From 26166c5f3cf2c87ad0cb673b864d2fdd8ee42514 Mon Sep 17 00:00:00 2001
From: Claude <claude@kuns.dev>
Date: Tue, 9 Jun 2026 21:12:11 +0000
Subject: [PATCH] =?UTF-8?q?fix:=20Gate-Check=204=20=E2=80=94=20Fenster=20<?=
 =?UTF-8?q?5=20Trades=20maskieren=20keine=20Verst=C3=B6=C3=9Fe=20mehr?=
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Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
---
 src/server/backtest/walkforward.test.ts | 19 ++++++++++++++++++-
 src/server/backtest/walkforward.ts      | 16 +++++++++++-----
 2 files changed, 29 insertions(+), 6 deletions(-)

diff --git a/src/server/backtest/walkforward.test.ts b/src/server/backtest/walkforward.test.ts
index fe027df..d545a82 100644
--- a/src/server/backtest/walkforward.test.ts
+++ b/src/server/backtest/walkforward.test.ts
@@ -1,5 +1,5 @@
 import { expect, test } from 'bun:test';
-import { buildWindows, evaluateGate, PARAM_GRID, runWalkForward } from './walkforward';
+import { buildWindows, evaluateGate, PARAM_GRID, pickWorstEligibleWindow, runWalkForward } from './walkforward';
 import { DEFAULT_RISK } from '../engine/sizing';
 import { DEFAULT_EXEC } from '../engine/portfolio';
 import type { Candle, Pair } from '../types';
@@ -38,6 +38,23 @@ test('Gate: alle Kriterien müssen bestehen', () => {
   expect(evaluateGate({ ...good, worstWindow: { profitFactor: 0.2, trades: 3 } }).pass).toBe(true);
 });
 
+test('Gate-Check 4: Fenster mit <5 Trades maskiert kein verletzendes Fenster', () => {
+  // PF 0 bei 3 Trades (irrelevant) darf PF 0 bei 6 Trades (Verstoß) nicht verdecken
+  const worst = pickWorstEligibleWindow([
+    { profitFactor: 0, trades: 3 },
+    { profitFactor: 0, trades: 6 },
+    { profitFactor: 1.4, trades: 10 },
+  ]);
+  expect(worst).toEqual({ profitFactor: 0, trades: 6 });
+  expect(evaluateGate({
+    oosProfitFactor: 1.5, oosTrades: 30, oosMaxDrawdownPct: 0.15,
+    worstWindow: worst, avgTrainPf: 2.0,
+  }).pass).toBe(false);
+
+  // keine Fenster mit >=5 Trades → Check 4 besteht
+  expect(pickWorstEligibleWindow([{ profitFactor: 0, trades: 3 }])).toEqual({ profitFactor: Infinity, trades: 0 });
+});
+
 /**
  * Synthetische 15m-Candle-Serie für einen einzelnen Walk-Forward-Durchlauf.
  *
diff --git a/src/server/backtest/walkforward.ts b/src/server/backtest/walkforward.ts
index 9f2411e..5e0d944 100644
--- a/src/server/backtest/walkforward.ts
+++ b/src/server/backtest/walkforward.ts
@@ -62,6 +62,16 @@ export interface GateResult {
   checks: GateCheck[];
 }
 
+/** Schlechtestes Test-Fenster UNTER den für Check 4 relevanten (>= 5 Trades). */
+export function pickWorstEligibleWindow(metricsList: { profitFactor: number; trades: number }[]): { profitFactor: number; trades: number } {
+  return metricsList
+    .filter((m) => m.trades >= 5)
+    .reduce(
+      (acc, m) => (m.profitFactor < acc.profitFactor ? { profitFactor: m.profitFactor, trades: m.trades } : acc),
+      { profitFactor: Infinity, trades: 0 },
+    );
+}
+
 export function evaluateGate(g: GateInput): GateResult {
   const overfitRatio = g.oosProfitFactor > 0 ? g.avgTrainPf / g.oosProfitFactor : Infinity;
   const windowFail = g.worstWindow.trades >= 5 && g.worstWindow.profitFactor < 0.5;
@@ -145,11 +155,7 @@ export function runWalkForward(
   }
   const oosMetrics = computeMetrics(oosTrades, oosEquityCurve, baseCfg.startCapital);
 
-  const windowsWithTrades = results.filter((r) => r.testMetrics.trades > 0);
-  const worst = windowsWithTrades.reduce(
-    (acc, r) => (r.testMetrics.profitFactor < acc.profitFactor ? { profitFactor: r.testMetrics.profitFactor, trades: r.testMetrics.trades } : acc),
-    { profitFactor: Infinity, trades: 0 },
-  );
+  const worst = pickWorstEligibleWindow(results.map((r) => r.testMetrics));
   const finiteTrainPfs = results.map((r) => Math.min(r.trainMetrics.profitFactor, 10)); // Infinity kappen
   const avgTrainPf = finiteTrainPfs.reduce((s, v) => s + v, 0) / Math.max(1, finiteTrainPfs.length);