129 lines
3.0 KiB
Python
129 lines
3.0 KiB
Python
"""
|
|
Backtest related Pydantic schemas.
|
|
"""
|
|
from datetime import date, datetime
|
|
from decimal import Decimal
|
|
from typing import Optional, List, Dict, Any
|
|
from enum import Enum
|
|
|
|
from pydantic import BaseModel, Field
|
|
|
|
|
|
class RebalancePeriod(str, Enum):
|
|
MONTHLY = "monthly"
|
|
QUARTERLY = "quarterly"
|
|
SEMI_ANNUAL = "semi_annual"
|
|
ANNUAL = "annual"
|
|
|
|
|
|
class BacktestStatus(str, Enum):
|
|
PENDING = "pending"
|
|
RUNNING = "running"
|
|
COMPLETED = "completed"
|
|
FAILED = "failed"
|
|
|
|
|
|
class BacktestCreate(BaseModel):
|
|
"""Request to create a new backtest."""
|
|
strategy_type: str = Field(..., description="multi_factor, quality, or value_momentum")
|
|
strategy_params: Dict[str, Any] = Field(default_factory=dict)
|
|
start_date: date
|
|
end_date: date
|
|
rebalance_period: RebalancePeriod = RebalancePeriod.QUARTERLY
|
|
initial_capital: Decimal = Field(default=Decimal("100000000"), gt=0)
|
|
commission_rate: Decimal = Field(default=Decimal("0.00015"), ge=0, le=1)
|
|
slippage_rate: Decimal = Field(default=Decimal("0.001"), ge=0, le=1)
|
|
benchmark: str = Field(default="KOSPI")
|
|
top_n: int = Field(default=30, ge=1, le=100)
|
|
|
|
|
|
class BacktestMetrics(BaseModel):
|
|
"""Backtest result metrics."""
|
|
total_return: Decimal
|
|
cagr: Decimal
|
|
mdd: Decimal
|
|
sharpe_ratio: Decimal
|
|
volatility: Decimal
|
|
benchmark_return: Decimal
|
|
excess_return: Decimal
|
|
|
|
|
|
class BacktestResponse(BaseModel):
|
|
"""Backtest response with status and optional results."""
|
|
id: int
|
|
user_id: int
|
|
strategy_type: str
|
|
strategy_params: Dict[str, Any]
|
|
start_date: date
|
|
end_date: date
|
|
rebalance_period: str
|
|
initial_capital: Decimal
|
|
commission_rate: Decimal
|
|
slippage_rate: Decimal
|
|
benchmark: str
|
|
status: str
|
|
created_at: datetime
|
|
completed_at: Optional[datetime] = None
|
|
error_message: Optional[str] = None
|
|
result: Optional[BacktestMetrics] = None
|
|
|
|
class Config:
|
|
from_attributes = True
|
|
|
|
|
|
class BacktestListItem(BaseModel):
|
|
"""Backtest item for list view."""
|
|
id: int
|
|
strategy_type: str
|
|
start_date: date
|
|
end_date: date
|
|
rebalance_period: str
|
|
status: str
|
|
created_at: datetime
|
|
total_return: Optional[Decimal] = None
|
|
cagr: Optional[Decimal] = None
|
|
mdd: Optional[Decimal] = None
|
|
|
|
class Config:
|
|
from_attributes = True
|
|
|
|
|
|
class EquityCurvePoint(BaseModel):
|
|
"""Single point in equity curve."""
|
|
date: date
|
|
portfolio_value: Decimal
|
|
benchmark_value: Decimal
|
|
drawdown: Decimal
|
|
|
|
class Config:
|
|
from_attributes = True
|
|
|
|
|
|
class HoldingItem(BaseModel):
|
|
"""Single holding at a rebalance date."""
|
|
ticker: str
|
|
name: str
|
|
weight: Decimal
|
|
shares: int
|
|
price: Decimal
|
|
|
|
|
|
class RebalanceHoldings(BaseModel):
|
|
"""Holdings at a specific rebalance date."""
|
|
rebalance_date: date
|
|
holdings: List[HoldingItem]
|
|
|
|
|
|
class TransactionItem(BaseModel):
|
|
"""Single transaction."""
|
|
id: int
|
|
date: date
|
|
ticker: str
|
|
action: str
|
|
shares: int
|
|
price: Decimal
|
|
commission: Decimal
|
|
|
|
class Config:
|
|
from_attributes = True
|