alexei.dolgolyov
0d52b7beff
Adds an interactive backtester that replays the SuspensionFlip detector over all flagged anomalies under a chosen score threshold and staking rule (flat / percent-of-bankroll / Kelly), and reports the headline numbers a user needs to judge edge: final bankroll, ROI, max drawdown (peak-to-trough), win/loss streaks, plus per-bet equity curve. Domain (pure): - StakeRule enum + BacktestStrategy params (with validation). - BacktestSimulator: deterministic function taking strategy + chronological candidates → BacktestResult. Implements Kelly with post-flip implied prob as p (skipping negative-edge bets), peak-to-trough drawdown tracking, and win/loss streak rollups. Mirrors AnomalyOutcomeEvaluator on the 2-way Draw guard so tennis data inconsistencies are refused rather than miss-counted. - Skipped counter split into SkippedByThreshold / SkippedByDataQuality / SkippedByBankroll so the UI can distinguish "strategy choice" from "data-quality" from "bankroll empty". Application: - RunBacktestUseCase: loads anomalies + events + results, parses evidence, builds candidates, hands event titles into the simulator so the UI does zero repository round-trips of its own. UI: - Pages/Anomalies/Backtest.razor: hero, strategy form (MudBlazor — conditional sub-field per staking rule), 4-card KPI strip (final bankroll / net profit / ROI / max drawdown), counters row, inline-SVG equity curve, trade-trace table with per-bet outcome pills and link-back to the source anomaly. - Nav entry under Analysis. RU + EN i18n. Tests: +20 (16 simulator math — flat / percent compounding / Kelly +/- edge / quarter-Kelly / bankroll-exceeded / out-of-order chronology / Draw favourite / multi-window drawdown / event-title pass-through + 4 use-case join). All 399 tests pass. Money rounding switched to MidpointRounding.AwayFromZero throughout the simulator output for accounting convention. Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
73 lines
3.0 KiB
C#
73 lines
3.0 KiB
C#
namespace Marathon.Domain.Backtesting;
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/// <summary>
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/// Parameters fed to <see cref="BacktestSimulator"/>. The strategy is "for every
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/// SuspensionFlip anomaly with score ≥ <see cref="MinScore"/>, stake
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/// according to <see cref="StakeRule"/> on the post-flip favourite at the
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/// post-flip rate, then settle against the actual <c>EventResult</c>."
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/// </summary>
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/// <param name="StartingBankroll">
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/// Initial bankroll for compounding stake rules. Must be positive.
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/// </param>
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/// <param name="MinScore">
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/// Lower bound on <c>Anomaly.Score</c> — only anomalies at or above this
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/// threshold are bet on. Must be in [0, 1].
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/// </param>
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/// <param name="StakeRule">How to size each bet — see the enum docs.</param>
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/// <param name="FlatStake">
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/// Used when <see cref="StakeRule"/> is <see cref="Backtesting.StakeRule.Flat"/>.
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/// Must be positive.
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/// </param>
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/// <param name="PercentOfBankroll">
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/// Used when <see cref="StakeRule"/> is
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/// <see cref="Backtesting.StakeRule.PercentOfBankroll"/>. Expressed as a
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/// fraction in (0, 1]. e.g. 0.02 = 2 % of bankroll.
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/// </param>
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/// <param name="KellyFraction">
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/// Used when <see cref="StakeRule"/> is <see cref="Backtesting.StakeRule.Kelly"/>.
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/// Multiplier on the raw Kelly fraction; in (0, 1]. 0.25 (quarter-Kelly) is
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/// the conservative default.
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/// </param>
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public sealed record BacktestStrategy(
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decimal StartingBankroll,
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decimal MinScore,
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StakeRule StakeRule,
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decimal FlatStake,
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decimal PercentOfBankroll,
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decimal KellyFraction)
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{
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public decimal StartingBankroll { get; } = StartingBankroll > 0m
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? StartingBankroll
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: throw new ArgumentOutOfRangeException(nameof(StartingBankroll),
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StartingBankroll, "StartingBankroll must be positive.");
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public decimal MinScore { get; } = MinScore is >= 0m and <= 1m
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? MinScore
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: throw new ArgumentOutOfRangeException(nameof(MinScore),
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MinScore, "MinScore must be in [0, 1].");
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public decimal FlatStake { get; } = FlatStake > 0m
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? FlatStake
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: throw new ArgumentOutOfRangeException(nameof(FlatStake),
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FlatStake, "FlatStake must be positive.");
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public decimal PercentOfBankroll { get; } = PercentOfBankroll is > 0m and <= 1m
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? PercentOfBankroll
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: throw new ArgumentOutOfRangeException(nameof(PercentOfBankroll),
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PercentOfBankroll, "PercentOfBankroll must be in (0, 1].");
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public decimal KellyFraction { get; } = KellyFraction is > 0m and <= 1m
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? KellyFraction
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: throw new ArgumentOutOfRangeException(nameof(KellyFraction),
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KellyFraction, "KellyFraction must be in (0, 1].");
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/// <summary>Sensible defaults — flat-stake, score ≥ 0.45, ¼-Kelly waiting in the wings.</summary>
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public static BacktestStrategy Default { get; } = new(
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StartingBankroll: 1000m,
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MinScore: 0.45m,
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StakeRule: StakeRule.Flat,
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FlatStake: 50m,
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PercentOfBankroll: 0.02m,
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KellyFraction: 0.25m);
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}
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