261 lines
8.8 KiB
Python
261 lines
8.8 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.models.backtest import BacktestPortfolioState, BacktestScenario, ProviderRef, TemplateRef
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from app.models.strategy_template import StrategyTemplate, StrikeRule, TemplateLeg
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from app.services.backtesting.historical_provider import (
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DailyClosePoint,
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DailyOptionSnapshot,
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DailyOptionsSnapshotProvider,
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)
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from app.services.backtesting.service import BacktestService
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from app.services.strategy_templates import StrategyTemplateService
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class FakeHistorySource:
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def __init__(self, rows: list[DailyClosePoint]) -> None:
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self.rows = rows
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self.calls: list[tuple[str, date, date]] = []
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def load_daily_closes(self, symbol: str, start_date: date, end_date: date) -> list[DailyClosePoint]:
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self.calls.append((symbol, start_date, end_date))
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return list(self.rows)
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class FakeOptionSnapshotSource:
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def __init__(self, chains: dict[date, list[DailyOptionSnapshot]]) -> None:
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self.chains = chains
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self.calls: list[tuple[str, date]] = []
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def load_option_chain(self, symbol: str, snapshot_date: date) -> list[DailyOptionSnapshot]:
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self.calls.append((symbol, snapshot_date))
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return list(self.chains.get(snapshot_date, []))
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FIXTURE_HISTORY = [
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DailyClosePoint(date=date(2024, 1, 8), close=85.0),
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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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]
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def _snapshot(
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contract_key: str,
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*,
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snapshot_date: date,
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expiry: date,
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strike: float,
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mid: float,
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option_type: str = "put",
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) -> DailyOptionSnapshot:
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return DailyOptionSnapshot(
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contract_key=contract_key,
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symbol="GLD",
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snapshot_date=snapshot_date,
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expiry=expiry,
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option_type=option_type,
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strike=strike,
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mid=mid,
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)
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SNAPSHOT_CHAINS = {
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date(2024, 1, 2): [
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_snapshot(
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"GLD-2024-12-20-P-100",
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snapshot_date=date(2024, 1, 2),
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expiry=date(2024, 12, 20),
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strike=100.0,
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mid=5.5,
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),
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_snapshot(
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"GLD-2025-01-03-P-95",
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snapshot_date=date(2024, 1, 2),
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expiry=date(2025, 1, 3),
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strike=95.0,
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mid=2.5,
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),
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_snapshot(
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"GLD-2025-01-03-P-100",
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snapshot_date=date(2024, 1, 2),
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expiry=date(2025, 1, 3),
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strike=100.0,
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mid=4.0,
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),
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],
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date(2024, 1, 3): [
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_snapshot(
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"GLD-2025-01-03-P-100",
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snapshot_date=date(2024, 1, 3),
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expiry=date(2025, 1, 3),
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strike=100.0,
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mid=6.0,
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),
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],
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date(2024, 1, 4): [
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_snapshot(
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"GLD-2025-01-03-P-95",
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snapshot_date=date(2024, 1, 4),
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expiry=date(2025, 1, 3),
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strike=95.0,
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mid=8.5,
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),
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],
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date(2024, 1, 5): [
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_snapshot(
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"GLD-2025-01-03-P-100",
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snapshot_date=date(2024, 1, 5),
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expiry=date(2025, 1, 3),
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strike=100.0,
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mid=11.0,
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),
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],
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date(2024, 1, 8): [
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_snapshot(
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"GLD-2025-01-03-P-100",
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snapshot_date=date(2024, 1, 8),
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expiry=date(2025, 1, 3),
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strike=100.0,
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mid=15.0,
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),
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],
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}
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def _build_snapshot_scenario() -> BacktestScenario:
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return BacktestScenario(
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scenario_id="gld-snapshot-selloff-1",
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display_name="GLD snapshot selloff",
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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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initial_portfolio=BacktestPortfolioState(
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currency="USD",
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underlying_units=1000.0,
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entry_spot=100.0,
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loan_amount=68_000.0,
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margin_call_ltv=0.75,
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),
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template_refs=(TemplateRef(slug="protective-put-atm-12m", version=1),),
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provider_ref=ProviderRef(provider_id="daily_snapshots_v1", pricing_mode="snapshot_mid"),
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)
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def test_daily_snapshot_provider_selects_entry_contract_from_entry_day_only() -> None:
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history_source = FakeHistorySource(FIXTURE_HISTORY)
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snapshot_source = FakeOptionSnapshotSource(SNAPSHOT_CHAINS)
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provider = DailyOptionsSnapshotProvider(price_source=history_source, snapshot_source=snapshot_source)
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history = provider.load_history("GLD", date(2024, 1, 2), date(2024, 1, 8))
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tie_leg = TemplateLeg(
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leg_id="leg-1",
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side="long",
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option_type="put",
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allocation_weight=1.0,
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strike_rule=StrikeRule(rule_type="spot_pct", value=0.975),
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target_expiry_days=365,
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quantity_rule="target_coverage_pct",
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)
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position = provider.open_position(
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symbol="GLD",
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leg=tie_leg,
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position_id="pos-1",
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quantity=1000.0,
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as_of_date=date(2024, 1, 2),
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spot=100.0,
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trading_days=history,
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)
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assert position.contract_key == "GLD-2025-01-03-P-100"
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assert position.expiry == date(2025, 1, 3)
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assert position.strike == 100.0
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assert position.entry_price == 4.0
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assert snapshot_source.calls == [("GLD", date(2024, 1, 2))]
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def test_backtest_service_uses_observed_snapshot_marks() -> None:
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provider = DailyOptionsSnapshotProvider(
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price_source=FakeHistorySource(FIXTURE_HISTORY),
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snapshot_source=FakeOptionSnapshotSource(SNAPSHOT_CHAINS),
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)
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service = BacktestService(provider=provider, template_service=StrategyTemplateService())
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result = service.run_scenario(_build_snapshot_scenario())
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template_result = result.template_results[0]
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summary = template_result.summary_metrics
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assert summary.start_value == 100_000.0
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assert summary.end_value_unhedged == 85_000.0
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assert summary.total_hedge_cost == 4_000.0
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assert template_result.daily_path[0].premium_cashflow == -4_000.0
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assert template_result.daily_path[1].option_market_value == 6_000.0
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assert template_result.daily_path[-1].option_market_value == 15_000.0
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assert summary.end_value_hedged_net == 96_000.0
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assert summary.end_value_hedged_net > summary.end_value_unhedged
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assert template_result.warnings == (
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"Missing historical mark for GLD-2025-01-03-P-100 on 2024-01-04; carrying forward prior mark from 2024-01-03.",
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)
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def test_backtest_snapshot_provider_does_not_substitute_new_contract_when_mark_missing() -> None:
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provider = DailyOptionsSnapshotProvider(
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price_source=FakeHistorySource(FIXTURE_HISTORY),
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snapshot_source=FakeOptionSnapshotSource(SNAPSHOT_CHAINS),
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)
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service = BacktestService(provider=provider, template_service=StrategyTemplateService())
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result = service.run_scenario(_build_snapshot_scenario())
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template_result = result.template_results[0]
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carry_forward_day = next(point for point in template_result.daily_path if point.date == date(2024, 1, 4))
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assert carry_forward_day.option_market_value == 6_000.0
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assert carry_forward_day.active_position_ids == ("protective-put-atm-12m-position-1",)
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assert template_result.warnings[0].startswith("Missing historical mark for GLD-2025-01-03-P-100")
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def test_daily_snapshot_provider_rejects_unsupported_provider_ref() -> None:
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provider = DailyOptionsSnapshotProvider(
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price_source=FakeHistorySource(FIXTURE_HISTORY),
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snapshot_source=FakeOptionSnapshotSource(SNAPSHOT_CHAINS),
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)
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with pytest.raises(ValueError, match="Unsupported provider/pricing combination"):
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provider.validate_provider_ref(ProviderRef(provider_id="synthetic_v1", pricing_mode="synthetic_bs_mid"))
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def test_snapshot_backtest_rejects_listed_contract_templates_until_bt_002a() -> None:
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provider = DailyOptionsSnapshotProvider(
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price_source=FakeHistorySource(FIXTURE_HISTORY),
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snapshot_source=FakeOptionSnapshotSource(SNAPSHOT_CHAINS),
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)
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template_service = StrategyTemplateService()
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service = BacktestService(provider=provider, template_service=template_service)
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template = template_service.get_template("protective-put-atm-12m")
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listed_template = StrategyTemplate(
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template_id=template.template_id,
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slug=template.slug,
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display_name=template.display_name,
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description=template.description,
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template_kind=template.template_kind,
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status=template.status,
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version=template.version,
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underlying_symbol=template.underlying_symbol,
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contract_mode="listed_contracts",
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legs=template.legs,
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roll_policy=template.roll_policy,
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entry_policy=template.entry_policy,
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tags=template.tags,
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created_at=template.created_at,
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updated_at=template.updated_at,
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)
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with pytest.raises(ValueError, match="Unsupported contract_mode"):
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service._validate_template_for_mvp(listed_template)
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