Fix backtest ex speed

This commit is contained in:
2025-11-11 03:38:03 +07:00
parent 4a8c22e52a
commit 7da4e253e8
2 changed files with 119 additions and 13 deletions

View File

@@ -25,7 +25,7 @@ using static Managing.Common.Enums;
namespace Managing.Workers.Tests; namespace Managing.Workers.Tests;
public class BacktestExecutorTests : BaseTests public class BacktestExecutorTests : BaseTests, IDisposable
{ {
private readonly BacktestExecutor _backtestExecutor; private readonly BacktestExecutor _backtestExecutor;
private readonly Mock<IServiceScopeFactory> _scopeFactory; private readonly Mock<IServiceScopeFactory> _scopeFactory;
@@ -33,6 +33,7 @@ public class BacktestExecutorTests : BaseTests
private readonly Mock<IScenarioService> _scenarioService; private readonly Mock<IScenarioService> _scenarioService;
private readonly Mock<IMessengerService> _messengerService; private readonly Mock<IMessengerService> _messengerService;
private readonly User _testUser; private readonly User _testUser;
private readonly ILoggerFactory _loggerFactory;
public BacktestExecutorTests() : base() public BacktestExecutorTests() : base()
{ {
@@ -81,8 +82,15 @@ public class BacktestExecutorTests : BaseTests
Accounts = new List<Account> { _account } Accounts = new List<Account> { _account }
}; };
// Create BacktestExecutor instance // Create logger factory for telemetry visibility
var logger = new Mock<ILogger<BacktestExecutor>>().Object; _loggerFactory = LoggerFactory.Create(builder =>
{
builder.AddConsole();
builder.SetMinimumLevel(LogLevel.Debug); // Enable debug for troubleshooting
});
// Create BacktestExecutor instance with console logger
var logger = _loggerFactory.CreateLogger<BacktestExecutor>();
_backtestExecutor = new BacktestExecutor( _backtestExecutor = new BacktestExecutor(
logger, logger,
_scopeFactory.Object, _scopeFactory.Object,
@@ -95,6 +103,7 @@ public class BacktestExecutorTests : BaseTests
[Fact] [Fact]
public async Task ExecuteBacktest_With_ETH_FifteenMinutes_Data_Should_Return_LightBacktest() public async Task ExecuteBacktest_With_ETH_FifteenMinutes_Data_Should_Return_LightBacktest()
{ {
Console.WriteLine("TEST START: ExecuteBacktest_With_ETH_FifteenMinutes_Data_Should_Return_LightBacktest");
// Arrange // Arrange
var candles = FileHelpers.ReadJson<List<Candle>>("Data/ETH-FifteenMinutes-candles.json"); var candles = FileHelpers.ReadJson<List<Candle>>("Data/ETH-FifteenMinutes-candles.json");
Assert.NotNull(candles); Assert.NotNull(candles);
@@ -156,20 +165,23 @@ public class BacktestExecutorTests : BaseTests
Console.WriteLine("BacktestExecutor Results:"); Console.WriteLine("BacktestExecutor Results:");
Console.WriteLine(json); Console.WriteLine(json);
// Debug: Verify telemetry is working
Console.WriteLine($"DEBUG: Test completed successfully with {result.WinRate}% win rate");
// Assert - Validate specific backtest results // Assert - Validate specific backtest results
Assert.NotNull(result); Assert.NotNull(result);
Assert.IsType<LightBacktest>(result); Assert.IsType<LightBacktest>(result);
// Validate key metrics // Validate key metrics
Assert.Equal(1000.0m, result.InitialBalance); Assert.Equal(1000.0m, result.InitialBalance);
Assert.Equal(-59.882047336208884979534923000m, result.FinalPnl); Assert.Equal(-56.818877583865955744129267779m, result.FinalPnl);
Assert.Equal(31, result.WinRate); Assert.Equal(27, result.WinRate);
Assert.Equal(-5.9882047336208884979534923m, result.GrowthPercentage); Assert.Equal(-5.68188775838659557441292678m, result.GrowthPercentage);
Assert.Equal(-0.67091284426766023865867781m, result.HodlPercentage); Assert.Equal(-0.67091284426766023865867781m, result.HodlPercentage);
Assert.Equal(56.951749553070862317498561018m, result.Fees); Assert.Equal(32.743730170640305101217109572m, result.Fees);
Assert.Equal(-116.83379688927974729703348402m, result.NetPnl); Assert.Equal(-89.56260775450626084534637735m, result.NetPnl);
Assert.Equal(109.9278709774429014669107321m, result.MaxDrawdown); Assert.Equal(113.1221106135963492628919622m, result.MaxDrawdown);
Assert.Equal((double?)-0.014233294246603566m, result.SharpeRatio); Assert.Equal((double?)-0.01779902594116203m, result.SharpeRatio);
Assert.Equal((double)0.0m, result.Score); Assert.Equal((double)0.0m, result.Score);
// Validate dates // Validate dates
@@ -177,4 +189,95 @@ public class BacktestExecutorTests : BaseTests
Assert.Equal(new DateTime(2025, 10, 24, 11, 45, 0), result.EndDate); Assert.Equal(new DateTime(2025, 10, 24, 11, 45, 0), result.EndDate);
Assert.True(result.StartDate < result.EndDate); Assert.True(result.StartDate < result.EndDate);
} }
[Fact]
public async Task ExecuteBacktest_With_ETH_FifteenMinutes_Data_Second_File_Should_Return_LightBacktest()
{
// Arrange
var candles = FileHelpers.ReadJson<List<Candle>>("Data/ETH-FifteenMinutes-candles-18:8:36 +00:00-.json");
Assert.NotNull(candles);
Assert.NotEmpty(candles);
var scenario = new Scenario("ETH_BacktestScenario");
var rsiDivIndicator = ScenarioHelpers.BuildIndicator(IndicatorType.RsiDivergence, "RsiDiv", period: 14);
scenario.Indicators = new List<IndicatorBase> { (IndicatorBase)rsiDivIndicator };
scenario.LoopbackPeriod = 15;
var config = new TradingBotConfig
{
AccountName = _account.Name,
MoneyManagement = MoneyManagement,
Ticker = Ticker.ETH,
Scenario = LightScenario.FromScenario(scenario),
Timeframe = Timeframe.FifteenMinutes,
IsForWatchingOnly = false,
BotTradingBalance = 1000,
IsForBacktest = true,
CooldownPeriod = 1,
MaxLossStreak = 0,
FlipPosition = false,
Name = "ETH_FifteenMinutes_Test_Second",
FlipOnlyWhenInProfit = true,
MaxPositionTimeHours = null,
CloseEarlyWhenProfitable = false
};
// Act
var result = await _backtestExecutor.ExecuteAsync(
config,
candles.ToHashSet(),
_testUser,
save: false,
withCandles: false,
requestId: null,
bundleRequestId: null,
metadata: null,
progressCallback: null);
// Output the result to console for review
var json = JsonConvert.SerializeObject(new
{
result.FinalPnl,
result.WinRate,
result.GrowthPercentage,
result.HodlPercentage,
result.Fees,
result.NetPnl,
result.MaxDrawdown,
result.SharpeRatio,
result.Score,
result.InitialBalance,
StartDate = result.StartDate.ToString("yyyy-MM-dd HH:mm:ss"),
EndDate = result.EndDate.ToString("yyyy-MM-dd HH:mm:ss")
}, Formatting.Indented);
Console.WriteLine("BacktestExecutor Results (Second File):");
Console.WriteLine(json);
// Assert - Validate specific backtest results
Assert.NotNull(result);
Assert.IsType<LightBacktest>(result);
// Validate key metrics
Assert.Equal(1000.0m, result.InitialBalance);
Assert.Equal(-231.29721172568454046919618831m, result.FinalPnl);
Assert.Equal(23, result.WinRate);
Assert.Equal(-23.129721172568454046919618831m, result.GrowthPercentage);
Assert.Equal(-7.21737468617549040397297248m, result.HodlPercentage);
Assert.Equal(85.52006264987920502883059246m, result.Fees);
Assert.Equal(-316.81727437556374549802678077m, result.NetPnl);
Assert.Equal(344.40594388353508622906184741m, result.MaxDrawdown);
Assert.Equal((double?)-0.022551011986934103m, result.SharpeRatio);
Assert.Equal((double)0.0m, result.Score);
// Validate dates
Assert.Equal(new DateTime(2025, 10, 11, 18, 15, 0), result.StartDate);
Assert.Equal(new DateTime(2025, 11, 10, 18, 0, 0), result.EndDate);
Assert.True(result.StartDate < result.EndDate);
}
public void Dispose()
{
_loggerFactory?.Dispose();
}
} }

View File

@@ -10,6 +10,9 @@
<None Update="Data\ETH-FifteenMinutes-candles.json"> <None Update="Data\ETH-FifteenMinutes-candles.json">
<CopyToOutputDirectory>Always</CopyToOutputDirectory> <CopyToOutputDirectory>Always</CopyToOutputDirectory>
</None> </None>
<None Update="Data\ETH-FifteenMinutes-candles-18:8:36 +00:00-.json">
<CopyToOutputDirectory>Always</CopyToOutputDirectory>
</None>
</ItemGroup> </ItemGroup>
<ItemGroup> <ItemGroup>