feat(backtester): add walk-forward analysis engine

1 files changed, 103 insertions, 0 deletions

diff --git a/services/backtester/tests/test_walk_forward.py b/services/backtester/tests/test_walk_forward.py
new file mode 100644
index 0000000..e672dac
--- /dev/null
+++ b/services/backtester/tests/test_walk_forward.py
@@ -0,0 +1,103 @@
+"""Tests for walk-forward analysis."""
+import sys
+from pathlib import Path
+from decimal import Decimal
+from datetime import datetime, timedelta, timezone
+
+import pytest
+
+sys.path.insert(0, str(Path(__file__).resolve().parents[1] / "src"))
+sys.path.insert(0, str(Path(__file__).resolve().parents[2] / "strategy-engine"))
+
+from shared.models import Candle
+from backtester.walk_forward import WalkForwardEngine, WalkForwardResult
+from strategies.rsi_strategy import RsiStrategy
+
+
+def _generate_candles(n=100, base_price=100.0):
+    candles = []
+    for i in range(n):
+        # Simple oscillating price
+        price = base_price + (i % 20) - 10
+        candles.append(Candle(
+            symbol="BTCUSDT", timeframe="1h",
+            open_time=datetime(2025, 1, 1, tzinfo=timezone.utc) + timedelta(hours=i),
+            open=Decimal(str(price)),
+            high=Decimal(str(price + 5)),
+            low=Decimal(str(price - 5)),
+            close=Decimal(str(price)),
+            volume=Decimal("100"),
+        ))
+    return candles
+
+
+def test_walk_forward_basic():
+    param_grid = [
+        {"period": 5, "oversold": 30, "overbought": 70, "quantity": "0.1"},
+        {"period": 10, "oversold": 25, "overbought": 75, "quantity": "0.1"},
+    ]
+    engine = WalkForwardEngine(
+        strategy_factory=RsiStrategy,
+        param_grid=param_grid,
+        initial_balance=Decimal("10000"),
+        num_windows=3,
+    )
+    candles = _generate_candles(150)
+    result = engine.run(candles)
+
+    assert isinstance(result, WalkForwardResult)
+    assert result.strategy_name == "rsi"
+    assert result.num_windows > 0
+
+
+def test_walk_forward_efficiency_ratio():
+    param_grid = [
+        {"period": 5, "oversold": 30, "overbought": 70, "quantity": "0.1"},
+    ]
+    engine = WalkForwardEngine(
+        strategy_factory=RsiStrategy,
+        param_grid=param_grid,
+        num_windows=2,
+    )
+    candles = _generate_candles(100)
+    result = engine.run(candles)
+
+    # Efficiency ratio should be a finite number
+    assert isinstance(result.efficiency_ratio, float)
+
+
+def test_walk_forward_empty_candles():
+    engine = WalkForwardEngine(
+        strategy_factory=RsiStrategy,
+        param_grid=[{"period": 5}],
+    )
+    result = engine.run([])
+    assert result.num_windows == 0
+
+
+def test_walk_forward_too_few_candles():
+    engine = WalkForwardEngine(
+        strategy_factory=RsiStrategy,
+        param_grid=[{"period": 5}],
+        num_windows=10,
+    )
+    candles = _generate_candles(20)
+    result = engine.run(candles)
+    assert result.num_windows == 0  # window_size < 10
+
+
+def test_walk_forward_selects_best_params():
+    param_grid = [
+        {"period": 3, "oversold": 40, "overbought": 60, "quantity": "0.1"},  # very aggressive
+        {"period": 14, "oversold": 30, "overbought": 70, "quantity": "0.1"},  # standard
+    ]
+    engine = WalkForwardEngine(
+        strategy_factory=RsiStrategy,
+        param_grid=param_grid,
+        num_windows=2,
+    )
+    candles = _generate_candles(200)
+    result = engine.run(candles)
+
+    for window in result.windows:
+        assert window.best_params in param_grid