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 testPerformanceMetrics() { console.log('Testing Performance Metrics Calculation...\n'); // Create minimal 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 }; // Initialize backtest mode await modeManager.initializeMode({ mode: 'backtest', startDate: '2023-01-01T00:00:00Z', endDate: '2023-03-31T00:00:00Z', // 3 months for more trades speed: 'max', symbols: ['AAPL'], initialCapital: 100000, dataFrequency: '1d', strategy: 'sma-crossover' }); // Create backtest engine const backtestEngine = new BacktestEngine(container, storageService, strategyManager); // Run backtest const config = { mode: 'backtest', name: 'Performance Metrics Test', strategy: 'sma-crossover', symbols: ['AAPL'], startDate: '2023-01-01T00:00:00Z', endDate: '2023-03-31T00:00:00Z', initialCapital: 100000, commission: 0.001, slippage: 0.0001, dataFrequency: '1d', speed: 'max' }; console.log('Running backtest...'); const result = await backtestEngine.runBacktest(config); // Analyze metrics console.log('\n=== PERFORMANCE METRICS ANALYSIS ==='); console.log('\nšŸ“Š Returns:'); 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('\nšŸ“ˆ Trading Statistics:'); console.log(` Total Trades: ${result.metrics.totalTrades}`); console.log(` Win Rate: ${result.metrics.winRate.toFixed(2)}%`); console.log(` Profit Factor: ${result.metrics.profitFactor.toFixed(2)}`); console.log(` Average Win: $${result.metrics.avgWin.toFixed(2)}`); console.log(` Average Loss: $${result.metrics.avgLoss.toFixed(2)}`); console.log('\nšŸŽÆ Trade Details:'); 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); console.log(` Winning Trades: ${wins.length}`); console.log(` Losing Trades: ${losses.length}`); console.log(` Calculated Win Rate: ${(wins.length / result.trades.length * 100).toFixed(2)}%`); // Show first few trades console.log('\n First 3 trades:'); result.trades.slice(0, 3).forEach((trade, i) => { console.log(` ${i + 1}. ${trade.side} ${trade.quantity} @ ${trade.exitPrice.toFixed(2)} | P&L: $${trade.pnl.toFixed(2)} (${trade.pnlPercent.toFixed(2)}%)`); }); } console.log('\nšŸ’° Equity Curve:'); console.log(` Starting Capital: $${config.initialCapital.toLocaleString()}`); console.log(` Final Value: $${result.equity[result.equity.length - 1].value.toFixed(2)}`); console.log(` Equity Points: ${result.equity.length}`); // Show first and last few equity points console.log('\n First 3 equity points:'); result.equity.slice(0, 3).forEach((point, i) => { console.log(` ${i + 1}. ${point.date} => $${point.value.toFixed(2)}`); }); console.log('\n Last 3 equity points:'); result.equity.slice(-3).forEach((point, i) => { console.log(` ${i + 1}. ${point.date} => $${point.value.toFixed(2)}`); }); // Diagnostic checks console.log('\nšŸ” Diagnostics:'); const sharpeOK = result.metrics.sharpeRatio !== 0; const drawdownOK = result.metrics.maxDrawdown > 0 && result.metrics.maxDrawdown < 0.99; const winRateOK = result.metrics.winRate > 0 && result.metrics.winRate < 100; console.log(` āœ… Sharpe Ratio calculated: ${sharpeOK ? 'YES' : 'NO'}`); console.log(` āœ… Max Drawdown reasonable: ${drawdownOK ? 'YES' : 'NO (suspicious value)'}`); console.log(` āœ… Win Rate reasonable: ${winRateOK ? 'YES' : 'NO (check trade P&L)'}`); console.log('\n=== TEST COMPLETE ==='); process.exit(0); } testPerformanceMetrics().catch(error => { console.error('Test failed:', error); process.exit(1); });