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 MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit - 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_engine.py | 8 +-- services/backtester/tests/test_metrics.py | 68 +++++++++++++++++++++----- services/backtester/tests/test_walk_forward.py | 23 +++++---- 3 files changed, 72 insertions(+), 27 deletions(-) (limited to 'services/backtester/tests') diff --git a/services/backtester/tests/test_engine.py b/services/backtester/tests/test_engine.py index 003e951..743a43b 100644 --- a/services/backtester/tests/test_engine.py +++ b/services/backtester/tests/test_engine.py @@ -44,9 +44,7 @@ def test_backtest_engine_runs_strategy_over_candles(): strategy.on_candle.return_value = None candles = make_candles([50000.0, 51000.0, 52000.0]) - engine = BacktestEngine( - strategy, Decimal("10000"), slippage_pct=0.0, taker_fee_pct=0.0 - ) + engine = BacktestEngine(strategy, Decimal("10000"), slippage_pct=0.0, taker_fee_pct=0.0) result = engine.run(candles) assert strategy.on_candle.call_count == 3 @@ -64,9 +62,7 @@ def test_backtest_engine_executes_signals(): strategy.on_candle.side_effect = [buy_signal, None, sell_signal] candles = make_candles([50000.0, 52000.0, 55000.0]) - engine = BacktestEngine( - strategy, Decimal("10000"), slippage_pct=0.0, taker_fee_pct=0.0 - ) + engine = BacktestEngine(strategy, Decimal("10000"), slippage_pct=0.0, taker_fee_pct=0.0) result = engine.run(candles) assert result.total_trades == 2 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")) diff --git a/services/backtester/tests/test_walk_forward.py b/services/backtester/tests/test_walk_forward.py index e672dac..5ab2e7b 100644 --- a/services/backtester/tests/test_walk_forward.py +++ b/services/backtester/tests/test_walk_forward.py @@ -1,10 +1,10 @@ """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")) @@ -19,15 +19,18 @@ def _generate_candles(n=100, base_price=100.0): 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"), - )) + 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 -- cgit v1.2.3