feat(simulation): add quant simulation microservice with virtual backtest broker and replay engine

2026-08-24 21:36:20 +02:00
parent f43ce2b7e9
commit a4959658a2
22 changed files with 2600 additions and 0 deletions
@@ -0,0 +1,51 @@
+using System;
+using FinlyticCore.Dtos.Simulation;
+
+namespace FinlyticSimulation.Services;
+
+/// <summary>
+/// Pure scoring function for FinlyticSimulation's backtest-reliability matrix, extracted out of
+/// <c>QuantSimulationEngine.RunBacktestAsync</c> (which previously mixed candle-fetch-with-fallback, replay
+/// orchestration, DB persistence, AND this scoring math into one large method with inline magic numbers). No
+/// I/O, no DB access - just <see cref="BacktestReportDto"/> + threshold settings in, a verdict out, so this is
+/// independently unit-testable without spinning up a DbContext or a real backtest.
+/// </summary>
+public static class ReliabilityMatrixCalculator
+{
+    /// <param name="ReliabilityScore">0-100, a blend of profit factor (max 1.5x weight, capped) and win rate.</param>
+    /// <param name="IsApproved">
+    /// Whether <see cref="Scoring.ICompositeOpportunityScorer"/>-style consumers should trust this
+    /// strategy/asset combination. Defaults to approved when there isn't yet enough sample data to judge it
+    /// (Rules.md §4: "not enough data" must never read the same as "actively vetoed").
+    /// </param>
+    /// <param name="RecommendedAction">"BOOST_SCORE" / "NEUTRAL" / "VETO_DISABLE" - see <see cref="Calculate"/>.</param>
+    public record Result(decimal ReliabilityScore, bool IsApproved, string RecommendedAction);
+
+    /// <summary>
+    /// Scores a single completed backtest report against the given approval thresholds
+    /// (<c>SimulationSettingKeys.MinSampleTradesForApproval</c>/<c>HighProfitFactorThreshold</c>/<c>LowProfitFactorThreshold</c>).
+    /// </summary>
+    public static Result Calculate(
+        BacktestReportDto report,
+        decimal minSampleTrades,
+        decimal highProfitFactorThreshold,
+        decimal lowProfitFactorThreshold)
+    {
+        // 0..100 blend: profit factor contributes up to 75 points (capped at PF=3.0 -> 1.5 * 50), win rate
+        // contributes up to 50 points (100% WR * 0.5) - deliberately not a simple average, since a high win
+        // rate with a poor profit factor (many tiny wins, rare huge losses) should not score as "reliable".
+        decimal rawScore = (Math.Clamp(report.ProfitFactor / 2.0m, 0m, 1.5m) * 50m) + (report.WinRatePercent * 0.5m);
+        decimal reliabilityScore = Math.Clamp(Math.Round(rawScore, 2), 0m, 100m);
+
+        bool isApproved = report.ProfitFactor >= lowProfitFactorThreshold || report.TotalTrades < minSampleTrades;
+        string recommendedAction = "NEUTRAL";
+
+        if (report.TotalTrades >= minSampleTrades)
+        {
+            if (report.ProfitFactor >= highProfitFactorThreshold) recommendedAction = "BOOST_SCORE";
+            else if (report.ProfitFactor < lowProfitFactorThreshold) recommendedAction = "VETO_DISABLE";
+        }
+
+        return new Result(reliabilityScore, isApproved, recommendedAction);
+    }
+}