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

Add scoring message

Browse Source
This commit is contained in:
cryptooda
2025-07-17 15:57:51 +07:00
parent da48ee37ba
commit e27b4c4a76
9 changed files with 224 additions and 46 deletions
Download Patch File Download Diff File Expand all files Collapse all files

139
src/Managing.Domain/Shared/Helpers/BacktestScore.cs
View File

@@ -21,58 +21,101 @@ public class BacktestScorer
public static double CalculateTotalScore(BacktestScoringParams p)
{
var result = CalculateDetailedScore(p);
return result.Score;
}
public static BacktestScoringResult CalculateDetailedScore(BacktestScoringParams p)
{
var result = new BacktestScoringResult(0);
try
{
// Early exit for no positions
if (p.TradeCount == 0)
{
return 0;
result.AddEarlyExitCheck("No Trades", "No trading positions were taken during the backtest period. A strategy must execute trades to be evaluated.");
return result;
}
// Early exit for negative PnL - should be 0 score
if (p.TotalPnL <= 0)
{
return 0;
result.AddEarlyExitCheck("Negative PnL", $"Total profit/loss is negative (${p.TotalPnL:F2}). Only profitable strategies receive scores.");
return result;
}
// Early exit if strategy significantly underperforms HODL (more than 2% worse)
if (p.GrowthPercentage < p.HodlPercentage - 2)
{
return 0;
result.AddEarlyExitCheck("HODL Underperformance", $"Strategy growth ({p.GrowthPercentage:F2}%) significantly underperforms HODL ({p.HodlPercentage:F2}%) by more than 2%. Buy-and-hold would have been more profitable.");
return result;
}
var baseScore = CalculateBaseScore(p);
var finalScore = ApplyProfitabilityRules(baseScore, p);
var baseScore = CalculateBaseScore(p, result);
var finalScore = ApplyProfitabilityRules(baseScore, p, result);
return double.Clamp(finalScore, 0, 100);
result.Score = double.Clamp(finalScore, 0, 100);
result.SummaryMessage = result.GenerateSummaryMessage();
return result;
}
catch
catch (Exception ex)
{
return 0;
result.AddEarlyExitCheck("Calculation Error", $"An error occurred during score calculation: {ex.Message}");
return result;
}
}
private static double CalculateBaseScore(BacktestScoringParams p)
private static double CalculateBaseScore(BacktestScoringParams p, BacktestScoringResult result)
{
var componentScores = new Dictionary<string, double>
{
{ "GrowthPercentage", CalculateGrowthScore(p.GrowthPercentage) },
{ "SharpeRatio", CalculateSharpeScore(p.SharpeRatio) },
{ "MaxDrawdownUsd", CalculateDrawdownUsdScore(p.MaxDrawdown, p.InitialBalance) },
{ "HodlComparison", CalculateHodlComparisonScore(p.GrowthPercentage, p.HodlPercentage) },
{ "WinRate", CalculateWinRateScore(p.WinRate, p.TradeCount) },
{ "ProfitabilityBonus", CalculateProfitabilityBonus(p.GrowthPercentage) },
{ "TradeCount", CalculateTradeCountScore(p.TradeCount) },
{ "RecoveryTime", CalculateRecoveryScore(p.MaxDrawdownRecoveryTime, p.Timeframe) },
{ "TestDuration", CalculateTestDurationScore(p.StartDate, p.EndDate, p.Timeframe) },
{ "FeesImpact", CalculateFeesImpactScore(p.FeesPaid, p.InitialBalance, (decimal)p.TotalPnL) },
{ "RiskAdjustedReturn", CalculateRiskAdjustedReturnScore(p.TotalPnL, p.MaxDrawdown, p.InitialBalance) }
{ "GrowthPercentage", CalculateGrowthScore(p.GrowthPercentage, result) },
{ "SharpeRatio", CalculateSharpeScore(p.SharpeRatio, result) },
{ "MaxDrawdownUsd", CalculateDrawdownUsdScore(p.MaxDrawdown, p.InitialBalance, result) },
{ "HodlComparison", CalculateHodlComparisonScore(p.GrowthPercentage, p.HodlPercentage, result) },
{ "WinRate", CalculateWinRateScore(p.WinRate, p.TradeCount, result) },
{ "ProfitabilityBonus", CalculateProfitabilityBonus(p.GrowthPercentage, result) },
{ "TradeCount", CalculateTradeCountScore(p.TradeCount, result) },
{ "RecoveryTime", CalculateRecoveryScore(p.MaxDrawdownRecoveryTime, p.Timeframe, result) },
{ "TestDuration", CalculateTestDurationScore(p.StartDate, p.EndDate, p.Timeframe, result) },
{ "FeesImpact", CalculateFeesImpactScore(p.FeesPaid, p.InitialBalance, (decimal)p.TotalPnL, result) },
{ "RiskAdjustedReturn", CalculateRiskAdjustedReturnScore(p.TotalPnL, p.MaxDrawdown, p.InitialBalance, result) }
};
return componentScores.Sum(kvp => kvp.Value * Weights[kvp.Key]);
var totalScore = componentScores.Sum(kvp => kvp.Value * Weights[kvp.Key]);
// Add component scores to result
foreach (var kvp in componentScores)
{
var passed = kvp.Value > 0;
result.AddCheck(kvp.Key, kvp.Value, Weights[kvp.Key], GetComponentMessage(kvp.Key, kvp.Value, p), passed);
}
return totalScore;
}
private static double ApplyProfitabilityRules(double baseScore, BacktestScoringParams p)
private static string GetComponentMessage(string component, double score, BacktestScoringParams p)
{
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)",
"MaxDrawdownUsd" => $"Max drawdown of ${p.MaxDrawdown:F2} ({p.MaxDrawdownPc:F1}% of balance)",
"HodlComparison" => $"Strategy vs HODL: {p.GrowthPercentage:F2}% vs {p.HodlPercentage:F2}% (difference: {p.GrowthPercentage - p.HodlPercentage:F2}%)",
"WinRate" => $"Win rate of {p.WinRate * 100:F1}% with {p.TradeCount} trades",
"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.FeesPaid:F2} ({p.FeesPaid / p.InitialBalance * 100:F2}% of balance)",
"RiskAdjustedReturn" => $"PnL/Drawdown ratio: {p.TotalPnL / (double)p.MaxDrawdown:F2}:1",
_ => $"Component score: {score:F1}"
};
}
private static double ApplyProfitabilityRules(double baseScore, BacktestScoringParams p, BacktestScoringResult result)
{
var penaltyMultiplier = 1.0;
@@ -80,30 +123,36 @@ public class BacktestScorer
if (p.GrowthPercentage < 0)
{
var negativePenalty = Math.Abs(p.GrowthPercentage) * 0.1; // 10% penalty per 1% loss
penaltyMultiplier *= Math.Max(0.1, 1 - negativePenalty);
var newMultiplier = Math.Max(0.1, 1 - negativePenalty);
penaltyMultiplier *= newMultiplier;
result.AddPenaltyCheck("Negative Growth", newMultiplier, $"Negative growth of {p.GrowthPercentage:F2}% applied {negativePenalty:F1}% penalty");
}
// Note: Negative PnL is now handled by early exit in CalculateTotalScore
// 3. Win Rate Validation (Dynamic)
if (p.WinRate < 0.3 && p.TradeCount > 10)
{
var winRatePenalty = (0.3 - p.WinRate) * 0.5; // 50% penalty per 10% below 30%
penaltyMultiplier *= Math.Max(0.2, 1 - winRatePenalty);
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");
}
// 4. Minimum Profit Threshold (Dynamic)
if (p.GrowthPercentage < 2 && p.TradeCount > 5)
{
var profitPenalty = (2 - p.GrowthPercentage) * 0.1; // 10% penalty per 1% below 2%
penaltyMultiplier *= Math.Max(0.5, 1 - profitPenalty);
var newMultiplier = Math.Max(0.5, 1 - profitPenalty);
penaltyMultiplier *= newMultiplier;
result.AddPenaltyCheck("Low Profit", newMultiplier, $"Growth of {p.GrowthPercentage:F2}% below 2% minimum applied {profitPenalty:F1}% penalty");
}
// 5. Drawdown Penalty (Dynamic) - Enhanced to consider PnL ratio
if (p.MaxDrawdownPc > 20)
{
var drawdownPenalty = (p.MaxDrawdownPc - 20) * 0.02; // 2% penalty per 1% above 20%
penaltyMultiplier *= Math.Max(0.3, 1 - drawdownPenalty);
var newMultiplier = Math.Max(0.3, 1 - drawdownPenalty);
penaltyMultiplier *= newMultiplier;
result.AddPenaltyCheck("High Drawdown", newMultiplier, $"Drawdown of {p.MaxDrawdownPc:F1}% above 20% threshold applied {drawdownPenalty:F1}% penalty");
}
// 6. Enhanced Drawdown vs PnL Penalty
@@ -113,7 +162,9 @@ public class BacktestScorer
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);
var newMultiplier = Math.Max(0.2, 1 - ratioPenalty);
penaltyMultiplier *= newMultiplier;
result.AddPenaltyCheck("Poor Risk/Reward", newMultiplier, $"Drawdown/PnL ratio of {drawdownToPnLRatio:F2}:1 above 1.5:1 threshold applied {ratioPenalty:F1}% penalty");
}
}
@@ -122,7 +173,9 @@ public class BacktestScorer
if (testDurationDays < 30)
{
var durationPenalty = (30 - testDurationDays) * 0.02; // 2% penalty per day below 30
penaltyMultiplier *= Math.Max(0.5, 1 - durationPenalty);
var newMultiplier = Math.Max(0.5, 1 - durationPenalty);
penaltyMultiplier *= newMultiplier;
result.AddPenaltyCheck("Short Test Duration", newMultiplier, $"Test duration of {testDurationDays:F1} days below 30-day minimum applied {durationPenalty:F1}% penalty");
}
// 8. HODL Underperformance Penalty (Dynamic)
@@ -130,13 +183,15 @@ public class BacktestScorer
{
var hodlUnderperformance = p.HodlPercentage - p.GrowthPercentage;
var hodlPenalty = hodlUnderperformance * 0.3; // 30% penalty per 1% underperformance
penaltyMultiplier *= Math.Max(0.1, 1 - hodlPenalty);
var newMultiplier = Math.Max(0.1, 1 - hodlPenalty);
penaltyMultiplier *= newMultiplier;
result.AddPenaltyCheck("HODL Underperformance", newMultiplier, $"Underperforming HODL by {hodlUnderperformance:F2}% applied {hodlPenalty:F1}% penalty");
}
return baseScore * penaltyMultiplier;
}
private static double CalculateGrowthScore(double growthPercentage)
private static double CalculateGrowthScore(double growthPercentage, BacktestScoringResult result)
{
// More aggressive scoring - harder to reach 100
if (growthPercentage < 0)
@@ -164,7 +219,7 @@ public class BacktestScorer
};
}
private static double CalculateProfitabilityBonus(double growthPercentage)
private static double CalculateProfitabilityBonus(double growthPercentage, BacktestScoringResult result)
{
return growthPercentage switch
{
@@ -173,7 +228,7 @@ public class BacktestScorer
};
}
private static double CalculateSharpeScore(double sharpeRatio)
private static double CalculateSharpeScore(double sharpeRatio, BacktestScoringResult result)
{
return sharpeRatio switch
{
@@ -183,7 +238,7 @@ public class BacktestScorer
};
}
private static double CalculateDrawdownUsdScore(decimal maxDrawdown, decimal initialBalance)
private static double CalculateDrawdownUsdScore(decimal maxDrawdown, decimal initialBalance, BacktestScoringResult result)
{
if (initialBalance <= 0) return 0;
@@ -195,7 +250,7 @@ public class BacktestScorer
};
}
private static double CalculateWinRateScore(double winRate, int tradeCount)
private static double CalculateWinRateScore(double winRate, int tradeCount, BacktestScoringResult result)
{
// Base win rate score
var baseScore = winRate * 100;
@@ -212,7 +267,7 @@ public class BacktestScorer
return baseScore * significanceFactor;
}
private static double CalculateHodlComparisonScore(double strategyGrowth, double hodlGrowth)
private static double CalculateHodlComparisonScore(double strategyGrowth, double hodlGrowth, BacktestScoringResult result)
{
var difference = strategyGrowth - hodlGrowth;
@@ -228,7 +283,7 @@ public class BacktestScorer
};
}
private static double CalculateTradeCountScore(int tradeCount)
private static double CalculateTradeCountScore(int tradeCount, BacktestScoringResult result)
{
return tradeCount switch
{
@@ -239,7 +294,7 @@ public class BacktestScorer
};
}
private static double CalculateRecoveryScore(TimeSpan recoveryTime, Timeframe timeframe)
private static double CalculateRecoveryScore(TimeSpan recoveryTime, Timeframe timeframe, BacktestScoringResult result)
{
var days = recoveryTime.TotalDays;
@@ -260,7 +315,7 @@ public class BacktestScorer
return 100 - (days / maxRecoveryDays * 100);
}
private static double CalculateTestDurationScore(DateTime startDate, DateTime endDate, Timeframe timeframe)
private static double CalculateTestDurationScore(DateTime startDate, DateTime endDate, Timeframe timeframe, BacktestScoringResult result)
{
var durationDays = (endDate - startDate).TotalDays;
@@ -283,7 +338,7 @@ public class BacktestScorer
return 100;
}
private static double CalculateFeesImpactScore(decimal feesPaid, decimal initialBalance, decimal totalPnL)
private static double CalculateFeesImpactScore(decimal feesPaid, decimal initialBalance, decimal totalPnL, BacktestScoringResult result)
{
if (initialBalance <= 0) return 0;
@@ -307,7 +362,7 @@ public class BacktestScorer
return feeEfficiency;
}
private static double CalculateRiskAdjustedReturnScore(double totalPnL, decimal maxDrawdown, decimal initialBalance)
private static double CalculateRiskAdjustedReturnScore(double totalPnL, decimal maxDrawdown, decimal initialBalance, BacktestScoringResult result)
{
if (initialBalance <= 0 || maxDrawdown <= 0) return 0;