203 lines
6.8 KiB
Python
203 lines
6.8 KiB
Python
from __future__ import annotations
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from datetime import date
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import pytest
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from app.services.backtesting.ui_service import BacktestPageService
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def test_backtest_page_service_uses_fixture_window_for_deterministic_run() -> None:
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service = BacktestPageService()
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entry_spot = service.derive_entry_spot("GLD", date(2024, 1, 2), date(2024, 1, 8))
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result = service.run_read_only_scenario(
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symbol="GLD",
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start_date=date(2024, 1, 2),
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end_date=date(2024, 1, 8),
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template_slug="protective-put-atm-12m",
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underlying_units=1000.0,
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loan_amount=68000.0,
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margin_call_ltv=0.75,
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)
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assert entry_spot == 100.0
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assert result.scenario.initial_portfolio.entry_spot == 100.0
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assert result.run_result.template_results[0].summary_metrics.margin_threshold_breached_unhedged is True
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assert result.run_result.template_results[0].summary_metrics.margin_threshold_breached_hedged is False
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assert [point.date.isoformat() for point in result.run_result.template_results[0].daily_path] == [
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"2024-01-02",
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"2024-01-03",
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"2024-01-04",
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"2024-01-05",
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"2024-01-08",
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]
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def test_backtest_non_default_template_slug_runs_successfully() -> None:
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service = BacktestPageService()
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options = service.template_options("GLD")
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non_default_slug = str(options[1]["slug"])
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result = service.run_read_only_scenario(
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symbol="GLD",
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start_date=date(2024, 1, 2),
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end_date=date(2024, 1, 8),
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template_slug=non_default_slug,
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underlying_units=1000.0,
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loan_amount=68000.0,
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margin_call_ltv=0.75,
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)
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assert result.scenario.template_refs[0].slug == non_default_slug
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assert result.run_result.template_results[0].template_slug == non_default_slug
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def test_backtest_page_service_keeps_fixture_history_while_using_caller_portfolio_inputs() -> None:
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service = BacktestPageService()
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result = service.run_read_only_scenario(
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symbol="GLD",
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start_date=date(2024, 1, 2),
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end_date=date(2024, 1, 8),
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template_slug="protective-put-atm-12m",
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underlying_units=9680.0,
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loan_amount=222000.0,
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margin_call_ltv=0.80,
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)
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assert result.entry_spot == 100.0
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assert result.scenario.initial_portfolio.underlying_units == 9680.0
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assert result.scenario.initial_portfolio.loan_amount == 222000.0
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assert result.scenario.initial_portfolio.margin_call_ltv == 0.80
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assert [point.date.isoformat() for point in result.run_result.template_results[0].daily_path] == [
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"2024-01-02",
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"2024-01-03",
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"2024-01-04",
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"2024-01-05",
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"2024-01-08",
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]
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@pytest.mark.parametrize(
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("kwargs", "message"),
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[
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(
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{
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"symbol": "",
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"start_date": date(2024, 1, 2),
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"end_date": date(2024, 1, 8),
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"template_slug": "protective-put-atm-12m",
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"underlying_units": 1000.0,
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"loan_amount": 68000.0,
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"margin_call_ltv": 0.75,
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},
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"Symbol is required",
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),
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(
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{
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"symbol": "GLD",
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"start_date": date(2024, 1, 8),
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"end_date": date(2024, 1, 2),
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"template_slug": "protective-put-atm-12m",
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"underlying_units": 1000.0,
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"loan_amount": 68000.0,
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"margin_call_ltv": 0.75,
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},
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"Start date must be on or before end date",
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),
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(
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{
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"symbol": "GLD",
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"start_date": date(2024, 1, 2),
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"end_date": date(2024, 1, 8),
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"template_slug": "protective-put-atm-12m",
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"underlying_units": 0.0,
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"loan_amount": 68000.0,
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"margin_call_ltv": 0.75,
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},
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"Underlying units must be positive",
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),
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(
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{
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"symbol": "TLT",
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"start_date": date(2024, 1, 2),
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"end_date": date(2024, 1, 8),
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"template_slug": "protective-put-atm-12m",
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"underlying_units": 1000.0,
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"loan_amount": 68000.0,
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"margin_call_ltv": 0.75,
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},
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"BT-001A backtests are currently limited to GLD on this page",
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),
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(
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{
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"symbol": "GLD",
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"start_date": date(2024, 1, 2),
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"end_date": date(2024, 1, 8),
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"template_slug": "protective-put-atm-12m",
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"underlying_units": 1000.0,
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"loan_amount": 145000.0,
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"margin_call_ltv": 0.75,
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},
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"Historical scenario starts undercollateralized",
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),
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],
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)
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def test_backtest_page_service_validation_errors_are_user_facing(kwargs: dict[str, object], message: str) -> None:
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service = BacktestPageService()
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with pytest.raises(ValueError, match=message):
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service.run_read_only_scenario(**kwargs)
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def test_backtest_page_service_fails_closed_outside_seeded_fixture_window() -> None:
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service = BacktestPageService()
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with pytest.raises(ValueError, match="deterministic fixture data only supports GLD"):
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service.derive_entry_spot("GLD", date(2024, 1, 3), date(2024, 1, 8))
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with pytest.raises(ValueError, match="deterministic fixture data only supports GLD"):
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service.run_read_only_scenario(
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symbol="GLD",
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start_date=date(2024, 1, 3),
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end_date=date(2024, 1, 8),
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template_slug="protective-put-atm-12m",
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underlying_units=1000.0,
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loan_amount=68000.0,
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margin_call_ltv=0.75,
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)
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def test_backtest_preview_validation_requires_supported_fixture_window_even_with_supplied_entry_spot() -> None:
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service = BacktestPageService()
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with pytest.raises(ValueError, match="deterministic fixture data only supports GLD"):
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service.validate_preview_inputs(
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symbol="GLD",
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start_date=date(2024, 1, 3),
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end_date=date(2024, 1, 8),
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template_slug="protective-put-atm-12m",
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underlying_units=1000.0,
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loan_amount=68000.0,
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margin_call_ltv=0.75,
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entry_spot=100.0,
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)
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def test_backtest_preview_validation_rejects_mismatched_supplied_entry_spot() -> None:
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service = BacktestPageService()
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with pytest.raises(ValueError, match="does not match derived historical entry spot"):
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service.validate_preview_inputs(
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symbol="GLD",
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start_date=date(2024, 1, 2),
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end_date=date(2024, 1, 8),
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template_slug="protective-put-atm-12m",
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underlying_units=1000.0,
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loan_amount=68000.0,
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margin_call_ltv=0.75,
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entry_spot=99.0,
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)
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