142 lines
5.4 KiB
Python
142 lines
5.4 KiB
Python
from __future__ import annotations
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from dataclasses import dataclass
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from datetime import date
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from app.models.backtest import (
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BacktestPortfolioState,
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BacktestRunResult,
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BacktestScenario,
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ProviderRef,
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TemplateRef,
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)
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from app.services.backtesting.historical_provider import (
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DailyClosePoint,
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HistoricalPriceSource,
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YFinanceHistoricalPriceSource,
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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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SUPPORTED_BACKTEST_PAGE_SYMBOL = "GLD"
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DETERMINISTIC_UI_FIXTURE_HISTORY: tuple[DailyClosePoint, ...] = (
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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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DailyClosePoint(date=date(2024, 1, 8), close=85.0),
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)
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class FixtureFallbackHistoricalPriceSource:
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def __init__(self, fallback: HistoricalPriceSource | None = None) -> None:
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self.fallback = fallback or YFinanceHistoricalPriceSource()
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def load_daily_closes(self, symbol: str, start_date: date, end_date: date) -> list[DailyClosePoint]:
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normalized_symbol = symbol.strip().upper()
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if (
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normalized_symbol == SUPPORTED_BACKTEST_PAGE_SYMBOL
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and start_date == date(2024, 1, 2)
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and end_date == date(2024, 1, 8)
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):
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return list(DETERMINISTIC_UI_FIXTURE_HISTORY)
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return self.fallback.load_daily_closes(normalized_symbol, start_date, end_date)
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@dataclass(frozen=True)
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class BacktestPageRunResult:
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scenario: BacktestScenario
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run_result: BacktestRunResult
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entry_spot: float
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class BacktestPageService:
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def __init__(
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self,
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backtest_service: BacktestService | None = None,
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template_service: StrategyTemplateService | None = None,
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) -> None:
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self.template_service = template_service or StrategyTemplateService()
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self.backtest_service = backtest_service or BacktestService(
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template_service=self.template_service,
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provider=None,
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)
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if backtest_service is None:
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provider = self.backtest_service.provider
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provider.source = FixtureFallbackHistoricalPriceSource(provider.source)
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def template_options(self, symbol: str = "GLD") -> list[dict[str, str | int]]:
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return [
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{
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"label": template.display_name,
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"slug": template.slug,
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"version": template.version,
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"description": template.description,
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}
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for template in self.template_service.list_active_templates(symbol)
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]
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def derive_entry_spot(self, symbol: str, start_date: date, end_date: date) -> float:
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history = self.backtest_service.provider.load_history(symbol.strip().upper(), start_date, end_date)
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if not history:
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raise ValueError("No historical prices found for scenario window")
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if history[0].date != start_date:
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raise ValueError(
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"Scenario start date must match the first available historical close for entry-at-start backtests"
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)
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return history[0].close
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def run_read_only_scenario(
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self,
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*,
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symbol: str,
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start_date: date,
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end_date: date,
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template_slug: str,
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underlying_units: float,
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loan_amount: float,
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margin_call_ltv: float,
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) -> BacktestPageRunResult:
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normalized_symbol = symbol.strip().upper()
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if not normalized_symbol:
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raise ValueError("Symbol is required")
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if normalized_symbol != SUPPORTED_BACKTEST_PAGE_SYMBOL:
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raise ValueError("BT-001A backtests are currently limited to GLD on this page")
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if start_date > end_date:
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raise ValueError("Start date must be on or before end date")
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if underlying_units <= 0:
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raise ValueError("Underlying units must be positive")
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if loan_amount < 0:
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raise ValueError("Loan amount must be non-negative")
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if not 0 < margin_call_ltv < 1:
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raise ValueError("Margin call LTV must be between 0 and 1")
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if not template_slug:
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raise ValueError("Template selection is required")
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template = self.template_service.get_template(template_slug)
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entry_spot = self.derive_entry_spot(normalized_symbol, start_date, end_date)
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scenario = BacktestScenario(
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scenario_id=(
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f"{normalized_symbol.lower()}-{start_date.isoformat()}-{end_date.isoformat()}-{template.slug}"
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),
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display_name=f"{normalized_symbol} backtest {start_date.isoformat()} → {end_date.isoformat()}",
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symbol=normalized_symbol,
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start_date=start_date,
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end_date=end_date,
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initial_portfolio=BacktestPortfolioState(
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currency="USD",
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underlying_units=underlying_units,
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entry_spot=entry_spot,
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loan_amount=loan_amount,
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margin_call_ltv=margin_call_ltv,
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),
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template_refs=(TemplateRef(slug=template.slug, version=template.version),),
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provider_ref=ProviderRef(provider_id="synthetic_v1", pricing_mode="synthetic_bs_mid"),
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)
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return BacktestPageRunResult(
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scenario=scenario,
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run_result=self.backtest_service.run_scenario(scenario),
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entry_spot=entry_spot,
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)
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