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/tests/test_metrics.py | 68 ++++++++++++++++++++++++++-----
 1 file changed, 57 insertions(+), 11 deletions(-)

(limited to 'services/backtester/tests/test_metrics.py')

diff --git a/services/backtester/tests/test_metrics.py b/services/backtester/tests/test_metrics.py
index 34314b3..582309a 100644
--- a/services/backtester/tests/test_metrics.py
+++ b/services/backtester/tests/test_metrics.py
@@ -111,11 +111,11 @@ def test_consecutive_losses():
     """Consecutive loss tracking should count streaks correctly."""
     trades = [
         _make_trade("BUY", "100", 0),
-        _make_trade("SELL", "110", 10),   # win
+        _make_trade("SELL", "110", 10),  # win
         _make_trade("BUY", "110", 20),
-        _make_trade("SELL", "105", 30),   # loss
+        _make_trade("SELL", "105", 30),  # loss
         _make_trade("BUY", "105", 40),
-        _make_trade("SELL", "100", 50),   # loss
+        _make_trade("SELL", "100", 50),  # loss
     ]
     metrics = compute_detailed_metrics(trades, Decimal("10000"), Decimal("10005"))
     assert metrics.max_consecutive_losses >= 1
@@ -126,12 +126,44 @@ def test_risk_free_rate_affects_sharpe():
     """Higher risk-free rate should lower Sharpe ratio."""
     base = datetime(2025, 1, 1, tzinfo=timezone.utc)
     trades = [
-        TradeRecord(time=base, symbol="BTCUSDT", side="BUY", price=Decimal("100"), quantity=Decimal("1")),
-        TradeRecord(time=base + timedelta(days=1), symbol="BTCUSDT", side="SELL", price=Decimal("110"), quantity=Decimal("1")),
-        TradeRecord(time=base + timedelta(days=2), symbol="BTCUSDT", side="BUY", price=Decimal("105"), quantity=Decimal("1")),
-        TradeRecord(time=base + timedelta(days=3), symbol="BTCUSDT", side="SELL", price=Decimal("115"), quantity=Decimal("1")),
-        TradeRecord(time=base + timedelta(days=4), symbol="BTCUSDT", side="BUY", price=Decimal("110"), quantity=Decimal("1")),
-        TradeRecord(time=base + timedelta(days=5), symbol="BTCUSDT", side="SELL", price=Decimal("108"), quantity=Decimal("1")),
+        TradeRecord(
+            time=base, symbol="BTCUSDT", side="BUY", price=Decimal("100"), quantity=Decimal("1")
+        ),
+        TradeRecord(
+            time=base + timedelta(days=1),
+            symbol="BTCUSDT",
+            side="SELL",
+            price=Decimal("110"),
+            quantity=Decimal("1"),
+        ),
+        TradeRecord(
+            time=base + timedelta(days=2),
+            symbol="BTCUSDT",
+            side="BUY",
+            price=Decimal("105"),
+            quantity=Decimal("1"),
+        ),
+        TradeRecord(
+            time=base + timedelta(days=3),
+            symbol="BTCUSDT",
+            side="SELL",
+            price=Decimal("115"),
+            quantity=Decimal("1"),
+        ),
+        TradeRecord(
+            time=base + timedelta(days=4),
+            symbol="BTCUSDT",
+            side="BUY",
+            price=Decimal("110"),
+            quantity=Decimal("1"),
+        ),
+        TradeRecord(
+            time=base + timedelta(days=5),
+            symbol="BTCUSDT",
+            side="SELL",
+            price=Decimal("108"),
+            quantity=Decimal("1"),
+        ),
     ]
     m1 = compute_detailed_metrics(trades, Decimal("10000"), Decimal("10018"), risk_free_rate=0.0)
     m2 = compute_detailed_metrics(trades, Decimal("10000"), Decimal("10018"), risk_free_rate=0.10)
@@ -154,8 +186,22 @@ def test_fee_subtracted_from_pnl():
     """Fees should be subtracted from trade PnL."""
     base = datetime(2025, 1, 1, tzinfo=timezone.utc)
     trades_with_fees = [
-        TradeRecord(time=base, symbol="BTC", side="BUY", price=Decimal("100"), quantity=Decimal("1"), fee=Decimal("1")),
-        TradeRecord(time=base + timedelta(minutes=10), symbol="BTC", side="SELL", price=Decimal("110"), quantity=Decimal("1"), fee=Decimal("1")),
+        TradeRecord(
+            time=base,
+            symbol="BTC",
+            side="BUY",
+            price=Decimal("100"),
+            quantity=Decimal("1"),
+            fee=Decimal("1"),
+        ),
+        TradeRecord(
+            time=base + timedelta(minutes=10),
+            symbol="BTC",
+            side="SELL",
+            price=Decimal("110"),
+            quantity=Decimal("1"),
+            fee=Decimal("1"),
+        ),
     ]
     # PnL should be 10 - 1 - 1 = 8
     metrics = compute_detailed_metrics(trades_with_fees, Decimal("10000"), Decimal("10008"))
-- 
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