Merge pull request #15 from second-state/feat/svb-backtest-example

feat: add SVB bank run backtest example

Author: juntao

examples/backtest/README.md

@@ -10,6 +10,7 @@ Historical trading simulations with forward PnL analysis. Each script simulates
 | `ftx_crypto_contagion.py` | 2022-11-08 | Crypto contagion hedge | Short BTC + Short ETH + Long GOLD | BTC -15%, ETH -18%; crypto shorts drove profit |
 | `nvda_earnings_alpha.py` | 2023-05-25 | Sector alpha pair | Long NVDA + Short SP500 | NVDA +5% while SP500 flat; pure alpha |
 | `ukraine_oil_shock.py` | 2022-02-24 | Commodity supply shock | Long OIL + Long GOLD + Short SP500 | Oil surged 16% in 7 days on sanctions |
+| `svb_crypto_haven.py` | 2023-03-13 | Crypto as digital gold | Long BTC + Long ETH + Long GOLD + Short SP500 | BTC +15%, portfolio +4.8% in 7 days on banking crisis |
 
 ## Setup
 
@@ -27,6 +28,7 @@ python3 examples/backtest/covid_crash_hedge.py
 python3 examples/backtest/ftx_crypto_contagion.py
 python3 examples/backtest/nvda_earnings_alpha.py
 python3 examples/backtest/ukraine_oil_shock.py
+python3 examples/backtest/svb_crypto_haven.py
 
 # Override binary path
 python3 examples/backtest/covid_crash_hedge.py --backtest /path/to/backtest

examples/backtest/svb_crypto_haven.py

@@ -0,0 +1,232 @@
+#!/usr/bin/env python3
+"""
+SVB Bank Run — Crypto as Digital Gold
+=======================================
+
+Date: March 13, 2023 (Monday after Silicon Valley Bank collapsed)
+
+Thesis: On March 10, 2023, Silicon Valley Bank was seized by the FDIC —
+the second-largest bank failure in US history. Signature Bank followed
+on March 12. Traditional finance was in crisis. The contrarian bet:
+crypto isn't just speculative — it's a decentralized alternative to
+a fractured banking system. Meanwhile, gold catches safe-haven flows
+and equities face contagion risk.
+
+Starting capital: $1,000 split evenly across 4 legs ($250 each):
+  1. Long BTC   — digital gold, decentralized store of value ($250)
+  2. Long ETH   — DeFi as banking alternative ($250)
+  3. Long GOLD  — traditional safe haven ($250)
+  4. Short SP500 — banking contagion risk ($250)
+
+The thesis is that all four legs win in a banking crisis: crypto
+rallies on "be your own bank" narrative, gold on fear, equities
+on contagion. If crypto fails to rally, gold and the short hedge
+limit the damage.
+
+Usage: python3 examples/backtest/svb_crypto_haven.py
+"""
+
+import argparse
+import json
+import os
+import subprocess
+import sys
+from pathlib import Path
+
+SCRIPT_DIR = Path(__file__).resolve().parent
+REPO_DIR = SCRIPT_DIR.parent.parent
+
+DEFAULTS = {
+    "backtest": os.environ.get("BACKTEST", str(REPO_DIR / "target" / "release" / "backtest")),
+}
+
+DATE = "2023-03-13"
+CAPITAL = 1000.0
+NUM_LEGS = 4
+PER_LEG = CAPITAL / NUM_LEGS
+
+
+def cli(cmd: dict, binary: str, date: str) -> dict:
+    """Call the backtest CLI in JSON mode. Returns parsed JSON output."""
+    try:
+        result = subprocess.run(
+            [binary, "--at", date, "--json", json.dumps(cmd)],
+            capture_output=True, text=True, timeout=30,
+        )
+        if result.returncode != 0:
+            return {"error": result.stderr.strip() or f"exit code {result.returncode}"}
+        return json.loads(result.stdout)
+    except (json.JSONDecodeError, subprocess.TimeoutExpired) as e:
+        return {"error": str(e)}
+
+
+def print_trade(result: dict):
+    if "error" in result:
+        print(f"  ERROR: {result['error']}")
+        return
+    trade = result.get("trade", {})
+    pnl = result.get("pnl", [])
+    symbol = trade.get("symbol", "?")
+    side = trade.get("side", "?")
+    amount = trade.get("amount", 0)
+    price = trade.get("price", 0)
+    total = amount * price
+    print(f"  {side.upper()} {amount} {symbol} @ ${price:,.2f} (${total:,.2f} notional)")
+    if pnl:
+        print()
+        print(f"  {'':>10} {'  +1 day':>14} {'  +2 days':>14} {'  +4 days':>14} {'  +7 days':>14}")
+        print(f"  {'':>10} {'':->14} {'':->14} {'':->14} {'':->14}")
+        prices = "".join(f"  ${float(p.get('price', 0)):>10,.2f}" for p in pnl)
+        pnl_dollars = "".join(
+            f"  {'+' if float(p.get('pnl', 0)) >= 0 else ''}{float(p.get('pnl', 0)):>10,.2f}"
+            for p in pnl
+        )
+        pnl_pcts = "".join(
+            f"  {'+' if float(p.get('pnlPct', 0)) >= 0 else ''}{float(p.get('pnlPct', 0)):>9,.2f}%"
+            for p in pnl
+        )
+        print(f"  {'Price':>10}{prices}")
+        print(f"  {'PnL $':>10}{pnl_dollars}")
+        print(f"  {'PnL %':>10}{pnl_pcts}")
+    print()
+
+    portfolio = result.get("portfolio", {})
+    cash = float(portfolio.get("cashBalance", 0))
+    print(f"  [PORTFOLIO] Cash balance: ${cash:,.2f}")
+    for pos in portfolio.get("positions", []):
+        print(
+            f"  [PORTFOLIO] {pos['type']} {pos['side']} {pos['symbol']}: "
+            f"{abs(pos['quantity']):.4f} @ avg ${pos['avgEntryPrice']}"
+        )
+    print()
+    return pnl
+
+
+def print_portfolio(balance: dict, positions: dict):
+    cash = float(balance.get("cashBalance", 0))
+    total_trades = balance.get("totalTrades", 0)
+    pos_list = positions if isinstance(positions, list) else positions.get("positions", [])
+    print(f"  Cash balance: ${cash:,.2f}")
+    print(f"  Total trades: {total_trades}")
+    print(f"  Open positions: {len(pos_list)}")
+    if pos_list:
+        print()
+        print(f"  {'Symbol':<10} {'Type':<6} {'Side':<8} {'Quantity':>12} {'Avg Entry':>14}")
+        print(f"  {'-' * 54}")
+        for p in pos_list:
+            print(
+                f"  {p['symbol']:<10} {p['type']:<6} {p['side']:<8} "
+                f"{abs(p['quantity']):>12.4f} {float(p['avgEntryPrice']):>14.2f}"
+            )
+    print()
+
+
+def run(cfg: dict):
+    bt = cfg["backtest"]
+
+    print()
+    print("=" * 62)
+    print(" SVB Bank Run — Crypto as Digital Gold")
+    print(f" March 13, 2023 | Starting capital: ${CAPITAL:,.0f}")
+    print(f" ${PER_LEG:,.0f} per leg x {NUM_LEGS} legs")
+    print("=" * 62)
+    print()
+
+    # Reset portfolio
+    cli({"command": "reset"}, bt, DATE)
+
+    # Scout prices
+    print("-- Scouting prices on", DATE, "--")
+    print()
+
+    btc = cli({"command": "quote", "symbol": "BTC"}, bt, DATE)
+    eth = cli({"command": "quote", "symbol": "ETH"}, bt, DATE)
+    gold = cli({"command": "quote", "symbol": "GOLD"}, bt, DATE)
+    sp = cli({"command": "quote", "symbol": "SP500"}, bt, DATE)
+    btc_price = float(btc.get("price", 0))
+    eth_price = float(eth.get("price", 0))
+    gold_price = float(gold.get("price", 0))
+    sp_price = float(sp.get("price", 0))
+
+    print(f"  BTC:   ${btc_price:,.2f}")
+    print(f"  ETH:   ${eth_price:,.2f}")
+    print(f"  GOLD:  ${gold_price:,.2f}")
+    print(f"  SP500: ${sp_price:,.2f}")
+    print()
+
+    # Calculate position sizes for $250 per leg
+    btc_amount = round(PER_LEG / btc_price, 6)
+    eth_amount = round(PER_LEG / eth_price, 4)
+    gold_amount = round(PER_LEG / gold_price, 4)
+    sp_amount = round(PER_LEG / sp_price, 4)
+
+    all_pnl = []
+
+    # Leg 1: Long BTC
+    print(f"-- Leg 1: Long BTC (${PER_LEG:.0f} — digital gold, decentralized store of value) --")
+    pnl = print_trade(cli({"command": "buy", "symbol": "BTC", "amount": btc_amount, "price": btc_price}, bt, DATE))
+    all_pnl.append(("BTC long", pnl))
+
+    # Leg 2: Long ETH
+    print(f"-- Leg 2: Long ETH (${PER_LEG:.0f} — DeFi as banking alternative) --")
+    pnl = print_trade(cli({"command": "buy", "symbol": "ETH", "amount": eth_amount, "price": eth_price}, bt, DATE))
+    all_pnl.append(("ETH long", pnl))
+
+    # Leg 3: Long GOLD
+    print(f"-- Leg 3: Long GOLD (${PER_LEG:.0f} — traditional safe haven) --")
+    pnl = print_trade(cli({"command": "buy", "symbol": "GOLD", "amount": gold_amount, "price": gold_price}, bt, DATE))
+    all_pnl.append(("GOLD long", pnl))
+
+    # Leg 4: Short SP500
+    print(f"-- Leg 4: Short SP500 (${PER_LEG:.0f} — banking contagion risk) --")
+    pnl = print_trade(cli({"command": "sell", "symbol": "SP500", "amount": sp_amount, "price": sp_price}, bt, DATE))
+    all_pnl.append(("SP500 short", pnl))
+
+    # Combined PnL summary
+    print("=" * 62)
+    print(" Combined Portfolio PnL (starting $1,000)")
+    print("=" * 62)
+    offsets = ["+1 day", "+2 days", "+4 days", "+7 days"]
+    print()
+    print(f"  {'Leg':<14} {'  +1 day':>10} {'  +2 days':>10} {'  +4 days':>10} {'  +7 days':>10}")
+    print(f"  {'-' * 54}")
+    totals = [0.0, 0.0, 0.0, 0.0]
+    for name, pnl in all_pnl:
+        if pnl:
+            vals = [float(p.get("pnl", 0)) for p in pnl]
+            for i, v in enumerate(vals):
+                totals[i] += v
+            row = "".join(f"  {'+' if v >= 0 else ''}{v:>8.2f}" for v in vals)
+            print(f"  {name:<14}{row}")
+    print(f"  {'-' * 54}")
+    total_row = "".join(f"  {'+' if t >= 0 else ''}{t:>8.2f}" for t in totals)
+    print(f"  {'TOTAL':<14}{total_row}")
+    print()
+
+    balance_row = "".join(f"  ${CAPITAL + t:>8.2f}" for t in totals)
+    print(f"  {'Balance':<14}{balance_row}")
+    pct_row = "".join(f"  {'+' if t >= 0 else ''}{t / CAPITAL * 100:>7.2f}%" for t in totals)
+    print(f"  {'Return':<14}{pct_row}")
+    print()
+
+    # Portfolio state
+    print("=" * 62)
+    print(" Final Portfolio State")
+    print("=" * 62)
+    balance = cli({"command": "balance"}, bt, DATE)
+    positions = cli({"command": "positions"}, bt, DATE)
+    print_portfolio(balance, positions)
+
+    # Cleanup
+    cli({"command": "reset"}, bt, DATE)
+
+
+def main():
+    parser = argparse.ArgumentParser(description="SVB bank run — crypto as digital gold backtest")
+    parser.add_argument("--backtest", default=DEFAULTS["backtest"], help="Path to backtest binary")
+    args = parser.parse_args()
+    run({"backtest": args.backtest})
+
+
+if __name__ == "__main__":
+    main()