backtest work

apps/stock/orchestrator/test-backtest.ts

@@ -0,0 +1,99 @@
+#!/usr/bin/env bun
+
+import { createContainer } from './src/simple-container';
+import { BacktestEngine } from './src/backtest/BacktestEngine';
+import { StrategyManager } from './src/strategies/StrategyManager';
+import { SimpleMovingAverageCrossover } from './src/strategies/examples/SimpleMovingAverageCrossover';
+
+async function runBacktest() {
+  console.log('Starting backtest test...');
+  
+  // Create container with minimal config
+  const config = {
+    port: 2004,
+    mode: 'paper',
+    enableWebSocket: false,
+    database: {
+      mongodb: { enabled: false },
+      postgres: { enabled: false },
+      questdb: { enabled: false }
+    },
+    redis: {
+      url: 'redis://localhost:6379'
+    },
+    backtesting: {
+      maxConcurrent: 1,
+      defaultSpeed: 'max',
+      dataResolutions: ['1d']
+    },
+    strategies: {
+      maxActive: 10,
+      defaultTimeout: 30000
+    }
+  };
+  const container = await createContainer(config);
+  
+  // Initialize strategy manager
+  const strategyManager = new StrategyManager(container.executionService, container.modeManager);
+  
+  // Create and add strategy
+  const strategyConfig = {
+    id: 'sma-test',
+    name: 'SMA Test',
+    type: 'sma-crossover',
+    symbols: ['AA'],
+    active: true,
+    allocation: 1.0,
+    riskLimit: 0.02,
+    maxPositions: 10
+  };
+  
+  const strategy = new SimpleMovingAverageCrossover(strategyConfig, container.modeManager, container.executionService);
+  await strategyManager.addStrategy(strategy);
+  
+  // Create backtest engine
+  const backtestEngine = new BacktestEngine(container, strategyManager);
+  
+  // Run backtest
+  const backtestConfig = {
+    symbols: ['AA'],
+    strategy: 'sma-crossover',
+    startDate: '2024-01-01',
+    endDate: '2024-12-31',
+    initialCapital: 100000,
+    commission: 0.001,
+    slippage: 0.0005,
+    dataFrequency: '1d'
+  };
+  
+  try {
+    console.log('Running backtest...');
+    const result = await backtestEngine.runBacktest(backtestConfig);
+    
+    console.log('\n=== Backtest Results ===');
+    console.log(`Total trades: ${result.metrics.totalTrades}`);
+    console.log(`Win rate: ${result.metrics.winRate.toFixed(2)}%`);
+    console.log(`Total return: ${result.metrics.totalReturn.toFixed(2)}%`);
+    console.log(`Sharpe ratio: ${result.metrics.sharpeRatio.toFixed(2)}`);
+    console.log(`Max drawdown: ${result.metrics.maxDrawdown.toFixed(2)}%`);
+    
+    console.log('\n=== Trade History ===');
+    result.trades.forEach((trade, i) => {
+      console.log(`Trade ${i + 1}: ${trade.side} ${trade.quantity} ${trade.symbol} @ ${trade.entryPrice.toFixed(2)}`);
+      if (trade.exitDate) {
+        console.log(`  Exit: ${trade.exitPrice.toFixed(2)}, P&L: ${trade.pnl.toFixed(2)} (${trade.pnlPercent.toFixed(2)}%)`);
+      }
+    });
+    
+    console.log(`\nTotal trades in result: ${result.trades.length}`);
+    
+  } catch (error) {
+    console.error('Backtest failed:', error);
+  } finally {
+    // Cleanup
+    await container.shutdownManager.shutdown();
+    process.exit(0);
+  }
+}
+
+runBacktest().catch(console.error);