first version

internal/backtest/metrics_test.go

@@ -0,0 +1,14 @@
+package backtest
+
+import "testing"
+
+func TestMetrics(t *testing.T) {
+	got := ComputeMetrics([]Point{
+		point("START", "100", "0"),
+		point("2024-01-02", "110", "0.10"),
+		point("2024-01-03", "99", "-0.10"),
+	}, []Trade{{Return: point("", "0", "0.10").Return}, {Return: point("", "0", "-0.10").Return}})
+	if got.NumberOfTrades != 2 || got.WinRate != 0.5 || got.MaxDrawdown >= 0 || got.VaR95 >= 0 {
+		t.Fatalf("unexpected metrics: %+v", got)
+	}
+}