130 lines
No EOL
5 KiB
TypeScript
130 lines
No EOL
5 KiB
TypeScript
import { BacktestEngine } from './src/backtest/BacktestEngine';
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import { StrategyManager } from './src/strategies/StrategyManager';
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import { StorageService } from './src/services/StorageService';
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import { ModeManager } from './src/core/ModeManager';
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import { MarketDataService } from './src/services/MarketDataService';
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import { ExecutionService } from './src/services/ExecutionService';
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import { IServiceContainer } from '@stock-bot/di';
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async function testFullBacktest() {
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console.log('Testing Full Backtest with Real Data...\n');
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// Create service container
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const container: IServiceContainer = {
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logger: {
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info: (msg: string, ...args: any[]) => console.log('[INFO]', msg, ...args),
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error: (msg: string, ...args: any[]) => console.error('[ERROR]', msg, ...args),
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warn: (msg: string, ...args: any[]) => console.warn('[WARN]', msg, ...args),
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debug: (msg: string, ...args: any[]) => console.log('[DEBUG]', msg, ...args),
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} as any,
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custom: {}
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};
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// Initialize services
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const storageService = new StorageService();
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const marketDataService = new MarketDataService(container);
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const executionService = new ExecutionService(container);
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const modeManager = new ModeManager(container, marketDataService, executionService, storageService);
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const strategyManager = new StrategyManager(container);
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// Set services in container
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container.custom = {
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MarketDataService: marketDataService,
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ExecutionService: executionService,
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ModeManager: modeManager,
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StorageService: storageService
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};
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// Test configuration matching what frontend might send
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const config = {
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mode: 'backtest',
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name: 'Full Test',
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strategy: 'sma-crossover',
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symbols: ['AAPL', 'MSFT', 'GOOGL'], // Multiple symbols
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startDate: '2023-01-01T00:00:00Z',
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endDate: '2023-12-31T00:00:00Z', // Full year
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initialCapital: 100000,
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commission: 0.001,
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slippage: 0.0001,
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dataFrequency: '1d',
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speed: 'max'
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};
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// Initialize backtest mode
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await modeManager.initializeMode(config);
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// Create backtest engine
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const backtestEngine = new BacktestEngine(container, storageService, strategyManager);
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console.log('Running full year backtest with multiple symbols...');
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const startTime = Date.now();
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try {
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const result = await backtestEngine.runBacktest(config);
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const duration = (Date.now() - startTime) / 1000;
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console.log(`\nBacktest completed in ${duration.toFixed(2)} seconds`);
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// Check for data anomalies
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console.log('\n=== RESULT ANALYSIS ===');
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console.log(`Total Return: ${result.metrics.totalReturn.toFixed(2)}%`);
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console.log(`Sharpe Ratio: ${result.metrics.sharpeRatio.toFixed(3)}`);
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console.log(`Max Drawdown: ${(result.metrics.maxDrawdown * 100).toFixed(2)}%`);
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console.log(`Win Rate: ${result.metrics.winRate.toFixed(1)}%`);
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console.log(`Total Trades: ${result.metrics.totalTrades}`);
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console.log(`Trades Array Length: ${result.trades.length}`);
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// Check equity curve
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console.log('\n=== EQUITY CURVE CHECK ===');
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console.log(`Equity Points: ${result.equity.length}`);
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if (result.equity.length > 0) {
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const first = result.equity[0];
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const last = result.equity[result.equity.length - 1];
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const max = Math.max(...result.equity.map(e => e.value));
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const min = Math.min(...result.equity.map(e => e.value));
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console.log(`First: $${first.value.toFixed(2)}`);
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console.log(`Last: $${last.value.toFixed(2)}`);
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console.log(`Max: $${max.toFixed(2)}`);
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console.log(`Min: $${min.toFixed(2)}`);
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// Check for exponential growth
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const growthRatio = last.value / first.value;
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if (growthRatio > 10) {
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console.log('\n⚠️ WARNING: Detected possible exponential growth!');
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console.log(`Growth ratio: ${growthRatio.toFixed(2)}x`);
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}
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}
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// Sample some trades
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console.log('\n=== TRADE SAMPLES ===');
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if (result.trades.length > 0) {
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console.log('First 3 trades:');
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result.trades.slice(0, 3).forEach((t, i) => {
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console.log(` ${i+1}. ${t.symbol} ${t.side} ${t.quantity} @ ${t.exitPrice.toFixed(2)} | P&L: $${t.pnl.toFixed(2)} (${t.pnlPercent.toFixed(2)}%)`);
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});
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if (result.trades.length > 3) {
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console.log('\nLast 3 trades:');
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result.trades.slice(-3).forEach((t, i) => {
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console.log(` ${i+1}. ${t.symbol} ${t.side} ${t.quantity} @ ${t.exitPrice.toFixed(2)} | P&L: $${t.pnl.toFixed(2)} (${t.pnlPercent.toFixed(2)}%)`);
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});
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}
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}
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// Check raw metrics object
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console.log('\n=== RAW METRICS ===');
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console.log(JSON.stringify(result.metrics, null, 2));
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} catch (error) {
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console.error('Backtest failed:', error);
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}
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console.log('\n=== TEST COMPLETE ===');
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process.exit(0);
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}
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testFullBacktest().catch(error => {
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console.error('Test failed:', error);
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process.exit(1);
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}); |