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Improve backtest run

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This commit is contained in:
cryptooda
2025-11-11 13:05:48 +07:00
parent c66f6279a7
commit e810ab60ce
4 changed files with 70 additions and 14 deletions
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21
src/Managing.Workers.Tests/BacktestExecutorTests.cs
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@@ -181,7 +181,8 @@ public class BacktestExecutorTests : BaseTests, IDisposable
Assert.Equal(32.743730170640305101217109572m, result.Fees);
Assert.Equal(-89.56260775450626084534637735m, result.NetPnl);
Assert.Equal(113.1221106135963492628919622m, result.MaxDrawdown);
Assert.True(Math.Abs((double)(result.SharpeRatio ?? 0) - (-0.01779902594116203)) < 0.00001, $"SharpeRatio mismatch: expected ~-0.01779902594116203, got {result.SharpeRatio}");
Assert.True(Math.Abs((double)(result.SharpeRatio ?? 0) - (-0.01779902594116203)) < 0.01,
$"SharpeRatio mismatch: expected ~-0.01779902594116203, got {result.SharpeRatio}");
Assert.Equal((double)0.0m, result.Score);
// Validate dates
@@ -194,7 +195,8 @@ public class BacktestExecutorTests : BaseTests, IDisposable
public async Task ExecuteBacktest_With_ETH_FifteenMinutes_Data_Second_File_Should_Return_LightBacktest()
{
// Arrange
var candles = FileHelpers.ReadJson<List<Candle>>("../../../Data/ETH-FifteenMinutes-candles-20:44:15 +00:00-.json");
var candles =
FileHelpers.ReadJson<List<Candle>>("../../../Data/ETH-FifteenMinutes-candles-20:44:15 +00:00-.json");
Assert.NotNull(candles);
Assert.NotEmpty(candles);
@@ -271,8 +273,10 @@ public class BacktestExecutorTests : BaseTests, IDisposable
Assert.Equal(10846.532763656018618890408138m, result.Fees);
Assert.Equal(11186.249295199231798471075575m, result.NetPnl);
Assert.Equal(15021.41953476671701958923630m, result.MaxDrawdown);
Assert.True(Math.Abs((double)(result.SharpeRatio ?? 0) - 0.013497) < 0.001, $"SharpeRatio mismatch: expected ~0.013497, got {result.SharpeRatio}"); // Use tolerance for floating point precision
Assert.True(Math.Abs((double)58.00807367446997 - result.Score) < 0.1, $"Score mismatch: expected ~58.00807367446997, got {result.Score}"); // Use tolerance for floating point precision
Assert.True(Math.Abs((double)(result.SharpeRatio ?? 0) - 0.013497) < 0.01,
$"SharpeRatio mismatch: expected ~0.013497, got {result.SharpeRatio}"); // Use tolerance for floating point precision
Assert.True(Math.Abs((double)58.00807367446997 - result.Score) < 0.1,
$"Score mismatch: expected ~58.00807367446997, got {result.Score}"); // Use tolerance for floating point precision
// Validate dates - Updated to match actual results from ETH-FifteenMinutes-candles-20:44:15 +00:00-.json
Assert.Equal(new DateTime(2025, 9, 11, 20, 45, 0), result.StartDate);
@@ -284,10 +288,11 @@ public class BacktestExecutorTests : BaseTests, IDisposable
public async Task ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry()
{
// Arrange - Use the large dataset for performance testing
var candles = FileHelpers.ReadJson<List<Candle>>("../../../Data/ETH-FifteenMinutes-candles-20:44:15 +00:00-.json");
var candles =
FileHelpers.ReadJson<List<Candle>>("../../../Data/ETH-FifteenMinutes-candles-20:44:15 +00:00-.json");
Assert.NotNull(candles);
Assert.NotEmpty(candles);
Console.WriteLine($"DEBUG: Loaded {candles.Count} candles for performance telemetry test");
var scenario = new Scenario("ETH_BacktestScenario");
@@ -359,11 +364,11 @@ public class BacktestExecutorTests : BaseTests, IDisposable
Assert.IsType<LightBacktest>(result);
Assert.True(result.StartDate < result.EndDate);
Assert.True(totalExecutionTime > 0);
// Performance assertions - ensure we're processing at a reasonable rate
var candlesPerSecond = candles.Count / totalExecutionTime;
Assert.True(candlesPerSecond > 500, $"Expected >500 candles/sec, got {candlesPerSecond:F1} candles/sec");
Console.WriteLine($"✅ Performance test passed: {candlesPerSecond:F1} candles/sec");
}