feat(backtest): add Sortino, Gain-to-Pain and dollar profit factor
Three portfolio metrics computed where their inputs already live in _simulate_portfolio: Sortino off the existing daily return series, Gain-to-Pain off a monthly aggregation of the equity curve, profit factor off closed-trade dollar P&L. Gain-to-Pain follows Schwager — sum of ALL monthly returns over the absolute sum of the negative ones. The profit-factor-shaped variant, sum(positive)/|sum(negative)|, sits exactly 1.0 higher for every input since sum(all) = sum(pos) - |sum(neg)|; the test asserts against both so the wrong one cannot pass. Sortino divides by len(rets), the full-sample lower partial moment, not by the count of down days, which would shrink the denominator and inflate the ratio. No MAR field: calmar is already CAGR / max drawdown, the same number under the other name (docs/research/effective-risk-floor-ab.md). All three keys are emitted unconditionally even when None — the UI reads an absent key as "report predates these metrics", so presence is a contract. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
This commit is contained in:
Claude Opus 5
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import { useMutation, useQueryClient } from '@tanstack/react-query';
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import { usePerformance } from '../../hooks/usePerformance';
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import { useBacktestReport } from '../../hooks/useMarketRegime';
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import { triggerJob, resetTrackRecord } from '../../api/admin';
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import { Button } from '../ui/Button';
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import { Disclosure } from '../ui/Disclosure';
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import { useToast } from '../ui/Toast';
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import { BacktestPanel } from './BacktestPanel';
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import { MyTradesPanel } from './MyTradesPanel';
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// Need at least this many matured setups before the pipeline check means anything;
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// below it the live sample is too noisy to compare.
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const MIN_MATURED = 20;
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// Live expectancy this far (in R) below the backtest counts as drift, not noise.
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const DRIFT_TOLERANCE_R = 0.2;
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type PipelineStatus = 'building' | 'tracking' | 'drift' | 'no-backtest';
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function fmtR(value: number | null): string {
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if (value === null) return '—';
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return `${value > 0 ? '+' : ''}${value.toFixed(2)}R`;
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}
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function rColor(value: number | null): string {
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if (value === null) return 'text-gray-400';
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if (value > 0) return 'text-emerald-400';
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if (value < 0) return 'text-red-400';
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return 'text-gray-300';
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}
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function StatusChip({ status }: { status: PipelineStatus }) {
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const styles: Record<PipelineStatus, { cls: string; label: string }> = {
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tracking: { cls: 'border-emerald-500/30 bg-emerald-500/15 text-emerald-300', label: '✓ in sync' },
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drift: { cls: 'border-amber-500/30 bg-amber-500/15 text-amber-300', label: '⚠ drift' },
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building: { cls: 'border-white/10 bg-white/[0.05] text-gray-400', label: 'building' },
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'no-backtest': { cls: 'border-white/10 bg-white/[0.05] text-gray-400', label: 'no backtest' },
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};
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const s = styles[status];
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return <span className={`shrink-0 rounded-full border px-2.5 py-1 text-xs font-medium ${s.cls}`}>{s.label}</span>;
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}
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export function TrackRecordPanel() {
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const queryClient = useQueryClient();
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const toast = useToast();
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// Setup-outcome pipeline check: does the live outcome evaluator reproduce the
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// backtest's target/stop grading? Both sides use the SAME target/stop/expired
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// model — this is a plumbing/QA signal (no look-ahead, config or data drift),
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// NOT validation of the ATR-trail production strategy shown in the monitor.
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const { data: perf } = usePerformance({ qualified_only: true });
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const { data: report } = useBacktestReport();
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const liveAvgR = perf?.overall.avg_r ?? null;
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const liveN = perf?.overall.total ?? 0;
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const btAvgR = report?.overall_qualified.avg_r ?? null;
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let status: PipelineStatus = 'building';
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if (liveAvgR != null && liveN >= MIN_MATURED) {
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status = btAvgR == null ? 'no-backtest' : liveAvgR >= btAvgR - DRIFT_TOLERANCE_R ? 'tracking' : 'drift';
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}
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const statusNote: Record<PipelineStatus, string> = {
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building: `Fewer than ~${MIN_MATURED} matured setups so far — too few to compare.`,
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'no-backtest': 'Run the backtest to get a target/stop baseline to check against.',
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tracking:
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"Live setup outcomes are resolving in line with the backtest's target/stop model — the outcome-evaluation pipeline shows no look-ahead, config or data drift. (Checks the setup-grading pipeline, not the ATR-trail production book above.)",
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drift:
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"Live setup outcomes are running materially below the backtest's target/stop model — small-sample noise, a regime shift, or a live/backtest pipeline gap. Worth a look.",
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};
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const evaluateMutation = useMutation({
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mutationFn: () => triggerJob('outcome_evaluator'),
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onSuccess: () => {
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toast.addToast('success', 'Outcome evaluation triggered. Stats will refresh shortly.');
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setTimeout(() => queryClient.invalidateQueries({ queryKey: ['performance'] }), 3000);
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},
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onError: () => {
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toast.addToast('error', 'Failed to trigger outcome evaluation');
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},
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});
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const resetMutation = useMutation({
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mutationFn: () => resetTrackRecord(),
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onSuccess: (data) => {
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toast.addToast('success', `Track record reset — ${data.trade_setups} setups cleared. Run the scanner to rebuild.`);
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queryClient.invalidateQueries({ queryKey: ['performance'] });
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queryClient.invalidateQueries({ queryKey: ['trades'] });
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},
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onError: () => {
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toast.addToast('error', 'Failed to reset track record');
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},
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});
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const onReset = () => {
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if (
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window.confirm(
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'Reset the track record? This permanently deletes ALL trade setups and their outcomes. ' +
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'Live setups will regenerate on the next R:R scan. This cannot be undone.',
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)
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) {
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resetMutation.mutate();
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}
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};
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return (
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<div className="space-y-6">
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{/* Your real, realized results come first; the strategy simulation follows. */}
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<MyTradesPanel />
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<div className="border-t border-white/[0.06]" />
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<BacktestPanel />
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<Disclosure summary="Track-record maintenance">
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<div className="space-y-4 pt-1">
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<p className="max-w-2xl text-xs text-gray-500">
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<span className="text-amber-300/90">Diagnostic only — not production P&L.</span>{' '}
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Grades gate-level touch vs stop (the rejected take-profit model). Production exits are
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initial stop / ATR trail / max hold — see paper trades and the portfolio monitor above.
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Target before stop = win, stop first = loss (same-bar both = loss), neither in 30 trading
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days = expired at 0R. Only matured windows count. Scores{' '}
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<span className="text-gray-300">all</span> setups as a control group; runs nightly.
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</p>
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{/* Diagnostic, not strategy validation: live target/stop outcomes vs the backtest's target/stop model. */}
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<div className="glass-sm space-y-2 p-4">
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<div className="flex flex-wrap items-center justify-between gap-x-6 gap-y-2">
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<div className="flex flex-wrap items-baseline gap-x-5 gap-y-1">
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<span className="text-sm text-gray-300">Gate barrier pipeline check</span>
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<span className="text-sm text-gray-400">
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Live <span className={`num font-semibold ${rColor(liveAvgR)}`}>{fmtR(liveAvgR)}</span>
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</span>
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<span className="text-sm text-gray-400">
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Backtest <span className={`num font-semibold ${rColor(btAvgR)}`}>{fmtR(btAvgR)}</span>
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</span>
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<span className="text-xs text-gray-500">
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{liveN} matured{perf ? ` · ${perf.maturing} maturing` : ''} · not ATR-trail book
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</span>
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</div>
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<StatusChip status={status} />
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</div>
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<p className="text-[11px] leading-relaxed text-gray-500">{statusNote[status]}</p>
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</div>
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<div className="flex flex-wrap items-center gap-2">
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<Button onClick={() => evaluateMutation.mutate()} loading={evaluateMutation.isPending}>
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{evaluateMutation.isPending ? 'Evaluating…' : 'Evaluate Now'}
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</Button>
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<Button variant="danger" onClick={onReset} loading={resetMutation.isPending}>
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{resetMutation.isPending ? 'Resetting…' : 'Reset'}
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</Button>
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</div>
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</div>
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</Disclosure>
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</div>
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);
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}
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