stock-bot/apps/portfolio-service/src/analytics/performance-analyzer.ts

import { PortfolioSnapshot, Trade } from '../portfolio/portfolio-manager.ts';

export interface PerformanceMetrics {
  totalReturn: number;
  annualizedReturn: number;
  sharpeRatio: number;
  maxDrawdown: number;
  volatility: number;
  beta: number;
  alpha: number;
  calmarRatio: number;
  sortinoRatio: number;
}

export interface RiskMetrics {
  var95: number; // Value at Risk (95% confidence)
  cvar95: number; // Conditional Value at Risk
  maxDrawdown: number;
  downsideDeviation: number;
  correlationMatrix: Record<string, Record<string, number>>;
}

export class PerformanceAnalyzer {
  private snapshots: PortfolioSnapshot[] = [];
  private benchmarkReturns: number[] = []; // S&P 500 or other benchmark

  addSnapshot(snapshot: PortfolioSnapshot): void {
    this.snapshots.push(snapshot);
    // Keep only last 252 trading days (1 year)
    if (this.snapshots.length > 252) {
      this.snapshots = this.snapshots.slice(-252);
    }
  }

  calculatePerformanceMetrics(
    period: 'daily' | 'weekly' | 'monthly' = 'daily'
  ): PerformanceMetrics {
    if (this.snapshots.length < 2) {
      throw new Error('Need at least 2 snapshots to calculate performance');
    }

    const returns = this.calculateReturns(period);
    const riskFreeRate = 0.02; // 2% annual risk-free rate

    return {
      totalReturn: this.calculateTotalReturn(),
      annualizedReturn: this.calculateAnnualizedReturn(returns),
      sharpeRatio: this.calculateSharpeRatio(returns, riskFreeRate),
      maxDrawdown: this.calculateMaxDrawdown(),
      volatility: this.calculateVolatility(returns),
      beta: this.calculateBeta(returns),
      alpha: this.calculateAlpha(returns, riskFreeRate),
      calmarRatio: this.calculateCalmarRatio(returns),
      sortinoRatio: this.calculateSortinoRatio(returns, riskFreeRate),
    };
  }

  calculateRiskMetrics(): RiskMetrics {
    const returns = this.calculateReturns('daily');

    return {
      var95: this.calculateVaR(returns, 0.95),
      cvar95: this.calculateCVaR(returns, 0.95),
      maxDrawdown: this.calculateMaxDrawdown(),
      downsideDeviation: this.calculateDownsideDeviation(returns),
      correlationMatrix: {}, // TODO: Implement correlation matrix
    };
  }

  private calculateReturns(period: 'daily' | 'weekly' | 'monthly'): number[] {
    if (this.snapshots.length < 2) return [];

    const returns: number[] = [];

    for (let i = 1; i < this.snapshots.length; i++) {
      const currentValue = this.snapshots[i].totalValue;
      const previousValue = this.snapshots[i - 1].totalValue;
      const return_ = (currentValue - previousValue) / previousValue;
      returns.push(return_);
    }

    return returns;
  }

  private calculateTotalReturn(): number {
    if (this.snapshots.length < 2) return 0;

    const firstValue = this.snapshots[0].totalValue;
    const lastValue = this.snapshots[this.snapshots.length - 1].totalValue;

    return (lastValue - firstValue) / firstValue;
  }

  private calculateAnnualizedReturn(returns: number[]): number {
    if (returns.length === 0) return 0;

    const avgReturn = returns.reduce((sum, ret) => sum + ret, 0) / returns.length;
    return Math.pow(1 + avgReturn, 252) - 1; // 252 trading days per year
  }

  private calculateVolatility(returns: number[]): number {
    if (returns.length === 0) return 0;

    const avgReturn = returns.reduce((sum, ret) => sum + ret, 0) / returns.length;
    const variance =
      returns.reduce((sum, ret) => sum + Math.pow(ret - avgReturn, 2), 0) / returns.length;

    return Math.sqrt(variance * 252); // Annualized volatility
  }

  private calculateSharpeRatio(returns: number[], riskFreeRate: number): number {
    if (returns.length === 0) return 0;

    const avgReturn = returns.reduce((sum, ret) => sum + ret, 0) / returns.length;
    const annualizedReturn = Math.pow(1 + avgReturn, 252) - 1;
    const volatility = this.calculateVolatility(returns);

    if (volatility === 0) return 0;

    return (annualizedReturn - riskFreeRate) / volatility;
  }

  private calculateMaxDrawdown(): number {
    if (this.snapshots.length === 0) return 0;

    let maxDrawdown = 0;
    let peak = this.snapshots[0].totalValue;

    for (const snapshot of this.snapshots) {
      if (snapshot.totalValue > peak) {
        peak = snapshot.totalValue;
      }

      const drawdown = (peak - snapshot.totalValue) / peak;
      maxDrawdown = Math.max(maxDrawdown, drawdown);
    }

    return maxDrawdown;
  }

  private calculateBeta(returns: number[]): number {
    if (returns.length === 0 || this.benchmarkReturns.length === 0) return 1.0;

    // Simple beta calculation - would need actual benchmark data
    return 1.0; // Placeholder
  }

  private calculateAlpha(returns: number[], riskFreeRate: number): number {
    const beta = this.calculateBeta(returns);
    const portfolioReturn = this.calculateAnnualizedReturn(returns);
    const benchmarkReturn = 0.1; // 10% benchmark return (placeholder)

    return portfolioReturn - (riskFreeRate + beta * (benchmarkReturn - riskFreeRate));
  }

  private calculateCalmarRatio(returns: number[]): number {
    const annualizedReturn = this.calculateAnnualizedReturn(returns);
    const maxDrawdown = this.calculateMaxDrawdown();

    if (maxDrawdown === 0) return 0;

    return annualizedReturn / maxDrawdown;
  }

  private calculateSortinoRatio(returns: number[], riskFreeRate: number): number {
    const annualizedReturn = this.calculateAnnualizedReturn(returns);
    const downsideDeviation = this.calculateDownsideDeviation(returns);

    if (downsideDeviation === 0) return 0;

    return (annualizedReturn - riskFreeRate) / downsideDeviation;
  }

  private calculateDownsideDeviation(returns: number[]): number {
    if (returns.length === 0) return 0;

    const negativeReturns = returns.filter(ret => ret < 0);
    if (negativeReturns.length === 0) return 0;

    const avgNegativeReturn =
      negativeReturns.reduce((sum, ret) => sum + ret, 0) / negativeReturns.length;
    const variance =
      negativeReturns.reduce((sum, ret) => sum + Math.pow(ret - avgNegativeReturn, 2), 0) /
      negativeReturns.length;

    return Math.sqrt(variance * 252); // Annualized
  }

  private calculateVaR(returns: number[], confidence: number): number {
    if (returns.length === 0) return 0;

    const sortedReturns = returns.slice().sort((a, b) => a - b);
    const index = Math.floor((1 - confidence) * sortedReturns.length);

    return -sortedReturns[index]; // Return as positive value
  }

  private calculateCVaR(returns: number[], confidence: number): number {
    if (returns.length === 0) return 0;

    const sortedReturns = returns.slice().sort((a, b) => a - b);
    const cutoffIndex = Math.floor((1 - confidence) * sortedReturns.length);
    const tailReturns = sortedReturns.slice(0, cutoffIndex + 1);

    if (tailReturns.length === 0) return 0;

    const avgTailReturn = tailReturns.reduce((sum, ret) => sum + ret, 0) / tailReturns.length;
    return -avgTailReturn; // Return as positive value
  }
}