Add precalculated signals list + multi scenario test
This commit is contained in:
@@ -372,6 +372,109 @@ public class BacktestExecutorTests : BaseTests, IDisposable
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Console.WriteLine($"✅ Performance test passed: {candlesPerSecond:F1} candles/sec");
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}
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[Fact]
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public async Task ExecuteBacktest_With_Two_Scenarios_Should_Show_Performance_Telemetry()
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{
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// Arrange - Test with 2 indicators to verify pre-calculated signals optimization works with multiple scenarios
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var candles =
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FileHelpers.ReadJson<List<Candle>>("../../../Data/ETH-FifteenMinutes-candles-20:44:15 +00:00-.json");
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Assert.NotNull(candles);
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Assert.NotEmpty(candles);
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Console.WriteLine($"DEBUG: Loaded {candles.Count} candles for two-scenarios performance telemetry test");
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var scenario = new Scenario("ETH_TwoScenarios_Backtest");
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var rsiDivIndicator = ScenarioHelpers.BuildIndicator(IndicatorType.RsiDivergence, "RsiDiv", period: 14);
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var emaCrossIndicator = ScenarioHelpers.BuildIndicator(IndicatorType.EmaCross, "EmaCross", period: 21);
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scenario.Indicators = new List<IndicatorBase> { (IndicatorBase)rsiDivIndicator, (IndicatorBase)emaCrossIndicator };
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scenario.LoopbackPeriod = 15; // 15 minutes loopback period as requested
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var config = new TradingBotConfig
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{
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AccountName = _account.Name,
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MoneyManagement = MoneyManagement,
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Ticker = Ticker.ETH,
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Scenario = LightScenario.FromScenario(scenario),
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Timeframe = Timeframe.FifteenMinutes,
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IsForWatchingOnly = false,
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BotTradingBalance = 100000,
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IsForBacktest = true,
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CooldownPeriod = 1,
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MaxLossStreak = 0,
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FlipPosition = false,
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Name = "ETH_TwoScenarios_Performance_Test",
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FlipOnlyWhenInProfit = true,
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MaxPositionTimeHours = null,
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CloseEarlyWhenProfitable = false
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};
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// Track execution time
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var startTime = DateTime.UtcNow;
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// Act
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var result = await _backtestExecutor.ExecuteAsync(
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config,
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candles.ToHashSet(),
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_testUser,
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save: false,
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withCandles: false,
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requestId: null,
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bundleRequestId: null,
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metadata: null,
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progressCallback: null);
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var executionTime = DateTime.UtcNow - startTime;
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// Assert - Verify the result is valid
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Assert.NotNull(result);
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Assert.Equal(Ticker.ETH, result.Config.Ticker);
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Assert.Equal(100000, result.InitialBalance);
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Assert.True(result.Score >= 0);
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// Business Logic Baseline Assertions - ensure consistency over time
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// These values establish the expected baseline for the two-scenarios test
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const decimal expectedFinalPnl = 2018.27m;
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const double expectedScore = 19.18;
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const int expectedWinRatePercent = 40; // 40% win rate
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const decimal expectedGrowthPercentage = 2.02m;
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// Allow small tolerance for floating-point precision variations
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const decimal pnlTolerance = 0.01m;
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const double scoreTolerance = 0.01;
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const decimal growthTolerance = 0.01m;
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Assert.True(Math.Abs(result.FinalPnl - expectedFinalPnl) <= pnlTolerance,
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$"Final PnL {result.FinalPnl:F2} differs from expected baseline {expectedFinalPnl:F2} (tolerance: ±{pnlTolerance:F2})");
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Assert.True(Math.Abs(result.Score - expectedScore) <= scoreTolerance,
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$"Score {result.Score:F2} differs from expected baseline {expectedScore:F2} (tolerance: ±{scoreTolerance:F2})");
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Assert.True(Math.Abs(result.WinRate - expectedWinRatePercent) <= 5,
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$"Win Rate {result.WinRate}% differs from expected baseline {expectedWinRatePercent}% (tolerance: ±5%)");
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Assert.True(Math.Abs(result.GrowthPercentage - expectedGrowthPercentage) <= growthTolerance,
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$"Growth {result.GrowthPercentage:F2}% differs from expected baseline {expectedGrowthPercentage:F2}% (tolerance: ±{growthTolerance:F2}%)");
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// Performance metrics
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var totalCandles = candles.Count;
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var candlesPerSecond = totalCandles / executionTime.TotalSeconds;
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// Log comprehensive performance metrics
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Console.WriteLine($"📊 === TWO-SCENARIOS PERFORMANCE TELEMETRY ===");
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Console.WriteLine($"⏱️ Total Execution Time: {executionTime.TotalSeconds:F2}s");
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Console.WriteLine($"📈 Candles Processed: {totalCandles} ({candlesPerSecond:F1} candles/sec)");
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Console.WriteLine($"🎯 Final PnL: {result.FinalPnl:F2} (Expected: {expectedFinalPnl:F2})");
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Console.WriteLine($"📊 Score: {result.Score:F2} (Expected: {expectedScore:F2})");
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Console.WriteLine($"📈 Win Rate: {result.WinRate}% (Expected: {expectedWinRatePercent}%)");
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Console.WriteLine($"📈 Growth: {result.GrowthPercentage:F2}% (Expected: {expectedGrowthPercentage:F2}%)");
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Console.WriteLine($"🎭 Scenario: {scenario.Name} ({scenario.Indicators.Count} indicators, LoopbackPeriod: {scenario.LoopbackPeriod})");
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// Performance assertion - should be reasonably fast even with 2 indicators
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Assert.True(candlesPerSecond > 200, $"Expected >200 candles/sec with 2 indicators, got {candlesPerSecond:F1} candles/sec");
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Console.WriteLine($"✅ Two-scenarios performance test passed: {candlesPerSecond:F1} candles/sec with {scenario.Indicators.Count} indicators");
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}
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public void Dispose()
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{
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_loggerFactory?.Dispose();
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@@ -0,0 +1,4 @@
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DateTime,TestName,CandlesCount,ExecutionTimeSeconds,ProcessingRateCandlesPerSec,MemoryStartMB,MemoryEndMB,MemoryPeakMB,SignalUpdatesCount,SignalUpdatesSkipped,SignalUpdateEfficiencyPercent,BacktestStepsCount,AverageSignalUpdateMs,AverageBacktestStepMs,FinalPnL,WinRatePercent,GrowthPercentage,Score,CommitHash,GitBranch,Environment
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2025-11-11T06:53:40Z,ExecuteBacktest_With_Two_Scenarios_Should_Show_Performance_Telemetry,576037926 576037588,1.52 1.53,3792.6 3758,8,15.26,11.35,23.73,0.0,0,0.0,0.0,0.0,0.0,2018.27,4 000,00,2.02,1919,e810ab60,dev,development
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2025-11-11T06:58:31Z,ExecuteBacktest_With_Two_Scenarios_Should_Show_Performance_Telemetry,576038904 576038584,1.48 1.49,3890.4 3858,4,15.27,11.03,23.74,0.0,0,0.0,0.0,0.0,0.0,2018.27 (Expected: 2018.27),4 000,00 (Expected: 40,0%),2.02 (Expected: 2.02%),19181918,e810ab60,dev,development
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2025-11-11T07:03:00Z,ExecuteBacktest_With_Two_Scenarios_Should_Show_Performance_Telemetry,576033954 576033649,1.70 1.71,3395.4 3364,9,15.29,11.00,23.75,0.0,0,0.0,0.0,0.0,0.0,2018.27 (Expected: 2018.27),40 (Expected: 40%),2.02 (Expected: 2.02%),19191918,e810ab60,dev,development
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@@ -33,3 +33,14 @@ DateTime,TestName,CandlesCount,ExecutionTimeSeconds,ProcessingRateCandlesPerSec,
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2025-11-11T05:50:25Z,ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry,5760,0.915,6292.9,15.27,11.04,23.72,770.66,3828,66.5,69.13,0.40,0.01,24560.79,38,24.56,6015,c66f6279,dev,development
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2025-11-11T05:52:21Z,ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry,5760,1.045,5475.3,15.27,11.30,23.71,907.47,3828,66.5,64.87,0.47,0.01,24560.79,38,24.56,6015,c66f6279,dev,development
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2025-11-11T05:54:40Z,ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry,5760,1.445,3959.3,15.26,11.11,23.72,1222.26,3828,66.5,111.35,0.63,0.02,24560.79,38,24.56,6015,c66f6279,dev,development
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2025-11-11T06:10:59Z,ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry,5760,1.22,4683.2,15.26,10.84,23.72,1048.26,3828,66.5,79.79,0.54,0.01,24560.79,38,24.56,6015,e810ab60,dev,development
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2025-11-11T06:15:18Z,ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry,5760,1.85,3102.1,15.78,14.48,24.59,1559.17,3828,66.5,142.94,0.81,0.02,24560.79,38,24.56,6015,e810ab60,dev,development
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2025-11-11T06:16:50Z,ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry,5760,1.58,3629.2,15.26,15.20,24.06,1386.27,3828,66.5,101.01,0.72,0.02,24560.79,38,24.56,6015,e810ab60,dev,development
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2025-11-11T06:22:25Z,ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry,5760,1.445,3966.6,15.26,10.45,24.60,1256.25,3828,66.5,109.62,0.65,0.02,24560.79,38,24.56,6015,e810ab60,dev,development
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2025-11-11T06:23:44Z,ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry,5760,1.265,4544.2,15.26,11.24,23.71,1023.42,3828,66.5,80.77,0.53,0.01,24560.79,38,24.56,6015,e810ab60,dev,development
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2025-11-11T06:41:40Z,ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry,5760,0.835,6870.8,15.27,10.21,23.73,720.71,3828,66.5,52.24,0.37,0.01,24560.79,38,24.56,6015,e810ab60,dev,development
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2025-11-11T06:44:52Z,ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry,5760,1.095,5217.4,15.26,11.07,23.72,945.37,3828,66.5,72.77,0.49,0.01,24560.79,38,24.56,6015,e810ab60,dev,development
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2025-11-11T06:45:12Z,ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry,5760,1.07,5356.7,15.26,11.18,23.73,897.94,3828,66.5,91.98,0.46,0.02,24560.79,38,24.56,6015,e810ab60,dev,development
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2025-11-11T06:53:40Z,ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry,5760,1.12,5112.2,15.26,11.35,23.73,927.80,3828,66.5,78.67,0.48,0.01,24560.79,38,24.56,6015,e810ab60,dev,development
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2025-11-11T06:58:31Z,ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry,5760,1.55,3699.6,15.27,11.03,23.74,1319.91,3828,66.5,117.22,0.68,0.02,24560.79,38,24.56,6015,e810ab60,dev,development
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2025-11-11T07:03:00Z,ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry,5760,2.11,2720.5,15.29,11.00,23.75,1780.10,3828,66.5,145.96,0.92,0.03,24560.79,38,24.56,6015,e810ab60,dev,development
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