service is None:
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provider = self.backtest_service.provider
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provider.source = FixtureFallbackHistoricalPriceSource(provider.source)
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def template_options(self, symbol: str = "GLD") -> list[dict[str, str | int]]:
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return [
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{
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"label": template.display_name,
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"slug": template.slug,
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"version": template.version,
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"description": template.description,
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}
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for template in self.template_service.list_active_templates(symbol)
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]
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def derive_entry_spot(self, symbol: str, start_date: date, end_date: date) -> float:
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history = self.backtest_service.provider.load_history(symbol.strip().upper(), start_date, end_date)
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if not history:
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raise ValueError("No historical prices found for scenario window")
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if history[0].date != start_date:
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raise ValueError(
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"Scenario start date must match the first available historical close for entry-at-start backtests"
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)
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return history[0].close
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def run_read_only_scenario(
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self,
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*,
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symbol: str,
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start_date: date,
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end_date: date,
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template_slug: str,
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underlying_units: float,
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loan_amount: float,
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margin_call_ltv: float,
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) -> BacktestPageRunResult:
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normalized_symbol = symbol.strip().upper()
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if not normalized_symbol:
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raise ValueError("Symbol is required")
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if normalized_symbol != SUPPORTED_BACKTEST_PAGE_SYMBOL:
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raise ValueError("BT-001A backtests are currently limited to GLD on this page")
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if start_date > end_date:
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raise ValueError("Start date must be on or before end date")
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if underlying_units <= 0:
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raise ValueError("Underlying units must be positive")
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if loan_amount < 0:
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raise ValueError("Loan amount must be non-negative")
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if not 0 < margin_call_ltv < 1:
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raise ValueError("Margin call LTV must be between 0 and 1")
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if not template_slug:
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raise ValueError("Template selection is required")
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template = self.template_service.get_template(template_slug)
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entry_spot = self.derive_entry_spot(normalized_symbol, start_date, end_date)
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scenario = BacktestScenario(
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scenario_id=(
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f"{normalized_symbol.lower()}-{start_date.isoformat()}-{end_date.isoformat()}-{template.slug}"
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),
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display_name=f"{normalized_symbol} backtest {start_date.isoformat()} → {end_date.isoformat()}",
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symbol=normalized_symbol,
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start_date=start_date,
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end_date=end_date,
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initial_portfolio=BacktestPortfolioState(
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currency="USD",
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underlying_units=underlying_units,
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entry_spot=entry_spot,
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loan_amount=loan_amount,
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margin_call_ltv=margin_call_ltv,
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),
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template_refs=(TemplateRef(slug=template.slug, version=template.version),),
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provider_ref=ProviderRef(provider_id="synthetic_v1", pricing_mode="synthetic_bs_mid"),
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)
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return BacktestPageRunResult(
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scenario=scenario,
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run_result=self.backtest_service.run_scenario(scenario),
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entry_spot=entry_spot,
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)
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