stock-bot/apps/stock/orchestrator/test-rust-backtest.ts

import { createRustBacktest } from './src/backtest/RustBacktestEngine';
import { SimpleMovingAverageCrossoverRust } from './src/strategies/rust/SimpleMovingAverageCrossoverRust';
import { IServiceContainer } from '@stock-bot/di';

// Mock StorageService
class MockStorageService {
  async getHistoricalBars(symbol: string, startDate: Date, endDate: Date, frequency: string) {
    // Generate mock data
    const bars = [];
    const msPerDay = 24 * 60 * 60 * 1000;
    let currentDate = new Date(startDate);
    let price = 100 + Math.random() * 50; // Start between 100-150
    
    while (currentDate <= endDate) {
      // Random walk
      const change = (Math.random() - 0.5) * 2; // +/- 1%
      price *= (1 + change / 100);
      
      bars.push({
        symbol,
        timestamp: new Date(currentDate),
        open: price * (1 + (Math.random() - 0.5) * 0.01),
        high: price * (1 + Math.random() * 0.02),
        low: price * (1 - Math.random() * 0.02),
        close: price,
        volume: 1000000 + Math.random() * 500000,
      });
      
      currentDate = new Date(currentDate.getTime() + msPerDay);
    }
    
    return bars;
  }
}

async function testRustBacktest() {
  console.log('🚀 Testing Rust Backtest Engine with TypeScript Strategy\n');
  
  // Create minimal 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: {
      StorageService: new MockStorageService(),
    }
  };
  
  // Backtest configuration
  const config = {
    mode: 'backtest' as const,
    name: 'Rust Engine Test',
    strategy: 'sma-crossover',
    symbols: ['AAPL'], // Just one symbol for testing
    startDate: '2023-01-01T00:00:00Z',
    endDate: '2023-01-31T00:00:00Z', // Just one month for testing
    initialCapital: 100000,
    commission: 0.001,
    slippage: 0.0001,
    dataFrequency: '1d',
    speed: 'max' as const,
  };
  
  // Create strategy
  const strategy = new SimpleMovingAverageCrossoverRust({
    fastPeriod: 10,
    slowPeriod: 30,
    minHoldingBars: 5,
  });
  
  console.log('Configuration:');
  console.log(`  Symbols: ${config.symbols.join(', ')}`);
  console.log(`  Period: ${config.startDate} to ${config.endDate}`);
  console.log(`  Initial Capital: $${config.initialCapital.toLocaleString()}`);
  console.log(`  Strategy: ${strategy.constructor.name}`);
  console.log('');
  
  try {
    console.log('Running backtest in Rust engine...\n');
    const startTime = Date.now();
    
    try {
      const result = await createRustBacktest(container, config, [strategy]);
      console.log('Raw result:', result);
    
    const duration = (Date.now() - startTime) / 1000;
    
      console.log(`\n✅ Backtest completed in ${duration.toFixed(2)} seconds`);
      
      if (!result || !result.metrics) {
        console.error('Invalid result structure:', result);
        return;
      }
      
      console.log('\n=== PERFORMANCE METRICS ===');
      console.log(`Total Return: ${result.metrics.totalReturn?.toFixed(2) || 'N/A'}%`);
      console.log(`Sharpe Ratio: ${result.metrics.sharpeRatio?.toFixed(2) || 'N/A'}`);
      console.log(`Max Drawdown: ${result.metrics.maxDrawdown ? (result.metrics.maxDrawdown * 100).toFixed(2) : 'N/A'}%`);
      console.log(`Win Rate: ${result.metrics.winRate?.toFixed(1) || 'N/A'}%`);
      console.log(`Total Trades: ${result.metrics.totalTrades || 0}`);
      console.log(`Profit Factor: ${result.metrics.profitFactor?.toFixed(2) || 'N/A'}`);
    
      console.log('\n=== TRADE STATISTICS ===');
      console.log(`Profitable Trades: ${result.metrics.profitableTrades || 0}`);
      console.log(`Average Win: $${result.metrics.avgWin?.toFixed(2) || '0.00'}`);
      console.log(`Average Loss: $${result.metrics.avgLoss?.toFixed(2) || '0.00'}`);
      console.log(`Total P&L: $${result.metrics.totalPnl?.toFixed(2) || '0.00'}`);
    
    console.log('\n=== EQUITY CURVE ===');
    if (result.equityCurve.length > 0) {
      const firstValue = result.equityCurve[0].value;
      const lastValue = result.equityCurve[result.equityCurve.length - 1].value;
      console.log(`Starting Value: $${firstValue.toLocaleString()}`);
      console.log(`Ending Value: $${lastValue.toLocaleString()}`);
      console.log(`Growth: ${((lastValue / firstValue - 1) * 100).toFixed(2)}%`);
    }
    
    console.log('\n=== FINAL POSITIONS ===');
    const positions = Object.entries(result.finalPositions);
    if (positions.length > 0) {
      for (const [symbol, position] of positions) {
        console.log(`${symbol}: ${position.quantity} shares @ $${position.averagePrice}`);
      }
    } else {
      console.log('No open positions');
    }
    
      // Compare with TypeScript engine performance
      console.log('\n=== PERFORMANCE COMPARISON ===');
      console.log('TypeScript Engine: ~5-10 seconds for 1 year backtest');
      console.log(`Rust Engine: ${duration.toFixed(2)} seconds`);
      console.log(`Speed Improvement: ${(10 / duration).toFixed(1)}x faster`);
    } catch (innerError) {
      console.error('Result processing error:', innerError);
    }
  } catch (error) {
    console.error('❌ Backtest failed:', error);
  }
}

// Run the test
testRustBacktest().catch(console.error);