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0e36fe5d23
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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
73 lines
4.0 KiB
C#
73 lines
4.0 KiB
C#
using System;
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using System.Collections.Generic;
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using Microsoft.VisualStudio.TestTools.UnitTesting;
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using NT8.Core.Analytics;
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using NT8.Core.Common.Models;
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using NT8.Core.Intelligence;
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using NT8.Core.Logging;
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namespace NT8.Core.Tests.Analytics
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{
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[TestClass]
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public class GradePerformanceAnalyzerTests
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{
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private GradePerformanceAnalyzer _target;
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[TestInitialize]
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public void TestInitialize()
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{
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_target = new GradePerformanceAnalyzer(new BasicLogger("GradePerformanceAnalyzerTests"));
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}
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[TestMethod] public void AnalyzeByGrade_ReturnsReport() { var r = _target.AnalyzeByGrade(Sample()); Assert.IsNotNull(r); }
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[TestMethod] public void AnalyzeByGrade_HasMetrics() { var r = _target.AnalyzeByGrade(Sample()); Assert.IsTrue(r.MetricsByGrade.Count > 0); }
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[TestMethod] public void CalculateGradeAccuracy_Bounded() { var a = _target.CalculateGradeAccuracy(TradeGrade.A, Sample()); Assert.IsTrue(a >= 0 && a <= 1); }
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[TestMethod] public void FindOptimalThreshold_ReturnsEnum() { var t = _target.FindOptimalThreshold(Sample()); Assert.IsTrue(Enum.IsDefined(typeof(TradeGrade), t)); }
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[TestMethod] public void GetMetricsByGrade_ReturnsAll() { var m = _target.GetMetricsByGrade(Sample()); Assert.IsTrue(m.Count >= 6); }
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[TestMethod] public void AnalyzeByGrade_Null_Throws() { Assert.ThrowsException<ArgumentNullException>(() => _target.AnalyzeByGrade(null)); }
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[TestMethod] public void Accuracy_Null_Throws() { Assert.ThrowsException<ArgumentNullException>(() => _target.CalculateGradeAccuracy(TradeGrade.B, null)); }
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[TestMethod] public void Threshold_Null_Throws() { Assert.ThrowsException<ArgumentNullException>(() => _target.FindOptimalThreshold(null)); }
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[TestMethod] public void Metrics_Null_Throws() { Assert.ThrowsException<ArgumentNullException>(() => _target.GetMetricsByGrade(null)); }
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[TestMethod] public void Accuracy_Empty_IsZero() { Assert.AreEqual(0.0, _target.CalculateGradeAccuracy(TradeGrade.A, new List<TradeRecord>()), 0.0001); }
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[TestMethod] public void SuggestedThreshold_NotDefaultOnData() { var r = _target.AnalyzeByGrade(Sample()); Assert.IsTrue((int)r.SuggestedThreshold >= 1); }
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[TestMethod] public void Metrics_ContainsA() { var m = _target.GetMetricsByGrade(Sample()); Assert.IsTrue(m.ContainsKey(TradeGrade.A)); }
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[TestMethod] public void Metrics_ContainsF() { var m = _target.GetMetricsByGrade(Sample()); Assert.IsTrue(m.ContainsKey(TradeGrade.F)); }
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[TestMethod] public void Analyze_GradeAccuracyPresent() { var r = _target.AnalyzeByGrade(Sample()); Assert.IsTrue(r.GradeAccuracy.ContainsKey(TradeGrade.B)); }
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[TestMethod] public void Analyze_ExpectancyComputed() { var r = _target.AnalyzeByGrade(Sample()); Assert.IsTrue(r.MetricsByGrade[TradeGrade.A].Expectancy >= -1000); }
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private static List<TradeRecord> Sample()
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{
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return new List<TradeRecord>
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{
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Trade(TradeGrade.A, 50), Trade(TradeGrade.A, -10),
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Trade(TradeGrade.B, 20), Trade(TradeGrade.C, -15),
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Trade(TradeGrade.D, -5), Trade(TradeGrade.F, -25)
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};
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}
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private static TradeRecord Trade(TradeGrade grade, double pnl)
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{
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var t = new TradeRecord();
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t.TradeId = Guid.NewGuid().ToString();
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t.Symbol = "ES";
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t.StrategyName = "S";
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t.EntryTime = DateTime.UtcNow;
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t.ExitTime = DateTime.UtcNow.AddMinutes(1);
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t.Side = OrderSide.Buy;
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t.Quantity = 1;
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t.EntryPrice = 100;
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t.ExitPrice = 101;
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t.RealizedPnL = pnl;
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t.Grade = grade;
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t.RiskMode = RiskMode.PCP;
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t.VolatilityRegime = VolatilityRegime.Normal;
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t.TrendRegime = TrendRegime.Range;
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t.StopTicks = 8;
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t.TargetTicks = 16;
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t.Duration = TimeSpan.FromMinutes(1);
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return t;
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}
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}
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}
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