feat(BT-001): add synthetic historical backtesting engine
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Bu5hm4nn
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app/services/backtesting/__init__.py
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6
app/services/backtesting/__init__.py
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"""Backtesting services and historical market-data adapters."""
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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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134
app/services/backtesting/historical_provider.py
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134
app/services/backtesting/historical_provider.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, timedelta
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from typing import Protocol
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from app.models.backtest import ProviderRef
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try:
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import yfinance as yf
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except ImportError: # pragma: no cover - optional in tests
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yf = None
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from app.core.pricing.black_scholes import BlackScholesInputs, black_scholes_price_and_greeks
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from app.models.strategy_template import TemplateLeg
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@dataclass(frozen=True)
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class DailyClosePoint:
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date: date
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close: float
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def __post_init__(self) -> None:
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if self.close <= 0:
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raise ValueError("close must be positive")
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@dataclass(frozen=True)
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class SyntheticOptionQuote:
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position_id: str
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leg_id: str
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spot: float
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strike: float
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expiry: date
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quantity: float
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mark: float
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class HistoricalPriceSource(Protocol):
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def load_daily_closes(self, symbol: str, start_date: date, end_date: date) -> list[DailyClosePoint]:
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raise NotImplementedError
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class YFinanceHistoricalPriceSource:
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def load_daily_closes(self, symbol: str, start_date: date, end_date: date) -> list[DailyClosePoint]:
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if yf is None:
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raise RuntimeError("yfinance is required to load historical backtest prices")
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ticker = yf.Ticker(symbol)
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inclusive_end_date = end_date + timedelta(days=1)
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history = ticker.history(start=start_date.isoformat(), end=inclusive_end_date.isoformat(), interval="1d")
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rows: list[DailyClosePoint] = []
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for index, row in history.iterrows():
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close = row.get("Close")
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if close is None:
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continue
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rows.append(DailyClosePoint(date=index.date(), close=float(close)))
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return rows
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class SyntheticHistoricalProvider:
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provider_id = "synthetic_v1"
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pricing_mode = "synthetic_bs_mid"
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def __init__(
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self,
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source: HistoricalPriceSource | None = None,
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implied_volatility: float = 0.16,
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risk_free_rate: float = 0.045,
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) -> None:
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if implied_volatility <= 0:
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raise ValueError("implied_volatility must be positive")
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self.source = source or YFinanceHistoricalPriceSource()
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self.implied_volatility = implied_volatility
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self.risk_free_rate = risk_free_rate
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def load_history(self, symbol: str, start_date: date, end_date: date) -> list[DailyClosePoint]:
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rows = self.source.load_daily_closes(symbol, start_date, end_date)
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filtered = [row for row in rows if start_date <= row.date <= end_date]
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return sorted(filtered, key=lambda row: row.date)
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def validate_provider_ref(self, provider_ref: ProviderRef) -> None:
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if provider_ref.provider_id != self.provider_id or provider_ref.pricing_mode != self.pricing_mode:
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raise ValueError(
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"Unsupported provider/pricing combination for synthetic MVP engine: "
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f"{provider_ref.provider_id}/{provider_ref.pricing_mode}"
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)
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def resolve_expiry(self, trading_days: list[DailyClosePoint], as_of_date: date, target_expiry_days: int) -> date:
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target_date = date.fromordinal(as_of_date.toordinal() + target_expiry_days)
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for day in trading_days:
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if day.date >= target_date:
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return day.date
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return target_date
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def price_option(
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self,
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*,
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position_id: str,
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leg: TemplateLeg,
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spot: float,
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strike: float,
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expiry: date,
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quantity: float,
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valuation_date: date,
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) -> SyntheticOptionQuote:
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remaining_days = max(1, expiry.toordinal() - valuation_date.toordinal())
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mark = black_scholes_price_and_greeks(
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BlackScholesInputs(
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spot=spot,
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strike=strike,
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time_to_expiry=remaining_days / 365.0,
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risk_free_rate=self.risk_free_rate,
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volatility=self.implied_volatility,
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option_type=leg.option_type,
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valuation_date=valuation_date,
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)
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).price
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return SyntheticOptionQuote(
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position_id=position_id,
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leg_id=leg.leg_id,
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spot=spot,
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strike=strike,
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expiry=expiry,
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quantity=quantity,
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mark=mark,
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)
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@staticmethod
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def intrinsic_value(*, option_type: str, spot: float, strike: float) -> float:
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if option_type == "put":
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return max(strike - spot, 0.0)
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if option_type == "call":
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return max(spot - strike, 0.0)
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raise ValueError(f"Unsupported option type: {option_type}")
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73
app/services/backtesting/service.py
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73
app/services/backtesting/service.py
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from __future__ import annotations
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from math import isclose
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from app.backtesting.engine import SyntheticBacktestEngine
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from app.models.backtest import BacktestRunResult, BacktestScenario
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from app.models.strategy_template import StrategyTemplate
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from app.services.backtesting.historical_provider import SyntheticHistoricalProvider
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from app.services.strategy_templates import StrategyTemplateService
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class BacktestService:
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ENTRY_SPOT_ABS_TOLERANCE = 0.01
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ENTRY_SPOT_REL_TOLERANCE = 1e-6
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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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) -> 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.engine = SyntheticBacktestEngine(self.provider)
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def run_scenario(self, scenario: BacktestScenario) -> BacktestRunResult:
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self.provider.validate_provider_ref(scenario.provider_ref)
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scenario_symbol = scenario.symbol.strip().upper()
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history = self.provider.load_history(scenario_symbol, scenario.start_date, scenario.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 != scenario.start_date:
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raise ValueError(
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"Scenario start_date must match the first available historical price point for "
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"entry_timing='scenario_start_close'"
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)
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if not isclose(
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scenario.initial_portfolio.entry_spot,
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history[0].close,
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rel_tol=self.ENTRY_SPOT_REL_TOLERANCE,
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abs_tol=self.ENTRY_SPOT_ABS_TOLERANCE,
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):
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raise ValueError(
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"initial_portfolio.entry_spot must match the first historical close used for entry "
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"when entry_timing='scenario_start_close'"
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)
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template_results = []
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for template_ref in scenario.template_refs:
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template = self.template_service.get_template(template_ref.slug)
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if template.version != template_ref.version:
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raise ValueError(
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f"Template version mismatch for {template_ref.slug}: expected {template_ref.version}, got {template.version}"
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)
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template_symbol = template.underlying_symbol.strip().upper()
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if template_symbol not in {scenario_symbol, "*"}:
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raise ValueError(f"Template {template.slug} does not support symbol {scenario_symbol}")
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self._validate_template_for_mvp(template)
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template_results.append(self.engine.run_template(scenario, template, history))
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return BacktestRunResult(scenario_id=scenario.scenario_id, template_results=tuple(template_results))
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@staticmethod
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def _validate_template_for_mvp(template: StrategyTemplate) -> None:
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if template.contract_mode != "continuous_units":
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raise ValueError(f"Unsupported contract_mode for synthetic MVP engine: {template.contract_mode}")
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if template.roll_policy.policy_type != "hold_to_expiry":
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raise ValueError("Unsupported roll_policy for synthetic MVP engine: " f"{template.roll_policy.policy_type}")
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if template.entry_policy.entry_timing != "scenario_start_close":
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raise ValueError(
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"Unsupported entry_timing for synthetic MVP engine: " f"{template.entry_policy.entry_timing}"
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)
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if template.entry_policy.stagger_days is not None:
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raise ValueError("Unsupported entry_policy configuration for synthetic MVP engine")
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