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feat(BT-003A): add event comparison page

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Bu5hm4nn
2026-03-24 19:20:35 +01:00
parent 68cb2aa51a
commit ff4e565ee6
8 changed files with 672 additions and 43 deletions
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150
app/services/backtesting/comparison.py
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@@ -11,7 +11,7 @@ from app.models.backtest import (
TemplateRef,
)
from app.models.event_preset import EventPreset
from app.services.backtesting.historical_provider import SyntheticHistoricalProvider
from app.services.backtesting.historical_provider import DailyClosePoint, SyntheticHistoricalProvider
from app.services.backtesting.service import BacktestService
from app.services.event_presets import EventPresetService
from app.services.strategy_templates import StrategyTemplateService
@@ -48,6 +48,111 @@ class EventComparisonService:
template_slugs=template_slugs,
provider_ref=provider_ref,
)
return self._compare_materialized_event(preset=preset, scenario=scenario)
def compare_event_from_inputs(
self,
*,
preset_slug: str,
underlying_units: float,
loan_amount: float,
margin_call_ltv: float,
template_slugs: tuple[str, ...] | None = None,
currency: str = "USD",
cash_balance: float = 0.0,
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,
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,
provider_ref=provider_ref,
)
return self._compare_materialized_event(preset=preset, scenario=scenario)
def preview_scenario_from_inputs(
self,
*,
preset_slug: str,
underlying_units: float,
loan_amount: float,
margin_call_ltv: float,
template_slugs: tuple[str, ...] | None = None,
currency: str = "USD",
cash_balance: float = 0.0,
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 = BacktestPortfolioState(
currency=currency,
underlying_units=underlying_units,
entry_spot=entry_spot,
loan_amount=loan_amount,
margin_call_ltv=margin_call_ltv,
cash_balance=cash_balance,
financing_rate=financing_rate,
)
return self.materialize_scenario(
preset,
initial_portfolio=initial_portfolio,
template_slugs=template_slugs,
provider_ref=provider_ref,
history=history,
)
def materialize_scenario(
self,
preset: EventPreset,
*,
initial_portfolio: BacktestPortfolioState,
template_slugs: tuple[str, ...] | None = None,
provider_ref: ProviderRef | None = None,
history: list[DailyClosePoint] | None = None,
) -> BacktestScenario:
selected_template_slugs = tuple(template_slugs or preset.scenario_overrides.default_template_slugs)
if not selected_template_slugs:
raise ValueError("Event comparison requires at least one template slug")
resolved_history = history or self._load_preset_history(preset)
scenario_portfolio = BacktestPortfolioState(
currency=initial_portfolio.currency,
underlying_units=initial_portfolio.underlying_units,
entry_spot=resolved_history[0].close,
loan_amount=initial_portfolio.loan_amount,
margin_call_ltv=initial_portfolio.margin_call_ltv,
cash_balance=initial_portfolio.cash_balance,
financing_rate=initial_portfolio.financing_rate,
)
template_refs = tuple(
TemplateRef(slug=slug, version=self.template_service.get_template(slug).version)
for slug in selected_template_slugs
)
return BacktestScenario(
scenario_id=f"event-{preset.slug}",
display_name=preset.display_name,
symbol=preset.symbol,
start_date=resolved_history[0].date,
end_date=resolved_history[-1].date,
initial_portfolio=scenario_portfolio,
template_refs=template_refs,
provider_ref=provider_ref
or ProviderRef(
provider_id=self.provider.provider_id,
pricing_mode=self.provider.pricing_mode,
),
)
def _compare_materialized_event(self, *, preset: EventPreset, scenario: BacktestScenario) -> EventComparisonReport:
run_result = self.backtest_service.run_scenario(scenario)
ranked_results = sorted(
run_result.template_results,
@@ -65,6 +170,7 @@ class EventComparisonService:
template_slug=result.template_slug,
template_name=result.template_name,
survived_margin_call=not result.summary_metrics.margin_threshold_breached_hedged,
margin_call_days_hedged=result.summary_metrics.margin_call_days_hedged,
max_ltv_hedged=result.summary_metrics.max_ltv_hedged,
hedge_cost=result.summary_metrics.total_hedge_cost,
final_equity=result.summary_metrics.end_value_hedged_net,
@@ -79,48 +185,10 @@ class EventComparisonService:
run_result=run_result,
)
def materialize_scenario(
self,
preset: EventPreset,
*,
initial_portfolio: BacktestPortfolioState,
template_slugs: tuple[str, ...] | None = None,
provider_ref: ProviderRef | None = None,
) -> BacktestScenario:
selected_template_slugs = tuple(template_slugs or preset.scenario_overrides.default_template_slugs)
if not selected_template_slugs:
raise ValueError("Event comparison requires at least one template slug")
def _load_preset_history(self, preset: EventPreset) -> list[DailyClosePoint]:
requested_start = preset.window_start - timedelta(days=preset.scenario_overrides.lookback_days or 0)
requested_end = preset.window_end + timedelta(days=preset.scenario_overrides.recovery_days or 0)
history = self.provider.load_history(preset.symbol, requested_start, requested_end)
if not history:
raise ValueError(f"No historical prices found for event preset: {preset.slug}")
scenario_portfolio = BacktestPortfolioState(
currency=initial_portfolio.currency,
underlying_units=initial_portfolio.underlying_units,
entry_spot=history[0].close,
loan_amount=initial_portfolio.loan_amount,
margin_call_ltv=initial_portfolio.margin_call_ltv,
cash_balance=initial_portfolio.cash_balance,
financing_rate=initial_portfolio.financing_rate,
)
template_refs = tuple(
TemplateRef(slug=slug, version=self.template_service.get_template(slug).version)
for slug in selected_template_slugs
)
return BacktestScenario(
scenario_id=f"event-{preset.slug}",
display_name=preset.display_name,
symbol=preset.symbol,
start_date=history[0].date,
end_date=history[-1].date,
initial_portfolio=scenario_portfolio,
template_refs=template_refs,
provider_ref=provider_ref
or ProviderRef(
provider_id=self.provider.provider_id,
pricing_mode=self.provider.pricing_mode,
),
)
return history