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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
79 lines
4.6 KiB
C#
79 lines
4.6 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 PerformanceCalculatorTests
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{
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private PerformanceCalculator _target;
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[TestInitialize]
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public void TestInitialize()
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{
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_target = new PerformanceCalculator(new BasicLogger("PerformanceCalculatorTests"));
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}
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[TestMethod] public void Calculate_Empty_ReturnsZeroTrades() { var m = _target.Calculate(new List<TradeRecord>()); Assert.AreEqual(0, m.TotalTrades); }
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[TestMethod] public void CalculateWinRate_Basic() { Assert.AreEqual(0.5, _target.CalculateWinRate(Sample()), 0.0001); }
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[TestMethod] public void CalculateProfitFactor_Basic() { Assert.IsTrue(_target.CalculateProfitFactor(Sample()) > 0.0); }
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[TestMethod] public void CalculateExpectancy_Basic() { Assert.IsTrue(_target.CalculateExpectancy(Sample()) != 0.0); }
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[TestMethod] public void CalculateSharpeRatio_Short_ReturnsZero() { Assert.AreEqual(0.0, _target.CalculateSharpeRatio(new List<TradeRecord>(), 0.0), 0.0001); }
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[TestMethod] public void CalculateMaxDrawdown_Basic() { Assert.IsTrue(_target.CalculateMaxDrawdown(Sample()) >= 0.0); }
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[TestMethod] public void CalculateSortinoRatio_Basic() { Assert.IsTrue(_target.CalculateSortinoRatio(Sample(), 0.0) >= 0.0 || _target.CalculateSortinoRatio(Sample(), 0.0) < 0.0); }
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[TestMethod] public void Calculate_Null_Throws() { Assert.ThrowsException<ArgumentNullException>(() => _target.Calculate(null)); }
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[TestMethod] public void WinRate_Null_Throws() { Assert.ThrowsException<ArgumentNullException>(() => _target.CalculateWinRate(null)); }
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[TestMethod] public void ProfitFactor_Null_Throws() { Assert.ThrowsException<ArgumentNullException>(() => _target.CalculateProfitFactor(null)); }
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[TestMethod] public void Expectancy_Null_Throws() { Assert.ThrowsException<ArgumentNullException>(() => _target.CalculateExpectancy(null)); }
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[TestMethod] public void Sharpe_Null_Throws() { Assert.ThrowsException<ArgumentNullException>(() => _target.CalculateSharpeRatio(null, 0)); }
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[TestMethod] public void Sortino_Null_Throws() { Assert.ThrowsException<ArgumentNullException>(() => _target.CalculateSortinoRatio(null, 0)); }
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[TestMethod] public void MaxDrawdown_Null_Throws() { Assert.ThrowsException<ArgumentNullException>(() => _target.CalculateMaxDrawdown(null)); }
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[TestMethod] public void Calculate_ReportsWinsAndLosses() { var m = _target.Calculate(Sample()); Assert.AreEqual(2, m.Wins); Assert.AreEqual(2, m.Losses); }
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[TestMethod] public void Calculate_NetProfitComputed() { var m = _target.Calculate(Sample()); Assert.AreEqual(10.0, m.NetProfit, 0.0001); }
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[TestMethod] public void Calculate_RecoveryFactorComputed() { var m = _target.Calculate(Sample()); Assert.IsTrue(m.RecoveryFactor >= 0.0); }
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[TestMethod] public void ProfitFactor_NoLosses_Infinite() { var list = new List<TradeRecord>(); list.Add(Trade(10)); Assert.AreEqual(double.PositiveInfinity, _target.CalculateProfitFactor(list)); }
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[TestMethod] public void Expectancy_Empty_Zero() { Assert.AreEqual(0.0, _target.CalculateExpectancy(new List<TradeRecord>()), 0.0001); }
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[TestMethod] public void MaxDrawdown_Empty_Zero() { Assert.AreEqual(0.0, _target.CalculateMaxDrawdown(new List<TradeRecord>()), 0.0001); }
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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(50), Trade(-25), Trade(15), Trade(-30)
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};
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}
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private static TradeRecord Trade(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.UnrealizedPnL = 0;
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t.Grade = TradeGrade.B;
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t.ConfluenceScore = 0.7;
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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.RMultiple = pnl / 8.0;
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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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