feat(BT-003A): add event comparison page
This commit is contained in:
Bu5hm4nn
@@ -11,7 +11,7 @@ from app.models.backtest import (
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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.historical_provider import DailyClosePoint, 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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@@ -48,6 +48,111 @@ class EventComparisonService:
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template_slugs=template_slugs,
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provider_ref=provider_ref,
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)
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return self._compare_materialized_event(preset=preset, scenario=scenario)
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def compare_event_from_inputs(
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self,
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*,
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preset_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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template_slugs: tuple[str, ...] | None = None,
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currency: str = "USD",
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cash_balance: float = 0.0,
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financing_rate: float = 0.0,
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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.preview_scenario_from_inputs(
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preset_slug=preset_slug,
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underlying_units=underlying_units,
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loan_amount=loan_amount,
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margin_call_ltv=margin_call_ltv,
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template_slugs=template_slugs,
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currency=currency,
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cash_balance=cash_balance,
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financing_rate=financing_rate,
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provider_ref=provider_ref,
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)
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return self._compare_materialized_event(preset=preset, scenario=scenario)
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def preview_scenario_from_inputs(
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self,
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*,
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preset_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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template_slugs: tuple[str, ...] | None = None,
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currency: str = "USD",
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cash_balance: float = 0.0,
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financing_rate: float = 0.0,
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provider_ref: ProviderRef | None = None,
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) -> BacktestScenario:
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preset = self.event_preset_service.get_preset(preset_slug)
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history = self._load_preset_history(preset)
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entry_spot = history[0].close
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initial_portfolio = BacktestPortfolioState(
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currency=currency,
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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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cash_balance=cash_balance,
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financing_rate=financing_rate,
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)
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return 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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history=history,
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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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history: list[DailyClosePoint] | 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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resolved_history = history or self._load_preset_history(preset)
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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=resolved_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=resolved_history[0].date,
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end_date=resolved_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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def _compare_materialized_event(self, *, preset: EventPreset, scenario: BacktestScenario) -> EventComparisonReport:
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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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@@ -65,6 +170,7 @@ class EventComparisonService:
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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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margin_call_days_hedged=result.summary_metrics.margin_call_days_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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@@ -79,48 +185,10 @@ class EventComparisonService:
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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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def _load_preset_history(self, preset: EventPreset) -> list[DailyClosePoint]:
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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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return history
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164
app/services/event_comparison_ui.py
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164
app/services/event_comparison_ui.py
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@@ -0,0 +1,164 @@
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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 BacktestScenario, EventComparisonReport
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from app.services.backtesting.comparison import EventComparisonService
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from app.services.backtesting.historical_provider import DailyClosePoint, SyntheticHistoricalProvider
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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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SUPPORTED_EVENT_COMPARISON_SYMBOL = "GLD"
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DETERMINISTIC_EVENT_COMPARISON_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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FIXTURE_HISTORY_START = DETERMINISTIC_EVENT_COMPARISON_FIXTURE_HISTORY[0].date
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FIXTURE_HISTORY_END = DETERMINISTIC_EVENT_COMPARISON_FIXTURE_HISTORY[-1].date
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class EventComparisonFixtureHistoricalPriceSource:
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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 normalized_symbol != SUPPORTED_EVENT_COMPARISON_SYMBOL:
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raise ValueError(
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"BT-003A deterministic fixture data only supports GLD event-comparison presets on this page"
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)
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if start_date < FIXTURE_HISTORY_START or end_date > FIXTURE_HISTORY_END:
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raise ValueError(
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"BT-003A deterministic fixture data only supports the seeded 2024-01-02 through 2024-01-08 window"
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)
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return [
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point for point in DETERMINISTIC_EVENT_COMPARISON_FIXTURE_HISTORY if start_date <= point.date <= end_date
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]
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@dataclass(frozen=True)
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class EventComparisonChartSeries:
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name: str
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values: tuple[float, ...]
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@dataclass(frozen=True)
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class EventComparisonChartModel:
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dates: tuple[str, ...]
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series: tuple[EventComparisonChartSeries, ...]
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class EventComparisonPageService:
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def __init__(
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self,
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comparison_service: EventComparisonService | None = None,
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event_preset_service: EventPresetService | None = None,
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template_service: StrategyTemplateService | None = None,
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) -> None:
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self.event_preset_service = event_preset_service or EventPresetService()
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self.template_service = template_service or StrategyTemplateService()
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if comparison_service is None:
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provider = SyntheticHistoricalProvider(source=EventComparisonFixtureHistoricalPriceSource())
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comparison_service = EventComparisonService(
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provider=provider,
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event_preset_service=self.event_preset_service,
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template_service=self.template_service,
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)
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self.comparison_service = comparison_service
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def preset_options(self, symbol: str = SUPPORTED_EVENT_COMPARISON_SYMBOL) -> list[dict[str, object]]:
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return [
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{
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"slug": preset.slug,
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"label": preset.display_name,
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"description": preset.description,
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"default_template_slugs": list(preset.scenario_overrides.default_template_slugs),
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}
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for preset in self.event_preset_service.list_presets(symbol)
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]
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def template_options(self, symbol: str = SUPPORTED_EVENT_COMPARISON_SYMBOL) -> list[dict[str, object]]:
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return [
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{
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"slug": template.slug,
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"label": template.display_name,
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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 default_template_selection(self, preset_slug: str) -> tuple[str, ...]:
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preset = self.event_preset_service.get_preset(preset_slug)
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return tuple(preset.scenario_overrides.default_template_slugs)
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def preview_scenario(
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self,
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*,
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preset_slug: str,
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template_slugs: tuple[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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) -> BacktestScenario:
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return self.comparison_service.preview_scenario_from_inputs(
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preset_slug=preset_slug,
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template_slugs=template_slugs,
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underlying_units=underlying_units,
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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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def run_read_only_comparison(
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self,
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*,
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preset_slug: str,
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template_slugs: tuple[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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) -> EventComparisonReport:
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if not preset_slug:
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raise ValueError("Preset selection is required")
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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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preset = self.event_preset_service.get_preset(preset_slug)
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normalized_symbol = preset.symbol.strip().upper()
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if normalized_symbol != SUPPORTED_EVENT_COMPARISON_SYMBOL:
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raise ValueError("BT-003A event comparison is currently limited to GLD on this page")
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return self.comparison_service.compare_event_from_inputs(
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preset_slug=preset.slug,
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template_slugs=tuple(template_slugs or preset.scenario_overrides.default_template_slugs),
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underlying_units=underlying_units,
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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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@staticmethod
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def chart_model(report: EventComparisonReport, max_ranked_series: int = 3) -> EventComparisonChartModel:
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ranked = report.rankings[:max_ranked_series]
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if not ranked:
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return EventComparisonChartModel(dates=(), series=())
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dates = tuple(point.date.isoformat() for point in ranked[0].result.daily_path)
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series = [
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EventComparisonChartSeries(
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name="Unhedged collateral baseline",
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values=tuple(round(point.underlying_value, 2) for point in ranked[0].result.daily_path),
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)
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]
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for item in ranked:
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series.append(
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EventComparisonChartSeries(
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name=item.template_name,
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values=tuple(round(point.net_portfolio_value, 2) for point in item.result.daily_path),
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)
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)
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return EventComparisonChartModel(dates=dates, series=tuple(series))
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