feat(wbs): WBS M4/M5 C# domain engines & Vue 3 PrimeVue AG-Grid migration [WBS-10]

2026-07-24 11:31:36 +09:00
parent 2fe4cb288f
commit 757f2439af
81 changed files with 3739 additions and 2515 deletions
@@ -0,0 +1,113 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace QuantEngine.Core.Domain;
+
+public record BacktestTrade(
+    string Ticker,
+    DateTime EntryDate,
+    DateTime ExitDate,
+    decimal EntryPrice,
+    decimal ExitPrice,
+    int Quantity,
+    decimal ReturnRate,
+    decimal FeeCost
+);
+
+public record BacktestResult(
+    string RunId,
+    decimal SharpeRatio,
+    decimal MaxDrawdown,
+    decimal AnnualizedReturn,
+    decimal TurnoverRate,
+    decimal CostDrag,
+    string GateStatus
+);
+
+/// <summary>
+/// Point-in-time Backtesting & Transaction Cost Model Engine
+/// SOLID: Single Responsibility for deterministic quantitative backtesting
+/// </summary>
+public class Backtester
+{
+    private const decimal DefaultFeeRateBps = 15m; // 15 bps per trade
+    private const decimal SlippageBps = 5m;       // 5 bps slippage
+
+    public BacktestResult RunBacktest(
+        string runId,
+        List<decimal> dailyPortfolioValues,
+        List<BacktestTrade> trades,
+        decimal initialCapital)
+    {
+        if (dailyPortfolioValues == null || dailyPortfolioValues.Count < 2)
+        {
+            return new BacktestResult(runId, 0m, 0m, 0m, 0m, 0m, "FAIL_INSUFFICIENT_DATA");
+        }
+
+        // 1. Daily Returns & Sharpe Ratio Calculation
+        var dailyReturns = new List<decimal>();
+        for (int i = 1; i < dailyPortfolioValues.Count; i++)
+        {
+            var prev = dailyPortfolioValues[i - 1];
+            var curr = dailyPortfolioValues[i];
+            var ret = prev > 0 ? (curr - prev) / prev : 0m;
+            dailyReturns.Add(ret);
+        }
+
+        var avgReturn = dailyReturns.Average();
+        var stdDev = CalculateStdDev(dailyReturns);
+        var annualFactor = (decimal)Math.Sqrt(252);
+        var sharpeRatio = stdDev > 0 ? (avgReturn / stdDev) * annualFactor : 0m;
+
+        // 2. Max Drawdown (MDD) Calculation
+        decimal peak = dailyPortfolioValues[0];
+        decimal maxDrawdown = 0m;
+        foreach (var val in dailyPortfolioValues)
+        {
+            if (val > peak) peak = val;
+            var dd = peak > 0 ? (peak - val) / peak : 0m;
+            if (dd > maxDrawdown) maxDrawdown = dd;
+        }
+
+        // 3. Turnover Rate & Cost Drag
+        decimal totalTradedVolume = trades.Sum(t => (t.EntryPrice * t.Quantity) + (t.ExitPrice * t.Quantity));
+        decimal totalFees = trades.Sum(t => t.FeeCost) + (totalTradedVolume * (FeeRateBpsToRatio(DefaultFeeRateBps + SlippageBps)));
+        
+        decimal turnoverRate = initialCapital > 0 ? totalTradedVolume / initialCapital : 0m;
+        decimal costDrag = initialCapital > 0 ? totalFees / initialCapital : 0m;
+
+        decimal totalReturn = (dailyPortfolioValues.Last() - dailyPortfolioValues[0]) / dailyPortfolioValues[0];
+        decimal annualizedReturn = totalReturnsToAnnualized(totalReturn, dailyPortfolioValues.Count);
+
+        return new BacktestResult(
+            runId,
+            Math.Round(sharpeRatio, 4),
+            Math.Round(maxDrawdown, 4),
+            Math.Round(annualizedReturn, 4),
+            Math.Round(turnoverRate, 4),
+            Math.Round(costDrag, 4),
+            "PASS"
+        );
+    }
+
+    private static decimal CalculateStdDev(List<decimal> values)
+    {
+        if (values.Count < 2) return 0m;
+        var avg = values.Average();
+        var sumSquares = values.Sum(v => (v - avg) * (v - avg));
+        var variance = sumSquares / (values.Count - 1);
+        return (decimal)Math.Sqrt((double)variance);
+    }
+
+    private static decimal FeeRateBpsToRatio(decimal bps) => bps / 10000m;
+
+    private static decimal totalReturnsToAnnualized(decimal totalReturn, int days)
+    {
+        if (days <= 0) return 0m;
+        double years = days / 252.0;
+        if (years <= 0) return totalReturn;
+        double compound = Math.Pow((double)(1m + totalReturn), 1.0 / years) - 1.0;
+        return (decimal)compound;
+    }
+}