Update scoring and progress

This commit is contained in:
2025-07-12 00:10:22 +07:00
parent cebbeff887
commit c0f6d68833
6 changed files with 142 additions and 73 deletions

View File

@@ -3,19 +3,20 @@ using static Managing.Common.Enums;
public class BacktestScorer public class BacktestScorer
{ {
// Updated weights with more balanced distribution // Updated weights with more emphasis on HODL comparison and risk management
private static readonly Dictionary<string, double> Weights = new Dictionary<string, double> private static readonly Dictionary<string, double> Weights = new Dictionary<string, double>
{ {
{ "GrowthPercentage", 0.25 }, { "GrowthPercentage", 0.20 },
{ "SharpeRatio", 0.15 }, { "SharpeRatio", 0.15 },
{ "MaxDrawdownUsd", 0.12 }, { "MaxDrawdownUsd", 0.10 },
{ "HodlComparison", 0.05 }, { "HodlComparison", 0.15 }, // Increased from 0.05 to 0.15
{ "WinRate", 0.15 }, { "WinRate", 0.12 },
{ "ProfitabilityBonus", 0.08 }, { "ProfitabilityBonus", 0.08 },
{ "TradeCount", 0.05 }, { "TradeCount", 0.05 },
{ "RecoveryTime", 0.02 }, { "RecoveryTime", 0.02 },
{ "TestDuration", 0.03 }, { "TestDuration", 0.03 },
{ "FeesImpact", 0.02 } { "FeesImpact", 0.02 },
{ "RiskAdjustedReturn", 0.08 } // New component
}; };
public static double CalculateTotalScore(BacktestScoringParams p) public static double CalculateTotalScore(BacktestScoringParams p)
@@ -52,7 +53,8 @@ public class BacktestScorer
{ "TradeCount", CalculateTradeCountScore(p.TradeCount) }, { "TradeCount", CalculateTradeCountScore(p.TradeCount) },
{ "RecoveryTime", CalculateRecoveryScore(p.MaxDrawdownRecoveryTime, p.Timeframe) }, { "RecoveryTime", CalculateRecoveryScore(p.MaxDrawdownRecoveryTime, p.Timeframe) },
{ "TestDuration", CalculateTestDurationScore(p.StartDate, p.EndDate, p.Timeframe) }, { "TestDuration", CalculateTestDurationScore(p.StartDate, p.EndDate, p.Timeframe) },
{ "FeesImpact", CalculateFeesImpactScore(p.FeesPaid, p.InitialBalance, (decimal)p.TotalPnL) } { "FeesImpact", CalculateFeesImpactScore(p.FeesPaid, p.InitialBalance, (decimal)p.TotalPnL) },
{ "RiskAdjustedReturn", CalculateRiskAdjustedReturnScore(p.TotalPnL, p.MaxDrawdown, p.InitialBalance) }
}; };
return componentScores.Sum(kvp => kvp.Value * Weights[kvp.Key]); return componentScores.Sum(kvp => kvp.Value * Weights[kvp.Key]);
@@ -89,14 +91,25 @@ public class BacktestScorer
penaltyMultiplier *= Math.Max(0.5, 1 - profitPenalty); penaltyMultiplier *= Math.Max(0.5, 1 - profitPenalty);
} }
// 5. Drawdown Penalty (Dynamic) // 5. Drawdown Penalty (Dynamic) - Enhanced to consider PnL ratio
if (p.MaxDrawdownPc > 20) if (p.MaxDrawdownPc > 20)
{ {
var drawdownPenalty = (p.MaxDrawdownPc - 20) * 0.02; // 2% penalty per 1% above 20% var drawdownPenalty = (p.MaxDrawdownPc - 20) * 0.02; // 2% penalty per 1% above 20%
penaltyMultiplier *= Math.Max(0.3, 1 - drawdownPenalty); penaltyMultiplier *= Math.Max(0.3, 1 - drawdownPenalty);
} }
// 6. Test Duration Penalty (Dynamic) // 6. Enhanced Drawdown vs PnL Penalty
if (p.TotalPnL > 0 && p.MaxDrawdown > 0)
{
var drawdownToPnLRatio = (double)(p.MaxDrawdown / (decimal)p.TotalPnL);
if (drawdownToPnLRatio > 1.5) // If drawdown is more than 150% of PnL
{
var ratioPenalty = (drawdownToPnLRatio - 1.5) * 0.2; // 20% penalty per 0.5 ratio above 1.5
penaltyMultiplier *= Math.Max(0.2, 1 - ratioPenalty);
}
}
// 7. Test Duration Penalty (Dynamic)
var testDurationDays = (p.EndDate - p.StartDate).TotalDays; var testDurationDays = (p.EndDate - p.StartDate).TotalDays;
if (testDurationDays < 30) if (testDurationDays < 30)
{ {
@@ -154,8 +167,6 @@ public class BacktestScorer
}; };
} }
private static double CalculateDrawdownUsdScore(decimal maxDrawdown, decimal initialBalance) private static double CalculateDrawdownUsdScore(decimal maxDrawdown, decimal initialBalance)
{ {
if (initialBalance <= 0) return 0; if (initialBalance <= 0) return 0;
@@ -188,10 +199,16 @@ public class BacktestScorer
private static double CalculateHodlComparisonScore(double strategyGrowth, double hodlGrowth) private static double CalculateHodlComparisonScore(double strategyGrowth, double hodlGrowth)
{ {
var difference = strategyGrowth - hodlGrowth; var difference = strategyGrowth - hodlGrowth;
// Much more aggressive scoring for HODL comparison
return difference switch return difference switch
{ {
> 0 => 80 - (80 / (1 + difference / 3)), // Reduced max to 80 > 5 => 100, // Significantly outperform HODL (>5% better)
_ => Math.Max(0, 20 + difference * 2) // Reduced base score > 2 => 80 + (difference - 2) * 6.67, // 2-5% better: 80-100 points
> 0 => 40 + difference * 20, // 0-2% better: 40-80 points
> -2 => 20 + (difference + 2) * 10, // -2-0%: 20-40 points
> -5 => Math.Max(0, 10 + (difference + 5) * 3.33), // -5 to -2%: 0-20 points
_ => 0 // More than 5% worse than HODL = 0 points
}; };
} }
@@ -273,4 +290,22 @@ public class BacktestScorer
return feeEfficiency; return feeEfficiency;
} }
private static double CalculateRiskAdjustedReturnScore(double totalPnL, decimal maxDrawdown, decimal initialBalance)
{
if (initialBalance <= 0 || maxDrawdown <= 0) return 0;
var pnlRatio = totalPnL / (double)maxDrawdown;
// Score based on PnL to drawdown ratio
return pnlRatio switch
{
> 3 => 100, // Excellent risk-adjusted return (>3:1)
> 2 => 80 + (pnlRatio - 2) * 20, // 2-3:1: 80-100 points
> 1.5 => 60 + (pnlRatio - 1.5) * 40, // 1.5-2:1: 60-80 points
> 1 => 40 + (pnlRatio - 1) * 40, // 1-1.5:1: 40-60 points
> 0.5 => 20 + (pnlRatio - 0.5) * 40, // 0.5-1:1: 20-40 points
_ => Math.Max(0, pnlRatio * 40) // 0-0.5:1: 0-20 points
};
}
} }

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@@ -5,7 +5,7 @@ import useApiUrlStore from '../../../app/store/apiStore'
import useBacktestStore from '../../../app/store/backtestStore' import useBacktestStore from '../../../app/store/backtestStore'
import type {Backtest} from '../../../generated/ManagingApi' import type {Backtest} from '../../../generated/ManagingApi'
import {BacktestClient} from '../../../generated/ManagingApi' import {BacktestClient} from '../../../generated/ManagingApi'
import {CardText, ConfigDisplayModal, IndicatorsDisplay, SelectColumnFilter, Table} from '../../mollecules' import {ConfigDisplayModal, IndicatorsDisplay, SelectColumnFilter, Table} from '../../mollecules'
import {UnifiedTradingModal} from '../index' import {UnifiedTradingModal} from '../index'
import Toast from '../../mollecules/Toast/Toast' import Toast from '../../mollecules/Toast/Toast'
@@ -37,6 +37,9 @@ const BacktestTable: React.FC<BacktestTableProps> = ({list, isFetching, displayS
medianCooldown: 0, medianCooldown: 0,
}) })
// Summary collapse state
const [isSummaryCollapsed, setIsSummaryCollapsed] = useState(true)
// Bot configuration modal state // Bot configuration modal state
const [showBotConfigModal, setShowBotConfigModal] = useState(false) const [showBotConfigModal, setShowBotConfigModal] = useState(false)
const [selectedBacktest, setSelectedBacktest] = useState<Backtest | null>(null) const [selectedBacktest, setSelectedBacktest] = useState<Backtest | null>(null)
@@ -471,37 +474,56 @@ const BacktestTable: React.FC<BacktestTableProps> = ({list, isFetching, displayS
) : ( ) : (
<> <>
{list && list.length > 0 && displaySummary && ( {list && list.length > 0 && displaySummary && (
<> <div className="mb-4">
<div className="mb-4"> <button
<CardText onClick={() => setIsSummaryCollapsed(!isSummaryCollapsed)}
title="Average Optimized Money Management" className="btn btn-sm btn-outline mb-2"
content={ >
"SL: " + optimizedMoneyManagement.stopLoss.toFixed(2) + "% | TP: " + {isSummaryCollapsed ? (
optimizedMoneyManagement.takeProfit.toFixed(2) + "% | R/R: " + <>
(optimizedMoneyManagement.takeProfit / optimizedMoneyManagement.stopLoss || 0).toFixed(2) <ChevronRightIcon className="w-4 h-4 mr-1" />
} Show Summary
/> </>
</div> ) : (
<div className="mb-4"> <>
<CardText <ChevronDownIcon className="w-4 h-4 mr-1" />
title="Position Timing Statistics" Hide Summary
content={ </>
"Avg: " + positionTimingStats.averageOpenTime.toFixed(1) + "h | " + )}
"Median: " + positionTimingStats.medianOpenTime.toFixed(1) + "h | " + </button>
"Losing Avg: " + positionTimingStats.losingPositionsAverageOpenTime.toFixed(1) + "h"
} {!isSummaryCollapsed && (
/> <div className="bg-base-200 p-4 rounded-lg space-y-3">
</div> <div className="flex flex-wrap gap-4 text-sm">
<div className="mb-4"> <div className="flex-1 min-w-0">
<CardText <div className="font-semibold text-xs text-gray-600 mb-1">Money Management</div>
title="Cooldown Recommendations" <div className="flex gap-2">
content={ <span className="badge badge-outline">SL: {optimizedMoneyManagement.stopLoss.toFixed(2)}%</span>
"Avg: " + cooldownRecommendations.averageCooldown + " candles | " + <span className="badge badge-outline">TP: {optimizedMoneyManagement.takeProfit.toFixed(2)}%</span>
"Median: " + cooldownRecommendations.medianCooldown + " candles" <span className="badge badge-outline">R/R: {(optimizedMoneyManagement.takeProfit / optimizedMoneyManagement.stopLoss || 0).toFixed(2)}</span>
} </div>
/> </div>
</div>
</> <div className="flex-1 min-w-0">
<div className="font-semibold text-xs text-gray-600 mb-1">Position Timing</div>
<div className="flex gap-2">
<span className="badge badge-outline">Avg: {positionTimingStats.averageOpenTime.toFixed(1)}h</span>
<span className="badge badge-outline">Median: {positionTimingStats.medianOpenTime.toFixed(1)}h</span>
<span className="badge badge-outline">Losing: {positionTimingStats.losingPositionsAverageOpenTime.toFixed(1)}h</span>
</div>
</div>
<div className="flex-1 min-w-0">
<div className="font-semibold text-xs text-gray-600 mb-1">Cooldown</div>
<div className="flex gap-2">
<span className="badge badge-outline">Avg: {cooldownRecommendations.averageCooldown} candles</span>
<span className="badge badge-outline">Median: {cooldownRecommendations.medianCooldown} candles</span>
</div>
</div>
</div>
</div>
)}
</div>
)} )}
<Table <Table
columns={columns} columns={columns}

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@@ -1,13 +1,16 @@
import React from 'react'; import React from 'react';
import Plot from 'react-plotly.js'; import Plot from 'react-plotly.js';
import {Backtest} from '../../../generated/ManagingApi'; import {Backtest} from '../../../generated/ManagingApi';
import useTheme from '../../../hooks/useTheme';
interface Fitness3DPlotProps { interface Fitness3DPlotProps {
backtests: Backtest[]; backtests: Backtest[];
theme: { secondary: string }; theme: { secondary: string };
} }
const Fitness3DPlot: React.FC<Fitness3DPlotProps> = ({ backtests, theme }) => { const Fitness3DPlot: React.FC<Fitness3DPlotProps> = ({ backtests }) => {
const theme = useTheme().themeProperty()
const LOOPBACK_CONFIG = { const LOOPBACK_CONFIG = {
singleIndicator: 1, singleIndicator: 1,
multipleIndicators: { min: 5, max: 15 }, multipleIndicators: { min: 5, max: 15 },
@@ -113,9 +116,9 @@ const Fitness3DPlot: React.FC<Fitness3DPlotProps> = ({ backtests, theme }) => {
layout={{ layout={{
title: {text: 'Fitness Score vs Score vs Win Rate'}, title: {text: 'Fitness Score vs Score vs Win Rate'},
scene: { scene: {
xaxis: {title: {text: 'Fitness Score'}}, xaxis: {title: {text: 'Fitness Score'}, zerolinecolor: theme.secondary, color: theme.secondary},
yaxis: {title: {text: 'Score'}}, yaxis: {title: {text: 'Score'}, zerolinecolor: theme.secondary, color: theme.secondary},
zaxis: {title: {text: 'Win Rate (%)'}}, zaxis: {title: {text: 'Win Rate (%)'}, zerolinecolor: theme.secondary, color: theme.secondary},
}, },
width: 750, width: 750,
height: 600, height: 600,
@@ -126,8 +129,8 @@ const Fitness3DPlot: React.FC<Fitness3DPlotProps> = ({ backtests, theme }) => {
r: 0, r: 0,
t: 0, t: 0,
}, },
paper_bgcolor: '#121212', paper_bgcolor: "rgba(0,0,0,0)",
plot_bgcolor: theme.secondary, plot_bgcolor: "rgba(0,0,0,0)",
}} }}
config={{displayModeBar: false}} config={{displayModeBar: false}}
/> />

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@@ -1,13 +1,16 @@
import React from 'react' import React from 'react'
import Plot from 'react-plotly.js' import Plot from 'react-plotly.js'
import {Backtest} from '../../../generated/ManagingApi' import {Backtest} from '../../../generated/ManagingApi'
import useTheme from '../../../hooks/useTheme'
interface ScoreVsGenerationProps { interface ScoreVsGenerationProps {
backtests: Backtest[] backtests: Backtest[]
theme: { secondary: string } theme: { secondary: string }
} }
const ScoreVsGeneration: React.FC<ScoreVsGenerationProps> = ({ backtests, theme }) => { const ScoreVsGeneration: React.FC<ScoreVsGenerationProps> = ({ backtests }) => {
const theme = useTheme().themeProperty()
// Helper function to get generation from metadata // Helper function to get generation from metadata
const getGeneration = (backtest: Backtest): number => { const getGeneration = (backtest: Backtest): number => {
if (backtest.metadata && typeof backtest.metadata === 'object' && 'generation' in backtest.metadata) { if (backtest.metadata && typeof backtest.metadata === 'object' && 'generation' in backtest.metadata) {
@@ -115,7 +118,7 @@ const ScoreVsGeneration: React.FC<ScoreVsGenerationProps> = ({ backtests, theme
color: theme.secondary color: theme.secondary
} }
}, },
gridcolor: theme.secondary, gridcolor: theme.neutral,
zerolinecolor: theme.secondary, zerolinecolor: theme.secondary,
color: theme.secondary color: theme.secondary
}, },
@@ -126,7 +129,7 @@ const ScoreVsGeneration: React.FC<ScoreVsGenerationProps> = ({ backtests, theme
color: theme.secondary color: theme.secondary
} }
}, },
gridcolor: theme.secondary, gridcolor: theme.neutral,
zerolinecolor: theme.secondary, zerolinecolor: theme.secondary,
color: theme.secondary color: theme.secondary
}, },

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@@ -86,9 +86,9 @@ const TPvsSLvsPnL3DPlot: React.FC<TPvsSLvsPnL3DPlotProps> = ({ backtests, theme
layout={{ layout={{
title: {text: 'Take Profit % vs Stop Loss % vs PnL'}, title: {text: 'Take Profit % vs Stop Loss % vs PnL'},
scene: { scene: {
xaxis: {title: {text: 'Take Profit (%)'}}, xaxis: {title: {text: 'Take Profit (%)'}, zerolinecolor: theme.secondary, color: theme.secondary},
yaxis: {title: {text: 'Stop Loss (%)'}}, yaxis: {title: {text: 'Stop Loss (%)'}, zerolinecolor: theme.secondary, color: theme.secondary},
zaxis: {title: {text: 'PnL ($)'}}, zaxis: {title: {text: 'PnL ($)'}, zerolinecolor: theme.secondary, color: theme.secondary},
}, },
width: 750, width: 750,
height: 600, height: 600,
@@ -99,8 +99,8 @@ const TPvsSLvsPnL3DPlot: React.FC<TPvsSLvsPnL3DPlotProps> = ({ backtests, theme
r: 0, r: 0,
t: 0, t: 0,
}, },
paper_bgcolor: '#121212', paper_bgcolor: "rgba(0,0,0,0)",
plot_bgcolor: theme.secondary, plot_bgcolor: "rgba(0,0,0,0)",
}} }}
config={{displayModeBar: false}} config={{displayModeBar: false}}
/> />

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@@ -248,20 +248,34 @@ const BacktestGeneticBundle: React.FC = () => {
accessor: 'timeframe', accessor: 'timeframe',
}, },
{ {
Header: 'Progress', Header: 'Progress & Status',
accessor: 'currentGeneration', accessor: 'currentGeneration',
Cell: ({value, row}: { value: number, row: any }) => { Cell: ({value, row}: { value: number, row: any }) => {
const generations = row.original.generations const generations = row.original.generations
const currentGen = value || 0 const currentGen = value || 0
const percentage = generations > 0 ? Math.round((currentGen / generations) * 100) : 0 const percentage = generations > 0 ? Math.round((currentGen / generations) * 100) : 0
const status = row.original.status
// Calculate color based on percentage (red to green)
const getProgressColor = (percent: number) => {
if (percent <= 25) return 'progress-error'
if (percent <= 50) return 'progress-warning'
if (percent <= 75) return 'progress-info'
return 'progress-success'
}
return ( return (
<div className="flex flex-col gap-1"> <div className="flex flex-col gap-2">
<div className="text-xs"> <div className="flex items-center justify-between">
{currentGen} / {generations} <span className={`badge badge-sm ${getStatusBadgeColor(status)}`}>
{status}
</span>
<div className="text-xs">
{currentGen} / {generations}
</div>
</div> </div>
<progress <progress
className="progress progress-primary w-full h-2" className={`progress w-56 ${getProgressColor(percentage)}`}
value={percentage} value={percentage}
max="100" max="100"
/> />
@@ -290,15 +304,7 @@ const BacktestGeneticBundle: React.FC = () => {
<span className="text-xs">{value}</span> <span className="text-xs">{value}</span>
), ),
}, },
{
Header: 'Status',
accessor: 'status',
Cell: ({value}: { value: string }) => (
<span className={`badge ${getStatusBadgeColor(value)}`}>
{value}
</span>
),
},
{ {
Header: 'Actions', Header: 'Actions',
accessor: 'actions', accessor: 'actions',