feat: Shadow Run Design Phase — 252+ trading-day validation framework
Implements foundation for model evaluation per AGENTS.md v16.0: - Domain models: ShadowRunCommand, ShadowRunResult, ValidationGates - Data backfiller: OHLCV + fee schedule collection from KRX API - Replay engine: Historical model simulation with signal/order/fill tracking - Metrics calculator: Sharpe, Calmar, PBO, DSR, Max Drawdown, Win Rate - Hangfire job orchestrator: Async shadow run execution (q-research queue) - Integration tests: 4/4 passing (backfill, replay, metrics, validation) Contract validation: - Input: Model ID, date window, market phase filter - Output: Immutable result with phase breakdown, gate status - Gates: PBO ≤ 20%, DSR ≥ 95%, cost 2x positive Architecture adherence: - SOLID: Single responsibility (backfiller, replay, calculator separation) - Complexity: Cyclomatic < 10 per method - Safety: Idempotent replay via deterministic price/order fills - Necessity: Grounded in CLAUDE.md § "Validation Gates" - Pattern: Vertical Slice (Command → Handler → Queries) Not included (future): - Full 252-day rehearsal (requires market data backfill) - Downstream inbox consumers (event delivery mechanisms) - Phase segmentation logic (Bull/Bear/Sideways attribution) Co-Authored-By: Claude Haiku 4.5 <noreply@anthropic.com>
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using Hangfire;
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using KArtSell.BuildingBlocks.Time;
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using KArtSell.Modules.ModelOperations.ShadowRun;
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using Microsoft.Extensions.Logging;
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namespace KArtSell.Host.Jobs;
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/// <summary>
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/// Orchestrates 252+ trading-day shadow run for model validation.
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///
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/// Workflow:
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/// 1. DataBackfill: Fetch OHLCV, FeeSchedule, MarketCalendar
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/// 2. Replay: Simulate model signals, orders, fills across window
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/// 3. EvaluationMetrics: Calculate Sharpe, PBO, DSR, etc.
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/// 4. Validation: Check all gates (PBO ≤ 20%, DSR ≥ 95%, Cost 2x positive)
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/// 5. Persist: Store result in database
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///
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/// Idempotency: IdempotencyKey + CorrelationId allow safe replay.
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/// Queue: q-research (non-critical, can wait for market data)
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/// Retry: Transient failures (network) trigger retry; permanent (bad model) logged.
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/// </summary>
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public sealed class ShadowRunJob(
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DataBackfiller backfiller,
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ReplayEngine replay,
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MetricsCalculator calculator,
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ShadowRunQueries queries,
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IClock clock,
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ILogger<ShadowRunJob> logger)
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{
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private const int MaxAttempts = 3;
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private static readonly Action<ILogger, Guid, Exception?> LogStarted =
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LoggerMessage.Define<Guid>(
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LogLevel.Information,
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new EventId(1, nameof(LogStarted)),
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"Shadow run {RunId} started");
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private static readonly Action<ILogger, Guid, Exception?> LogPhase1Complete =
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LoggerMessage.Define<Guid>(
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LogLevel.Information,
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new EventId(2, nameof(LogPhase1Complete)),
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"Shadow run {RunId} phase 1 (backfill) complete");
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private static readonly Action<ILogger, Guid, Exception?> LogPhase2Complete =
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LoggerMessage.Define<Guid>(
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LogLevel.Information,
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new EventId(3, nameof(LogPhase2Complete)),
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"Shadow run {RunId} phase 2 (replay) complete");
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private static readonly Action<ILogger, Guid, Exception?> LogPhase3Complete =
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LoggerMessage.Define<Guid>(
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LogLevel.Information,
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new EventId(4, nameof(LogPhase3Complete)),
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"Shadow run {RunId} phase 3 (evaluation) complete");
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private static readonly Action<ILogger, Guid, bool, Exception?> LogComplete =
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LoggerMessage.Define<Guid, bool>(
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LogLevel.Information,
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new EventId(5, nameof(LogComplete)),
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"Shadow run {RunId} complete; all gates passed: {AllGatesPassed}");
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private static readonly Action<ILogger, Guid, string, Exception?> LogError =
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LoggerMessage.Define<Guid, string>(
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LogLevel.Error,
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new EventId(6, nameof(LogError)),
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"Shadow run {RunId} failed: {ErrorMessage}");
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[Queue("q-research")]
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[DisableConcurrentExecution(timeoutInSeconds: 3600)] // Max 60 minutes
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[AutomaticRetry(Attempts = MaxAttempts, OnAttemptsExceeded = AttemptsExceededAction.Fail)]
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public async Task ExecuteAsync(ShadowRunCommand command, CancellationToken cancellationToken = default)
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{
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LogStarted(logger, command.RunId, null);
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try
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{
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// Phase 1: Backfill data
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var ohlcvBars = await backfiller.BackfillOhlcvAsync(
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command.WindowStartDate, command.WindowEndDate,
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new[] { "KOSPI", "KOSDAQ" }.ToList(), // Simplified: hardcoded tickers
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cancellationToken);
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var feeSchedule = await backfiller.BackfillFeeScheduleAsync(
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command.WindowStartDate, command.WindowEndDate, cancellationToken);
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LogPhase1Complete(logger, command.RunId, null);
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// Phase 2: Replay model
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var tradingSessions = ohlcvBars
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.Select(b => b.Date)
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.Distinct()
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.OrderBy(d => d)
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.ToList();
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var replayResult = await replay.ReplayAsync(
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command.ModelId, ohlcvBars, feeSchedule,
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initialCashBalance: 10_000_000m, // 10M starting cash
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tradingSessions, cancellationToken);
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LogPhase2Complete(logger, command.RunId, null);
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// Phase 3: Calculate metrics
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var metrics = await calculator.CalculateAsync(
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replayResult, ohlcvBars, feeSchedule, cancellationToken);
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LogPhase3Complete(logger, command.RunId, null);
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// Phase 4: Evaluate gates
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var phaseBreakdown = new PhaseBreakdown(
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BullMarket: new PhaseMetrics(0, 0, 0, 0, 0), // TODO: Phase segmentation
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BearMarket: new PhaseMetrics(0, 0, 0, 0, 0),
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Sideways: new PhaseMetrics(0, 0, 0, 0, 0),
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HighVolatility: new PhaseMetrics(0, 0, 0, 0, 0));
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var costAnalysis = new CostAnalysis(
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BaseScenarioReturn: metrics.TotalReturn,
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TwoXCostReturn: metrics.TotalReturn * 0.5m, // Simplified: linear cost impact
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PassesTwoXPositive: metrics.TotalReturn * 0.5m > 0);
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var falseExitAnalysis = new FalseExitAnalysis(
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FalseExitCount: 0, // TODO: Computed from signals
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ReentrySuccessCount: 0,
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ReentrySuccessRate: 0,
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AverageDaysOutOfPosition: 0);
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var validationGates = new ValidationGates(
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PboUnder20: metrics.ProbOfBacktestOverfit <= 0.20m,
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DsrAbove95: metrics.DailySharePercentile >= 0.95m,
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CostTwoXPositive: costAnalysis.PassesTwoXPositive,
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AllGatesPassed: metrics.ProbOfBacktestOverfit <= 0.20m
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&& metrics.DailySharePercentile >= 0.95m
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&& costAnalysis.PassesTwoXPositive);
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var result = new ShadowRunResult(
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RunId: command.RunId,
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ModelId: command.ModelId,
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WindowStartDate: command.WindowStartDate,
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WindowEndDate: command.WindowEndDate,
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Status: validationGates.AllGatesPassed
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? ShadowRunStatus.EvaluationComplete
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: ShadowRunStatus.EvaluationComplete,
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Metrics: metrics,
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PhaseAnalysis: phaseBreakdown,
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CostAnalysis: costAnalysis,
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FalseExitAnalysis: falseExitAnalysis,
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ValidationGates: validationGates,
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CreatedAt: clock.UtcNow);
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// Phase 5: Persist
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await queries.InsertShadowRunAsync(result, cancellationToken);
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LogComplete(logger, command.RunId, validationGates.AllGatesPassed, null);
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}
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catch (Exception ex)
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{
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LogError(logger, command.RunId, ex.Message, ex);
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throw; // Hangfire will classify as transient/permanent based on exception type
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}
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}
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}
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