From 1a1e2301a5adfbbea69af87cd5ac504dacbbc8dc Mon Sep 17 00:00:00 2001
From: Claude <claude@kuns.dev>
Date: Tue, 9 Jun 2026 20:58:32 +0000
Subject: [PATCH] feat: Walk-Forward-CLI mit Gate-Report und Run-Persistenz

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
---
 src/server/scripts/walkforward.ts | 52 +++++++++++++++++++++++++++++++
 1 file changed, 52 insertions(+)
 create mode 100644 src/server/scripts/walkforward.ts

diff --git a/src/server/scripts/walkforward.ts b/src/server/scripts/walkforward.ts
new file mode 100644
index 0000000..83a7396
--- /dev/null
+++ b/src/server/scripts/walkforward.ts
@@ -0,0 +1,52 @@
+import { PAIRS, type Candle, type Pair } from '../types';
+import { getCandles, getCoverage } from '../market/candle-store';
+import { runWalkForward } from '../backtest/walkforward';
+import { DEFAULT_RISK } from '../engine/sizing';
+import { DEFAULT_EXEC } from '../engine/portfolio';
+import { db, sql } from '../db/client';
+import { backtestRuns } from '../db/schema';
+
+const candles15ByPair = new Map<Pair, Candle[]>();
+let dataFrom = 0;
+let dataTo = Number.MAX_SAFE_INTEGER;
+
+for (const pair of PAIRS) {
+  const cov = await getCoverage(pair);
+  if (!cov.from || !cov.to) throw new Error(`Keine Candles für ${pair} — erst 'bun run backfill' ausführen.`);
+  candles15ByPair.set(pair, await getCandles(pair));
+  dataFrom = Math.max(dataFrom, cov.from.getTime()); // gemeinsamer Zeitraum aller Pairs
+  dataTo = Math.min(dataTo, cov.to.getTime());
+  console.log(`${pair}: ${cov.count} Candles (${cov.from.toISOString()} → ${cov.to.toISOString()})`);
+}
+
+const baseCfg = { startCapital: 1000, risk: DEFAULT_RISK, exec: DEFAULT_EXEC, maxPositions: 4 };
+console.log(`\nWalk-Forward über ${((dataTo - dataFrom) / 86400000).toFixed(0)} Tage…\n`);
+
+const result = runWalkForward(candles15ByPair, baseCfg, dataFrom, dataTo, (msg) => console.log(msg));
+
+console.log('\n========== OOS-GESAMTERGEBNIS ==========');
+const m = result.oosMetrics;
+console.log(`Trades: ${m.trades} | WinRate: ${(m.winRate * 100).toFixed(1)}% | PF: ${m.profitFactor.toFixed(2)}`);
+console.log(`TotalPnl: ${m.totalPnl.toFixed(2)} USDT | MaxDD: ${(m.maxDrawdownPct * 100).toFixed(1)}% | AvgR: ${m.avgR.toFixed(2)}`);
+
+console.log('\n========== DEPLOY-GATE ==========');
+for (const c of result.gate.checks) {
+  console.log(`${c.pass ? '✅' : '❌'} ${c.name}: ${Number.isFinite(c.value) ? c.value.toFixed(2) : c.value}`);
+}
+console.log(`\n→ GATE ${result.gate.pass ? 'BESTANDEN' : 'NICHT BESTANDEN'}`);
+
+// Persistenz (Equity-Kurven kompakt halten: nur Fenster-Metriken + OOS-Kurve)
+await db.insert(backtestRuns).values({
+  kind: 'walkforward',
+  config: baseCfg as any,
+  result: {
+    gate: result.gate,
+    oosMetrics: result.oosMetrics,
+    oosEquityCurve: result.oosEquityCurve,
+    windows: result.windows.map((w) => ({
+      window: w.window, bestParams: w.bestParams, trainMetrics: w.trainMetrics, testMetrics: w.testMetrics,
+    })),
+  } as any,
+});
+console.log('Run in backtest_runs gespeichert.');
+await sql.end();