5c7a0ee4c0
Strategies: - POST /backtest/sma-crossover - SMA crossover (short/long window) - POST /backtest/rsi - RSI oversold/overbought signals - POST /backtest/buy-and-hold - passive benchmark - POST /backtest/momentum - multi-symbol momentum rotation Returns: total_return, annualized_return, sharpe_ratio, max_drawdown, win_rate, total_trades, equity_curve (last 20 points) Implementation: pure pandas/numpy, no external backtesting libs. Shared _compute_metrics helper across all strategies. 79 new tests (46 service unit + 33 route integration). All 391 tests passing.
142 lines
5.0 KiB
Python
142 lines
5.0 KiB
Python
"""Routes for backtesting strategies."""
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import logging
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from fastapi import APIRouter, HTTPException
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from pydantic import BaseModel, Field
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import backtest_service
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from models import ApiResponse
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logger = logging.getLogger(__name__)
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router = APIRouter(prefix="/api/v1/backtest", tags=["backtest"])
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# ---------------------------------------------------------------------------
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# Request models
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# ---------------------------------------------------------------------------
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class BacktestRequest(BaseModel):
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symbol: str = Field(..., min_length=1, max_length=20)
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days: int = Field(default=365, ge=30, le=3650)
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initial_capital: float = Field(default=10000.0, gt=0, le=1_000_000_000)
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class SMARequest(BacktestRequest):
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short_window: int = Field(default=20, ge=5, le=100)
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long_window: int = Field(default=50, ge=10, le=400)
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class RSIRequest(BacktestRequest):
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period: int = Field(default=14, ge=2, le=50)
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oversold: float = Field(default=30.0, ge=1, le=49)
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overbought: float = Field(default=70.0, ge=51, le=99)
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class BuyAndHoldRequest(BacktestRequest):
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pass
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class MomentumRequest(BaseModel):
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symbols: list[str] = Field(..., min_length=2, max_length=20)
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lookback: int = Field(default=60, ge=5, le=252)
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top_n: int = Field(default=2, ge=1)
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rebalance_days: int = Field(default=30, ge=5, le=252)
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days: int = Field(default=365, ge=60, le=3650)
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initial_capital: float = Field(default=10000.0, gt=0)
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# ---------------------------------------------------------------------------
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# Route handlers
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# ---------------------------------------------------------------------------
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@router.post("/sma-crossover", response_model=ApiResponse)
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async def sma_crossover(req: SMARequest) -> ApiResponse:
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"""SMA crossover strategy: buy when short SMA crosses above long SMA."""
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try:
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result = await backtest_service.backtest_sma_crossover(
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req.symbol,
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short_window=req.short_window,
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long_window=req.long_window,
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days=req.days,
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initial_capital=req.initial_capital,
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)
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return ApiResponse(data=result)
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except ValueError as exc:
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logger.warning("SMA crossover backtest validation error: %s", exc)
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raise HTTPException(status_code=400, detail=str(exc)) from exc
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except Exception as exc:
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logger.exception("SMA crossover backtest failed")
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raise HTTPException(
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status_code=502, detail="Data provider error. Check server logs."
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) from exc
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@router.post("/rsi", response_model=ApiResponse)
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async def rsi_strategy(req: RSIRequest) -> ApiResponse:
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"""RSI strategy: buy when RSI < oversold, sell when RSI > overbought."""
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try:
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result = await backtest_service.backtest_rsi(
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req.symbol,
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period=req.period,
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oversold=req.oversold,
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overbought=req.overbought,
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days=req.days,
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initial_capital=req.initial_capital,
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)
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return ApiResponse(data=result)
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except ValueError as exc:
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logger.warning("RSI backtest validation error: %s", exc)
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raise HTTPException(status_code=400, detail=str(exc)) from exc
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except Exception as exc:
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logger.exception("RSI backtest failed")
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raise HTTPException(
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status_code=502, detail="Data provider error. Check server logs."
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) from exc
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@router.post("/buy-and-hold", response_model=ApiResponse)
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async def buy_and_hold(req: BuyAndHoldRequest) -> ApiResponse:
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"""Buy-and-hold benchmark: buy on day 1, hold through end of period."""
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try:
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result = await backtest_service.backtest_buy_and_hold(
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req.symbol,
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days=req.days,
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initial_capital=req.initial_capital,
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)
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return ApiResponse(data=result)
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except ValueError as exc:
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logger.warning("Buy-and-hold backtest validation error: %s", exc)
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raise HTTPException(status_code=400, detail=str(exc)) from exc
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except Exception as exc:
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logger.exception("Buy-and-hold backtest failed")
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raise HTTPException(
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status_code=502, detail="Data provider error. Check server logs."
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) from exc
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@router.post("/momentum", response_model=ApiResponse)
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async def momentum_strategy(req: MomentumRequest) -> ApiResponse:
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"""Momentum strategy: every rebalance_days pick top_n symbols by lookback return."""
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try:
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result = await backtest_service.backtest_momentum(
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symbols=req.symbols,
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lookback=req.lookback,
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top_n=req.top_n,
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rebalance_days=req.rebalance_days,
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days=req.days,
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initial_capital=req.initial_capital,
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)
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return ApiResponse(data=result)
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except ValueError as exc:
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logger.warning("Momentum backtest validation error: %s", exc)
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raise HTTPException(status_code=400, detail=str(exc)) from exc
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except Exception as exc:
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logger.exception("Momentum backtest failed")
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raise HTTPException(
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status_code=502, detail="Data provider error. Check server logs."
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) from exc
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