Files
foxhunt/services/backtesting_service/src/wave_comparison.rs
2026-02-23 00:50:07 +01:00

874 lines
32 KiB
Rust

//! Wave Comparison Backtesting Module
//!
//! Validates performance improvements across Wave A, Wave B, and Wave C:
//! - Wave A: 26 features (7 technical indicators + 3 microstructure)
//! - Wave B: 26 features + alternative bars (tick, volume, dollar, imbalance, run)
//! - Wave C: 201 features (comprehensive feature extraction pipeline)
//! - Wave D: 225 features (regime detection + adaptive strategies)
//!
//! This module provides systematic backtesting to measure:
//! - Win rate improvements
//! - Sharpe ratio gains
//! - Sortino ratio enhancements
//! - Maximum drawdown reduction
//! - Total PnL improvements
use anyhow::{Context, Result};
use chrono::{DateTime, Utc};
use serde::{Deserialize, Serialize};
use std::sync::Arc;
use tracing::info;
use crate::repositories::BacktestingRepositories;
use crate::strategy_engine::MarketData;
/// Wave comparison backtest results
#[derive(Debug, Serialize, Deserialize)]
pub struct WaveComparisonResults {
/// Symbol backtested
pub symbol: String,
/// Date range used
pub date_range: DateRange,
/// Wave A performance (26 features, baseline)
pub wave_a: WavePerformanceMetrics,
/// Wave B performance (26 features + alternative bars)
pub wave_b: WavePerformanceMetrics,
/// Wave C performance (201 features)
pub wave_c: WavePerformanceMetrics,
/// Wave D performance (225 features, regime detection + adaptive strategies)
pub wave_d: WavePerformanceMetrics,
/// Improvement matrix (percentage gains)
pub improvements: ImprovementMatrix,
/// Execution metadata
pub metadata: BacktestMetadata,
}
/// Date range for backtesting
#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct DateRange {
/// Start date
pub start: DateTime<Utc>,
/// End date
pub end: DateTime<Utc>,
}
/// Performance metrics for a specific wave
#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct WavePerformanceMetrics {
/// Wave identifier (A, B, C)
pub wave_id: String,
/// Feature count used
pub feature_count: usize,
/// Win rate (0.0-1.0)
pub win_rate: f64,
/// Sharpe ratio
pub sharpe_ratio: f64,
/// Sortino ratio
pub sortino_ratio: f64,
/// Maximum drawdown (0.0-1.0)
pub max_drawdown: f64,
/// Total number of trades
pub total_trades: usize,
/// Average PnL per trade
pub avg_pnl: f64,
/// Total PnL
pub total_pnl: f64,
/// Volatility (annualized)
pub volatility: f64,
/// Profit factor (total wins / total losses)
pub profit_factor: f64,
/// Average trade duration (seconds)
pub avg_trade_duration_secs: f64,
/// Best trade PnL
pub best_trade: f64,
/// Worst trade PnL
pub worst_trade: f64,
}
/// Improvement matrix comparing waves
#[derive(Debug, Serialize, Deserialize)]
pub struct ImprovementMatrix {
// --- Wave A to Wave B improvements ---
/// Win rate: A to B (percentage improvement)
pub a_to_b_win_rate: f64,
/// Win rate: A to C (percentage improvement)
pub a_to_c_win_rate: f64,
/// Win rate: B to C (percentage improvement)
pub b_to_c_win_rate: f64,
/// Sharpe: A to B (absolute improvement)
pub a_to_b_sharpe: f64,
/// Sharpe: A to C (absolute improvement)
pub a_to_c_sharpe: f64,
/// Sharpe: B to C (absolute improvement)
pub b_to_c_sharpe: f64,
/// Sortino: A to B (absolute improvement)
pub a_to_b_sortino: f64,
/// Sortino: A to C (absolute improvement)
pub a_to_c_sortino: f64,
/// Sortino: B to C (absolute improvement)
pub b_to_c_sortino: f64,
/// Max Drawdown: A to B (percentage reduction, positive = better)
pub a_to_b_drawdown: f64,
/// Max Drawdown: A to C (percentage reduction, positive = better)
pub a_to_c_drawdown: f64,
/// Max Drawdown: B to C (percentage reduction, positive = better)
pub b_to_c_drawdown: f64,
// --- Wave D improvements ---
/// Win rate: A to D (percentage improvement)
pub a_to_d_win_rate: f64,
/// Win rate: C to D (percentage improvement)
pub c_to_d_win_rate: f64,
/// Sharpe: A to D (absolute improvement)
pub a_to_d_sharpe: f64,
/// Sharpe: C to D (absolute improvement)
pub c_to_d_sharpe: f64,
/// Sortino: A to D (absolute improvement)
pub a_to_d_sortino: f64,
/// Sortino: C to D (absolute improvement)
pub c_to_d_sortino: f64,
/// Max Drawdown: A to D (percentage reduction, positive = better)
pub a_to_d_drawdown: f64,
/// Max Drawdown: C to D (percentage reduction, positive = better)
pub c_to_d_drawdown: f64,
// --- PnL improvements ---
/// Total PnL: A to B (percentage improvement)
pub a_to_b_pnl: f64,
/// Total PnL: A to C (percentage improvement)
pub a_to_c_pnl: f64,
/// Total PnL: B to C (percentage improvement)
pub b_to_c_pnl: f64,
/// Total PnL: A to D (percentage improvement)
pub a_to_d_pnl: f64,
/// Total PnL: C to D (percentage improvement)
pub c_to_d_pnl: f64,
}
/// Backtest execution metadata
#[derive(Debug, Serialize, Deserialize)]
pub struct BacktestMetadata {
/// Execution timestamp
pub execution_time: DateTime<Utc>,
/// Total backtest duration (milliseconds)
pub duration_ms: u64,
/// Number of bars processed
pub bars_processed: usize,
/// Initial capital
pub initial_capital: f64,
/// Strategy configuration used
pub strategy_config: String,
}
/// Wave comparison backtest engine
pub struct WaveComparisonBacktest {
/// Repository access
_repositories: Arc<dyn BacktestingRepositories>,
/// Initial capital for backtesting
initial_capital: f64,
}
impl WaveComparisonBacktest {
/// Create new wave comparison backtest engine
pub fn new(repositories: Arc<dyn BacktestingRepositories>, initial_capital: f64) -> Self {
Self {
_repositories: repositories,
initial_capital,
}
}
/// Run comprehensive wave comparison backtest
pub async fn run_comparison(
&self,
symbol: &str,
date_range: DateRange,
) -> Result<WaveComparisonResults> {
info!("🔬 Starting Wave Comparison Backtest (Wave A/B/C/D)");
info!(" Symbol: {}", symbol);
info!(" Period: {} to {}", date_range.start, date_range.end);
info!(" Initial Capital: ${:.2}", self.initial_capital);
let start_time = std::time::Instant::now();
// Step 1: Load market data
info!("\n📊 Loading market data...");
let market_data = self.load_market_data(symbol, &date_range).await?;
info!(" Loaded {} bars", market_data.len());
// Step 2: Run Wave A backtest (26 features, baseline)
info!("\n📊 Testing Wave A (26 features - baseline)...");
let wave_a = self
.run_wave_backtest(symbol, &market_data, "A", 26)
.await?;
// Step 3: Run Wave B backtest (36 features: 26 base + 10 alternative bars)
info!("\n📊 Testing Wave B (26 features + alternative bars)...");
let wave_b = self
.run_wave_backtest(
symbol,
&market_data,
"B",
36, // Wave B: 26 base + 10 alternative bars
)
.await?;
// Step 4: Run Wave C backtest (201 features)
info!("\n📊 Testing Wave C (201 features)...");
let wave_c = self
.run_wave_backtest(
symbol,
&market_data,
"C",
201, // Wave C: 201 features
)
.await?;
// Step 5: Run Wave D backtest (225 features: 201 Wave C + 24 regime detection)
info!("\n📊 Testing Wave D (225 features: 201 Wave C + 24 regime detection)...");
let wave_d = self
.run_wave_backtest(
symbol,
&market_data,
"D",
225, // Wave D: 201 Wave C + 24 regime detection
)
.await?;
// Step 6: Calculate improvements
let improvements = self.calculate_improvements(&wave_a, &wave_b, &wave_c, &wave_d);
let duration_ms = start_time.elapsed().as_millis() as u64;
let metadata = BacktestMetadata {
execution_time: Utc::now(),
duration_ms,
bars_processed: market_data.len(),
initial_capital: self.initial_capital,
strategy_config: "wave_comparison_v1".to_string(),
};
Ok(WaveComparisonResults {
symbol: symbol.to_string(),
date_range,
wave_a,
wave_b,
wave_c,
wave_d,
improvements,
metadata,
})
}
/// Load market data for backtesting.
///
/// Wiring plan: To connect to real data, `WaveComparisonBacktest` needs a
/// `DbnDataSource` field (or access via `BacktestingRepositories`). The caller
/// would construct a `DbnDataSource` with symbol-to-file mappings and pass it in.
/// Example integration:
///
/// ```rust,ignore
/// // Add field: dbn_source: Arc<DbnDataSource>
/// let bars = self.dbn_source.load_ohlcv_bars(symbol).await?;
/// // Then filter bars by date_range.start..=date_range.end
/// ```
///
/// Currently returns an empty vec so callers can exercise the improvement-matrix
/// logic without a live data source.
async fn load_market_data(
&self,
_symbol: &str,
_date_range: &DateRange,
) -> Result<Vec<MarketData>> {
info!("load_market_data: no DbnDataSource wired yet; returning empty dataset");
Ok(vec![])
}
/// Run backtest for a specific wave.
///
/// Wiring plan: To connect to the real strategy engine, add a `StrategyEngine`
/// field (constructed with `BacktestingRepositories` + `BacktestingStrategyConfig`).
/// Per-wave execution would configure the feature extractor for the appropriate
/// feature count, then call `engine.run_backtest(symbol, market_data, config)`.
/// Example integration:
///
/// ```rust,ignore
/// // Add field: strategy_engine: Arc<StrategyEngine>
/// let config = wave_config_for(wave_id, feature_count);
/// let result = self.strategy_engine.run_backtest(symbol, market_data, &config).await?;
/// // Convert StrategyEngine::BacktestResult -> WavePerformanceMetrics
/// ```
///
/// Currently returns design-target placeholder metrics so the comparison and
/// export logic can be exercised without a live strategy engine.
async fn run_wave_backtest(
&self,
_symbol: &str,
_market_data: &[MarketData],
wave_id: &str,
feature_count: usize,
) -> Result<WavePerformanceMetrics> {
let (win_rate, sharpe, sortino, max_dd, pnl) = match wave_id {
"A" => {
// Wave A baseline (from investigation reports)
(0.418, -6.52, -5.5, 0.25, -5000.0)
},
"B" => {
// Wave B target: +15-25% win rate, +1.5 Sharpe (conservative)
(0.48, -5.0, -4.2, 0.22, 1000.0)
},
"C" => {
// Wave C target: +10-15% win rate, +50% Sharpe (201 features)
(0.55, 1.5, 2.0, 0.18, 5000.0)
},
"D" => {
// Wave D target: +25-50% Sharpe improvement via regime detection
// Expected metrics: win rate 60%, Sharpe 2.0, Sortino 2.5
// Based on Wave D Phase 6 production targets (CLAUDE.md)
(0.60, 2.0, 2.5, 0.15, 7500.0)
},
_ => (0.418, -6.52, -5.5, 0.25, -5000.0),
};
let total_trades = match wave_id {
"A" => 100,
"B" => 120, // More trades with alternative bars
"C" => 150, // Even more trades with 201 features
"D" => 180, // Most trades with 225 features + regime detection
_ => 100,
};
let avg_pnl = pnl / total_trades as f64;
let profit_factor = if pnl > 0.0 { 1.5 } else { 0.8 };
Ok(WavePerformanceMetrics {
wave_id: wave_id.to_string(),
feature_count,
win_rate,
sharpe_ratio: sharpe,
sortino_ratio: sortino,
max_drawdown: max_dd,
total_trades,
avg_pnl,
total_pnl: pnl,
volatility: 0.25, // 25% annualized
profit_factor,
avg_trade_duration_secs: 3600.0, // 1 hour average
best_trade: pnl.abs() * 0.1, // 10% of total as best trade
worst_trade: -pnl.abs() * 0.08, // 8% of total as worst trade
})
}
/// Calculate improvement matrix
fn calculate_improvements(
&self,
wave_a: &WavePerformanceMetrics,
wave_b: &WavePerformanceMetrics,
wave_c: &WavePerformanceMetrics,
wave_d: &WavePerformanceMetrics,
) -> ImprovementMatrix {
ImprovementMatrix {
// --- Win rate improvements (percentage) ---
a_to_b_win_rate: ((wave_b.win_rate - wave_a.win_rate) / wave_a.win_rate) * 100.0,
a_to_c_win_rate: ((wave_c.win_rate - wave_a.win_rate) / wave_a.win_rate) * 100.0,
b_to_c_win_rate: ((wave_c.win_rate - wave_b.win_rate) / wave_b.win_rate) * 100.0,
a_to_d_win_rate: ((wave_d.win_rate - wave_a.win_rate) / wave_a.win_rate) * 100.0,
c_to_d_win_rate: ((wave_d.win_rate - wave_c.win_rate) / wave_c.win_rate) * 100.0,
// --- Sharpe improvements (absolute) ---
a_to_b_sharpe: wave_b.sharpe_ratio - wave_a.sharpe_ratio,
a_to_c_sharpe: wave_c.sharpe_ratio - wave_a.sharpe_ratio,
b_to_c_sharpe: wave_c.sharpe_ratio - wave_b.sharpe_ratio,
a_to_d_sharpe: wave_d.sharpe_ratio - wave_a.sharpe_ratio,
c_to_d_sharpe: wave_d.sharpe_ratio - wave_c.sharpe_ratio,
// --- Sortino improvements (absolute) ---
a_to_b_sortino: wave_b.sortino_ratio - wave_a.sortino_ratio,
a_to_c_sortino: wave_c.sortino_ratio - wave_a.sortino_ratio,
b_to_c_sortino: wave_c.sortino_ratio - wave_b.sortino_ratio,
a_to_d_sortino: wave_d.sortino_ratio - wave_a.sortino_ratio,
c_to_d_sortino: wave_d.sortino_ratio - wave_c.sortino_ratio,
// --- Drawdown improvements (percentage reduction, positive = better) ---
a_to_b_drawdown: ((wave_a.max_drawdown - wave_b.max_drawdown) / wave_a.max_drawdown)
* 100.0,
a_to_c_drawdown: ((wave_a.max_drawdown - wave_c.max_drawdown) / wave_a.max_drawdown)
* 100.0,
b_to_c_drawdown: ((wave_b.max_drawdown - wave_c.max_drawdown) / wave_b.max_drawdown)
* 100.0,
a_to_d_drawdown: ((wave_a.max_drawdown - wave_d.max_drawdown) / wave_a.max_drawdown)
* 100.0,
c_to_d_drawdown: ((wave_c.max_drawdown - wave_d.max_drawdown) / wave_c.max_drawdown)
* 100.0,
// --- PnL improvements (percentage) ---
a_to_b_pnl: if wave_a.total_pnl != 0.0 {
((wave_b.total_pnl - wave_a.total_pnl) / wave_a.total_pnl.abs()) * 100.0
} else {
0.0
},
a_to_c_pnl: if wave_a.total_pnl != 0.0 {
((wave_c.total_pnl - wave_a.total_pnl) / wave_a.total_pnl.abs()) * 100.0
} else {
0.0
},
b_to_c_pnl: if wave_b.total_pnl != 0.0 {
((wave_c.total_pnl - wave_b.total_pnl) / wave_b.total_pnl.abs()) * 100.0
} else {
0.0
},
a_to_d_pnl: if wave_a.total_pnl != 0.0 {
((wave_d.total_pnl - wave_a.total_pnl) / wave_a.total_pnl.abs()) * 100.0
} else {
0.0
},
c_to_d_pnl: if wave_c.total_pnl != 0.0 {
((wave_d.total_pnl - wave_c.total_pnl) / wave_c.total_pnl.abs()) * 100.0
} else {
0.0
},
}
}
/// Export results to JSON and CSV
pub fn export_results(&self, results: &WaveComparisonResults) -> Result<()> {
std::fs::create_dir_all("results")?;
let timestamp = chrono::Utc::now().format("%Y%m%d_%H%M%S");
// Export JSON (comprehensive data)
let json_path = format!(
"results/wave_comparison_{}_{}.json",
results.symbol, timestamp
);
let json = serde_json::to_string_pretty(&results)
.context("Failed to serialize results to JSON")?;
std::fs::write(&json_path, json).context("Failed to write JSON file")?;
// Export CSV (summary metrics)
let csv_path = format!(
"results/wave_comparison_{}_{}.csv",
results.symbol, timestamp
);
let csv = self.generate_csv_summary(results)?;
std::fs::write(&csv_path, csv).context("Failed to write CSV file")?;
info!("\n✅ Results exported:");
info!(" JSON: {}", json_path);
info!(" CSV: {}", csv_path);
Ok(())
}
/// Generate CSV summary
fn generate_csv_summary(&self, results: &WaveComparisonResults) -> Result<String> {
let mut csv = String::new();
// Header
csv.push_str("Metric,Wave A,Wave B,Wave C,Wave D,A→B,A→C,B→C,A→D,C→D\n");
// Feature count
csv.push_str(&format!(
"Feature Count,{},{},{},{},,,,,\n",
results.wave_a.feature_count,
results.wave_b.feature_count,
results.wave_c.feature_count,
results.wave_d.feature_count
));
// Win rate
csv.push_str(&format!(
"Win Rate,{:.2}%,{:.2}%,{:.2}%,{:.2}%,{:+.1}%,{:+.1}%,{:+.1}%,{:+.1}%,{:+.1}%\n",
results.wave_a.win_rate * 100.0,
results.wave_b.win_rate * 100.0,
results.wave_c.win_rate * 100.0,
results.wave_d.win_rate * 100.0,
results.improvements.a_to_b_win_rate,
results.improvements.a_to_c_win_rate,
results.improvements.b_to_c_win_rate,
results.improvements.a_to_d_win_rate,
results.improvements.c_to_d_win_rate
));
// Sharpe ratio
csv.push_str(&format!(
"Sharpe Ratio,{:.2},{:.2},{:.2},{:.2},{:+.2},{:+.2},{:+.2},{:+.2},{:+.2}\n",
results.wave_a.sharpe_ratio,
results.wave_b.sharpe_ratio,
results.wave_c.sharpe_ratio,
results.wave_d.sharpe_ratio,
results.improvements.a_to_b_sharpe,
results.improvements.a_to_c_sharpe,
results.improvements.b_to_c_sharpe,
results.improvements.a_to_d_sharpe,
results.improvements.c_to_d_sharpe
));
// Sortino ratio
csv.push_str(&format!(
"Sortino Ratio,{:.2},{:.2},{:.2},{:.2},{:+.2},{:+.2},{:+.2},{:+.2},{:+.2}\n",
results.wave_a.sortino_ratio,
results.wave_b.sortino_ratio,
results.wave_c.sortino_ratio,
results.wave_d.sortino_ratio,
results.improvements.a_to_b_sortino,
results.improvements.a_to_c_sortino,
results.improvements.b_to_c_sortino,
results.improvements.a_to_d_sortino,
results.improvements.c_to_d_sortino
));
// Max drawdown
csv.push_str(&format!(
"Max Drawdown,{:.1}%,{:.1}%,{:.1}%,{:.1}%,{:+.1}%,{:+.1}%,{:+.1}%,{:+.1}%,{:+.1}%\n",
results.wave_a.max_drawdown * 100.0,
results.wave_b.max_drawdown * 100.0,
results.wave_c.max_drawdown * 100.0,
results.wave_d.max_drawdown * 100.0,
results.improvements.a_to_b_drawdown,
results.improvements.a_to_c_drawdown,
results.improvements.b_to_c_drawdown,
results.improvements.a_to_d_drawdown,
results.improvements.c_to_d_drawdown
));
// Total trades
csv.push_str(&format!(
"Total Trades,{},{},{},{},,,,,\n",
results.wave_a.total_trades,
results.wave_b.total_trades,
results.wave_c.total_trades,
results.wave_d.total_trades
));
// Total PnL
csv.push_str(&format!(
"Total PnL,${:.2},${:.2},${:.2},${:.2},{:+.1}%,{:+.1}%,{:+.1}%,{:+.1}%,{:+.1}%\n",
results.wave_a.total_pnl,
results.wave_b.total_pnl,
results.wave_c.total_pnl,
results.wave_d.total_pnl,
results.improvements.a_to_b_pnl,
results.improvements.a_to_c_pnl,
results.improvements.b_to_c_pnl,
results.improvements.a_to_d_pnl,
results.improvements.c_to_d_pnl
));
// Average PnL
csv.push_str(&format!(
"Avg PnL/Trade,${:.2},${:.2},${:.2},${:.2},,,,,\n",
results.wave_a.avg_pnl,
results.wave_b.avg_pnl,
results.wave_c.avg_pnl,
results.wave_d.avg_pnl
));
// Profit factor
csv.push_str(&format!(
"Profit Factor,{:.2},{:.2},{:.2},{:.2},,,,,\n",
results.wave_a.profit_factor,
results.wave_b.profit_factor,
results.wave_c.profit_factor,
results.wave_d.profit_factor
));
Ok(csv)
}
/// Print results summary to console
pub fn print_summary(&self, results: &WaveComparisonResults) {
println!("\n╔════════════════════════════════════════════════════════════════╗");
println!("║ Wave Comparison Backtest Results (A/B/C/D) ║");
println!("╚════════════════════════════════════════════════════════════════╝");
println!("\n📊 Backtest Configuration:");
println!(" Symbol: {}", results.symbol);
println!(
" Period: {} to {}",
results.date_range.start.format("%Y-%m-%d"),
results.date_range.end.format("%Y-%m-%d")
);
println!(" Bars Processed: {}", results.metadata.bars_processed);
println!(
" Initial Capital: ${:.2}",
results.metadata.initial_capital
);
println!(
" Execution Time: {:.2}s",
results.metadata.duration_ms as f64 / 1000.0
);
println!("\n📈 Wave A (Baseline - 26 Features):");
self.print_wave_metrics(&results.wave_a);
println!("\n📈 Wave B (Alternative Bars - 36 Features):");
self.print_wave_metrics(&results.wave_b);
println!(" Improvements vs Wave A:");
println!(
" Win Rate: {:+.1}%",
results.improvements.a_to_b_win_rate
);
println!(" Sharpe: {:+.2}", results.improvements.a_to_b_sharpe);
println!(" Sortino: {:+.2}", results.improvements.a_to_b_sortino);
println!(
" Drawdown: {:+.1}%",
results.improvements.a_to_b_drawdown
);
println!(" PnL: {:+.1}%", results.improvements.a_to_b_pnl);
println!("\n📈 Wave C (Full Pipeline - 201 Features):");
self.print_wave_metrics(&results.wave_c);
println!(" Improvements vs Wave A:");
println!(
" Win Rate: {:+.1}%",
results.improvements.a_to_c_win_rate
);
println!(" Sharpe: {:+.2}", results.improvements.a_to_c_sharpe);
println!(" Sortino: {:+.2}", results.improvements.a_to_c_sortino);
println!(
" Drawdown: {:+.1}%",
results.improvements.a_to_c_drawdown
);
println!(" PnL: {:+.1}%", results.improvements.a_to_c_pnl);
println!(" Improvements vs Wave B:");
println!(
" Win Rate: {:+.1}%",
results.improvements.b_to_c_win_rate
);
println!(" Sharpe: {:+.2}", results.improvements.b_to_c_sharpe);
println!(" Sortino: {:+.2}", results.improvements.b_to_c_sortino);
println!(
" Drawdown: {:+.1}%",
results.improvements.b_to_c_drawdown
);
println!(" PnL: {:+.1}%", results.improvements.b_to_c_pnl);
println!("\n📈 Wave D (Regime Detection - 225 Features):");
self.print_wave_metrics(&results.wave_d);
println!(" Improvements vs Wave A:");
println!(
" Win Rate: {:+.1}%",
results.improvements.a_to_d_win_rate
);
println!(" Sharpe: {:+.2}", results.improvements.a_to_d_sharpe);
println!(" Sortino: {:+.2}", results.improvements.a_to_d_sortino);
println!(
" Drawdown: {:+.1}%",
results.improvements.a_to_d_drawdown
);
println!(" PnL: {:+.1}%", results.improvements.a_to_d_pnl);
println!(" Improvements vs Wave C:");
println!(
" Win Rate: {:+.1}%",
results.improvements.c_to_d_win_rate
);
println!(" Sharpe: {:+.2}", results.improvements.c_to_d_sharpe);
println!(" Sortino: {:+.2}", results.improvements.c_to_d_sortino);
println!(
" Drawdown: {:+.1}%",
results.improvements.c_to_d_drawdown
);
println!(" PnL: {:+.1}%", results.improvements.c_to_d_pnl);
println!("\n✅ Results exported to JSON and CSV");
}
/// Print metrics for a single wave
fn print_wave_metrics(&self, metrics: &WavePerformanceMetrics) {
println!(" Win Rate: {:.1}%", metrics.win_rate * 100.0);
println!(" Sharpe Ratio: {:.2}", metrics.sharpe_ratio);
println!(" Sortino Ratio: {:.2}", metrics.sortino_ratio);
println!(" Max Drawdown: {:.1}%", metrics.max_drawdown * 100.0);
println!(" Total Trades: {}", metrics.total_trades);
println!(" Total PnL: ${:.2}", metrics.total_pnl);
println!(" Avg PnL/Trade: ${:.2}", metrics.avg_pnl);
println!(" Profit Factor: {:.2}", metrics.profit_factor);
println!(" Best Trade: ${:.2}", metrics.best_trade);
println!(" Worst Trade: ${:.2}", metrics.worst_trade);
}
}
#[cfg(test)]
mod tests {
use super::*;
use crate::repositories::DefaultRepositories;
#[test]
fn test_improvement_calculation() {
let wave_a = WavePerformanceMetrics {
wave_id: "A".to_string(),
feature_count: 26,
win_rate: 0.418,
sharpe_ratio: -6.52,
sortino_ratio: -5.5,
max_drawdown: 0.25,
total_trades: 100,
avg_pnl: -50.0,
total_pnl: -5000.0,
volatility: 0.25,
profit_factor: 0.8,
avg_trade_duration_secs: 3600.0,
best_trade: 500.0,
worst_trade: -400.0,
};
let wave_c = WavePerformanceMetrics {
wave_id: "C".to_string(),
feature_count: 65,
win_rate: 0.55,
sharpe_ratio: 1.5,
sortino_ratio: 2.0,
max_drawdown: 0.18,
total_trades: 150,
avg_pnl: 33.33,
total_pnl: 5000.0,
volatility: 0.20,
profit_factor: 1.5,
avg_trade_duration_secs: 3600.0,
best_trade: 500.0,
worst_trade: -400.0,
};
let backtest = WaveComparisonBacktest::new(Arc::new(DefaultRepositories::mock()), 100000.0);
let wave_b = wave_a.clone(); // Wave B same as A for this test
let wave_d = wave_c.clone(); // Wave D same as C for this test
let improvements = backtest.calculate_improvements(&wave_a, &wave_b, &wave_c, &wave_d);
// Win rate improvement: (0.55 - 0.418) / 0.418 * 100 = 31.6%
assert!((improvements.a_to_c_win_rate - 31.6).abs() < 1.0);
// Sharpe improvement: 1.5 - (-6.52) = 8.02
assert!((improvements.a_to_c_sharpe - 8.02).abs() < 0.1);
// Drawdown reduction: (0.25 - 0.18) / 0.25 * 100 = 28%
assert!((improvements.a_to_c_drawdown - 28.0).abs() < 1.0);
}
#[test]
fn test_csv_generation() {
let results = create_test_results();
let backtest = WaveComparisonBacktest::new(Arc::new(DefaultRepositories::mock()), 100000.0);
let csv = backtest.generate_csv_summary(&results).unwrap();
assert!(csv.contains("Metric,Wave A,Wave B,Wave C"));
assert!(csv.contains("Win Rate"));
assert!(csv.contains("Sharpe Ratio"));
assert!(csv.contains("Total PnL"));
}
fn create_test_results() -> WaveComparisonResults {
WaveComparisonResults {
symbol: "ES.FUT".to_string(),
date_range: DateRange {
start: Utc::now(),
end: Utc::now(),
},
wave_a: WavePerformanceMetrics {
wave_id: "A".to_string(),
feature_count: 26,
win_rate: 0.418,
sharpe_ratio: -6.52,
sortino_ratio: -5.5,
max_drawdown: 0.25,
total_trades: 100,
avg_pnl: -50.0,
total_pnl: -5000.0,
volatility: 0.25,
profit_factor: 0.8,
avg_trade_duration_secs: 3600.0,
best_trade: 500.0,
worst_trade: -400.0,
},
wave_b: WavePerformanceMetrics {
wave_id: "B".to_string(),
feature_count: 36,
win_rate: 0.48,
sharpe_ratio: -5.0,
sortino_ratio: -4.2,
max_drawdown: 0.22,
total_trades: 120,
avg_pnl: 8.33,
total_pnl: 1000.0,
volatility: 0.23,
profit_factor: 1.1,
avg_trade_duration_secs: 3600.0,
best_trade: 100.0,
worst_trade: -80.0,
},
wave_c: WavePerformanceMetrics {
wave_id: "C".to_string(),
feature_count: 65,
win_rate: 0.55,
sharpe_ratio: 1.5,
sortino_ratio: 2.0,
max_drawdown: 0.18,
total_trades: 150,
avg_pnl: 33.33,
total_pnl: 5000.0,
volatility: 0.20,
profit_factor: 1.5,
avg_trade_duration_secs: 3600.0,
best_trade: 500.0,
worst_trade: -400.0,
},
wave_d: create_test_wave_d(),
improvements: ImprovementMatrix {
a_to_b_win_rate: 14.8,
a_to_c_win_rate: 31.6,
b_to_c_win_rate: 14.6,
a_to_d_win_rate: 43.5,
c_to_d_win_rate: 9.1,
a_to_b_sharpe: 1.52,
a_to_c_sharpe: 8.02,
b_to_c_sharpe: 6.5,
a_to_d_sharpe: 8.52,
c_to_d_sharpe: 0.5,
a_to_b_sortino: 1.3,
a_to_c_sortino: 7.5,
b_to_c_sortino: 6.2,
a_to_d_sortino: 8.0,
c_to_d_sortino: 0.5,
a_to_b_drawdown: 12.0,
a_to_c_drawdown: 28.0,
b_to_c_drawdown: 18.2,
a_to_d_drawdown: 40.0,
c_to_d_drawdown: 16.7,
a_to_b_pnl: 120.0,
a_to_c_pnl: 200.0,
b_to_c_pnl: 400.0,
a_to_d_pnl: 250.0,
c_to_d_pnl: 50.0,
},
metadata: BacktestMetadata {
execution_time: Utc::now(),
duration_ms: 5000,
bars_processed: 1000,
initial_capital: 100000.0,
strategy_config: "wave_comparison_v1".to_string(),
},
}
}
fn create_test_wave_d() -> WavePerformanceMetrics {
WavePerformanceMetrics {
wave_id: "D".to_string(),
feature_count: 225,
win_rate: 0.60,
sharpe_ratio: 2.0,
sortino_ratio: 2.5,
max_drawdown: 0.15,
total_trades: 180,
avg_pnl: 41.67,
total_pnl: 7500.0,
volatility: 0.18,
profit_factor: 1.8,
avg_trade_duration_secs: 3600.0,
best_trade: 750.0,
worst_trade: -600.0,
}
}
}