Add another end-to-end test over a single market movement (1 decision)

Fix the implementation of BacktestResults.nav, as well as change
.holdings (which is slightly ambiguous) into quantities_held and
values_held

Author: jathoms

src/backtest_lib/backtest/results.py

@@ -259,7 +259,7 @@ def from_weights_market_initial_capital(
         return results
 
     @cached_property
-    def holdings(self) -> PastView[float, IndexT]:
+    def quantities_held(self) -> PastView[float, IndexT]:
         weights = self.weights.by_security.to_dataframe(lazy=True)
         prices = self.market.prices.close.by_security.to_dataframe(lazy=True)
 
@@ -273,10 +273,35 @@ def holdings(self) -> PastView[float, IndexT]:
             )
             if dtype.is_numeric()
         ]
+        nav_series = pl.Series(self.nav)
 
-        result = joined.select(
+        qtys = joined.select(
             "date",
-            *[(pl.col(c) * pl.col(f"{c}_p")).alias(c) for c in numeric_cols],
+            *[
+                (pl.col(c) * nav_series / pl.col(f"{c}_p")).alias(c)
+                for c in numeric_cols
+            ],
         )
 
-        return self._backend.from_dataframe(result.collect())
+        return self._backend.from_dataframe(qtys.collect())
+
+    @cached_property
+    def values_held(self) -> PastView[float, IndexT]:
+        weights = self.weights.by_security.to_dataframe(lazy=True)
+
+        weights_schema = weights.collect_schema()
+        numeric_cols = [
+            name
+            for name, dtype in zip(
+                weights_schema.names(), weights_schema.dtypes(), strict=True
+            )
+            if dtype.is_numeric()
+        ]
+        nav_series = pl.Series(self.nav)
+
+        values = weights.select(
+            "date",
+            *[(pl.col(c) * nav_series).alias(c) for c in numeric_cols],
+        )
+
+        return self._backend.from_dataframe(values.collect())

src/backtest_lib/market/polars_impl/_past_view.py

@@ -16,6 +16,7 @@
 
 import numpy as np
 import polars as pl
+from polars.exceptions import InvalidOperationError
 
 from backtest_lib.market import ByPeriod, BySecurity, Closed, PastView
 from backtest_lib.market.plotting import (
@@ -525,7 +526,16 @@ def from_dataframe(df: pl.DataFrame | pd.DataFrame) -> Self:
             ) from e
 
         if dates.dtype not in (pl.Date, pl.Datetime):
-            dates = dates.cast(pl.Datetime("us"))
+            if dates.dtype == pl.String:
+                dates = dates.str.to_datetime(time_unit="us")
+            else:
+                try:
+                    dates = dates.cast(pl.Datetime("us"))
+                except InvalidOperationError as e:
+                    raise ValueError(
+                        "Cannot convert 'date' column with polars type "
+                        f"{dates.dtype} to polars.Datetime)"
+                    ) from e
 
         period_names = dates.dt.to_string()
         non_date_cols = [x for x in df.columns if x != "date"]

tests/conftest.py

@@ -16,3 +16,10 @@ def single_security_market(test_data_dir) -> MarketView:
     data = read_csv(test_data_dir / "single_security.csv")
     market = MarketView(data)
     return market
+
+
+@pytest.fixture(scope="session")
+def simple_market(test_data_dir) -> MarketView:
+    data = read_csv(test_data_dir / "simple_market.csv")
+    market = MarketView(data)
+    return market

tests/data/simple_market.csv

@@ -0,0 +1,3 @@
+date,sec1,sec2
+2025-01-01,100.0,10.0
+2025-01-02,200.0,10.0

tests/e2e/short_schedule_test.py

@@ -0,0 +1,25 @@
+import backtest_lib as btl
+from backtest_lib import target_weights
+from backtest_lib.engine.decision import (
+    Decision,
+)
+from backtest_lib.portfolio import uniform_portfolio
+
+
+def test_over_single_market_movement(simple_market):
+    market = simple_market
+    initial_capital = 1_000_000
+    initial_portfolio = uniform_portfolio(market.securities, value=initial_capital)
+
+    def strategy(*args, **kwargs) -> Decision:
+        return target_weights({"sec1": 0.5, "sec2": 0.5})
+
+    backtest = btl.Backtest(
+        strategy=strategy, market_view=market, initial_portfolio=initial_portfolio
+    )
+    results = backtest.run()
+
+    assert list(results.quantities_held.by_security["sec1"]) == [5000, 3750]
+    assert list(results.quantities_held.by_security["sec2"]) == [50000, 75000]
+    assert results.nav == [initial_capital, initial_capital * 1.5]
+    assert results.total_return == 0.5