shape-runtime 0.3.1

/// @module std::finance::backtest::engine
/// Backtest Engine
///
/// Main backtesting wrapper that uses the high-performance simulation engine.
/// Wraps simulate() with finance-specific state management and order processing.

// Import state and fill modules
// from std::finance::backtest::state use { initial_state, is_flat, is_long, is_short }
// from std::finance::backtest::fills use { simulate_fill, fixed_slippage, no_commission }

// ===== Backtest Configuration =====

/// Backtest configuration
pub type BacktestConfig = {
    initial_capital: number;    // Starting capital
    position_sizing: string;    // "fixed" | "percent" | "kelly"
    fixed_size: number;         // Fixed position size (for "fixed" mode)
    percent_size: number;       // Position size as % of equity (for "percent" mode)
    max_position: number;       // Maximum position size
    slippage_bps: number;       // Slippage in basis points
    commission_pct: number;     // Commission as percentage
    allow_short: bool;          // Whether to allow short selling
};

/// Create default backtest configuration
pub fn default_config() {
    {
        initial_capital: 100000.0,
        position_sizing: "percent",
        fixed_size: 100.0,
        percent_size: 10.0,
        max_position: 1000.0,
        slippage_bps: 5.0,
        commission_pct: 0.1,
        allow_short: true
    }
}

// ===== Position Sizing =====

/// Calculate position size based on config and current state
pub fn calculate_position_size(state, price, config) {
    let size = 0.0;

    if config.position_sizing == "fixed" {
        size = config.fixed_size;
    } else if config.position_sizing == "percent" {
        // Percent of equity
        let equity = state.cash + abs(state.position) * price;
        size = floor((equity * config.percent_size / 100.0) / price);
    } else {
        // Default to fixed
        size = config.fixed_size;
    }

    // Apply maximum constraint
    if size > config.max_position {
        size = config.max_position;
    }

    // Ensure we can afford it
    let cost = size * price;
    if cost > state.cash {
        size = floor(state.cash / price);
    }

    size
}

// ===== Core Backtest Functions =====

/// Process a buy signal
/// Updates state and returns { state, result } for simulation
pub fn process_buy(candle, state, config) {
    // Skip if already long
    if state.position > 0 {
        return state;
    }

    // Close short position first if exists
    if state.position < 0 {
        let close_result = close_position(candle, state, config);
        state = close_result;
    }

    // Calculate position size
    let size = calculate_position_size(state, candle.close, config);
    if size <= 0 {
        return state;
    }

    // Apply slippage
    let slip = candle.close * config.slippage_bps / 10000.0;
    let fill_price = candle.close + slip;

    // Calculate commission
    let commission = fill_price * size * config.commission_pct / 100.0;

    // Update state
    let cost = fill_price * size + commission;

    {
        cash: state.cash - cost,
        position: size,
        entry_price: fill_price,
        equity: state.cash - cost + size * candle.close,
        trades: state.trades,
        wins: state.wins,
        losses: state.losses,
        peak_equity: state.peak_equity,
        max_drawdown: state.max_drawdown,
        total_pnl: state.total_pnl,
        unrealized_pnl: 0.0
    }
}

/// Process a sell signal
/// Updates state and returns { state, result } for simulation
pub fn process_sell(candle, state, config) {
    // If long, close position
    if state.position > 0 {
        return close_position(candle, state, config);
    }

    // If flat and shorting allowed, open short
    if state.position == 0 && config.allow_short {
        let size = calculate_position_size(state, candle.close, config);
        if size <= 0 {
            return state;
        }

        // Apply slippage (favorable for shorts)
        let slip = candle.close * config.slippage_bps / 10000.0;
        let fill_price = candle.close - slip;

        // Calculate commission
        let commission = fill_price * size * config.commission_pct / 100.0;

        // For shorts, we receive proceeds minus commission
        let proceeds = fill_price * size - commission;

        return {
            cash: state.cash + proceeds,
            position: -size,
            entry_price: fill_price,
            equity: state.equity,
            trades: state.trades,
            wins: state.wins,
            losses: state.losses,
            peak_equity: state.peak_equity,
            max_drawdown: state.max_drawdown,
            total_pnl: state.total_pnl,
            unrealized_pnl: 0.0
        };
    }

    state
}

/// Close current position
pub fn close_position(candle, state, config) {
    if state.position == 0 {
        return state;
    }

    let size = abs(state.position);
    let is_long_pos = state.position > 0;

    // Apply slippage
    let slip = candle.close * config.slippage_bps / 10000.0;
    let fill_price = if is_long_pos {
        candle.close - slip  // Selling, so worse price
    } else {
        candle.close + slip  // Covering short, so worse price
    };

    // Calculate commission
    let commission = fill_price * size * config.commission_pct / 100.0;

    // Calculate P&L
    let pnl = if is_long_pos {
        (fill_price - state.entry_price) * size - commission
    } else {
        (state.entry_price - fill_price) * size - commission
    };

    // Update win/loss counters
    let new_wins = state.wins;
    let new_losses = state.losses;
    if pnl > 0 {
        new_wins = new_wins + 1;
    } else {
        new_losses = new_losses + 1;
    }

    // Calculate new equity
    let proceeds = if is_long_pos {
        fill_price * size - commission
    } else {
        // For short: we need to buy back shares
        -(fill_price * size + commission)
    };

    let new_cash = state.cash + proceeds;
    let new_equity = new_cash;

    // Update peak and drawdown
    let new_peak = state.peak_equity;
    let new_dd = state.max_drawdown;
    if new_equity > new_peak {
        new_peak = new_equity;
    }
    let current_dd = (new_peak - new_equity) / new_peak;
    if current_dd > new_dd {
        new_dd = current_dd;
    }

    {
        cash: new_cash,
        position: 0.0,
        entry_price: 0.0,
        equity: new_equity,
        trades: state.trades + 1,
        wins: new_wins,
        losses: new_losses,
        peak_equity: new_peak,
        max_drawdown: new_dd,
        total_pnl: state.total_pnl + pnl,
        unrealized_pnl: 0.0
    }
}

/// Update unrealized P&L and equity based on current price
pub fn update_equity(candle, state) {
    if state.position == 0 {
        return state;
    }

    let current_value = abs(state.position) * candle.close;
    let unrealized = if state.position > 0 {
        (candle.close - state.entry_price) * state.position
    } else {
        (state.entry_price - candle.close) * abs(state.position)
    };

    let new_equity = state.cash + current_value;

    // Update peak and drawdown
    let new_peak = state.peak_equity;
    let new_dd = state.max_drawdown;
    if new_equity > new_peak {
        new_peak = new_equity;
    }
    let current_dd = (new_peak - new_equity) / new_peak;
    if current_dd > new_dd {
        new_dd = current_dd;
    }

    {
        cash: state.cash,
        position: state.position,
        entry_price: state.entry_price,
        equity: new_equity,
        trades: state.trades,
        wins: state.wins,
        losses: state.losses,
        peak_equity: new_peak,
        max_drawdown: new_dd,
        total_pnl: state.total_pnl,
        unrealized_pnl: unrealized
    }
}

// ===== Main Backtest Function =====

/// Run a backtest using the simulation engine
///
/// @param data - Price series (must have open, high, low, close, volume)
/// @param strategy - Strategy function: (candle, state, idx) => signal
///                   signal can be: "buy", "sell", "close", or None/none
/// @param config - BacktestConfig (optional, uses defaults if not provided)
///
/// @returns Simulation result with final_state containing all backtest metrics
///
/// @example
/// let result = backtest(prices, (candle, state, idx) => {
///     let sma = prices.rolling(20).mean();
///     if candle.close > sma.get(idx) && state.position == 0 {
///         "buy"
///     } else if candle.close < sma.get(idx) && state.position > 0 {
///         "sell"
///     } else {
///         None
///     }
/// });
pub fn backtest(data, strategy, config = None) {
    // Use default config if not provided
    let cfg = if config == None {
        default_config()
    } else {
        config
    };

    // Create initial state
    let init_state = {
        cash: cfg.initial_capital,
        position: 0.0,
        entry_price: 0.0,
        equity: cfg.initial_capital,
        trades: 0,
        wins: 0,
        losses: 0,
        peak_equity: cfg.initial_capital,
        max_drawdown: 0.0,
        total_pnl: 0.0,
        unrealized_pnl: 0.0
    };

    // Run simulation with our step function
    data.simulate(
        |candle, state, idx| {
            // Get signal from strategy
            let signal = strategy(candle, state, idx);

            // Process signal
            let new_state = if signal == "buy" {
                process_buy(candle, state, cfg)
            } else if signal == "sell" {
                process_sell(candle, state, cfg)
            } else if signal == "close" {
                close_position(candle, state, cfg)
            } else {
                // No signal - just update equity
                update_equity(candle, state)
            };

            new_state
        },
        { initial_state: init_state }
    )
}

/// Run a multi-asset backtest using simulate_correlated
///
/// @param series_map - Object mapping names to series: { "spy": spy_data, "vix": vix_data }
/// @param strategy - Strategy function: (context, state, idx) => signal
/// @param config - BacktestConfig (optional)
///
/// @example
/// let result = backtest_correlated(
///     { spy: spy_prices, vix: vix_prices },
///     (ctx, state, idx) => {
///         if ctx.vix.close > 25 && state.position == 0 {
///             "buy"
///         } else if ctx.vix.close < 15 && state.position > 0 {
///             "sell"
///         } else {
///             None
///         }
///     }
/// );
pub fn backtest_correlated(series_map, strategy, config = None) {
    let cfg = if config == None {
        default_config()
    } else {
        config
    };

    let init_state = {
        cash: cfg.initial_capital,
        position: 0.0,
        entry_price: 0.0,
        equity: cfg.initial_capital,
        trades: 0,
        wins: 0,
        losses: 0,
        peak_equity: cfg.initial_capital,
        max_drawdown: 0.0,
        total_pnl: 0.0,
        unrealized_pnl: 0.0,
        asset: None
    };

    let asset_keys = keys(series_map);
    let default_asset = if asset_keys.len() > 0 { asset_keys[0] } else { None };

    simulate_correlated(
        series_map,
        |ctx, state, idx| {
            let strat_result = strategy(ctx, state, idx);

            let signal = strat_result;
            let asset = if state.asset != None { state.asset } else { default_asset };
            let price_override = None;

            if strat_result != None && is_object(strat_result) {
                if strat_result.signal != None { signal = strat_result.signal; }
                if strat_result.asset != None { asset = strat_result.asset; }
                if strat_result.price != None { price_override = strat_result.price; }
            }

            let candle = if price_override != None {
                { close: price_override }
            } else if asset != None && ctx[asset] != None {
                ctx[asset]
            } else if ctx.row != None {
                ctx.row
            } else {
                ctx
            };

            let updated = if signal == "buy" {
                let s = process_buy(candle, state, cfg);
                { ...s, asset: asset }
            } else if signal == "sell" {
                let s = process_sell(candle, state, cfg);
                { ...s, asset: asset }
            } else if signal == "close" {
                let s = close_position(candle, state, cfg);
                { ...s, asset: None }
            } else {
                let equity_asset = if state.asset != None { state.asset } else { asset };
                let equity_candle = if equity_asset != None && ctx[equity_asset] != None {
                    ctx[equity_asset]
                } else {
                    candle
                };
                let s = update_equity(equity_candle, state);
                { ...s, asset: equity_asset }
            };

            updated
        },
        { initial_state: init_state }
    )
}