stock-bot/apps/stock/orchestrator/test-performance-metrics.ts

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('\n📊 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('\n📈 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('\n🎯 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('\n💰 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('\n🔍 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(`  ✅ Sharpe Ratio calculated: ${sharpeOK ? 'YES' : 'NO'}`);
  console.log(`  ✅ Max Drawdown reasonable: ${drawdownOK ? 'YES' : 'NO (suspicious value)'}`);
  console.log(`  ✅ 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);
});