f818bd3290
- Add WalkForwardResult model with train/test window metrics
- Create WalkForwardEngine that reuses existing BacktestEngine
with rolling train/test window splits
- Add POST/GET /api/backtest/{id}/walkforward endpoints
- Add Walk-forward tab to backtest detail page with parameter
controls, cumulative return chart, and window results table
- Add Alembic migration for walkforward_results table
- Add 8 unit tests for window generation logic (100 total passed)
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
128 lines
4.5 KiB
Python
128 lines
4.5 KiB
Python
"""
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Backtest related models.
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"""
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from datetime import datetime
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from sqlalchemy import (
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Column, Integer, String, Numeric, DateTime, Date,
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Text, ForeignKey, JSON, Enum as SQLEnum
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)
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from sqlalchemy.orm import relationship
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import enum
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from app.core.database import Base
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class BacktestStatus(str, enum.Enum):
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PENDING = "pending"
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RUNNING = "running"
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COMPLETED = "completed"
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FAILED = "failed"
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class RebalancePeriod(str, enum.Enum):
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MONTHLY = "monthly"
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QUARTERLY = "quarterly"
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SEMI_ANNUAL = "semi_annual"
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ANNUAL = "annual"
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class Backtest(Base):
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__tablename__ = "backtests"
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id = Column(Integer, primary_key=True, index=True)
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user_id = Column(Integer, ForeignKey("users.id"), nullable=False)
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strategy_type = Column(String(50), nullable=False)
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strategy_params = Column(JSON, default={})
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start_date = Column(Date, nullable=False)
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end_date = Column(Date, nullable=False)
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rebalance_period = Column(SQLEnum(RebalancePeriod), default=RebalancePeriod.QUARTERLY)
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initial_capital = Column(Numeric(20, 2), nullable=False)
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commission_rate = Column(Numeric(10, 6), default=0.00015)
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slippage_rate = Column(Numeric(10, 6), default=0.001)
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benchmark = Column(String(20), default="KOSPI")
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top_n = Column(Integer, default=30)
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status = Column(SQLEnum(BacktestStatus), default=BacktestStatus.PENDING)
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created_at = Column(DateTime, default=datetime.utcnow)
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completed_at = Column(DateTime, nullable=True)
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error_message = Column(Text, nullable=True)
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# Relationships
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result = relationship("BacktestResult", back_populates="backtest", uselist=False)
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equity_curve = relationship("BacktestEquityCurve", back_populates="backtest")
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holdings = relationship("BacktestHolding", back_populates="backtest")
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transactions = relationship("BacktestTransaction", back_populates="backtest")
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walkforward_results = relationship("WalkForwardResult", back_populates="backtest")
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class BacktestResult(Base):
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__tablename__ = "backtest_results"
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backtest_id = Column(Integer, ForeignKey("backtests.id"), primary_key=True)
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total_return = Column(Numeric(10, 4))
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cagr = Column(Numeric(10, 4))
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mdd = Column(Numeric(10, 4))
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sharpe_ratio = Column(Numeric(10, 4))
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volatility = Column(Numeric(10, 4))
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benchmark_return = Column(Numeric(10, 4))
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excess_return = Column(Numeric(10, 4))
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backtest = relationship("Backtest", back_populates="result")
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class BacktestEquityCurve(Base):
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__tablename__ = "backtest_equity_curve"
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backtest_id = Column(Integer, ForeignKey("backtests.id"), primary_key=True)
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date = Column(Date, primary_key=True)
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portfolio_value = Column(Numeric(20, 2))
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benchmark_value = Column(Numeric(20, 2))
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drawdown = Column(Numeric(10, 4))
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backtest = relationship("Backtest", back_populates="equity_curve")
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class BacktestHolding(Base):
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__tablename__ = "backtest_holdings"
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backtest_id = Column(Integer, ForeignKey("backtests.id"), primary_key=True)
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rebalance_date = Column(Date, primary_key=True)
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ticker = Column(String(20), primary_key=True)
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name = Column(String(100))
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weight = Column(Numeric(10, 4))
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shares = Column(Integer)
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price = Column(Numeric(12, 2))
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backtest = relationship("Backtest", back_populates="holdings")
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class BacktestTransaction(Base):
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__tablename__ = "backtest_transactions"
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id = Column(Integer, primary_key=True, index=True)
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backtest_id = Column(Integer, ForeignKey("backtests.id"), nullable=False)
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date = Column(Date, nullable=False)
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ticker = Column(String(20), nullable=False)
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action = Column(String(10), nullable=False) # buy/sell
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shares = Column(Integer, nullable=False)
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price = Column(Numeric(12, 2), nullable=False)
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commission = Column(Numeric(12, 2), nullable=False)
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backtest = relationship("Backtest", back_populates="transactions")
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class WalkForwardResult(Base):
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__tablename__ = "walkforward_results"
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id = Column(Integer, primary_key=True, index=True)
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backtest_id = Column(Integer, ForeignKey("backtests.id"), nullable=False)
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window_index = Column(Integer, nullable=False)
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train_start = Column(Date, nullable=False)
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train_end = Column(Date, nullable=False)
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test_start = Column(Date, nullable=False)
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test_end = Column(Date, nullable=False)
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test_return = Column(Numeric(10, 4), nullable=True)
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test_sharpe = Column(Numeric(10, 4), nullable=True)
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test_mdd = Column(Numeric(10, 4), nullable=True)
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backtest = relationship("Backtest", back_populates="walkforward_results")
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