70b09cbf0b
- Change WindowPolicy from EXACT to BOUNDED for backtest fixture - Pass data_source to run_read_only_scenario so real data can be used - Fix injected provider identity preservation in BacktestPageService - Add type: ignore for BacktestHistoricalProvider protocol assignment - Revert TypedDict change to avoid cascading type issues in pages/ - Update tests to reflect new BOUNDED policy behavior
322 lines
12 KiB
Python
322 lines
12 KiB
Python
from __future__ import annotations
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from datetime import date
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from decimal import Decimal
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import pytest
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from app.services.backtesting.historical_provider import SyntheticHistoricalProvider
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from app.services.backtesting.service import BacktestService
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from app.services.backtesting.ui_service import BacktestPageService
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from tests.helpers_backtest_sources import StaticBacktestSource
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def test_backtest_page_service_accepts_decimal_boundary_values() -> 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=Decimal("1000.0"),
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loan_amount=Decimal("68000.0"),
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margin_call_ltv=Decimal("0.75"),
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)
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assert result.scenario.initial_portfolio.underlying_units == 1000.0
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assert result.scenario.initial_portfolio.loan_amount == 68000.0
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assert result.scenario.initial_portfolio.margin_call_ltv == 0.75
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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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"Backtests support symbols: GLD, GC, XAU",
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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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"""Test that fixture data fails for dates outside the seeded window."""
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service = BacktestPageService()
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# Wrong symbol raises error (fixture only supports GLD)
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with pytest.raises(ValueError, match="deterministic fixture data only supports GLD"):
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service.derive_entry_spot("AAPL", date(2024, 1, 2), date(2024, 1, 8))
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# Dates before window start raises error
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with pytest.raises(ValueError, match="deterministic fixture data only supports the seeded"):
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service.derive_entry_spot("GLD", date(2024, 1, 1), date(2024, 1, 5))
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# Dates after window end raises error
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with pytest.raises(ValueError, match="deterministic fixture data only supports the seeded"):
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service.derive_entry_spot("GLD", date(2024, 1, 5), date(2024, 1, 10))
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def test_backtest_preview_validation_requires_supported_fixture_window_even_with_supplied_entry_spot() -> None:
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"""Test that fixture data fails for dates outside the window even with supplied entry spot."""
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service = BacktestPageService()
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# Dates before window start raises error
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with pytest.raises(ValueError, match="deterministic fixture data only supports the seeded"):
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service.validate_preview_inputs(
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symbol="GLD",
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start_date=date(2024, 1, 1),
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end_date=date(2024, 1, 5),
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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_accepts_close_supplied_entry_spot() -> None:
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service = BacktestPageService()
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entry_spot = 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=100.005,
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)
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assert entry_spot == 100.0
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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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def test_backtest_page_service_does_not_mutate_injected_backtest_service() -> None:
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provider = SyntheticHistoricalProvider(
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source=StaticBacktestSource(),
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implied_volatility=0.2,
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risk_free_rate=0.01,
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)
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injected_service = BacktestService(provider=provider)
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page_service = BacktestPageService(backtest_service=injected_service)
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history = injected_service.provider.load_history("GLD", date(2024, 1, 3), date(2024, 1, 3))
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assert history[0].close == 123.0
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assert page_service.template_service is injected_service.template_service
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assert page_service.backtest_service is not injected_service
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assert page_service.backtest_service.provider.implied_volatility == 0.2
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assert page_service.backtest_service.provider.risk_free_rate == 0.01
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seeded_history = page_service.backtest_service.provider.load_history("GLD", date(2024, 1, 2), date(2024, 1, 8))
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assert seeded_history[0].close == 100.0
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def test_backtest_page_service_uses_injected_provider_identity_in_provider_ref() -> None:
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class CustomProvider(SyntheticHistoricalProvider):
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provider_id = "custom_v1"
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pricing_mode = "custom_mode"
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provider = CustomProvider(source=StaticBacktestSource(), implied_volatility=0.2, risk_free_rate=0.01)
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injected_service = BacktestService(provider=provider)
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page_service = BacktestPageService(backtest_service=injected_service)
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result = page_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 result.scenario.provider_ref.provider_id == "custom_v1"
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assert result.scenario.provider_ref.pricing_mode == "custom_mode"
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def test_backtest_page_service_preserves_injected_provider_behavior_beyond_history_loading() -> None:
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class CustomProvider(SyntheticHistoricalProvider):
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provider_id = "custom_v2"
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pricing_mode = "custom_mode"
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def price_option_by_type(self, **kwargs: object):
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quote = super().price_option_by_type(**kwargs)
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return quote.__class__(
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position_id=quote.position_id,
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leg_id=quote.leg_id,
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spot=quote.spot,
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strike=quote.strike,
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expiry=quote.expiry,
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quantity=quote.quantity,
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mark=42.0,
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)
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provider = CustomProvider(source=StaticBacktestSource(), implied_volatility=0.2, risk_free_rate=0.01)
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injected_service = BacktestService(provider=provider)
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page_service = BacktestPageService(backtest_service=injected_service)
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result = page_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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template_result = result.run_result.template_results[0]
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assert template_result.daily_path[0].option_market_value == 42000.0
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assert template_result.summary_metrics.total_hedge_cost == 42000.0
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