feat: Walk-Forward-Runner mit Grid-Search und Deploy-Gate

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>

src/server/backtest/walkforward.ts

@@ -0,0 +1,160 @@
+import type { Candle, Pair } from '../types';
+import { runBacktest, type BacktestConfig } from './runner';
+import { computeMetrics, type Metrics, type EquityPoint } from './metrics';
+import type { StrategyParams } from '../strategy/donchian-trend';
+import type { ClosedTrade } from '../engine/portfolio';
+
+const DAY = 24 * 60 * 60 * 1000;
+
+export interface Window {
+  trainFrom: number;
+  trainTo: number;
+  testFrom: number;
+  testTo: number;
+}
+
+export function buildWindows(dataFrom: number, dataTo: number, trainDays = 120, testDays = 30, stepDays = 30): Window[] {
+  const out: Window[] = [];
+  for (let start = dataFrom; start + (trainDays + testDays) * DAY <= dataTo; start += stepDays * DAY) {
+    const trainTo = start + trainDays * DAY;
+    out.push({ trainFrom: start, trainTo, testFrom: trainTo, testTo: trainTo + testDays * DAY });
+  }
+  return out;
+}
+
+export const PARAM_GRID: StrategyParams[] = [20, 40, 55].flatMap((donchianPeriod) =>
+  [2, 3, 4].flatMap((atrMultiplier) =>
+    [100, 200].map((trendEmaPeriod) => ({ donchianPeriod, atrPeriod: 14, atrMultiplier, trendEmaPeriod })),
+  ),
+);
+
+export interface WindowResult {
+  window: Window;
+  bestParams: StrategyParams;
+  trainMetrics: Metrics;
+  testMetrics: Metrics;
+  testTrades: ClosedTrade[];
+  testEquityCurve: EquityPoint[];
+}
+
+export interface GateInput {
+  oosProfitFactor: number;
+  oosTrades: number;
+  oosMaxDrawdownPct: number;
+  worstWindow: { profitFactor: number; trades: number };
+  avgTrainPf: number;
+}
+
+export interface GateCheck {
+  name: string;
+  pass: boolean;
+  value: number;
+  threshold: number;
+}
+
+export interface GateResult {
+  pass: boolean;
+  checks: GateCheck[];
+}
+
+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;
+  const checks: GateCheck[] = [
+    { name: 'OOS-ProfitFactor >= 1.2', pass: g.oosProfitFactor >= 1.2, value: g.oosProfitFactor, threshold: 1.2 },
+    { name: 'OOS-Trades >= 25', pass: g.oosTrades >= 25, value: g.oosTrades, threshold: 25 },
+    { name: 'OOS-MaxDrawdown <= 25%', pass: g.oosMaxDrawdownPct <= 0.25, value: g.oosMaxDrawdownPct, threshold: 0.25 },
+    { name: 'kein Fenster PF < 0.5 (bei >= 5 Trades)', pass: !windowFail, value: g.worstWindow.profitFactor, threshold: 0.5 },
+    { name: 'Train-PF / OOS-PF < 2 (Overfitting)', pass: overfitRatio < 2, value: overfitRatio, threshold: 2 },
+  ];
+  return { pass: checks.every((c) => c.pass), checks };
+}
+
+export interface WalkForwardResult {
+  windows: WindowResult[];
+  oosMetrics: Metrics;
+  oosEquityCurve: EquityPoint[];
+  gate: GateResult;
+}
+
+type BaseConfig = Omit<BacktestConfig, 'params' | 'tradeFrom' | 'tradeTo'>;
+
+/** PF-Vergleich mit Infinity-Handling: Infinity schlägt alles, Tie-Break TotalPnl. */
+function better(a: Metrics, b: Metrics): boolean {
+  if (a.profitFactor !== b.profitFactor) return a.profitFactor > b.profitFactor;
+  return a.totalPnl > b.totalPnl;
+}
+
+export function runWalkForward(
+  candles15ByPair: Map<Pair, Candle[]>,
+  baseCfg: BaseConfig,
+  dataFrom: number,
+  dataTo: number,
+  onProgress?: (msg: string) => void,
+): WalkForwardResult {
+  const windows = buildWindows(dataFrom, dataTo);
+  const results: WindowResult[] = [];
+
+  for (const [wi, w] of windows.entries()) {
+    let bestParams = PARAM_GRID[0];
+    let bestMetrics: Metrics | null = null;
+    let bestEligible = false;
+
+    for (const params of PARAM_GRID) {
+      const r = runBacktest(candles15ByPair, { ...baseCfg, params, tradeFrom: w.trainFrom, tradeTo: w.trainTo });
+      const m = computeMetrics(r.trades, r.equityCurve, baseCfg.startCapital);
+      const eligible = m.trades >= 5;
+      const wins =
+        bestMetrics === null ||
+        (eligible && !bestEligible) ||
+        (eligible === bestEligible && (eligible ? better(m, bestMetrics) : m.trades > bestMetrics.trades));
+      if (wins) {
+        bestParams = params;
+        bestMetrics = m;
+        bestEligible = eligible;
+      }
+    }
+
+    const test = runBacktest(candles15ByPair, { ...baseCfg, params: bestParams, tradeFrom: w.testFrom, tradeTo: w.testTo });
+    const testMetrics = computeMetrics(test.trades, test.equityCurve, baseCfg.startCapital);
+    results.push({
+      window: w, bestParams, trainMetrics: bestMetrics!, testMetrics,
+      testTrades: test.trades, testEquityCurve: test.equityCurve,
+    });
+    onProgress?.(
+      `Fenster ${wi + 1}/${windows.length}: Train-PF ${bestMetrics!.profitFactor.toFixed(2)} ` +
+      `(${JSON.stringify(bestParams)}) → Test-PF ${testMetrics.profitFactor.toFixed(2)} bei ${testMetrics.trades} Trades`,
+    );
+  }
+
+  // OOS-Aggregat: Trades kombiniert, Equity-Kurven multiplikativ verkettet
+  const oosTrades = results.flatMap((r) => r.testTrades);
+  const oosEquityCurve: EquityPoint[] = [];
+  let scale = 1;
+  for (const r of results) {
+    for (const p of r.testEquityCurve) {
+      oosEquityCurve.push({ ts: p.ts, equity: baseCfg.startCapital * scale * (p.equity / baseCfg.startCapital) });
+    }
+    const last = r.testEquityCurve.at(-1);
+    if (last) scale *= last.equity / baseCfg.startCapital;
+  }
+  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 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);
+
+  const gate = evaluateGate({
+    oosProfitFactor: oosMetrics.profitFactor,
+    oosTrades: oosMetrics.trades,
+    oosMaxDrawdownPct: oosMetrics.maxDrawdownPct,
+    worstWindow: worst,
+    avgTrainPf,
+  });
+
+  return { windows: results, oosMetrics, oosEquityCurve, gate };
+}