152 lines
4.2 KiB
Python
152 lines
4.2 KiB
Python
from __future__ import annotations
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from dataclasses import dataclass, field
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from datetime import date
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from app.models.event_preset import EventPreset
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@dataclass(frozen=True)
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class BacktestPortfolioState:
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currency: str
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underlying_units: float
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entry_spot: float
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loan_amount: float
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margin_call_ltv: float
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cash_balance: float = 0.0
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financing_rate: float = 0.0
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def __post_init__(self) -> None:
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if self.currency.upper() != "USD":
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raise ValueError("USD is the only supported currency in the MVP")
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if self.underlying_units <= 0:
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raise ValueError("underlying_units must be positive")
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if self.entry_spot <= 0:
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raise ValueError("entry_spot must be positive")
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if self.loan_amount < 0:
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raise ValueError("loan_amount must be non-negative")
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if not 0 < self.margin_call_ltv < 1:
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raise ValueError("margin_call_ltv must be between 0 and 1")
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if self.loan_amount >= self.underlying_units * self.entry_spot:
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raise ValueError("loan_amount must be less than initial collateral value")
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@property
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def start_value(self) -> float:
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return self.underlying_units * self.entry_spot
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@dataclass(frozen=True)
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class TemplateRef:
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slug: str
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version: int
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def __post_init__(self) -> None:
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if not self.slug:
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raise ValueError("template slug is required")
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if self.version <= 0:
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raise ValueError("template version must be positive")
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@dataclass(frozen=True)
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class ProviderRef:
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provider_id: str
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pricing_mode: str
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def __post_init__(self) -> None:
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if not self.provider_id:
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raise ValueError("provider_id is required")
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if not self.pricing_mode:
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raise ValueError("pricing_mode is required")
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@dataclass(frozen=True)
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class BacktestScenario:
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scenario_id: str
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display_name: str
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symbol: str
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start_date: date
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end_date: date
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initial_portfolio: BacktestPortfolioState
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template_refs: tuple[TemplateRef, ...]
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provider_ref: ProviderRef
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def __post_init__(self) -> None:
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if not self.scenario_id:
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raise ValueError("scenario_id is required")
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if not self.display_name:
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raise ValueError("display_name is required")
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if not self.symbol:
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raise ValueError("symbol is required")
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if self.start_date > self.end_date:
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raise ValueError("start_date must be on or before end_date")
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if not self.template_refs:
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raise ValueError("at least one template ref is required")
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@dataclass(frozen=True)
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class BacktestDailyPoint:
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date: date
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spot_close: float
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underlying_value: float
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option_market_value: float
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premium_cashflow: float
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realized_option_cashflow: float
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net_portfolio_value: float
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loan_amount: float
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ltv_unhedged: float
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ltv_hedged: float
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margin_call_unhedged: bool
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margin_call_hedged: bool
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active_position_ids: tuple[str, ...] = field(default_factory=tuple)
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@dataclass(frozen=True)
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class BacktestSummaryMetrics:
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start_value: float
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end_value_unhedged: float
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end_value_hedged_net: float
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total_hedge_cost: float
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total_option_payoff_realized: float
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max_ltv_unhedged: float
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max_ltv_hedged: float
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margin_call_days_unhedged: int
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margin_call_days_hedged: int
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margin_threshold_breached_unhedged: bool
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margin_threshold_breached_hedged: bool
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@dataclass(frozen=True)
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class TemplateBacktestResult:
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template_slug: str
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template_id: str
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template_version: int
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template_name: str
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summary_metrics: BacktestSummaryMetrics
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daily_path: tuple[BacktestDailyPoint, ...]
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@dataclass(frozen=True)
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class BacktestRunResult:
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scenario_id: str
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template_results: tuple[TemplateBacktestResult, ...]
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@dataclass(frozen=True)
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class EventComparisonRanking:
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rank: int
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template_slug: str
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template_name: str
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survived_margin_call: bool
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max_ltv_hedged: float
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hedge_cost: float
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final_equity: float
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result: TemplateBacktestResult
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@dataclass(frozen=True)
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class EventComparisonReport:
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event_preset: EventPreset
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scenario: BacktestScenario
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rankings: tuple[EventComparisonRanking, ...]
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run_result: BacktestRunResult
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