Oda/managing-apps
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Update scoring

Browse Source
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
Download Patch File Download Diff File Expand all files Collapse all files

78
README.md
View File

@@ -389,47 +389,50 @@ The backtest scoring system evaluates strategy performance using a comprehensive
| Component | Weight | Description | | Component | Weight | Description |
|-----------|--------|-------------| |-----------|--------|-------------|
| **Growth Percentage** | 25% | Primary performance metric based on total return | | **Growth Percentage** | 20% | Primary performance metric based on total return |
| **Sharpe Ratio** | 15% | Risk-adjusted return measure | | **Sharpe Ratio** | 15% | Risk-adjusted return measure (multiplied by 100 for accuracy) |
| **Max Drawdown (USD)** | 12% | Maximum capital loss in absolute terms | | **Hodl Comparison** | 10% | Performance vs buy-and-hold strategy |
| **Win Rate** | 15% | Percentage of profitable trades (weighted by trade count) | | **Win Rate** | 12% | Percentage of profitable trades (weighted by trade count) |
| **Profitability Bonus** | 8% | Additional reward for positive returns | | **Profitability Bonus** | 8% | Additional reward for positive returns |
| **Hodl Comparison** | 5% | Performance vs buy-and-hold strategy |
| **Trade Count** | 5% | Sufficient trading activity validation | | **Trade Count** | 5% | Sufficient trading activity validation |
| **Recovery Time** | 2% | Time to recover from maximum drawdown | | **Recovery Time** | 2% | Time to recover from maximum drawdown |
| **Test Duration** | 3% | Adequate testing period validation | | **Test Duration** | 3% | Adequate testing period validation |
| **Fees Impact** | 2% | Trading cost efficiency | | **Fees Impact** | 2% | Trading cost efficiency (based on PnL ratio) |
| **Risk Adjusted Return** | 23% | PnL vs MaxDD ratio based on trading balance |
#### Component Scoring Details #### Component Scoring Details
**Growth Percentage (25%)** **Growth Percentage (20%)**
- **Negative Returns**: Linear penalty (20 + growth% × 1.5) - **Negative Returns**: 0 points (no partial credit for losses)
- **0-5%**: Linear scale (0-40 points) - **0-5%**: Linear scale (0-20 points)
- **5-10%**: Accelerated scale (40-100 points) - **5-10%**: Accelerated scale (20-50 points)
- **10%+**: Full score (100 points) - **10-20%**: Linear scale (50-100 points)
- **20%+**: Full score (100 points)
**Sharpe Ratio (15%)** **Sharpe Ratio (15%)**
- **Input**: Sharpe ratio is multiplied by 100 for more accurate scoring
- **Negative**: 0 points - **Negative**: 0 points
- **0-4**: Linear scale (0-100 points) - **0-4**: Linear scale (0-100 points)
- **4+**: Full score (100 points) - **4+**: Full score (100 points)
**Max Drawdown USD (12%)** **Hodl Comparison (10%)**
- **0-30%**: Exponential penalty (100 - (drawdown%/30 × 100)^1.5) - **+5%+ better than HODL**: 100 points
- **30%+**: 0 points - **+2-5% better**: 80-100 points
- **+0-2% better**: 40-80 points
- **-1-0% worse**: 20-40 points
- **-2 to -1% worse**: 0-20 points
- **-2%+ worse**: 0 points (handled by early exit)
**Win Rate (15%)** **Win Rate (12%)**
- **Base Score**: Win rate percentage - **Input**: Win rate as percentage (e.g., 23.45 for 23.45%)
- **Base Score**: Win rate converted to decimal (23.45% → 0.2345)
- **Trade Count Factor**: Full significance at 55+ trades, reduced for fewer trades - **Trade Count Factor**: Full significance at 55+ trades, reduced for fewer trades
- **Minimum Trade Penalty**: 50% penalty for <10 trades - **Minimum Trade Penalty**: 50% penalty for <10 trades
**Profitability Bonus (8%)** **Profitability Bonus (8%)**
- **Positive Returns**: Logarithmic bonus (50 × (1 - 1/(1 + growth%/30))) - **Positive Returns**: Logarithmic bonus (max 50 points)
- **Negative Returns**: 0 points - **Negative Returns**: 0 points
**Hodl Comparison (5%)**
- **Outperforms Hodl**: 0-80 points based on margin
- **Underperforms Hodl**: 0-20 points based on underperformance
**Trade Count (5%)** **Trade Count (5%)**
- **<5 trades**: 0 points - **<5 trades**: 0 points
- **5-10 trades**: Linear scale (0-50 points) - **5-10 trades**: Linear scale (0-50 points)
@@ -456,25 +459,41 @@ The backtest scoring system evaluates strategy performance using a comprehensive
- **Optimal duration**: 3× minimum duration - **Optimal duration**: 3× minimum duration
**Fees Impact (2%)** **Fees Impact (2%)**
- **0-2% fees**: Linear penalty (100-50 points) - **Based on**: Fees as percentage of PnL (not initial balance)
- **2-5% fees**: Linear penalty (50-0 points) - **0-10% fees**: Linear scale (100-50 points)
- **5%+ fees**: 0 points - **10-20% fees**: Linear scale (50-0 points)
- **20%+ fees**: 0 points
- **Fees > PnL**: 0 points - **Fees > PnL**: 0 points
**Risk Adjusted Return (23%)**
- **Based on**: Trading balance (not initial balance)
- **Calculation**: PnL percentage vs MaxDD percentage ratio
- **>3:1 ratio**: 100 points
- **2-3:1 ratio**: 80-100 points
- **1.5-2:1 ratio**: 60-80 points
- **1-1.5:1 ratio**: 40-60 points
- **0.5-1:1 ratio**: 20-40 points
- **<0.5:1 ratio**: 0-20 points
#### Dynamic Penalty System #### Dynamic Penalty System
The scoring system applies dynamic penalties based on performance thresholds: The scoring system applies dynamic penalties based on performance thresholds:
**Early Exit Conditions**
- **No Trades**: Automatic 0 score
- **Negative PnL**: Automatic 0 score
- **HODL Underperformance**: Automatic 0 score if >2% worse than HODL
**Profitability Rules** **Profitability Rules**
- **Negative Growth**: 10% penalty per 1% loss - **Negative Growth**: 10% penalty per 1% loss
- **Negative Absolute PnL**: 70% penalty
- **Low Win Rate**: 50% penalty per 10% below 30% (for 10+ trades) - **Low Win Rate**: 50% penalty per 10% below 30% (for 10+ trades)
- **Low Profit**: 10% penalty per 1% below 2% (for 5+ trades) - **Low Profit**: 10% penalty per 1% below 2% (for 5+ trades)
- **High Drawdown**: 2% penalty per 1% above 20% - **High Drawdown**: 2% penalty per 1% above 20% of trading balance
- **Poor Risk/Reward**: 20% penalty per 0.5 ratio above 1.5:1 (MaxDD/PnL)
- **Short Test Duration**: 2% penalty per day below 30 days - **Short Test Duration**: 2% penalty per day below 30 days
- **HODL Underperformance**: 30% penalty per 1% underperformance
**Special Rules** **Special Rules**
- **No Positions**: Automatic 0 score
- **Score Clamping**: Final score clamped between 0-100 - **Score Clamping**: Final score clamped between 0-100
- **Error Handling**: Returns 0 for any calculation errors - **Error Handling**: Returns 0 for any calculation errors
@@ -482,11 +501,12 @@ The scoring system applies dynamic penalties based on performance thresholds:
The system prioritizes: The system prioritizes:
1. **Consistent profitability** over high-risk gains 1. **Consistent profitability** over high-risk gains
2. **Risk management** through drawdown control 2. **Risk management** through drawdown control based on trading balance
3. **Statistical significance** through adequate trade counts 3. **Statistical significance** through adequate trade counts
4. **Timeframe-appropriate** expectations for recovery and duration 4. **Timeframe-appropriate** expectations for recovery and duration
5. **Cost efficiency** through fee management 5. **Cost efficiency** through fee management relative to PnL
6. **Realistic performance** through dynamic penalties 6. **Realistic performance** through dynamic penalties
7. **HODL outperformance** as a baseline requirement
This comprehensive approach ensures that high-scoring strategies demonstrate robust, sustainable performance across multiple dimensions rather than relying on single metrics or short-term luck. This comprehensive approach ensures that high-scoring strategies demonstrate robust, sustainable performance across multiple dimensions rather than relying on single metrics or short-term luck.

5
src/Managing.Application/Shared/MessengerService.cs
View File

@@ -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 try
{ {
@@ -263,7 +264,7 @@ public class MessengerService : IMessengerService
$"📊 Total Trades: {tradeCount}\n" + $"📊 Total Trades: {tradeCount}\n" +
$"💰 Final PnL: ${finalPnl:F2}\n" + $"💰 Final PnL: ${finalPnl:F2}\n" +
$"📈 Growth: {growthPercentage:F1}%\n" + $"📈 Growth: {growthPercentage:F1}%\n" +
$"📉 Max Drawdown: ${maxDrawdown:C}\n" + $"📉 Max Drawdown: ${maxDrawdown:N}\n" +
$"📊 Sharpe Ratio: {sharpeRatio:F2}\n\n" + $"📊 Sharpe Ratio: {sharpeRatio:F2}\n\n" +
$"🆔 Backtest ID: {backtest.Id}"; $"🆔 Backtest ID: {backtest.Id}";

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

@@ -98,16 +98,16 @@ public class BacktestScorer
{ {
return component switch return component switch
{ {
"GrowthPercentage" => $"Growth of {p.GrowthPercentage:F2}% (target: 10% for full score)", "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:F2} (target: 4.0 for full score)", "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}%)", "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", // Show as decimal "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}%", "ProfitabilityBonus" => $"Bonus for positive growth of {p.GrowthPercentage:F2}% (max 50 points)",
"TradeCount" => $"{p.TradeCount} trades executed (minimum 5, optimal 50+)", "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", "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", "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)", "FeesImpact" => $"Fees: ${p.Fees:F2} ({(p.TotalPnL > 0 ? p.Fees / p.TotalPnL * 100 : 0):F2}% of PnL, target: below 10% for full score)",
"RiskAdjustedReturn" => $"PnL/TradingBalance Drawdown ratio: {p.TotalPnL / (double)p.MaxDrawdown:F2}:1 (MaxDD: ${p.MaxDrawdown:F2} vs PnL: ${p.TotalPnL:F2})", "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}" _ => $"Component score: {score:F1}"
}; };
} }
@@ -126,12 +126,12 @@ public class BacktestScorer
} }
// 3. Win Rate Validation (Dynamic) // 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); var newMultiplier = Math.Max(0.2, 1 - winRatePenalty);
penaltyMultiplier *= newMultiplier; 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) // 4. Minimum Profit Threshold (Dynamic)
@@ -246,8 +246,9 @@ public class BacktestScorer
private static double CalculateWinRateScore(double winRate, int tradeCount, BacktestScoringResult result) private static double CalculateWinRateScore(double winRate, int tradeCount, BacktestScoringResult result)
{ {
// Use winRate as a decimal (e.g., 0.55 for 55%) // winRate is passed as percentage (e.g., 23.45 for 23.45%), convert to decimal for scoring
var baseScore = winRate; var winRateDecimal = winRate / 100.0;
var baseScore = winRateDecimal;
// Significance factor - more aggressive // Significance factor - more aggressive
var significanceFactor = Math.Min(1, (tradeCount - 5) / 50.0); // Start at 5 trades, full significance at 55 trades 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 _ => 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
};
}
} }