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feat: Complete Phase 5 Analytics & Reporting implementation
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Analytics Layer (15 components):
- TradeRecorder: Full trade lifecycle tracking with partial fills
- PerformanceCalculator: Sharpe, Sortino, win rate, profit factor, expectancy
- PnLAttributor: Multi-dimensional attribution (grade/regime/time/strategy)
- DrawdownAnalyzer: Period detection and recovery metrics
- GradePerformanceAnalyzer: Grade-level edge analysis
- RegimePerformanceAnalyzer: Regime segmentation and transitions
- ConfluenceValidator: Factor validation and weighting optimization
- ReportGenerator: Daily/weekly/monthly reporting with export
- TradeBlotter: Real-time trade ledger with filtering
- ParameterOptimizer: Grid search and walk-forward scaffolding
- MonteCarloSimulator: Confidence intervals and risk-of-ruin
- PortfolioOptimizer: Multi-strategy allocation and portfolio metrics

Test Coverage (90 new tests):
- 240+ total tests, 100% pass rate
- >85% code coverage
- Zero new warnings

Project Status: Phase 5 complete (85% overall), ready for NT8 integration
This commit is contained in:
Mo Hussain
2026-02-16 21:30:51 -05:00
parent e93cbc1619
commit 0e36fe5d23
26 changed files with 6756 additions and 0 deletions
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tests/NT8.Core.Tests/Analytics/PnLAttributorTests.cs Normal file
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using System;
using System.Collections.Generic;
using Microsoft.VisualStudio.TestTools.UnitTesting;
using NT8.Core.Analytics;
using NT8.Core.Common.Models;
using NT8.Core.Intelligence;
using NT8.Core.Logging;
namespace NT8.Core.Tests.Analytics
{
[TestClass]
public class PnLAttributorTests
{
private PnLAttributor _target;
[TestInitialize]
public void TestInitialize()
{
_target = new PnLAttributor(new BasicLogger("PnLAttributorTests"));
}
[TestMethod] public void AttributeByGrade_ReturnsSlices() { var r = _target.AttributeByGrade(Sample()); Assert.IsTrue(r.Slices.Count > 0); }
[TestMethod] public void AttributeByRegime_ReturnsSlices() { var r = _target.AttributeByRegime(Sample()); Assert.IsTrue(r.Slices.Count > 0); }
[TestMethod] public void AttributeByStrategy_ReturnsSlices() { var r = _target.AttributeByStrategy(Sample()); Assert.IsTrue(r.Slices.Count > 0); }
[TestMethod] public void AttributeByTimeOfDay_ReturnsSlices() { var r = _target.AttributeByTimeOfDay(Sample()); Assert.IsTrue(r.Slices.Count > 0); }
[TestMethod] public void MultiDimensional_ReturnsSlices() { var r = _target.AttributeMultiDimensional(Sample(), new List<AttributionDimension> { AttributionDimension.Grade, AttributionDimension.Strategy }); Assert.IsTrue(r.Slices.Count > 0); }
[TestMethod] public void MultiDimensional_EmptyDims_Throws() { Assert.ThrowsException<ArgumentException>(() => _target.AttributeMultiDimensional(Sample(), new List<AttributionDimension>())); }
[TestMethod] public void Grade_Null_Throws() { Assert.ThrowsException<ArgumentNullException>(() => _target.AttributeByGrade(null)); }
[TestMethod] public void Regime_Null_Throws() { Assert.ThrowsException<ArgumentNullException>(() => _target.AttributeByRegime(null)); }
[TestMethod] public void Strategy_Null_Throws() { Assert.ThrowsException<ArgumentNullException>(() => _target.AttributeByStrategy(null)); }
[TestMethod] public void Time_Null_Throws() { Assert.ThrowsException<ArgumentNullException>(() => _target.AttributeByTimeOfDay(null)); }
[TestMethod] public void Multi_NullTrades_Throws() { Assert.ThrowsException<ArgumentNullException>(() => _target.AttributeMultiDimensional(null, new List<AttributionDimension> { AttributionDimension.Strategy })); }
[TestMethod] public void Multi_NullDims_Throws() { Assert.ThrowsException<ArgumentNullException>(() => _target.AttributeMultiDimensional(Sample(), null)); }
[TestMethod] public void Contribution_SumsCloseToOneWhenTotalNonZero() { var r = _target.AttributeByStrategy(Sample()); var sum = 0.0; foreach (var s in r.Slices) sum += s.Contribution; Assert.IsTrue(sum > 0.5 && sum < 1.5); }
[TestMethod] public void Slice_HasDimensionName() { var r = _target.AttributeByGrade(Sample()); Assert.IsFalse(string.IsNullOrEmpty(r.Slices[0].DimensionName)); }
[TestMethod] public void Slice_WinRateInRange() { var r = _target.AttributeByGrade(Sample()); Assert.IsTrue(r.Slices[0].WinRate >= 0 && r.Slices[0].WinRate <= 1); }
[TestMethod] public void Report_TotalTradesMatches() { var s = Sample(); var r = _target.AttributeByGrade(s); Assert.AreEqual(s.Count, r.TotalTrades); }
[TestMethod] public void Report_TotalPnLMatches() { var s = Sample(); var r = _target.AttributeByGrade(s); double p = 0; foreach (var t in s) p += t.RealizedPnL; Assert.AreEqual(p, r.TotalPnL, 0.0001); }
[TestMethod] public void TimeBuckets_Assigned() { var r = _target.AttributeByTimeOfDay(Sample()); Assert.IsTrue(r.Slices.Count > 0); }
private static List<TradeRecord> Sample()
{
return new List<TradeRecord>
{
Trade("S1", TradeGrade.A, 50, VolatilityRegime.Normal, TrendRegime.StrongUp, DateTime.UtcNow.Date.AddHours(9.5)),
Trade("S1", TradeGrade.B, -20, VolatilityRegime.Elevated, TrendRegime.Range, DateTime.UtcNow.Date.AddHours(11)),
Trade("S2", TradeGrade.C, 30, VolatilityRegime.Low, TrendRegime.WeakUp, DateTime.UtcNow.Date.AddHours(15.5)),
Trade("S2", TradeGrade.A, -10, VolatilityRegime.Normal, TrendRegime.WeakDown, DateTime.UtcNow.Date.AddHours(10))
};
}
private static TradeRecord Trade(string strategy, TradeGrade grade, double pnl, VolatilityRegime vol, TrendRegime trend, DateTime time)
{
var t = new TradeRecord();
t.TradeId = Guid.NewGuid().ToString();
t.Symbol = "ES";
t.StrategyName = strategy;
t.EntryTime = time;
t.ExitTime = time.AddMinutes(5);
t.Side = OrderSide.Buy;
t.Quantity = 1;
t.EntryPrice = 100;
t.ExitPrice = 101;
t.RealizedPnL = pnl;
t.Grade = grade;
t.RiskMode = RiskMode.PCP;
t.VolatilityRegime = vol;
t.TrendRegime = trend;
t.StopTicks = 8;
t.TargetTicks = 16;
t.Duration = TimeSpan.FromMinutes(5);
return t;
}
}
}