From 5cee0686e421b1f21484c23e413692616e9e2ffa Mon Sep 17 00:00:00 2001
From: TheSiahxyz <164138827+TheSiahxyz@users.noreply.github.com>
Date: Wed, 1 Apr 2026 18:25:29 +0900
Subject: feat(backtester): Phase 1 complete — realistic backtesting engine
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- Slippage modeling (configurable per-trade, buy higher/sell lower)
- Trading fee deduction (maker/taker configurable)
- Stop-loss and take-profit auto-execution per position
- Short selling support (allow_short flag)
- Walk-forward analysis engine (in-sample/out-of-sample, efficiency ratio)
- Daily equity curve Sharpe/Sortino with risk-free rate adjustment
- Recovery factor, consecutive win/loss streaks, fee-aware PnL
- 312 tests passing
---
 services/backtester/src/backtester/metrics.py      |  2 +-
 services/backtester/src/backtester/simulator.py    |  8 ++------
 services/backtester/src/backtester/walk_forward.py | 17 +++++++++++------
 3 files changed, 14 insertions(+), 13 deletions(-)

(limited to 'services/backtester/src')

diff --git a/services/backtester/src/backtester/metrics.py b/services/backtester/src/backtester/metrics.py
index 5b43afd..239cb6f 100644
--- a/services/backtester/src/backtester/metrics.py
+++ b/services/backtester/src/backtester/metrics.py
@@ -207,7 +207,7 @@ def compute_detailed_metrics(
 
         # Sortino (downside deviation of excess returns)
         downside = [min(r - daily_rf, 0.0) for r in daily_returns]
-        downside_var = sum(d ** 2 for d in downside) / len(downside)
+        downside_var = sum(d**2 for d in downside) / len(downside)
         downside_std = math.sqrt(downside_var)
         sortino = (mean_excess / downside_std * math.sqrt(365)) if downside_std > 0 else 0.0
     else:
diff --git a/services/backtester/src/backtester/simulator.py b/services/backtester/src/backtester/simulator.py
index 1e37740..64c88dd 100644
--- a/services/backtester/src/backtester/simulator.py
+++ b/services/backtester/src/backtester/simulator.py
@@ -89,9 +89,7 @@ class OrderSimulator:
 
             if triggered and exit_price is not None:
                 # Close the position
-                close_side = (
-                    OrderSide.SELL if pos.side == OrderSide.BUY else OrderSide.BUY
-                )
+                close_side = OrderSide.SELL if pos.side == OrderSide.BUY else OrderSide.BUY
                 fee = self._calculate_fee(exit_price, pos.quantity)
 
                 if pos.side == OrderSide.BUY:
@@ -198,9 +196,7 @@ class OrderSimulator:
         )
         return True
 
-    def _close_open_position(
-        self, symbol: str, side: OrderSide, quantity: Decimal
-    ) -> None:
+    def _close_open_position(self, symbol: str, side: OrderSide, quantity: Decimal) -> None:
         """Remove closed quantity from open positions (FIFO)."""
         remaining_qty = quantity
         new_positions: list[OpenPosition] = []
diff --git a/services/backtester/src/backtester/walk_forward.py b/services/backtester/src/backtester/walk_forward.py
index fe6d020..c7b7fd8 100644
--- a/services/backtester/src/backtester/walk_forward.py
+++ b/services/backtester/src/backtester/walk_forward.py
@@ -1,4 +1,5 @@
 """Walk-forward analysis for strategy parameter optimization."""
+
 from dataclasses import dataclass, field
 from decimal import Decimal
 from typing import Callable
@@ -10,6 +11,7 @@ from backtester.engine import BacktestEngine, BacktestResult, StrategyProtocol
 @dataclass
 class WalkForwardWindow:
     """Result for a single in-sample/out-of-sample window."""
+
     window_index: int
     in_sample_result: BacktestResult
     out_of_sample_result: BacktestResult
@@ -19,6 +21,7 @@ class WalkForwardWindow:
 @dataclass
 class WalkForwardResult:
     """Aggregated walk-forward analysis results."""
+
     strategy_name: str
     symbol: str
     num_windows: int
@@ -130,12 +133,14 @@ class WalkForwardEngine:
             engine = BacktestEngine(strategy, self._initial_balance)
             oos_result = engine.run(out_of_sample)
 
-            windows.append(WalkForwardWindow(
-                window_index=i,
-                in_sample_result=best_is_result,
-                out_of_sample_result=oos_result,
-                best_params=best_params,
-            ))
+            windows.append(
+                WalkForwardWindow(
+                    window_index=i,
+                    in_sample_result=best_is_result,
+                    out_of_sample_result=oos_result,
+                    best_params=best_params,
+                )
+            )
 
         return WalkForwardResult(
             strategy_name=strategy_name,
-- 
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