cleanup and fixed initial capital / commision / splippage

2025-07-03 19:39:19 -04:00 · 2025-07-03 19:39:19 -04:00 · d14380d740
commit d14380d740
parent 70da2c68e5
19 changed files with 1344 additions and 33 deletions
--- a/apps/stock/orchestrator/test-full-backtest.ts
+++ b/apps/stock/orchestrator/test-full-backtest.ts
@ -0,0 +1,130 @@
+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 testFullBacktest() {
+  console.log('Testing Full Backtest with Real Data...\n');
+  
+  // Create service container
+  const container: IServiceContainer = {
+    logger: {
+      info: (msg: string, ...args: any[]) => 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[]) => 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
+  };
+
+  // Test configuration matching what frontend might send
+  const config = {
+    mode: 'backtest',
+    name: 'Full Test',
+    strategy: 'sma-crossover',
+    symbols: ['AAPL', 'MSFT', 'GOOGL'], // Multiple symbols
+    startDate: '2023-01-01T00:00:00Z',
+    endDate: '2023-12-31T00:00:00Z', // Full year
+    initialCapital: 100000,
+    commission: 0.001,
+    slippage: 0.0001,
+    dataFrequency: '1d',
+    speed: 'max'
+  };
+  
+  // Initialize backtest mode
+  await modeManager.initializeMode(config);
+
+  // Create backtest engine
+  const backtestEngine = new BacktestEngine(container, storageService, strategyManager);
+  
+  console.log('Running full year backtest with multiple symbols...');
+  const startTime = Date.now();
+  
+  try {
+    const result = await backtestEngine.runBacktest(config);
+    
+    const duration = (Date.now() - startTime) / 1000;
+    console.log(`\nBacktest completed in ${duration.toFixed(2)} seconds`);
+    
+    // Check for data anomalies
+    console.log('\n=== RESULT ANALYSIS ===');
+    console.log(`Total Return: ${result.metrics.totalReturn.toFixed(2)}%`);
+    console.log(`Sharpe Ratio: ${result.metrics.sharpeRatio.toFixed(3)}`);
+    console.log(`Max Drawdown: ${(result.metrics.maxDrawdown * 100).toFixed(2)}%`);
+    console.log(`Win Rate: ${result.metrics.winRate.toFixed(1)}%`);
+    console.log(`Total Trades: ${result.metrics.totalTrades}`);
+    console.log(`Trades Array Length: ${result.trades.length}`);
+    
+    // Check equity curve
+    console.log('\n=== EQUITY CURVE CHECK ===');
+    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];
+      const max = Math.max(...result.equity.map(e => e.value));
+      const min = Math.min(...result.equity.map(e => e.value));
+      
+      console.log(`First: $${first.value.toFixed(2)}`);
+      console.log(`Last: $${last.value.toFixed(2)}`);
+      console.log(`Max: $${max.toFixed(2)}`);
+      console.log(`Min: $${min.toFixed(2)}`);
+      
+      // Check for exponential growth
+      const growthRatio = last.value / first.value;
+      if (growthRatio > 10) {
+        console.log('\n⚠️  WARNING: Detected possible exponential growth!');
+        console.log(`Growth ratio: ${growthRatio.toFixed(2)}x`);
+      }
+    }
+    
+    // Sample some trades
+    console.log('\n=== TRADE SAMPLES ===');
+    if (result.trades.length > 0) {
+      console.log('First 3 trades:');
+      result.trades.slice(0, 3).forEach((t, i) => {
+        console.log(`  ${i+1}. ${t.symbol} ${t.side} ${t.quantity} @ ${t.exitPrice.toFixed(2)} | P&L: $${t.pnl.toFixed(2)} (${t.pnlPercent.toFixed(2)}%)`);
+      });
+      
+      if (result.trades.length > 3) {
+        console.log('\nLast 3 trades:');
+        result.trades.slice(-3).forEach((t, i) => {
+          console.log(`  ${i+1}. ${t.symbol} ${t.side} ${t.quantity} @ ${t.exitPrice.toFixed(2)} | P&L: $${t.pnl.toFixed(2)} (${t.pnlPercent.toFixed(2)}%)`);
+        });
+      }
+    }
+    
+    // Check raw metrics object
+    console.log('\n=== RAW METRICS ===');
+    console.log(JSON.stringify(result.metrics, null, 2));
+    
+  } catch (error) {
+    console.error('Backtest failed:', error);
+  }
+  
+  console.log('\n=== TEST COMPLETE ===');
+  process.exit(0);
+}
+
+testFullBacktest().catch(error => {
+  console.error('Test failed:', error);
+  process.exit(1);
+});