feat(BT-001): add synthetic historical backtesting engine
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Bu5hm4nn
146
app/backtesting/engine.py
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146
app/backtesting/engine.py
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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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BacktestDailyPoint,
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BacktestScenario,
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BacktestSummaryMetrics,
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TemplateBacktestResult,
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)
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from app.models.strategy_template import StrategyTemplate, TemplateLeg
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from app.services.backtesting.historical_provider import DailyClosePoint, SyntheticHistoricalProvider
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@dataclass
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class OpenSyntheticPosition:
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position_id: str
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leg: TemplateLeg
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strike: float
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expiry: date
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quantity: float
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class SyntheticBacktestEngine:
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def __init__(self, provider: SyntheticHistoricalProvider) -> None:
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self.provider = provider
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def run_template(
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self,
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scenario: BacktestScenario,
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template: StrategyTemplate,
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history: list[DailyClosePoint],
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) -> TemplateBacktestResult:
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start_day = history[0]
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cash_balance = scenario.initial_portfolio.cash_balance
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total_hedge_cost = 0.0
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total_option_payoff_realized = 0.0
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open_positions = self._open_positions(scenario, template, history, start_day)
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opening_quotes = [self._mark_position(position, start_day) for position in open_positions]
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opening_cost = sum(quote.mark * quote.quantity for quote in opening_quotes)
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cash_balance -= opening_cost
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total_hedge_cost += opening_cost
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daily_points: list[BacktestDailyPoint] = []
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for day in history:
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premium_cashflow = -opening_cost if day.date == start_day.date else 0.0
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realized_option_cashflow = 0.0
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option_market_value = 0.0
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active_position_ids: list[str] = []
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remaining_positions: list[OpenSyntheticPosition] = []
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for position in open_positions:
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if day.date >= position.expiry:
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intrinsic = self.provider.intrinsic_value(
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option_type=position.leg.option_type,
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spot=day.close,
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strike=position.strike,
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)
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payoff = intrinsic * position.quantity
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cash_balance += payoff
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realized_option_cashflow += payoff
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total_option_payoff_realized += payoff
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continue
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quote = self._mark_position(position, day)
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option_market_value += quote.mark * position.quantity
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active_position_ids.append(position.position_id)
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remaining_positions.append(position)
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open_positions = remaining_positions
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underlying_value = scenario.initial_portfolio.underlying_units * day.close
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net_portfolio_value = underlying_value + option_market_value + cash_balance
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ltv_unhedged = scenario.initial_portfolio.loan_amount / underlying_value
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ltv_hedged = scenario.initial_portfolio.loan_amount / net_portfolio_value
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daily_points.append(
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BacktestDailyPoint(
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date=day.date,
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spot_close=day.close,
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underlying_value=underlying_value,
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option_market_value=option_market_value,
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premium_cashflow=premium_cashflow,
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realized_option_cashflow=realized_option_cashflow,
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net_portfolio_value=net_portfolio_value,
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loan_amount=scenario.initial_portfolio.loan_amount,
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ltv_unhedged=ltv_unhedged,
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ltv_hedged=ltv_hedged,
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margin_call_unhedged=ltv_unhedged >= scenario.initial_portfolio.margin_call_ltv,
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margin_call_hedged=ltv_hedged >= scenario.initial_portfolio.margin_call_ltv,
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active_position_ids=tuple(active_position_ids),
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)
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)
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summary = BacktestSummaryMetrics(
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start_value=scenario.initial_portfolio.start_value,
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end_value_unhedged=daily_points[-1].underlying_value,
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end_value_hedged_net=daily_points[-1].net_portfolio_value,
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total_hedge_cost=total_hedge_cost,
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total_option_payoff_realized=total_option_payoff_realized,
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max_ltv_unhedged=max(point.ltv_unhedged for point in daily_points),
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max_ltv_hedged=max(point.ltv_hedged for point in daily_points),
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margin_threshold_breached_unhedged=any(point.margin_call_unhedged for point in daily_points),
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margin_threshold_breached_hedged=any(point.margin_call_hedged for point in daily_points),
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)
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return TemplateBacktestResult(
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template_slug=template.slug,
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template_id=template.template_id,
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template_version=template.version,
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template_name=template.display_name,
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summary_metrics=summary,
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daily_path=tuple(daily_points),
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)
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def _open_positions(
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self,
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scenario: BacktestScenario,
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template: StrategyTemplate,
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history: list[DailyClosePoint],
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start_day: DailyClosePoint,
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) -> list[OpenSyntheticPosition]:
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positions: list[OpenSyntheticPosition] = []
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for index, leg in enumerate(template.legs, start=1):
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expiry = self.provider.resolve_expiry(history, start_day.date, leg.target_expiry_days)
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positions.append(
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OpenSyntheticPosition(
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position_id=f"{template.slug}-position-{index}",
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leg=leg,
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strike=start_day.close * leg.strike_rule.value,
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expiry=expiry,
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quantity=scenario.initial_portfolio.underlying_units
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* leg.allocation_weight
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* leg.target_coverage_pct,
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)
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)
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return positions
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def _mark_position(self, position: OpenSyntheticPosition, day: DailyClosePoint):
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return self.provider.price_option(
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position_id=position.position_id,
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leg=position.leg,
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spot=day.close,
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strike=position.strike,
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expiry=position.expiry,
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quantity=position.quantity,
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valuation_date=day.date,
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)
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