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>
90 lines
3.3 KiB
C#
90 lines
3.3 KiB
C#
using Marathon.Domain.Backtesting;
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using Marathon.Domain.Enums;
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namespace Marathon.UI.Services;
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/// <summary>
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/// Form bound by the Backtest page. Loose-typed so MudBlazor fields can bind
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/// raw numerics; the service translates this into a domain
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/// <see cref="BacktestStrategy"/> after validation.
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/// </summary>
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public sealed class BacktestForm
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{
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public decimal StartingBankroll { get; set; } = 1000m;
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public decimal MinScore { get; set; } = 0.45m;
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public StakeRule StakeRule { get; set; } = StakeRule.Flat;
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public decimal FlatStake { get; set; } = 50m;
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/// <summary>Bound to the UI as a percentage 0–100; converted to a fraction before sim.</summary>
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public decimal PercentOfBankrollPercent { get; set; } = 2m;
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/// <summary>Bound to the UI as a percentage 0–100; converted to a fraction before sim.</summary>
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public decimal KellyFractionPercent { get; set; } = 25m;
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public bool IsValid(out string? error)
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{
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if (StartingBankroll <= 0m) { error = "Bankroll must be positive."; return false; }
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if (MinScore is < 0m or > 1m) { error = "Min score must be in [0, 1]."; return false; }
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switch (StakeRule)
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{
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case StakeRule.Flat:
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if (FlatStake <= 0m) { error = "Flat stake must be positive."; return false; }
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if (FlatStake > StartingBankroll) { error = "Flat stake exceeds starting bankroll."; return false; }
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break;
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case StakeRule.PercentOfBankroll:
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if (PercentOfBankrollPercent is <= 0m or > 100m)
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{ error = "Percent of bankroll must be in (0, 100]."; return false; }
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break;
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case StakeRule.Kelly:
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if (KellyFractionPercent is <= 0m or > 100m)
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{ error = "Kelly fraction must be in (0, 100]."; return false; }
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break;
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}
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error = null;
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return true;
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}
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public BacktestStrategy ToStrategy() =>
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new(
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StartingBankroll: StartingBankroll,
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MinScore: MinScore,
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StakeRule: StakeRule,
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FlatStake: FlatStake,
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PercentOfBankroll: PercentOfBankrollPercent / 100m,
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KellyFraction: KellyFractionPercent / 100m);
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}
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/// <summary>UI-facing projection of <see cref="BacktestResult"/>.</summary>
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public sealed record BacktestVm(
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decimal StartingBankroll,
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decimal FinalBankroll,
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decimal NetProfit,
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decimal? RoiPercent,
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decimal TotalStaked,
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decimal TotalReturned,
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decimal MaxDrawdown,
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decimal? MaxDrawdownPercent,
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int BetsPlaced,
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int Wins,
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int Losses,
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int Skipped,
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int SkippedByThreshold,
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int SkippedByDataQuality,
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int SkippedByBankroll,
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int MaxWinStreak,
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int MaxLossStreak,
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IReadOnlyList<BacktestTraceRow> Trace,
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IReadOnlyList<EquityPoint> EquityCurve);
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/// <summary>
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/// Trace row plus pre-shaped event title for the link-back affordance.
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/// </summary>
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public sealed record BacktestTraceRow(
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BacktestTrace Trace,
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string EventTitle);
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/// <summary>One point on the equity curve — bankroll over time.</summary>
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/// <param name="DetectedAt">When the bet would have been placed.</param>
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/// <param name="Bankroll">Bankroll after this bet settled.</param>
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public sealed record EquityPoint(DateTimeOffset DetectedAt, decimal Bankroll);
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