From cd3a06c7788ad8a747b1b4579fb6c45b6c43008e Mon Sep 17 00:00:00 2001
From: TheSiahxyz <164138827+TheSiahxyz@users.noreply.github.com>
Date: Wed, 1 Apr 2026 18:23:39 +0900
Subject: feat(backtester): improve metrics with daily Sharpe, recovery factor,
 consecutive stats

---
 services/backtester/tests/test_metrics.py | 68 +++++++++++++++++++++++++++++++
 1 file changed, 68 insertions(+)

(limited to 'services/backtester/tests/test_metrics.py')

diff --git a/services/backtester/tests/test_metrics.py b/services/backtester/tests/test_metrics.py
index 68bc0b5..34314b3 100644
--- a/services/backtester/tests/test_metrics.py
+++ b/services/backtester/tests/test_metrics.py
@@ -93,3 +93,71 @@ def test_compute_metrics_empty_trades():
     assert metrics.calmar_ratio == 0.0
     assert metrics.max_drawdown == 0.0
     assert metrics.monthly_returns == {}
+
+
+def test_recovery_factor():
+    """Recovery factor should be positive when there is a drawdown."""
+    trades = [
+        _make_trade("BUY", "100", 0),
+        _make_trade("SELL", "150", 10),  # win
+        _make_trade("BUY", "150", 20),
+        _make_trade("SELL", "120", 30),  # loss: creates drawdown
+    ]
+    metrics = compute_detailed_metrics(trades, Decimal("10000"), Decimal("10020"))
+    assert metrics.recovery_factor > 0
+
+
+def test_consecutive_losses():
+    """Consecutive loss tracking should count streaks correctly."""
+    trades = [
+        _make_trade("BUY", "100", 0),
+        _make_trade("SELL", "110", 10),   # win
+        _make_trade("BUY", "110", 20),
+        _make_trade("SELL", "105", 30),   # loss
+        _make_trade("BUY", "105", 40),
+        _make_trade("SELL", "100", 50),   # loss
+    ]
+    metrics = compute_detailed_metrics(trades, Decimal("10000"), Decimal("10005"))
+    assert metrics.max_consecutive_losses >= 1
+    assert metrics.max_consecutive_wins >= 1
+
+
+def test_risk_free_rate_affects_sharpe():
+    """Higher risk-free rate should lower Sharpe ratio."""
+    base = datetime(2025, 1, 1, tzinfo=timezone.utc)
+    trades = [
+        TradeRecord(time=base, symbol="BTCUSDT", side="BUY", price=Decimal("100"), quantity=Decimal("1")),
+        TradeRecord(time=base + timedelta(days=1), symbol="BTCUSDT", side="SELL", price=Decimal("110"), quantity=Decimal("1")),
+        TradeRecord(time=base + timedelta(days=2), symbol="BTCUSDT", side="BUY", price=Decimal("105"), quantity=Decimal("1")),
+        TradeRecord(time=base + timedelta(days=3), symbol="BTCUSDT", side="SELL", price=Decimal("115"), quantity=Decimal("1")),
+        TradeRecord(time=base + timedelta(days=4), symbol="BTCUSDT", side="BUY", price=Decimal("110"), quantity=Decimal("1")),
+        TradeRecord(time=base + timedelta(days=5), symbol="BTCUSDT", side="SELL", price=Decimal("108"), quantity=Decimal("1")),
+    ]
+    m1 = compute_detailed_metrics(trades, Decimal("10000"), Decimal("10018"), risk_free_rate=0.0)
+    m2 = compute_detailed_metrics(trades, Decimal("10000"), Decimal("10018"), risk_free_rate=0.10)
+    assert m2.sharpe_ratio <= m1.sharpe_ratio
+
+
+def test_daily_returns_populated():
+    """Daily returns list should be populated when there are trades."""
+    trades = [
+        _make_trade("BUY", "100", 0),
+        _make_trade("SELL", "110", 60),
+        _make_trade("BUY", "105", 120),
+        _make_trade("SELL", "115", 180),
+    ]
+    metrics = compute_detailed_metrics(trades, Decimal("10000"), Decimal("10020"))
+    assert len(metrics.daily_returns) > 0
+
+
+def test_fee_subtracted_from_pnl():
+    """Fees should be subtracted from trade PnL."""
+    base = datetime(2025, 1, 1, tzinfo=timezone.utc)
+    trades_with_fees = [
+        TradeRecord(time=base, symbol="BTC", side="BUY", price=Decimal("100"), quantity=Decimal("1"), fee=Decimal("1")),
+        TradeRecord(time=base + timedelta(minutes=10), symbol="BTC", side="SELL", price=Decimal("110"), quantity=Decimal("1"), fee=Decimal("1")),
+    ]
+    # PnL should be 10 - 1 - 1 = 8
+    metrics = compute_detailed_metrics(trades_with_fees, Decimal("10000"), Decimal("10008"))
+    assert metrics.winning_trades == 1
+    assert metrics.trade_pairs[0]["pnl"] == pytest.approx(8.0)
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