cleanup and fixed initial capital / commision / splippage

apps/stock/orchestrator/debug-performance-values.ts

@@ -0,0 +1,149 @@
+import { BacktestEngine } from './src/backtest/BacktestEngine';
+import { StrategyManager } from './src/strategies/StrategyManager';
+import { StorageService } from './src/services/StorageService';
+import { ModeManager } from './src/core/ModeManager';
+import { MarketDataService } from './src/services/MarketDataService';
+import { ExecutionService } from './src/services/ExecutionService';
+import { IServiceContainer } from '@stock-bot/di';
+
+async function debugPerformanceValues() {
+  console.log('Debugging Performance Calculation Values...\n');
+  
+  // Create minimal service container with more logging
+  const container: IServiceContainer = {
+    logger: {
+      info: (msg: string, ...args: any[]) => {
+        // Log everything related to P&L and portfolio
+        if (msg.includes('P&L') || msg.includes('portfolio') || msg.includes('Portfolio') || 
+            msg.includes('equity') || msg.includes('Total') || msg.includes('pnl')) {
+          console.log('[INFO]', msg, ...args);
+        }
+      },
+      error: (msg: string, ...args: any[]) => console.error('[ERROR]', msg, ...args),
+      warn: (msg: string, ...args: any[]) => console.warn('[WARN]', msg, ...args),
+      debug: (msg: string, ...args: any[]) => {
+        if (msg.includes('P&L') || msg.includes('portfolio') || msg.includes('pnl')) {
+          console.log('[DEBUG]', msg, ...args);
+        }
+      },
+    } as any,
+    custom: {}
+  };
+
+  // Initialize services
+  const storageService = new StorageService();
+  const marketDataService = new MarketDataService(container);
+  const executionService = new ExecutionService(container);
+  const modeManager = new ModeManager(container, marketDataService, executionService, storageService);
+  const strategyManager = new StrategyManager(container);
+
+  // Set services in container
+  container.custom = {
+    MarketDataService: marketDataService,
+    ExecutionService: executionService,
+    ModeManager: modeManager,
+    StorageService: storageService
+  };
+
+  // Initialize backtest mode
+  await modeManager.initializeMode({
+    mode: 'backtest',
+    startDate: '2023-01-01T00:00:00Z',
+    endDate: '2023-01-15T00:00:00Z',  // Just 15 days
+    speed: 'max',
+    symbols: ['TEST'],
+    initialCapital: 100000,
+    dataFrequency: '1d',
+    strategy: 'sma-crossover'
+  });
+
+  // Create backtest engine
+  const backtestEngine = new BacktestEngine(container, storageService, strategyManager);
+  
+  // Run backtest
+  const config = {
+    mode: 'backtest',
+    name: 'Debug Performance Values',
+    strategy: 'sma-crossover',
+    symbols: ['TEST'],
+    startDate: '2023-01-01T00:00:00Z',
+    endDate: '2023-01-15T00:00:00Z',
+    initialCapital: 100000,
+    commission: 0.001,
+    slippage: 0.0001,
+    dataFrequency: '1d',
+    speed: 'max'
+  };
+  
+  console.log('Running backtest...');
+  const result = await backtestEngine.runBacktest(config);
+  
+  // Debug values
+  console.log('\n=== RAW VALUES DEBUG ===');
+  console.log(`Initial Capital: $${config.initialCapital}`);
+  console.log(`Reported Metrics:`);
+  console.log(`  - Total Return: ${result.metrics.totalReturn}%`);
+  console.log(`  - Sharpe Ratio: ${result.metrics.sharpeRatio}`);
+  console.log(`  - Max Drawdown: ${result.metrics.maxDrawdown}%`);
+  console.log(`  - Win Rate: ${result.metrics.winRate}%`);
+  console.log(`  - Total Trades: ${result.metrics.totalTrades}`);
+  
+  console.log('\n=== EQUITY CURVE VALUES ===');
+  console.log(`Equity Points: ${result.equity.length}`);
+  if (result.equity.length > 0) {
+    const first = result.equity[0];
+    const last = result.equity[result.equity.length - 1];
+    console.log(`First: ${first.date} => $${first.value}`);
+    console.log(`Last: ${last.date} => $${last.value}`);
+    
+    // Manual calculation
+    const manualReturn = ((last.value - first.value) / first.value) * 100;
+    console.log(`\nManual Total Return: ${manualReturn.toFixed(2)}%`);
+    console.log(`Difference from reported: ${Math.abs(manualReturn - result.metrics.totalReturn).toFixed(2)}%`);
+  }
+  
+  console.log('\n=== TRADE ANALYSIS ===');
+  console.log(`Closed Trades: ${result.trades.length}`);
+  if (result.trades.length > 0) {
+    const wins = result.trades.filter(t => t.pnl > 0);
+    const losses = result.trades.filter(t => t.pnl < 0);
+    const manualWinRate = (wins.length / result.trades.length) * 100;
+    
+    console.log(`Wins: ${wins.length}`);
+    console.log(`Losses: ${losses.length}`);
+    console.log(`Manual Win Rate: ${manualWinRate.toFixed(2)}%`);
+    
+    // Show P&L values
+    const totalPnL = result.trades.reduce((sum, t) => sum + t.pnl, 0);
+    console.log(`\nTotal P&L from trades: $${totalPnL.toFixed(2)}`);
+    
+    // Show first few trades
+    console.log('\nFirst 3 trades:');
+    result.trades.slice(0, 3).forEach((t, i) => {
+      console.log(`  ${i+1}. ${t.side} ${t.quantity} @ ${t.exitPrice} | P&L: $${t.pnl.toFixed(2)}`);
+    });
+  }
+  
+  // Check trading engine P&L
+  const tradingEngine = strategyManager.getTradingEngine();
+  if (tradingEngine) {
+    try {
+      const [realized, unrealized] = tradingEngine.getTotalPnl();
+      console.log('\n=== TRADING ENGINE P&L ===');
+      console.log(`Realized P&L: $${realized.toFixed(2)}`);
+      console.log(`Unrealized P&L: $${unrealized.toFixed(2)}`);
+      console.log(`Total P&L: $${(realized + unrealized).toFixed(2)}`);
+      console.log(`Portfolio Value: $${(config.initialCapital + realized + unrealized).toFixed(2)}`);
+    } catch (e) {
+      console.error('Failed to get P&L from trading engine:', e);
+    }
+  }
+  
+  console.log('\n=== TEST COMPLETE ===');
+  process.exit(0);
+}
+
+debugPerformanceValues().catch(error => {
+  console.error('Test failed:', error);
+  process.exit(1);
+});