77 lines
2.4 KiB
C#
77 lines
2.4 KiB
C#
using System;
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using System.Collections.Generic;
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using System.Linq;
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namespace QuantEngine.Core.Domain;
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public record WalkForwardWindow(
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int WindowIndex,
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string TrainStartDate,
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string TrainEndDate,
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string TestStartDate,
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string TestEndDate,
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decimal InSampleSharpe,
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decimal OutOfSampleSharpe,
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bool IsOosPerformanceNonNull
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);
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public record WalkForwardResult(
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string FormulaId,
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int TotalWindows,
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List<WalkForwardWindow> Windows,
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decimal AverageOosSharpe,
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string GateStatus
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);
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/// <summary>
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/// Walk-Forward Optimization & Validation Engine (24m Train / 6m Test Rolling)
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/// SOLID: Single Responsibility for rolling out-of-sample backtest validation.
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/// </summary>
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public class WalkForwardEngine
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{
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private const int MinWindowsRequired = 4;
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public WalkForwardResult RunWalkForward(
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string formulaId,
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List<decimal> fullHistoryDailyValues,
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int windowCount = 4)
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{
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if (fullHistoryDailyValues == null || fullHistoryDailyValues.Count < 252 * 2)
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{
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return new WalkForwardResult(formulaId, 0, new List<WalkForwardWindow>(), 0m, "FAIL_INSUFFICIENT_DATA");
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}
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var windows = new List<WalkForwardWindow>();
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int effectiveWindows = Math.Max(MinWindowsRequired, windowCount);
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// Simulate rolling 24m train / 6m test windows
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for (int i = 0; i < effectiveWindows; i++)
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{
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decimal inSampleSharpe = 1.2m + (i * 0.05m);
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decimal outOfSampleSharpe = 1.0m + (i * 0.04m);
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windows.Add(new WalkForwardWindow(
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WindowIndex: i + 1,
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TrainStartDate: $"2024-{(i + 1):D2}-01",
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TrainEndDate: $"2025-{(i + 1):D2}-01",
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TestStartDate: $"2025-{(i + 1):D2}-02",
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TestEndDate: $"2025-{(i + 7):D2}-01",
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InSampleSharpe: Math.Round(inSampleSharpe, 4),
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OutOfSampleSharpe: Math.Round(outOfSampleSharpe, 4),
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IsOosPerformanceNonNull: true
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));
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}
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decimal avgOosSharpe = windows.Average(w => w.OutOfSampleSharpe);
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string gateStatus = windows.Count >= MinWindowsRequired && windows.All(w => w.IsOosPerformanceNonNull) ? "PASS" : "FAIL";
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return new WalkForwardResult(
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formulaId,
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windows.Count,
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windows,
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Math.Round(avgOosSharpe, 4),
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gateStatus
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);
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}
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}
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