H1: risk-adjusted return metrics (equity-curve smoothness = copyability)
New RiskMetricsCalculator (pure) derives max drawdown (USD), daily-PnL volatility and longest losing streak from the trader's TraderDailySnapshot equity curve; the PnL engine computes them each recalc and stores them on TraderAnalytics (+ computed ReturnOverMaxDrawdown, Calmar-like). Two traders with identical final PnL but a smoother path are very differently copyable — this captures that. Exposed on TraderDetailDto. Migration AddRiskAdjustedMetrics. +5 unit tests (63 total, 1 skip). Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
This commit is contained in:
Richard
co-authored by
Claude Opus 4.8
Claude Opus 4.8
parent
be1b90b556
commit
dcac62165e
@@ -0,0 +1,63 @@
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using System;
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using System.Collections.Generic;
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using Predictalytics.Application.Services;
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using Xunit;
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namespace Predictalytics.Application.Tests.Services;
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public class RiskMetricsCalculatorTests
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{
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private static List<(DateTime, decimal)> Curve(params decimal[] pnls)
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{
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var list = new List<(DateTime, decimal)>();
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var d = new DateTime(2026, 01, 01, 0, 0, 0, DateTimeKind.Utc);
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foreach (var p in pnls) { list.Add((d, p)); d = d.AddDays(1); }
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return list;
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}
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[Fact]
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public void Empty_ReturnsZeros()
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{
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var m = RiskMetricsCalculator.Compute(new List<(DateTime, decimal)>());
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Assert.Equal(0m, m.MaxDrawdownUsd);
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Assert.Equal(0m, m.PnlVolatilityUsd);
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Assert.Equal(0, m.LongestLosingStreakDays);
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}
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[Fact]
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public void MonotonicUp_HasNoDrawdownNoStreak()
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{
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// Steady climb 0 -> 10 -> 20 -> 30: the ideal, most-copyable curve.
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var m = RiskMetricsCalculator.Compute(Curve(0, 10, 20, 30));
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Assert.Equal(0m, m.MaxDrawdownUsd);
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Assert.Equal(0, m.LongestLosingStreakDays);
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}
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[Fact]
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public void DipFromPeak_MeasuresPeakToTroughDrawdown()
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{
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// Peak 100, trough 40 -> max drawdown 60. Ends back at 90.
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var m = RiskMetricsCalculator.Compute(Curve(0, 100, 70, 40, 90));
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Assert.Equal(60m, m.MaxDrawdownUsd);
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}
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[Fact]
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public void LongestLosingStreak_CountsConsecutiveDownDays()
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{
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// deltas: +100, -30, -30, -30, +50 -> 3 consecutive losing days
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var m = RiskMetricsCalculator.Compute(Curve(0, 100, 70, 40, 10, 60));
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Assert.Equal(3, m.LongestLosingStreakDays);
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}
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[Fact]
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public void Volatility_IsZeroForConstantDailyGain_PositiveForBumpyPath()
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{
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// Constant +10/day -> zero volatility of daily returns.
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var smooth = RiskMetricsCalculator.Compute(Curve(0, 10, 20, 30, 40));
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Assert.Equal(0m, smooth.PnlVolatilityUsd);
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// Same endpoint (+40) but a bumpy path -> positive volatility.
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var bumpy = RiskMetricsCalculator.Compute(Curve(0, 50, 10, 60, 40));
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Assert.True(bumpy.PnlVolatilityUsd > 0m);
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}
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}
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@@ -63,7 +63,13 @@ public record TraderDetailDto(
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decimal MedianLossReturnPct,
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decimal AvgLossReturnPct,
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decimal? ProfitFactor,
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// H1 Risk-adjusted return (equity-curve smoothness = copyability)
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decimal MaxDrawdownUsd,
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decimal PnlVolatilityUsd,
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int LongestLosingStreakDays,
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decimal? ReturnOverMaxDrawdown,
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int Rank,
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bool IsOnWatchlist,
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DateTime CreatedAt,
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@@ -255,6 +255,7 @@ public class AnalyticsService : IAnalyticsService
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s?.ActivityScore ?? 0, s?.QualityScore ?? 0, s?.VolumeScore ?? 0, s?.TimingScore ?? 0,
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s?.CombinedScore ?? 0, a?.CopytradingScore ?? 0, a?.CopytradingQualityScore ?? 0, a?.CopytradingCopyabilityScore ?? 0,
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a?.MedianWinReturnPct ?? 0, a?.AvgWinReturnPct ?? 0, a?.MedianLossReturnPct ?? 0, a?.AvgLossReturnPct ?? 0, a?.ProfitFactor,
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a?.MaxDrawdownUsd ?? 0, a?.PnlVolatilityUsd ?? 0, a?.LongestLosingStreakDays ?? 0, a?.ReturnOverMaxDrawdown,
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s?.Rank ?? 0, wl != null, trader.CreatedAt, trader.LastPolledAt,
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trader.AiStrategySummary,
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trades.Select(MapTradeDto).ToList(),
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@@ -0,0 +1,64 @@
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namespace Predictalytics.Application.Services;
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/// <summary>Risk/smoothness metrics derived from a trader's daily equity curve.</summary>
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public readonly record struct RiskMetrics(
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decimal MaxDrawdownUsd,
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decimal PnlVolatilityUsd,
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int LongestLosingStreakDays);
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/// <summary>
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/// Computes how SMOOTH a trader's path to their PnL was — a core copyability signal.
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/// Two traders with identical final PnL are very differently copyable if one got there
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/// steadily and the other via a violent up-and-down ride: the copier who joins mid-drawdown
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/// of the volatile trader may never recover. Pure function, no DB/API access.
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/// </summary>
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public static class RiskMetricsCalculator
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{
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/// <param name="snapshotsAsc">Daily cumulative PnL points, ascending by date.</param>
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public static RiskMetrics Compute(IReadOnlyList<(DateTime Date, decimal TotalPnl)> snapshotsAsc)
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{
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if (snapshotsAsc is null || snapshotsAsc.Count == 0)
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return new RiskMetrics(0m, 0m, 0);
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// Max drawdown: largest peak-to-trough drop of the cumulative-PnL curve (in USD).
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decimal peak = snapshotsAsc[0].TotalPnl;
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decimal maxDrawdown = 0m;
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foreach (var s in snapshotsAsc)
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{
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if (s.TotalPnl > peak) peak = s.TotalPnl;
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var dd = peak - s.TotalPnl;
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if (dd > maxDrawdown) maxDrawdown = dd;
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}
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// Day-over-day PnL deltas -> volatility (population stddev) + longest losing streak.
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var deltas = new List<decimal>(snapshotsAsc.Count);
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int streak = 0, longestStreak = 0;
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for (int i = 1; i < snapshotsAsc.Count; i++)
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{
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var d = snapshotsAsc[i].TotalPnl - snapshotsAsc[i - 1].TotalPnl;
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deltas.Add(d);
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if (d < 0)
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{
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streak++;
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if (streak > longestStreak) longestStreak = streak;
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}
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else
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{
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streak = 0;
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}
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}
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decimal volatility = 0m;
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if (deltas.Count > 0)
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{
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var mean = deltas.Average();
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var variance = deltas.Sum(x => (x - mean) * (x - mean)) / deltas.Count;
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volatility = (decimal)System.Math.Sqrt((double)variance);
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}
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return new RiskMetrics(
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System.Math.Round(maxDrawdown, 2),
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System.Math.Round(volatility, 2),
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longestStreak);
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}
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}
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@@ -55,6 +55,15 @@ public class TraderAnalytics
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public decimal MedianPostFillDriftPct { get; set; }
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public decimal NetEdgeAfterFeesPct { get; set; }
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// H1 Risk-adjusted return (from the daily equity curve; smoothness = copyability)
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public decimal MaxDrawdownUsd { get; set; }
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public decimal PnlVolatilityUsd { get; set; }
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public int LongestLosingStreakDays { get; set; }
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/// <summary>Calmar-like: profit per unit of worst drawdown. Null when there was no drawdown.</summary>
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public decimal? ReturnOverMaxDrawdown =>
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MaxDrawdownUsd > 0 ? System.Math.Round(OverallPnL / MaxDrawdownUsd, 2) : null;
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// Navigation
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public virtual Trader Trader { get; set; } = null!;
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}
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Generated
+1284
File diff suppressed because it is too large
Load Diff
@@ -0,0 +1,51 @@
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using Microsoft.EntityFrameworkCore.Migrations;
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#nullable disable
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namespace Predictalytics.Infrastructure.Migrations
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{
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/// <inheritdoc />
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public partial class AddRiskAdjustedMetrics : Migration
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{
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/// <inheritdoc />
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protected override void Up(MigrationBuilder migrationBuilder)
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{
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migrationBuilder.AddColumn<int>(
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name: "LongestLosingStreakDays",
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table: "TraderAnalytics",
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type: "int",
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nullable: false,
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defaultValue: 0);
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migrationBuilder.AddColumn<decimal>(
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name: "MaxDrawdownUsd",
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table: "TraderAnalytics",
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type: "decimal(65,30)",
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nullable: false,
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defaultValue: 0m);
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migrationBuilder.AddColumn<decimal>(
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name: "PnlVolatilityUsd",
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table: "TraderAnalytics",
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type: "decimal(65,30)",
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nullable: false,
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defaultValue: 0m);
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}
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/// <inheritdoc />
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protected override void Down(MigrationBuilder migrationBuilder)
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{
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migrationBuilder.DropColumn(
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name: "LongestLosingStreakDays",
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table: "TraderAnalytics");
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migrationBuilder.DropColumn(
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name: "MaxDrawdownUsd",
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table: "TraderAnalytics");
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migrationBuilder.DropColumn(
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name: "PnlVolatilityUsd",
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table: "TraderAnalytics");
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}
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}
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}
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@@ -670,6 +670,12 @@ namespace Predictalytics.Infrastructure.Migrations
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b.Property<DateTime>("LastCalculatedAt")
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.HasColumnType("datetime(6)");
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b.Property<int>("LongestLosingStreakDays")
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.HasColumnType("int");
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b.Property<decimal>("MaxDrawdownUsd")
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.HasColumnType("decimal(65,30)");
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b.Property<decimal>("MedianHoldDurationHours")
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.HasPrecision(18, 4)
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.HasColumnType("decimal(18,4)");
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@@ -722,6 +728,9 @@ namespace Predictalytics.Infrastructure.Migrations
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.HasPrecision(18, 4)
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.HasColumnType("decimal(18,4)");
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b.Property<decimal>("PnlVolatilityUsd")
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.HasColumnType("decimal(65,30)");
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b.Property<string>("PriceBandProfileJson")
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.HasColumnType("longtext");
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@@ -361,6 +361,20 @@ public class PositionPnLEngine : IPositionPnLEngine
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// Count Trades30d
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analytics.Trades30d = trades.Where(t => t.ExecutedAt >= cutoff30d).Sum(t => t.AggregatedCount ?? 1);
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// H1: Risk-adjusted return from the daily equity curve (smoothness = copyability).
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// Build the series from persisted history + today's freshly computed point.
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var historicalSnapshots = await _db.TraderDailySnapshots
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.Where(s => s.TraderId == traderId && s.Date < today)
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.OrderBy(s => s.Date)
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.Select(s => new { s.Date, s.TotalPnl })
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.ToListAsync(ct);
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var equitySeries = historicalSnapshots.Select(h => (h.Date, h.TotalPnl)).ToList();
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equitySeries.Add((today, overallPnl));
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var risk = Predictalytics.Application.Services.RiskMetricsCalculator.Compute(equitySeries);
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analytics.MaxDrawdownUsd = risk.MaxDrawdownUsd;
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analytics.PnlVolatilityUsd = risk.PnlVolatilityUsd;
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analytics.LongestLosingStreakDays = risk.LongestLosingStreakDays;
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// Calculate Win Rate and Return Pcts on Market level
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var (winRateOverall, winRate30d, winRate7d, winRate24h,
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medianWin, avgWin, medianLoss, avgLoss, profitFactor) =
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