feat: backtest

backend/routers/backtest.py

@@ -1,10 +1,10 @@
 from fastapi import APIRouter
-from pydantic import BaseModel
-from typing import Optional, List
+from pydantic import BaseModel, Field
+from typing import List
 import yfinance as yf
 import numpy as np
 from services.options_pricer import black_scholes
-from services.backtest_strategies import STRATEGIES, build_legs, synthetic_expiry
+from services.backtest_strategies import STRATEGIES, default_legs_pct
 
 router = APIRouter(prefix="/api/backtest", tags=["backtest"])
 
@@ -24,36 +24,55 @@ def backtest_symbols():
 
 @router.get("/strategies")
 def backtest_strategies():
-    return [{"key": k, "label": label, "n_legs": n} for k, label, n in STRATEGIES]
+    """Each preset's legs are also returned relative to spot (strike_pct) so the frontend
+    can seed an EDITABLE leg list when a preset is picked, rather than only offering fixed
+    canned shapes — e.g. turning a 2-leg Call Ratio Spread preset into a custom 3-leg
+    structure just means adding a leg client-side and re-running."""
+    return [
+        {"key": k, "label": label, "n_legs": n, "default_legs": default_legs_pct(k)}
+        for k, label, n in STRATEGIES
+    ]
+
+
+class BacktestLeg(BaseModel):
+    option_type: str  # "call" | "put"
+    position: str  # "long" | "short"
+    quantity: int = 1
+    strike_pct: float  # relative to spot AT EACH ENTRY DATE, e.g. 1.05 = 5% OTM call
+    expiry: str = "near"  # "near" | "far" — far only meaningful when far_expiry_days is set
 
 
 class BacktestRequest(BaseModel):
     symbol: str
     start_date: str
     end_date: str
-    strategy: str
-    strike_offset_pct: float = 0.05  # e.g. 5% OTM — used by the 6 direct (non-template) strategies
+    legs: List[BacktestLeg] = Field(min_length=1, max_length=4)
     expiry_days: int = 90
+    far_expiry_days: int = 180  # only used by legs with expiry="far"
     capital: float = 1000.0
 
 
-def _settle_leg(leg: dict, near_days: int, S_settle: float, sigma: float, r: float) -> float:
+def _settle_leg(leg: BacktestLeg, strike: float, days_to_expiry: int, near_days: int, S_settle: float, sigma: float, r: float) -> float:
     """Value one leg at the near expiry: intrinsic if it expires there too (the common
-    case), else a fresh Black-Scholes price for its remaining time (calendar/diagonal's
-    far leg — closed alongside the near leg rather than held to its own later expiry,
-    the standard way these are actually managed)."""
-    remaining_days = leg["days_to_expiry"] - near_days
+    case), else a fresh Black-Scholes price for its remaining time (a 'far' leg — closed
+    alongside the near leg rather than held to its own later expiry, the standard way
+    calendar/diagonal-style structures are actually managed)."""
+    remaining_days = days_to_expiry - near_days
     if remaining_days <= 0:
-        if leg["option_type"] == "call":
-            return max(0.0, S_settle - leg["strike"])
-        return max(0.0, leg["strike"] - S_settle)
+        if leg.option_type == "call":
+            return max(0.0, S_settle - strike)
+        return max(0.0, strike - S_settle)
     T = remaining_days / 365
-    return float(black_scholes(S_settle, leg["strike"], T, r, sigma, leg["option_type"])["price"])
+    return float(black_scholes(S_settle, strike, T, r, sigma, leg.option_type)["price"])
 
 
 @router.post("/run")
 def run_backtest(req: BacktestRequest):
     try:
+        for leg in req.legs:
+            if leg.option_type not in ("call", "put") or leg.position not in ("long", "short"):
+                return {"error": f"Jambe invalide: {leg}"}
+
         ticker = yf.Ticker(req.symbol)
         hist = ticker.history(start=req.start_date, end=req.end_date, interval="1d")
         if hist.empty or len(hist) < 20:
@@ -62,8 +81,6 @@ def run_backtest(req: BacktestRequest):
         hist = hist.reset_index()
         returns = np.log(hist["Close"] / hist["Close"].shift(1)).dropna()
 
-        far_days = req.expiry_days * 2  # calendar/diagonal's far leg, closed alongside the near leg
-
         trades = []
         equity = [req.capital]
         capital = req.capital
@@ -82,19 +99,15 @@ def run_backtest(req: BacktestRequest):
             if sigma < 0.01:
                 sigma = 0.20
 
-            near_expiry = synthetic_expiry(date_str, req.expiry_days, S)
-            far_expiry = synthetic_expiry(date_str, far_days, S) if req.strategy in ("calendar_spread", "diagonal_spread") else None
-            legs = build_legs(req.strategy, S, req.strike_offset_pct, near_expiry, far_expiry)
-            if not legs:
-                continue
+            leg_strikes = [round(S * leg.strike_pct, 4) for leg in req.legs]
+            leg_days = [req.expiry_days if leg.expiry != "far" else req.far_expiry_days for leg in req.legs]
 
-            entry_premiums = []
-            for leg in legs:
-                T = leg["days_to_expiry"] / 365
-                premium = float(black_scholes(S, leg["strike"], T, r, sigma, leg["option_type"])["price"])
-                entry_premiums.append(premium)
+            entry_premiums = [
+                float(black_scholes(S, k, d / 365, r, sigma, leg.option_type)["price"])
+                for leg, k, d in zip(req.legs, leg_strikes, leg_days)
+            ]
 
-            signed_qty = [(1 if leg["position"] == "long" else -1) * leg["quantity"] for leg in legs]
+            signed_qty = [(1 if leg.position == "long" else -1) * leg.quantity for leg in req.legs]
             net_premium = sum(sq * p for sq, p in zip(signed_qty, entry_premiums))  # >0 debit, <0 credit
 
             risk_basis = max(abs(net_premium), 0.05 * S)
@@ -105,7 +118,10 @@ def run_backtest(req: BacktestRequest):
             S_expiry = float(hist.iloc[expiry_idx]["Close"])
             date_expiry = str(hist.iloc[expiry_idx]["Date"])[:10]
 
-            exit_values = [_settle_leg(leg, req.expiry_days, S_expiry, sigma, r) for leg in legs]
+            exit_values = [
+                _settle_leg(leg, k, d, req.expiry_days, S_expiry, sigma, r)
+                for leg, k, d in zip(req.legs, leg_strikes, leg_days)
+            ]
             exit_signed_value = sum(sq * v for sq, v in zip(signed_qty, exit_values))
 
             pnl = (exit_signed_value - net_premium) * contracts * 100
@@ -115,14 +131,12 @@ def run_backtest(req: BacktestRequest):
             trades.append({
                 "entry_date": date_str,
                 "exit_date": date_expiry,
-                "strategy": req.strategy,
                 "S_entry": round(S, 2),
                 "S_expiry": round(S_expiry, 2),
                 "legs": [
-                    {"strike": round(leg["strike"], 2), "option_type": leg["option_type"],
-                     "position": leg["position"], "quantity": leg["quantity"],
-                     "days_to_expiry": leg["days_to_expiry"]}
-                    for leg in legs
+                    {"strike": round(k, 2), "option_type": leg.option_type,
+                     "position": leg.position, "quantity": leg.quantity, "days_to_expiry": d}
+                    for leg, k, d in zip(req.legs, leg_strikes, leg_days)
                 ],
                 "net_premium": round(net_premium, 4),
                 "contracts": contracts,
@@ -149,7 +163,6 @@ def run_backtest(req: BacktestRequest):
 
         return {
             "symbol": req.symbol,
-            "strategy": req.strategy,
             "period": f"{req.start_date} → {req.end_date}",
             "total_trades": len(trades),
             "wins": len(wins),

backend/services/backtest_strategies.py

@@ -145,3 +145,27 @@ def build_legs(
             return []
         return _first_by_name(list(tmpl.diagonal_spread(near_expiry, far_expiry, spot)), "Diagonal Spread") or []
     return []
+
+
+_NOMINAL_SPOT = 100.0
+_NOMINAL_NEAR_DAYS = 90
+_NOMINAL_FAR_DAYS = 180
+
+
+def default_legs_pct(strategy_key: str, strike_offset_pct: float = 0.05) -> List[Dict[str, Any]]:
+    """A preset's legs expressed relative to spot (strike_pct = strike/spot, e.g. 1.05 =
+    5% OTM call) instead of the absolute strikes build_legs() returns — this is what
+    seeds the frontend's editable leg editor when a preset is picked. Computed once at a
+    nominal spot=100, not per simulated date (routers/backtest.py's /run instead takes
+    the user-edited legs directly and reapplies strike_pct * spot at each entry date)."""
+    near = synthetic_expiry("near", _NOMINAL_NEAR_DAYS, _NOMINAL_SPOT)
+    far = synthetic_expiry("far", _NOMINAL_FAR_DAYS, _NOMINAL_SPOT)
+    legs = build_legs(strategy_key, _NOMINAL_SPOT, strike_offset_pct, near, far)
+    return [
+        {
+            "option_type": leg["option_type"], "position": leg["position"], "quantity": leg["quantity"],
+            "strike_pct": round(leg["strike"] / _NOMINAL_SPOT, 4),
+            "expiry": "near" if leg["days_to_expiry"] == _NOMINAL_NEAR_DAYS else "far",
+        }
+        for leg in legs
+    ]

frontend/src/hooks/useApi.ts

@@ -265,7 +265,8 @@ export const useBacktestSymbols = () =>
     staleTime: 60_000,
   })
 
-export type BacktestStrategyInfo = { key: string; label: string; n_legs: number }
+export type BacktestLegPreset = { option_type: 'call' | 'put'; position: 'long' | 'short'; quantity: number; strike_pct: number; expiry: 'near' | 'far' }
+export type BacktestStrategyInfo = { key: string; label: string; n_legs: number; default_legs: BacktestLegPreset[] }
 export const useBacktestStrategies = () =>
   useQuery<BacktestStrategyInfo[]>({
     queryKey: ['backtest-strategies'],

frontend/src/pages/Backtest.tsx

@@ -1,14 +1,15 @@
 import { useEffect, useState } from 'react'
-import { useBacktest, useBacktestSymbols, useBacktestStrategies } from '../hooks/useApi'
+import { useBacktest, useBacktestSymbols, useBacktestStrategies, type BacktestLegPreset } from '../hooks/useApi'
 import clsx from 'clsx'
 import {
   AreaChart, Area, XAxis, YAxis, Tooltip, ResponsiveContainer,
   CartesianGrid, ReferenceLine,
 } from 'recharts'
-import { History, Play, TrendingUp, TrendingDown, AlertTriangle } from 'lucide-react'
+import { History, Play, Plus, Trash2, AlertTriangle } from 'lucide-react'
 import type { BacktestResult } from '../types'
 
 type LegRow = { strike: number; option_type: string; position: string; quantity: number; days_to_expiry: number }
+type EditableLeg = BacktestLegPreset
 
 function legsSummary(legs: LegRow[] | undefined): string {
   if (!legs || !legs.length) return '—'
@@ -17,6 +18,9 @@ function legsSummary(legs: LegRow[] | undefined): string {
     .join(' / ')
 }
 
+const MAX_LEGS = 4
+const emptyLeg = (): EditableLeg => ({ option_type: 'call', position: 'long', quantity: 1, strike_pct: 1.05, expiry: 'near' })
+
 function StatCard({ label, value, sub, positive }: { label: string; value: string; sub?: string; positive?: boolean }) {
   return (
     <div className="card-sm text-center">
@@ -44,10 +48,13 @@ export default function Backtest() {
     start_date: '2022-01-01',
     end_date: '2024-12-31',
     strategy: 'long_call',
-    strike_offset_pct: 0.05,
     expiry_days: 90,
+    far_expiry_days: 180,
     capital: 1000,
   })
+  const [legs, setLegs] = useState<EditableLeg[]>([emptyLeg()])
+  const [legCountFilter, setLegCountFilter] = useState<number | null>(null)
+  const usesFarExpiry = legs.some(l => l.expiry === 'far')
 
   // Symbols only exist once Config → Instruments Watchlist has a Saxo-linked entry —
   // default to the first one once it loads rather than a ticker that may not be there.
@@ -55,9 +62,34 @@ export default function Backtest() {
     if (!form.symbol && symbols && symbols.length) set('symbol', symbols[0].ticker)
   }, [symbols]) // eslint-disable-line react-hooks/exhaustive-deps
 
+  // Seed the leg editor with the very first strategy once presets load, so the page
+  // never opens with an empty leg list.
+  useEffect(() => {
+    if (strategies && strategies.length && legs.length === 1 && legs[0].strike_pct === 1.05) {
+      pickStrategy(strategies[0])
+    }
+    // eslint-disable-next-line react-hooks/exhaustive-deps
+  }, [strategies])
+
   const set = (k: string, v: unknown) => setForm(f => ({ ...f, [k]: v }))
 
-  const run = () => runBacktest(form as Record<string, unknown>)
+  const pickStrategy = (s: { key: string; label: string; default_legs: EditableLeg[] }) => {
+    set('strategy', s.key)
+    setLegs(s.default_legs.length ? s.default_legs.map(l => ({ ...l })) : [emptyLeg()])
+  }
+
+  const updateLeg = (idx: number, patch: Partial<EditableLeg>) =>
+    setLegs(ls => ls.map((l, i) => (i === idx ? { ...l, ...patch } : l)))
+  const addLeg = () => legs.length < MAX_LEGS && setLegs(ls => [...ls, emptyLeg()])
+  const removeLeg = (idx: number) => legs.length > 1 && setLegs(ls => ls.filter((_, i) => i !== idx))
+
+  const filteredStrategies = (strategies ?? []).filter(s => legCountFilter === null || s.n_legs === legCountFilter)
+
+  const run = () => runBacktest({
+    symbol: form.symbol, start_date: form.start_date, end_date: form.end_date,
+    expiry_days: form.expiry_days, far_expiry_days: form.far_expiry_days, capital: form.capital,
+    legs: legs.map(l => ({ option_type: l.option_type, position: l.position, quantity: l.quantity, strike_pct: l.strike_pct, expiry: l.expiry })),
+  })
 
   const typed = result as BacktestResult | undefined
   const hasResult = typed && !typed.error
@@ -99,12 +131,30 @@ export default function Backtest() {
               </div>
 
               <div>
-                <label className="text-xs text-slate-500 mb-1 block">Strategy</label>
-                <div className="max-h-64 overflow-y-auto pr-1 space-y-1">
-                {(strategies ?? []).map(s => (
+                <label className="text-xs text-slate-500 mb-1 block">Nombre de jambes</label>
+                <div className="flex gap-1">
+                  {[null, 1, 2, 3, 4].map(n => (
+                    <button
+                      key={n ?? 'all'}
+                      onClick={() => setLegCountFilter(n)}
+                      className={clsx('flex-1 py-0.5 rounded text-xs border', {
+                        'bg-blue-600 border-blue-500 text-white': legCountFilter === n,
+                        'border-slate-700 text-slate-500': legCountFilter !== n,
+                      })}
+                    >
+                      {n ?? 'Tous'}
+                    </button>
+                  ))}
+                </div>
+              </div>
+
+              <div>
+                <label className="text-xs text-slate-500 mb-1 block">Strategy (préréglages)</label>
+                <div className="max-h-48 overflow-y-auto pr-1 space-y-1">
+                {filteredStrategies.map(s => (
                   <button
                     key={s.key}
-                    onClick={() => set('strategy', s.key)}
+                    onClick={() => pickStrategy(s)}
                     className={clsx('w-full flex items-center justify-between gap-2 text-left px-2 py-1.5 rounded text-xs border transition-all', {
                       'bg-blue-600/20 border-blue-500/60 text-blue-300': form.strategy === s.key,
                       'border-slate-700/40 text-slate-400': form.strategy !== s.key,
@@ -122,6 +172,75 @@ export default function Backtest() {
                 </div>
               </div>
 
+              <div>
+                <div className="flex items-center justify-between mb-1">
+                  <label className="text-xs text-slate-500 block">Jambes ({legs.length}/{MAX_LEGS}) — modifiables</label>
+                  <button
+                    onClick={addLeg}
+                    disabled={legs.length >= MAX_LEGS}
+                    className="text-blue-400 hover:text-blue-300 disabled:opacity-30 disabled:hover:text-blue-400"
+                    title="Ajouter une jambe"
+                  >
+                    <Plus className="w-3.5 h-3.5" />
+                  </button>
+                </div>
+                <div className="space-y-2">
+                  {legs.map((leg, idx) => (
+                    <div key={idx} className="border border-slate-700/40 rounded p-1.5 space-y-1">
+                      <div className="flex items-center gap-1">
+                        <select
+                          value={leg.option_type}
+                          onChange={e => updateLeg(idx, { option_type: e.target.value as 'call' | 'put' })}
+                          className="flex-1 bg-dark-700 border border-slate-700 rounded px-1 py-1 text-[11px] text-white"
+                        >
+                          <option value="call">Call</option>
+                          <option value="put">Put</option>
+                        </select>
+                        <select
+                          value={leg.position}
+                          onChange={e => updateLeg(idx, { position: e.target.value as 'long' | 'short' })}
+                          className="flex-1 bg-dark-700 border border-slate-700 rounded px-1 py-1 text-[11px] text-white"
+                        >
+                          <option value="long">Achat</option>
+                          <option value="short">Vente</option>
+                        </select>
+                        <button
+                          onClick={() => removeLeg(idx)}
+                          disabled={legs.length <= 1}
+                          className="text-slate-500 hover:text-red-400 disabled:opacity-20 disabled:hover:text-slate-500 shrink-0"
+                        >
+                          <Trash2 className="w-3.5 h-3.5" />
+                        </button>
+                      </div>
+                      <div className="flex items-center gap-1">
+                        <input
+                          type="number" min={1} value={leg.quantity}
+                          onChange={e => updateLeg(idx, { quantity: Math.max(1, parseInt(e.target.value) || 1) })}
+                          title="Quantité"
+                          className="w-12 bg-dark-700 border border-slate-700 rounded px-1 py-1 text-[11px] text-white"
+                        />
+                        <input
+                          type="number" step={0.5} value={Math.round(leg.strike_pct * 1000) / 10}
+                          onChange={e => updateLeg(idx, { strike_pct: (parseFloat(e.target.value) || 100) / 100 })}
+                          title="Strike en % du spot"
+                          className="flex-1 bg-dark-700 border border-slate-700 rounded px-1 py-1 text-[11px] text-white"
+                        />
+                        <span className="text-[10px] text-slate-600 shrink-0">% spot</span>
+                        <select
+                          value={leg.expiry}
+                          onChange={e => updateLeg(idx, { expiry: e.target.value as 'near' | 'far' })}
+                          title="Échéance"
+                          className="bg-dark-700 border border-slate-700 rounded px-1 py-1 text-[11px] text-white shrink-0"
+                        >
+                          <option value="near">Proche</option>
+                          <option value="far">Lointaine</option>
+                        </select>
+                      </div>
+                    </div>
+                  ))}
+                </div>
+              </div>
+
               <div>
                 <label className="text-xs text-slate-500 mb-1 block">Period</label>
                 <input
@@ -139,19 +258,7 @@ export default function Backtest() {
               </div>
 
               <div>
-                <label className="text-xs text-slate-500 mb-1 block">
-                  Strike OTM: {(form.strike_offset_pct * 100).toFixed(0)}%
-                </label>
-                <input
-                  type="range" min={0} max={0.20} step={0.01}
-                  value={form.strike_offset_pct}
-                  onChange={e => set('strike_offset_pct', Number(e.target.value))}
-                  className="w-full accent-blue-500"
-                />
-              </div>
-
-              <div>
-                <label className="text-xs text-slate-500 mb-1 block">Expiration: {form.expiry_days}d</label>
+                <label className="text-xs text-slate-500 mb-1 block">Échéance proche: {form.expiry_days}d</label>
                 <div className="flex gap-1 mb-1">
                   {[30, 60, 90, 180].map(d => (
                     <button
@@ -168,6 +275,19 @@ export default function Backtest() {
                 </div>
               </div>
 
+              {usesFarExpiry && (
+                <div>
+                  <label className="text-xs text-slate-500 mb-1 block">
+                    Échéance lointaine ({'>'}{form.expiry_days}j): {form.far_expiry_days}d
+                  </label>
+                  <input
+                    type="number" min={form.expiry_days + 1} step={30} value={form.far_expiry_days}
+                    onChange={e => set('far_expiry_days', Math.max(form.expiry_days + 1, parseInt(e.target.value) || form.expiry_days * 2))}
+                    className="w-full bg-dark-700 border border-slate-700 rounded px-2 py-1.5 text-sm text-white focus:outline-none focus:border-blue-500"
+                  />
+                </div>
+              )}
+
               <div>
                 <label className="text-xs text-slate-500 mb-1 block">Initial capital (€)</label>
                 <input
@@ -180,7 +300,7 @@ export default function Backtest() {
 
               <button
                 onClick={run}
-                disabled={isPending}
+                disabled={isPending || !form.symbol || legs.length === 0}
                 className="w-full bg-blue-600 hover:bg-blue-500 disabled:opacity-50 text-white rounded py-2 text-sm font-semibold flex items-center justify-center gap-2 transition-colors"
               >
                 <Play className="w-4 h-4" />