finished initial backtest / engine

apps/stock/orchestrator/test-clear-crossovers.ts

@@ -0,0 +1,138 @@
+#!/usr/bin/env bun
+
+/**
+ * Test with very clear crossover patterns
+ */
+
+import { BacktestEngine } from './src/backtest/BacktestEngine';
+import { StrategyManager } from './src/strategies/StrategyManager';
+import { StorageService } from './src/services/StorageService';
+import { getLogger } from '@stock-bot/logger';
+import { ModeManager } from './src/core/ModeManager';
+import { MarketDataService } from './src/services/MarketDataService';
+import { ExecutionService } from './src/services/ExecutionService';
+import { DataManager } from './src/data/DataManager';
+
+async function testClearCrossovers() {
+  console.log('=== Test with Clear Crossovers ===\n');
+  
+  const logger = getLogger('test');
+  const container = {
+    logger,
+    custom: {}
+  };
+  
+  const storageService = new StorageService(container as any);
+  const marketDataService = new MarketDataService(container as any);
+  const executionService = new ExecutionService(container as any);
+  const modeManager = new ModeManager(container as any, marketDataService, executionService, storageService);
+  
+  container.custom = {
+    ModeManager: modeManager,
+    MarketDataService: marketDataService,
+    ExecutionService: executionService
+  };
+  
+  const strategyManager = new StrategyManager(container as any);
+  const backtestEngine = new BacktestEngine(container as any, storageService, strategyManager);
+  
+  // Override data loading to provide clear patterns
+  const dataManager = new DataManager(container as any, storageService);
+  (backtestEngine as any).dataManager = dataManager;
+  
+  (dataManager as any).loadHistoricalData = async (symbols: string[], startDate: Date, endDate: Date) => {
+    const data = new Map();
+    const bars = [];
+    
+    console.log('Generating clear crossover patterns...');
+    
+    // Generate 100 days of data with 3 clear crossovers
+    // Pattern: Start high, go low (death cross), go high (golden cross), go low (death cross)
+    
+    for (let i = 0; i < 100; i++) {
+      let price;
+      
+      if (i < 20) {
+        // Start at 100, slight upward trend
+        price = 100 + i * 0.5;
+      } else if (i < 40) {
+        // Sharp downtrend from 110 to 70 (death cross around day 30)
+        price = 110 - (i - 20) * 2;
+      } else if (i < 60) {
+        // Sharp uptrend from 70 to 110 (golden cross around day 50)
+        price = 70 + (i - 40) * 2;
+      } else if (i < 80) {
+        // Sharp downtrend from 110 to 70 (death cross around day 70)
+        price = 110 - (i - 60) * 2;
+      } else {
+        // Stabilize around 70
+        price = 70 + Math.sin((i - 80) * 0.3) * 2;
+      }
+      
+      const timestamp = startDate.getTime() + i * 86400000;
+      
+      bars.push({
+        type: 'bar',
+        data: {
+          symbol: 'AAPL',
+          open: price - 0.5,
+          high: price + 1,
+          low: price - 1,
+          close: price,
+          volume: 1000000,
+          timestamp
+        }
+      });
+      
+      if (i % 10 === 0) {
+        console.log(`Day ${i + 1}: Price = $${price.toFixed(2)}`);
+      }
+    }
+    
+    console.log('\nExpected crossovers:');
+    console.log('- Death cross around day 30');
+    console.log('- Golden cross around day 50');
+    console.log('- Death cross around day 70\n');
+    
+    data.set('AAPL', bars);
+    return data;
+  };
+  
+  const config = {
+    mode: 'backtest' as const,
+    name: 'Clear Crossovers Test',
+    strategy: 'sma-crossover',
+    symbols: ['AAPL'],
+    startDate: '2023-01-01T00:00:00Z',
+    endDate: '2023-04-10T00:00:00Z', // 100 days
+    initialCapital: 100000,
+    dataFrequency: '1d',
+    commission: 0.001,
+    slippage: 0.0001,
+    speed: 'max' as const
+  };
+  
+  await modeManager.initializeMode(config);
+  
+  try {
+    const result = await backtestEngine.runBacktest(config);
+    
+    console.log('\n=== Backtest Results ===');
+    console.log(`Total Return: ${result.metrics.totalReturn.toFixed(2)}%`);
+    console.log(`Total Trades: ${result.metrics.totalTrades}`);
+    console.log(`Trades in history: ${result.trades.length}`);
+    console.log(`Win Rate: ${result.metrics.winRate.toFixed(2)}%`);
+    
+    console.log('\nTrade Details:');
+    result.trades.forEach((trade, i) => {
+      const entry = new Date(trade.entryDate).toLocaleDateString();
+      const exit = trade.exitDate ? new Date(trade.exitDate).toLocaleDateString() : 'OPEN';
+      console.log(`Trade ${i + 1}: ${trade.side} ${trade.quantity} @ $${trade.entryPrice.toFixed(2)} (${entry}) -> ${exit === 'OPEN' ? 'OPEN' : `$${trade.exitPrice.toFixed(2)} (${exit})`} | P&L: ${trade.pnl.toFixed(2)}`);
+    });
+    
+  } catch (error) {
+    console.error('Backtest failed:', error);
+  }
+}
+
+testClearCrossovers().catch(console.error);