backtestingfx/src/stats.rs

use crate::broker::Broker;
use pyo3::prelude::*;

#[pyclass]
pub struct Stats {
    #[pyo3(get)]
    pub initial_cash: f64,
    #[pyo3(get)]
    pub final_cash: f64,
    #[pyo3(get)]
    pub total_return_pct: f64,
    #[pyo3(get)]
    pub num_trades: usize,
    #[pyo3(get)]
    pub num_wins: usize,
    #[pyo3(get)]
    pub win_rate_pct: f64,
    #[pyo3(get)]
    pub avg_pnl: f64,
    #[pyo3(get)]
    pub best_trade: f64,
    #[pyo3(get)]
    pub worst_trade: f64,
    #[pyo3(get)]
    pub profit_factor: f64,
    #[pyo3(get)]
    pub max_drawdown_pct: f64,
    #[pyo3(get)]
    pub sharpe_ratio: f64,
}

fn sharpe_ratio(equity_curve: &[f64]) -> f64 {
    if equity_curve.len() < 2 {
        return 0.0;
    }
    let returns: Vec<f64> = equity_curve
        .windows(2)
        .map(|w| (w[1] - w[0]) / w[0])
        .collect();
    let mean = returns.iter().sum::<f64>() / returns.len() as f64;
    let variance = returns.iter().map(|r| (r - mean).powi(2)).sum::<f64>() / returns.len() as f64;
    if variance == 0.0 {
        return 0.0;
    }
    mean / variance.sqrt()
}

fn max_drawdown(equity_curve: &[f64]) -> f64 {
    let mut peak = f64::NEG_INFINITY;
    let mut max_dd = 0.0f64;

    for &equity in equity_curve {
        if equity > peak {
            peak = equity;
        }
        if peak > 0.0 {
            let dd = (peak - equity) / peak * 100.0;
            if dd > max_dd {
                max_dd = dd;
            }
        }
    }
    max_dd
}

#[pymethods]
impl Stats {
    fn __repr__(&self) -> String {
        format!("{}", self)
    }
}

impl Stats {
    pub fn compute(broker: &Broker, equity_curve: &[f64]) -> Self {
        let num_trades = broker.trade_history.len();
        let initial_cash = broker.initial_cash;
        let final_cash = broker.cash;
        let total_return_pct = (final_cash - initial_cash) / initial_cash * 100.0;

        let num_wins = broker.trade_history.iter().filter(|t| t.pnl > 0.0).count();
        let win_rate_pct = if num_trades > 0 {
            num_wins as f64 / num_trades as f64 * 100.0
        } else {
            0.0
        };

        let avg_pnl = if num_trades > 0 {
            broker.trade_history.iter().map(|t| t.pnl).sum::<f64>() / num_trades as f64
        } else {
            0.0
        };

        let best_trade = broker
            .trade_history
            .iter()
            .map(|t| t.pnl)
            .fold(f64::NEG_INFINITY, f64::max);
        let worst_trade = broker
            .trade_history
            .iter()
            .map(|t| t.pnl)
            .fold(f64::INFINITY, f64::min);

        let gross_profit: f64 = broker
            .trade_history
            .iter()
            .filter(|t| t.pnl > 0.0)
            .map(|t| t.pnl)
            .sum();
        let gross_loss: f64 = broker
            .trade_history
            .iter()
            .filter(|t| t.pnl < 0.0)
            .map(|t| t.pnl.abs())
            .sum();
        let profit_factor = if gross_loss > 0.0 {
            gross_profit / gross_loss
        } else {
            f64::INFINITY
        };
        let max_drawdown_pct = max_drawdown(equity_curve);
        let sharpe_ratio = sharpe_ratio(equity_curve);

        Stats {
            initial_cash,
            final_cash,
            total_return_pct,
            num_trades,
            num_wins,
            win_rate_pct,
            avg_pnl,
            best_trade: if num_trades > 0 { best_trade } else { 0.0 },
            worst_trade: if num_trades > 0 { worst_trade } else { 0.0 },
            profit_factor,
            max_drawdown_pct,
            sharpe_ratio,
        }
    }
}

impl std::fmt::Display for Stats {
    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
        write!(
            f,
            "--- Backtest Results ---\n\
               Initial Cash:   {:.2}\n\
               Final Cash:     {:.2}\n\
               Total Return:   {:.2}%\n\
               Trades:         {}\n\
               Win Rate:       {:.1}%\n\
               Avg PnL:        {:.5}\n\
               Best Trade:     {:.5}\n\
               Worst Trade:    {:.5}\n\
               Profit Factor:  {:.2}\n\
               Max Drawdown:   {:.2}%\n\
               Sharpe Ratio:   {:.4} (unannualized)",
            self.initial_cash,
            self.final_cash,
            self.total_return_pct,
            self.num_trades,
            self.win_rate_pct,
            self.avg_pnl,
            self.best_trade,
            self.worst_trade,
            self.profit_factor,
            self.max_drawdown_pct,
            self.sharpe_ratio
        )
    }
}