trade-kuns/src/server/backtest/grid.ts

import type { Candle, Pair } from '../types';
import { PAIRS } from '../types';
import { aggregateTf, H4 } from '../market/aggregate';
import { atr } from '../indicators/atr';
import { adx } from '../indicators/adx';
import type { ClosedTrade, ExecConfig } from '../engine/portfolio';
import type { EquityPoint } from './metrics';
import type { BacktestResult } from './runner';

export interface GridParams {
  spacingAtrMult: number; // Level-Abstand = mult × ATR(atrPeriod, tf) bei Aktivierung
  gridLevels: number;     // Buy-Levels unterhalb des Centers
  adxMax: number;         // Grid nur aktiv im Seitwärtsregime (ADX < adxMax)
  atrPeriod: number;
  tfMs: number;           // Entscheidungs-Timeframe (Aktivierung/Deaktivierung, ATR/ADX-Basis)
}

export const DEFAULT_GRID_PARAMS: GridParams = {
  spacingAtrMult: 1.0,
  gridLevels: 4,
  adxMax: 20,
  atrPeriod: 14,
  tfMs: H4,
};

export interface GridConfig {
  startCapital: number;
  exec: ExecConfig;
  params: GridParams;
  minNotionalUsdt: number;
  tradeFrom: number; // ms inklusiv — Aktivierungen/Fills erst ab hier
  tradeTo: number;   // ms exklusiv — danach Zwangsglattstellung
}

interface Lot {
  levelIdx: number;
  qty: number;
  entryTs: number;
  entryPrice: number; // Fill inkl. Slippage
  entryCost: number;  // qty×fill + Fee
  riskAmount: number; // Distanz zum Grid-Stop × qty
}

interface ActiveGrid {
  center: number;
  spacing: number;   // eingefroren bei Aktivierung — kein Level-Chasing
  stopPrice: number; // center − (N+1)×spacing
  upperExit: number; // center + (N+1)×spacing
  budgetPerLevel: number;
  lots: (Lot | null)[]; // Index = Level (0 = oberstes Buy-Level bei center − 1×spacing)
}

/**
 * ATR-Grid mit ADX-Regime-Filter, long-only, je Pair unabhängig.
 * Tf-Close (default 4h): Aktivierung/Deaktivierung; 15m: Fills (Sells vor
 * Buys — ein im selben Bar gekaufter Lot kann nicht im selben Bar verkaufen).
 * Fee/Slippage-Mathematik identisch zu Portfolio (pessimistische Fills).
 */
export function runGridBacktest(candles15ByPair: Map<Pair, Candle[]>, cfg: GridConfig): BacktestResult {
  const { exec, params: p } = cfg;
  let cash = cfg.startCapital;
  const trades: ClosedTrade[] = [];
  const grids = new Map<Pair, ActiveGrid>();
  const lastClose = new Map<Pair, number>();
  const equityCurve: EquityPoint[] = [];

  const equity = (): number => {
    let eq = cash;
    for (const [pair, g] of grids) {
      const last = lastClose.get(pair) ?? 0;
      for (const lot of g.lots) if (lot) eq += lot.qty * last;
    }
    return eq;
  };

  const buy = (pair: Pair, ts: number, price: number, levelIdx: number, g: ActiveGrid): void => {
    const fill = price * (1 + exec.slippage);
    const qty = g.budgetPerLevel / fill;
    const cost = qty * fill;
    const fee = cost * exec.feeRate;
    if (cash < cost + fee) return; // kein Cash → Fill entfällt
    cash -= cost + fee;
    g.lots[levelIdx] = {
      levelIdx, qty, entryTs: ts, entryPrice: fill, entryCost: cost + fee,
      riskAmount: Math.max((price - g.stopPrice) * qty, 1e-9),
    };
  };

  const sell = (pair: Pair, ts: number, price: number, lot: Lot, reason: ClosedTrade['exitReason']): void => {
    const fill = price * (1 - exec.slippage);
    const proceeds = lot.qty * fill;
    const fee = proceeds * exec.feeRate;
    cash += proceeds - fee;
    const pnl = proceeds - fee - lot.entryCost;
    trades.push({
      pair, entryTs: lot.entryTs, entryPrice: lot.entryPrice, exitTs: ts, exitPrice: fill,
      qty: lot.qty, pnl, r: pnl / lot.riskAmount, exitReason: reason, side: 'long',
    });
  };

  const liquidate = (pair: Pair, ts: number, price: number, reason: ClosedTrade['exitReason']): void => {
    const g = grids.get(pair);
    if (!g) return;
    for (const lot of g.lots) if (lot) sell(pair, ts, price, lot, reason);
    grids.delete(pair);
  };

  // --- Kontexte + gemergte 15m-Timeline (wie runner.ts) ---
  const contexts = PAIRS.filter((pr) => candles15ByPair.has(pr)).map((pair) => {
    const c15 = candles15ByPair.get(pair)!;
    const c4h = aggregateTf(c15, p.tfMs);
    return { pair, c4h, atr: atr(c4h, p.atrPeriod), adx: adx(c4h, p.atrPeriod), next4h: 0 };
  });
  const byPair = new Map(contexts.map((c) => [c.pair, c]));

  const timeline: { ts: number; pair: Pair; candle: Candle }[] = [];
  for (const ctx of contexts) {
    for (const candle of candles15ByPair.get(ctx.pair)!) {
      if (candle.ts < cfg.tradeTo) timeline.push({ ts: candle.ts, pair: ctx.pair, candle });
    }
  }
  timeline.sort((a, b) => a.ts - b.ts || PAIRS.indexOf(a.pair) - PAIRS.indexOf(b.pair));

  let lastEquityBucket = -1;

  for (const { ts, pair, candle } of timeline) {
    const ctx = byPair.get(pair)!;
    const bucket = Math.floor(ts / p.tfMs) * p.tfMs;

    // 1) Neu abgeschlossene Tf-Bars: Deaktivierung / Aktivierung
    while (ctx.next4h < ctx.c4h.length && ctx.c4h[ctx.next4h].ts < bucket) {
      const i = ctx.next4h++;
      const bar = ctx.c4h[i];
      const barCloseTs = bar.ts + p.tfMs;
      if (barCloseTs < cfg.tradeFrom || barCloseTs >= cfg.tradeTo) continue;

      const g = grids.get(pair);
      if (g) {
        const trendStart = !Number.isNaN(ctx.adx[i]) && ctx.adx[i] >= p.adxMax + 5; // Hysterese
        if (bar.close < g.stopPrice || bar.close > g.upperExit || trendStart) {
          liquidate(pair, barCloseTs, bar.close, 'grid_stop');
        }
      } else if (
        !Number.isNaN(ctx.atr[i]) &&
        !Number.isNaN(ctx.adx[i]) &&
        ctx.adx[i] < p.adxMax
      ) {
        const spacing = p.spacingAtrMult * ctx.atr[i];
        const budgetPerLevel = equity() / PAIRS.length / p.gridLevels;
        if (spacing > 0 && budgetPerLevel >= cfg.minNotionalUsdt) {
          grids.set(pair, {
            center: bar.close,
            spacing,
            stopPrice: bar.close - (p.gridLevels + 1) * spacing,
            upperExit: bar.close + (p.gridLevels + 1) * spacing,
            budgetPerLevel,
            lots: Array(p.gridLevels).fill(null),
          });
        }
      }
    }

    // 2) 15m-Fills auf aktivem Grid: Sells zuerst (nur vor diesem Bar gekaufte Lots), dann Buys
    const g = grids.get(pair);
    if (g && ts >= cfg.tradeFrom) {
      for (let k = 0; k < g.lots.length; k++) {
        const lot = g.lots[k];
        if (!lot || lot.entryTs >= ts) continue;
        const tp = g.center - k * g.spacing; // ein Spacing über dem Buy-Level k (center − (k+1)·S)
        if (candle.high >= tp) {
          sell(pair, ts, tp, lot, 'grid_tp');
          g.lots[k] = null;
        }
      }
      for (let k = 0; k < g.lots.length; k++) {
        const levelPrice = g.center - (k + 1) * g.spacing;
        if (!g.lots[k] && candle.low <= levelPrice) buy(pair, ts, levelPrice, k, g);
      }
    }

    lastClose.set(pair, candle.close);

    // 3) Equity-Punkt einmal pro 4h-Bucket
    if (bucket !== lastEquityBucket && ts >= cfg.tradeFrom) {
      lastEquityBucket = bucket;
      equityCurve.push({ ts: bucket, equity: equity() });
    }
  }

  // Zwangsglattstellung
  for (const pair of [...grids.keys()]) {
    liquidate(pair, cfg.tradeTo, lastClose.get(pair) ?? 0, 'end_of_data');
  }

  return { trades, equityCurve, finalEquity: equity() };
}