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Update scoring

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This commit is contained in:
cryptooda
2025-07-17 22:07:13 +07:00
parent 7bf7f783a9
commit 0ea05bca50
3 changed files with 100 additions and 49 deletions
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11
src/Managing.Application/Shared/MessengerService.cs
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@@ -170,7 +170,8 @@ public class MessengerService : IMessengerService
}
}
public async Task SendGeneticAlgorithmNotification(GeneticRequest request, double bestFitness, object? bestChromosome)
public async Task SendGeneticAlgorithmNotification(GeneticRequest request, double bestFitness,
object? bestChromosome)
{
try
{
@@ -263,7 +264,7 @@ public class MessengerService : IMessengerService
$"📊 Total Trades: {tradeCount}\n" +
$"💰 Final PnL: ${finalPnl:F2}\n" +
$"📈 Growth: {growthPercentage:F1}%\n" +
$"📉 Max Drawdown: ${maxDrawdown:C}\n" +
$"📉 Max Drawdown: ${maxDrawdown:N}\n" +
$"📊 Sharpe Ratio: {sharpeRatio:F2}\n\n" +
$"🆔 Backtest ID: {backtest.Id}";
@@ -272,11 +273,11 @@ public class MessengerService : IMessengerService
private string BuildGeneticAlgorithmMessage(GeneticRequest request, double bestFitness, object? bestChromosome)
{
var duration = request.CompletedAt.HasValue
? request.CompletedAt.Value - request.CreatedAt
var duration = request.CompletedAt.HasValue
? request.CompletedAt.Value - request.CreatedAt
: TimeSpan.Zero;
var indicators = request.EligibleIndicators.Any()
var indicators = request.EligibleIndicators.Any()
? string.Join(", ", request.EligibleIndicators.Select(i => i.ToString()))
: "N/A";

60
src/Managing.Domain/Shared/Helpers/BacktestScore.cs
View File

@@ -98,16 +98,16 @@ public class BacktestScorer
{
return component switch
{
"GrowthPercentage" => $"Growth of {p.GrowthPercentage:F2}% (target: 10% for full score)",
"SharpeRatio" => $"Sharpe ratio of {p.SharpeRatio:F2} (target: 4.0 for full score)",
"HodlComparison" => $"Strategy vs HODL: {p.GrowthPercentage:F2}% vs {p.HodlPercentage:F2}% (difference: {p.GrowthPercentage - p.HodlPercentage:F2}%)",
"WinRate" => $"Win rate of {p.WinRate:F2} with {p.TradeCount} trades", // Show as decimal
"ProfitabilityBonus" => $"Bonus for positive growth of {p.GrowthPercentage:F2}%",
"TradeCount" => $"{p.TradeCount} trades executed (minimum 5, optimal 50+)",
"RecoveryTime" => $"Recovery time: {p.MaxDrawdownRecoveryTime.TotalDays:F1} days",
"TestDuration" => $"Test duration: {(p.EndDate - p.StartDate).TotalDays:F1} days",
"FeesImpact" => $"Fees: ${p.Fees:F2} ({(p.TotalPnL > 0 ? p.Fees / p.TotalPnL * 100 : 0):F2}% of PnL)",
"RiskAdjustedReturn" => $"PnL/TradingBalance Drawdown ratio: {p.TotalPnL / (double)p.MaxDrawdown:F2}:1 (MaxDD: ${p.MaxDrawdown:F2} vs PnL: ${p.TotalPnL:F2})",
"GrowthPercentage" => $"Growth of {p.GrowthPercentage:F2}% (target: 20% for full score, 5% for 20 points, 10% for 50 points)",
"SharpeRatio" => $"Sharpe ratio of {p.SharpeRatio * 100:F2}, target: 4.0 for full score",
"HodlComparison" => $"Strategy vs HODL: {p.GrowthPercentage:F2}% vs {p.HodlPercentage:F2}% (difference: {p.GrowthPercentage - p.HodlPercentage:F2}%, target: +5% for full score)",
"WinRate" => $"Win rate of {p.WinRate:F2}% with {p.TradeCount} trades (significance factor: {Math.Min(1, (p.TradeCount - 5) / 50.0):F2})",
"ProfitabilityBonus" => $"Bonus for positive growth of {p.GrowthPercentage:F2}% (max 50 points)",
"TradeCount" => $"{p.TradeCount} trades executed (5-10: 0-50 points, 10-50: 50-100 points, 50+: 100 points)",
"RecoveryTime" => $"Recovery time: {p.MaxDrawdownRecoveryTime.TotalDays:F1} days (timeframe-adjusted max: {GetMaxRecoveryDays(p.Timeframe):F1} days)",
"TestDuration" => $"Test duration: {(p.EndDate - p.StartDate).TotalDays:F1} days (min: {GetMinTestDays(p.Timeframe):F1}, optimal: {GetMinTestDays(p.Timeframe) * 3:F1} days)",
"FeesImpact" => $"Fees: ${p.Fees:F2} ({(p.TotalPnL > 0 ? p.Fees / p.TotalPnL * 100 : 0):F2}% of PnL, target: below 10% for full score)",
"RiskAdjustedReturn" => $"Risk/Reward: {p.TotalPnL / (double)p.MaxDrawdown:F2}:1 (PnL: ${p.TotalPnL:F2}, MaxDD: ${p.MaxDrawdown:F2}, target: >3:1 for full score)",
_ => $"Component score: {score:F1}"
};
}
@@ -126,12 +126,12 @@ public class BacktestScorer
}
// 3. Win Rate Validation (Dynamic)
if (p.WinRate < 0.3 && p.TradeCount > 10)
if (p.WinRate < 30 && p.TradeCount > 10) // winRate is percentage, so 30 = 30%
{
var winRatePenalty = (0.3 - p.WinRate) * 0.5; // 50% penalty per 10% below 30%
var winRatePenalty = (30 - p.WinRate) * 0.5; // 50% penalty per 10% below 30%
var newMultiplier = Math.Max(0.2, 1 - winRatePenalty);
penaltyMultiplier *= newMultiplier;
result.AddPenaltyCheck("Low Win Rate", newMultiplier, $"Win rate of {p.WinRate * 100:F1}% below 30% threshold applied {winRatePenalty:F1}% penalty");
result.AddPenaltyCheck("Low Win Rate", newMultiplier, $"Win rate of {p.WinRate:F2}% below 30% threshold applied {winRatePenalty:F1}% penalty");
}
// 4. Minimum Profit Threshold (Dynamic)
@@ -246,8 +246,9 @@ public class BacktestScorer
private static double CalculateWinRateScore(double winRate, int tradeCount, BacktestScoringResult result)
{
// Use winRate as a decimal (e.g., 0.55 for 55%)
var baseScore = winRate;
// winRate is passed as percentage (e.g., 23.45 for 23.45%), convert to decimal for scoring
var winRateDecimal = winRate / 100.0;
var baseScore = winRateDecimal;
// Significance factor - more aggressive
var significanceFactor = Math.Min(1, (tradeCount - 5) / 50.0); // Start at 5 trades, full significance at 55 trades
@@ -379,4 +380,33 @@ public class BacktestScorer
_ => Math.Max(0, riskRewardRatio * 40) // 0-0.5:1: 0-20 points
};
}
// Helper methods for message generation
private static double GetMaxRecoveryDays(Timeframe timeframe)
{
return timeframe switch
{
Timeframe.FiveMinutes => 3.0,
Timeframe.FifteenMinutes => 5.0,
Timeframe.ThirtyMinutes => 10.0,
Timeframe.OneHour => 15.0,
Timeframe.FourHour => 30.0,
Timeframe.OneDay => 90.0,
_ => 30.0
};
}
private static double GetMinTestDays(Timeframe timeframe)
{
return timeframe switch
{
Timeframe.FiveMinutes => 14.0,
Timeframe.FifteenMinutes => 28.0,
Timeframe.ThirtyMinutes => 56.0,
Timeframe.OneHour => 84.0,
Timeframe.FourHour => 120.0,
Timeframe.OneDay => 90.0,
_ => 21.0
};
}
}