feat(backtest): add BacktestEngine with slippage and commission models - Issue #42 (57 tests)

Implements comprehensive backtesting framework:
- OrderSide, OrderType, FillStatus enums
- OHLCV bar data and Signal dataclasses
- BacktestConfig, BacktestPosition, BacktestTrade, BacktestResult
- BacktestSnapshot for portfolio tracking over time
- BacktestEngine main class

Slippage Models:
- NoSlippage: Zero slippage (ideal execution)
- FixedSlippage: Fixed amount per share
- PercentageSlippage: Percentage of price
- VolumeSlippage: Volume-impact model with participation ratio

Commission Models:
- NoCommission: Zero commission
- FixedCommission: Fixed per trade
- PerShareCommission: Per share with min/max
- PercentageCommission: Percentage of trade value
- TieredCommission: Tiered by trade value thresholds

Features:
- Historical price data replay with date filtering
- Multi-symbol portfolio support
- Automatic position sizing (equal weight)
- Buy/sell signal execution with slippage
- Cash and position tracking
- Shorting support (configurable)
- Max position percentage limits
- Minimum trade value enforcement
- Strategy callback for dynamic signals
- Portfolio snapshots at each timestamp
- Drawdown tracking with peak detection
- Sharpe and Sortino ratio calculation
- Win rate, profit factor, avg trade P&L
- Total commission and slippage tracking

🤖 Generated with [Claude Code](https://claude.com/claude-code)

Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com>

.claude/batch_state.json

@@ -49,8 +49,8 @@
     "Issue #48: [DOCS-47] Documentation - user guide, developer docs"
   ],
   "total_features": 45,
-  "current_index": 37,
+  "current_index": 38,
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+  "completed_features": [0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24, 25, 26, 27, 28, 29, 30, 31, 32, 33, 34, 35, 36, 37],
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   "context_token_estimate": 0,
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@@ -60,5 +60,5 @@
   "source_type": "issues",
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   "started_at": "2025-12-26T12:35:00Z",
-  "notes": "Issue #2 already implemented. Issue #3: 84 tests (d3892b0). Issue #4: 51 tests (0d09f15). Issue #5: 43 tests (1c6c2fa). Issue #6: 87 tests (1ea006e). Issue #7: migrations fixed + README (68be12c). Issue #8: 108 tests FRED API (4d693fb). Issue #9: 42 tests multi-timeframe (19171a4). Issue #10: 35 tests benchmark (bbd85c9). Issue #11: 84 tests vendor routing (2c80264). Issue #12: 41 tests data cache (ae7899a). Issue #13: 47 tests momentum analyst (8522b4b). Issue #14: 57 tests macro analyst (bdff87a). Issue #15: 59 tests correlation analyst (b0140a8). Issue #16: 52 tests position sizing (a17fc1f). Issue #17: 35 tests analyst integration (5a0606b). Issue #18: 71 tests layered memory (d72c214). Issue #19: 51 tests trade history (dbfcea3). Issue #20: 59 tests risk profiles (25c31d5). Issue #21: 26 tests memory integration (4f6f7c1). Issue #22: 71 tests broker base (e4ef947). Issue #23: 57 tests broker router (850346a). Issue #24: 37 tests alpaca broker (593d599). Issue #25: 38 tests ibkr broker (1e32c0e). Issue #26: 63 tests paper broker (834d18f). Issue #27: 47 tests order manager (6863e3e). Issue #28: 45 tests risk controls (9aee433). Issue #29: 68 tests portfolio state (6642047). Issue #31: 63 tests performance metrics (bedb59b). Issue #32: 66 tests CGT calculator (13f2bba). Issue #33: 45 tests scenario runner (e7bff2c). Issue #34: 43 tests strategy comparator (76eac65). Issue #35: 53 tests economic conditions (b54d6ba). Issue #36: 56 tests signal to order (c423c6b). Issue #37: 37 tests strategy executor (ddb12c1). Issue #38: 55 tests alert manager (7ab60eb). Issue #40: 44 tests slack channel (795f970)."
+  "notes": "Issue #2 already implemented. Issue #3: 84 tests (d3892b0). Issue #4: 51 tests (0d09f15). Issue #5: 43 tests (1c6c2fa). Issue #6: 87 tests (1ea006e). Issue #7: migrations fixed + README (68be12c). Issue #8: 108 tests FRED API (4d693fb). Issue #9: 42 tests multi-timeframe (19171a4). Issue #10: 35 tests benchmark (bbd85c9). Issue #11: 84 tests vendor routing (2c80264). Issue #12: 41 tests data cache (ae7899a). Issue #13: 47 tests momentum analyst (8522b4b). Issue #14: 57 tests macro analyst (bdff87a). Issue #15: 59 tests correlation analyst (b0140a8). Issue #16: 52 tests position sizing (a17fc1f). Issue #17: 35 tests analyst integration (5a0606b). Issue #18: 71 tests layered memory (d72c214). Issue #19: 51 tests trade history (dbfcea3). Issue #20: 59 tests risk profiles (25c31d5). Issue #21: 26 tests memory integration (4f6f7c1). Issue #22: 71 tests broker base (e4ef947). Issue #23: 57 tests broker router (850346a). Issue #24: 37 tests alpaca broker (593d599). Issue #25: 38 tests ibkr broker (1e32c0e). Issue #26: 63 tests paper broker (834d18f). Issue #27: 47 tests order manager (6863e3e). Issue #28: 45 tests risk controls (9aee433). Issue #29: 68 tests portfolio state (6642047). Issue #31: 63 tests performance metrics (bedb59b). Issue #32: 66 tests CGT calculator (13f2bba). Issue #33: 45 tests scenario runner (e7bff2c). Issue #34: 43 tests strategy comparator (76eac65). Issue #35: 53 tests economic conditions (b54d6ba). Issue #36: 56 tests signal to order (c423c6b). Issue #37: 37 tests strategy executor (ddb12c1). Issue #38: 55 tests alert manager (7ab60eb). Issue #40: 44 tests slack channel (795f970). Issue #41: 59 tests SMS channel (b6eca9e)."
 }

.claude/cache/commit_msg.txt

@@ -1,27 +1,29 @@
-feat(alerts): add Slack channel with webhooks and Block Kit - Issue #40 (44 tests)
+feat(alerts): add SMS channel with Twilio integration - Issue #41 (59 tests)
 
-Implements Slack integration for alert delivery:
+Implements SMS alert delivery using Twilio API:
-- SlackMessageStyle enum (simple, blocks, attachment)
+- SMSFormat enum (plain, compact, detailed)
-- SlackConfig for webhook URL, channel, username, icon
+- SMSStatus enum (queued, sending, sent, delivered, failed, etc.)
-- SlackMessageResult for delivery tracking
+- SMSConfig for Twilio credentials and settings
-- SlackMessageFormatter with Block Kit support
+- SMSMessageResult for delivery tracking
-- SlackChannel implementing AlertChannel protocol
+- SMSBatchResult for multi-recipient sends
-- create_slack_channel factory function
+- SMSMessageFormatter with priority indicators
+- SMSChannel implementing AlertChannel protocol
+- create_sms_channel factory function
 
 Features:
-- Three formatting styles (simple text, blocks, attachments)
+- E.164 phone number validation
-- Priority-based colors and emojis
+- Three formatting styles (plain, compact, detailed)
-- Category emojis for visual identification
+- Priority indicators ([!], [!!!]) for high/critical alerts
-- @mention support for critical alerts
+- Category prefixes (TRD, RSK, SYS, MKT, etc.)
-- Timestamp and source inclusion options
+- SMS segment counting (GSM-7 vs Unicode)
-- Data field display in messages
+- Messaging service SID support
-- Webhook URL validation (hooks.slack.com)
+- Priority filtering (send only HIGH+ alerts)
+- Batch sending to multiple recipients
 - Retry logic with exponential backoff
-- Rate limit handling (429 status with Retry-After)
+- Server error retry vs client error fail-fast
-- Server error retry (500+) vs client error fail-fast (400)
 - Latency tracking for performance monitoring
-- Sync and async delivery methods
+- Status callback URL support
-- Test webhook functionality
+- Connection test functionality
 
 🤖 Generated with [Claude Code](https://claude.com/claude-code)
 

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tests/unit/backtest/test_backtest_engine.py

@@ -0,0 +1,964 @@
+"""Tests for Backtest Engine.
+
+Issue #42: [BT-41] Backtest engine - historical replay, slippage
+"""
+
+from datetime import datetime, timedelta
+from decimal import Decimal
+import pytest
+
+from tradingagents.backtest import (
+    # Enums
+    OrderSide,
+    OrderType,
+    FillStatus,
+    # Data Classes
+    OHLCV,
+    Signal,
+    BacktestConfig,
+    BacktestPosition,
+    BacktestTrade,
+    BacktestSnapshot,
+    BacktestResult,
+    # Slippage Models
+    SlippageModel,
+    NoSlippage,
+    FixedSlippage,
+    PercentageSlippage,
+    VolumeSlippage,
+    # Commission Models
+    CommissionModel,
+    NoCommission,
+    FixedCommission,
+    PerShareCommission,
+    PercentageCommission,
+    TieredCommission,
+    # Main Classes
+    BacktestEngine,
+    # Factory Functions
+    create_backtest_engine,
+)
+
+
+ZERO = Decimal("0")
+
+
+# ============================================================================
+# Enum Tests
+# ============================================================================
+
+class TestOrderSide:
+    """Tests for OrderSide enum."""
+
+    def test_values(self):
+        """Test enum values."""
+        assert OrderSide.BUY.value == "buy"
+        assert OrderSide.SELL.value == "sell"
+
+
+class TestOrderType:
+    """Tests for OrderType enum."""
+
+    def test_values(self):
+        """Test enum values."""
+        assert OrderType.MARKET.value == "market"
+        assert OrderType.LIMIT.value == "limit"
+        assert OrderType.STOP.value == "stop"
+        assert OrderType.STOP_LIMIT.value == "stop_limit"
+
+
+class TestFillStatus:
+    """Tests for FillStatus enum."""
+
+    def test_values(self):
+        """Test enum values."""
+        assert FillStatus.UNFILLED.value == "unfilled"
+        assert FillStatus.FILLED.value == "filled"
+        assert FillStatus.PARTIAL.value == "partial"
+
+
+# ============================================================================
+# Data Class Tests
+# ============================================================================
+
+class TestOHLCV:
+    """Tests for OHLCV dataclass."""
+
+    def test_creation(self):
+        """Test OHLCV creation."""
+        bar = OHLCV(
+            timestamp=datetime(2023, 1, 3),
+            open=Decimal("100"),
+            high=Decimal("105"),
+            low=Decimal("99"),
+            close=Decimal("103"),
+            volume=Decimal("1000000"),
+            symbol="AAPL",
+        )
+        assert bar.open == Decimal("100")
+        assert bar.close == Decimal("103")
+        assert bar.symbol == "AAPL"
+
+    def test_numeric_conversion(self):
+        """Test numeric types are converted to Decimal."""
+        bar = OHLCV(
+            timestamp=datetime(2023, 1, 3),
+            open=100,
+            high=105,
+            low=99,
+            close=103,
+            volume=1000000,
+        )
+        assert isinstance(bar.open, Decimal)
+        assert bar.open == Decimal("100")
+
+
+class TestSignal:
+    """Tests for Signal dataclass."""
+
+    def test_creation(self):
+        """Test signal creation."""
+        signal = Signal(
+            timestamp=datetime(2023, 1, 3),
+            symbol="AAPL",
+            side=OrderSide.BUY,
+            quantity=Decimal("100"),
+        )
+        assert signal.symbol == "AAPL"
+        assert signal.side == OrderSide.BUY
+        assert signal.quantity == Decimal("100")
+
+    def test_defaults(self):
+        """Test signal defaults."""
+        signal = Signal(
+            timestamp=datetime(2023, 1, 3),
+            symbol="AAPL",
+            side=OrderSide.BUY,
+        )
+        assert signal.quantity == ZERO
+        assert signal.order_type == OrderType.MARKET
+        assert signal.confidence == Decimal("1")
+
+
+class TestBacktestConfig:
+    """Tests for BacktestConfig dataclass."""
+
+    def test_defaults(self):
+        """Test default configuration."""
+        config = BacktestConfig()
+        assert config.initial_capital == Decimal("100000")
+        assert config.allow_shorting is False
+        assert config.max_position_pct == Decimal("20")
+
+    def test_custom_config(self):
+        """Test custom configuration."""
+        config = BacktestConfig(
+            initial_capital=Decimal("50000"),
+            allow_shorting=True,
+            max_position_pct=Decimal("10"),
+        )
+        assert config.initial_capital == Decimal("50000")
+        assert config.allow_shorting is True
+
+
+class TestBacktestPosition:
+    """Tests for BacktestPosition dataclass."""
+
+    def test_creation(self):
+        """Test position creation."""
+        position = BacktestPosition(
+            symbol="AAPL",
+            quantity=Decimal("100"),
+            average_cost=Decimal("150"),
+            current_price=Decimal("155"),
+        )
+        assert position.symbol == "AAPL"
+        assert position.quantity == Decimal("100")
+
+    def test_market_value(self):
+        """Test market value calculation."""
+        position = BacktestPosition(
+            symbol="AAPL",
+            quantity=Decimal("100"),
+            average_cost=Decimal("150"),
+            current_price=Decimal("160"),
+        )
+        assert position.market_value == Decimal("16000")
+
+    def test_cost_basis(self):
+        """Test cost basis calculation."""
+        position = BacktestPosition(
+            symbol="AAPL",
+            quantity=Decimal("100"),
+            average_cost=Decimal("150"),
+        )
+        assert position.cost_basis == Decimal("15000")
+
+    def test_is_long(self):
+        """Test is_long property."""
+        position = BacktestPosition(symbol="AAPL", quantity=Decimal("100"))
+        assert position.is_long is True
+        assert position.is_short is False
+
+    def test_is_short(self):
+        """Test is_short property."""
+        position = BacktestPosition(symbol="AAPL", quantity=Decimal("-100"))
+        assert position.is_short is True
+        assert position.is_long is False
+
+    def test_update_price(self):
+        """Test price update."""
+        position = BacktestPosition(
+            symbol="AAPL",
+            quantity=Decimal("100"),
+            average_cost=Decimal("150"),
+            current_price=Decimal("150"),
+        )
+        position.update_price(Decimal("160"), datetime(2023, 1, 4))
+        assert position.current_price == Decimal("160")
+        assert position.unrealized_pnl == Decimal("1000")  # (160-150)*100
+
+
+# ============================================================================
+# Slippage Model Tests
+# ============================================================================
+
+class TestNoSlippage:
+    """Tests for NoSlippage model."""
+
+    def test_calculate(self):
+        """Test no slippage."""
+        model = NoSlippage()
+        slippage = model.calculate(
+            price=Decimal("100"),
+            quantity=Decimal("100"),
+            side=OrderSide.BUY,
+            volume=Decimal("1000000"),
+        )
+        assert slippage == ZERO
+
+
+class TestFixedSlippage:
+    """Tests for FixedSlippage model."""
+
+    def test_calculate(self):
+        """Test fixed slippage."""
+        model = FixedSlippage(Decimal("0.01"))
+        slippage = model.calculate(
+            price=Decimal("100"),
+            quantity=Decimal("100"),
+            side=OrderSide.BUY,
+            volume=Decimal("1000000"),
+        )
+        assert slippage == Decimal("0.01")
+
+
+class TestPercentageSlippage:
+    """Tests for PercentageSlippage model."""
+
+    def test_calculate(self):
+        """Test percentage slippage."""
+        model = PercentageSlippage(Decimal("0.1"))  # 0.1%
+        slippage = model.calculate(
+            price=Decimal("100"),
+            quantity=Decimal("100"),
+            side=OrderSide.BUY,
+            volume=Decimal("1000000"),
+        )
+        assert slippage == Decimal("0.1")  # 0.1% of 100
+
+
+class TestVolumeSlippage:
+    """Tests for VolumeSlippage model."""
+
+    def test_calculate_low_volume(self):
+        """Test low volume participation."""
+        model = VolumeSlippage(
+            base_percentage=Decimal("0.05"),
+            volume_impact=Decimal("0.1"),
+        )
+        slippage = model.calculate(
+            price=Decimal("100"),
+            quantity=Decimal("100"),
+            side=OrderSide.BUY,
+            volume=Decimal("10000"),
+        )
+        # 100/10000 = 1% participation
+        # slippage = 0.05% + (0.01 * 0.1 * 100) = 0.05% + 0.1% = 0.15%
+        assert slippage > ZERO
+
+    def test_calculate_high_volume(self):
+        """Test high volume participation."""
+        model = VolumeSlippage(
+            base_percentage=Decimal("0.05"),
+            volume_impact=Decimal("0.1"),
+            max_percentage=Decimal("1.0"),
+        )
+        slippage = model.calculate(
+            price=Decimal("100"),
+            quantity=Decimal("5000"),
+            side=OrderSide.BUY,
+            volume=Decimal("10000"),
+        )
+        # 50% participation - should hit max
+        assert slippage <= Decimal("1.0")  # Max 1%
+
+    def test_calculate_no_volume(self):
+        """Test with no volume data."""
+        model = VolumeSlippage(base_percentage=Decimal("0.05"))
+        slippage = model.calculate(
+            price=Decimal("100"),
+            quantity=Decimal("100"),
+            side=OrderSide.BUY,
+            volume=ZERO,
+        )
+        # Falls back to base percentage
+        assert slippage == Decimal("0.05")
+
+
+# ============================================================================
+# Commission Model Tests
+# ============================================================================
+
+class TestNoCommission:
+    """Tests for NoCommission model."""
+
+    def test_calculate(self):
+        """Test no commission."""
+        model = NoCommission()
+        commission = model.calculate(
+            price=Decimal("100"),
+            quantity=Decimal("100"),
+            trade_value=Decimal("10000"),
+        )
+        assert commission == ZERO
+
+
+class TestFixedCommission:
+    """Tests for FixedCommission model."""
+
+    def test_calculate(self):
+        """Test fixed commission."""
+        model = FixedCommission(Decimal("9.99"))
+        commission = model.calculate(
+            price=Decimal("100"),
+            quantity=Decimal("100"),
+            trade_value=Decimal("10000"),
+        )
+        assert commission == Decimal("9.99")
+
+    def test_minimum(self):
+        """Test minimum commission."""
+        model = FixedCommission(Decimal("5"), minimum=Decimal("10"))
+        commission = model.calculate(
+            price=Decimal("100"),
+            quantity=Decimal("100"),
+            trade_value=Decimal("10000"),
+        )
+        assert commission == Decimal("10")
+
+
+class TestPerShareCommission:
+    """Tests for PerShareCommission model."""
+
+    def test_calculate(self):
+        """Test per-share commission."""
+        model = PerShareCommission(Decimal("0.005"))  # $0.005/share
+        commission = model.calculate(
+            price=Decimal("100"),
+            quantity=Decimal("100"),
+            trade_value=Decimal("10000"),
+        )
+        assert commission == Decimal("0.5")  # 100 * 0.005
+
+    def test_minimum(self):
+        """Test minimum commission."""
+        model = PerShareCommission(Decimal("0.005"), minimum=Decimal("1.0"))
+        commission = model.calculate(
+            price=Decimal("100"),
+            quantity=Decimal("10"),  # Only 10 shares
+            trade_value=Decimal("1000"),
+        )
+        assert commission == Decimal("1.0")  # Minimum
+
+    def test_maximum(self):
+        """Test maximum commission."""
+        model = PerShareCommission(
+            Decimal("0.005"),
+            minimum=ZERO,
+            maximum=Decimal("10"),
+        )
+        commission = model.calculate(
+            price=Decimal("100"),
+            quantity=Decimal("10000"),  # Many shares
+            trade_value=Decimal("1000000"),
+        )
+        assert commission == Decimal("10")  # Maximum
+
+
+class TestPercentageCommission:
+    """Tests for PercentageCommission model."""
+
+    def test_calculate(self):
+        """Test percentage commission."""
+        model = PercentageCommission(Decimal("0.1"))  # 0.1%
+        commission = model.calculate(
+            price=Decimal("100"),
+            quantity=Decimal("100"),
+            trade_value=Decimal("10000"),
+        )
+        assert commission == Decimal("10")  # 0.1% of 10000
+
+    def test_minimum(self):
+        """Test minimum commission."""
+        model = PercentageCommission(Decimal("0.1"), minimum=Decimal("5"))
+        commission = model.calculate(
+            price=Decimal("100"),
+            quantity=Decimal("1"),
+            trade_value=Decimal("100"),
+        )
+        assert commission == Decimal("5")  # Minimum
+
+
+class TestTieredCommission:
+    """Tests for TieredCommission model."""
+
+    def test_calculate_low_tier(self):
+        """Test low tier commission."""
+        model = TieredCommission([
+            (Decimal("0"), Decimal("0.2")),
+            (Decimal("10000"), Decimal("0.15")),
+            (Decimal("50000"), Decimal("0.1")),
+        ])
+        commission = model.calculate(
+            price=Decimal("100"),
+            quantity=Decimal("50"),
+            trade_value=Decimal("5000"),
+        )
+        assert commission == Decimal("10")  # 0.2% of 5000
+
+    def test_calculate_mid_tier(self):
+        """Test middle tier commission."""
+        model = TieredCommission([
+            (Decimal("0"), Decimal("0.2")),
+            (Decimal("10000"), Decimal("0.15")),
+            (Decimal("50000"), Decimal("0.1")),
+        ])
+        commission = model.calculate(
+            price=Decimal("100"),
+            quantity=Decimal("200"),
+            trade_value=Decimal("20000"),
+        )
+        assert commission == Decimal("30")  # 0.15% of 20000
+
+    def test_calculate_high_tier(self):
+        """Test high tier commission."""
+        model = TieredCommission([
+            (Decimal("0"), Decimal("0.2")),
+            (Decimal("10000"), Decimal("0.15")),
+            (Decimal("50000"), Decimal("0.1")),
+        ])
+        commission = model.calculate(
+            price=Decimal("100"),
+            quantity=Decimal("1000"),
+            trade_value=Decimal("100000"),
+        )
+        assert commission == Decimal("100")  # 0.1% of 100000
+
+
+# ============================================================================
+# BacktestEngine Tests
+# ============================================================================
+
+class TestBacktestEngine:
+    """Tests for BacktestEngine class."""
+
+    @pytest.fixture
+    def config(self):
+        """Create test config."""
+        return BacktestConfig(
+            initial_capital=Decimal("100000"),
+        )
+
+    @pytest.fixture
+    def engine(self, config):
+        """Create test engine."""
+        return BacktestEngine(config)
+
+    @pytest.fixture
+    def price_data(self):
+        """Create test price data."""
+        return {
+            "AAPL": [
+                OHLCV(datetime(2023, 1, 3), 130, 132, 129, 131, 1000000, "AAPL"),
+                OHLCV(datetime(2023, 1, 4), 131, 135, 130, 134, 1200000, "AAPL"),
+                OHLCV(datetime(2023, 1, 5), 134, 136, 133, 135, 1100000, "AAPL"),
+                OHLCV(datetime(2023, 1, 6), 135, 138, 134, 137, 1300000, "AAPL"),
+                OHLCV(datetime(2023, 1, 9), 137, 140, 136, 139, 1400000, "AAPL"),
+            ],
+        }
+
+    def test_initialization(self, engine):
+        """Test engine initialization."""
+        assert engine.cash == Decimal("100000")
+        assert len(engine.positions) == 0
+        assert len(engine.trades) == 0
+
+    def test_reset(self, engine):
+        """Test engine reset."""
+        engine.cash = Decimal("50000")
+        engine.positions["AAPL"] = BacktestPosition(symbol="AAPL")
+        engine.reset()
+        assert engine.cash == Decimal("100000")
+        assert len(engine.positions) == 0
+
+    def test_run_empty(self, engine):
+        """Test run with no data."""
+        result = engine.run({}, [])
+        assert result.total_trades == 0
+        assert result.final_value == Decimal("100000")
+
+    def test_run_no_signals(self, engine, price_data):
+        """Test run with no signals."""
+        result = engine.run(price_data, [])
+        assert result.total_trades == 0
+        assert result.final_value == Decimal("100000")
+        assert len(result.snapshots) == 5
+
+    def test_run_buy_signal(self, engine, price_data):
+        """Test run with buy signal."""
+        signals = [
+            Signal(
+                timestamp=datetime(2023, 1, 3),
+                symbol="AAPL",
+                side=OrderSide.BUY,
+                quantity=Decimal("100"),
+            ),
+        ]
+        result = engine.run(price_data, signals)
+
+        assert result.total_trades == 1
+        assert len(engine.positions) == 1
+        assert "AAPL" in engine.positions
+
+    def test_run_buy_and_sell(self, engine, price_data):
+        """Test run with buy and sell signals."""
+        signals = [
+            Signal(
+                timestamp=datetime(2023, 1, 3),
+                symbol="AAPL",
+                side=OrderSide.BUY,
+                quantity=Decimal("100"),
+            ),
+            Signal(
+                timestamp=datetime(2023, 1, 6),
+                symbol="AAPL",
+                side=OrderSide.SELL,
+                quantity=Decimal("100"),
+            ),
+        ]
+        result = engine.run(price_data, signals)
+
+        assert result.total_trades == 2
+        assert len(engine.positions) == 0  # Position closed
+        # Should have profit: bought at ~131, sold at ~137
+        assert result.final_value > Decimal("100000")
+
+    def test_run_with_slippage(self, price_data):
+        """Test run with slippage model."""
+        config = BacktestConfig(
+            initial_capital=Decimal("100000"),
+            slippage_model=FixedSlippage(Decimal("0.10")),
+        )
+        engine = BacktestEngine(config)
+
+        signals = [
+            Signal(
+                timestamp=datetime(2023, 1, 3),
+                symbol="AAPL",
+                side=OrderSide.BUY,
+                quantity=Decimal("100"),
+            ),
+        ]
+        result = engine.run(price_data, signals)
+
+        # Check slippage was applied
+        trade = result.trades[0]
+        assert trade.slippage > ZERO
+        assert trade.price > trade.base_price  # Buy price increased by slippage
+
+    def test_run_with_commission(self, price_data):
+        """Test run with commission model."""
+        config = BacktestConfig(
+            initial_capital=Decimal("100000"),
+            commission_model=FixedCommission(Decimal("10")),
+        )
+        engine = BacktestEngine(config)
+
+        signals = [
+            Signal(
+                timestamp=datetime(2023, 1, 3),
+                symbol="AAPL",
+                side=OrderSide.BUY,
+                quantity=Decimal("100"),
+            ),
+        ]
+        result = engine.run(price_data, signals)
+
+        assert result.total_commission == Decimal("10")
+        trade = result.trades[0]
+        assert trade.commission == Decimal("10")
+
+    def test_run_insufficient_cash(self, price_data):
+        """Test run with insufficient cash."""
+        config = BacktestConfig(
+            initial_capital=Decimal("1000"),  # Not enough for 100 shares at $131
+        )
+        engine = BacktestEngine(config)
+
+        signals = [
+            Signal(
+                timestamp=datetime(2023, 1, 3),
+                symbol="AAPL",
+                side=OrderSide.BUY,
+                quantity=Decimal("100"),
+            ),
+        ]
+        result = engine.run(price_data, signals)
+
+        # Should have bought fewer shares
+        if result.total_trades > 0:
+            assert engine.positions["AAPL"].quantity < Decimal("100")
+        # If no trades, that's also acceptable (couldn't afford any)
+
+    def test_run_no_shorting(self, engine, price_data):
+        """Test no shorting when disabled."""
+        signals = [
+            Signal(
+                timestamp=datetime(2023, 1, 3),
+                symbol="AAPL",
+                side=OrderSide.SELL,
+                quantity=Decimal("100"),
+            ),
+        ]
+        result = engine.run(price_data, signals)
+
+        # Sell should be rejected (no position and shorting disabled)
+        assert result.total_trades == 0
+
+    def test_run_with_shorting(self, price_data):
+        """Test shorting when enabled."""
+        config = BacktestConfig(
+            initial_capital=Decimal("100000"),
+            allow_shorting=True,
+        )
+        engine = BacktestEngine(config)
+
+        signals = [
+            Signal(
+                timestamp=datetime(2023, 1, 3),
+                symbol="AAPL",
+                side=OrderSide.SELL,
+                quantity=Decimal("100"),
+            ),
+        ]
+        result = engine.run(price_data, signals)
+
+        # Should have short position
+        assert result.total_trades == 1
+        assert engine.positions["AAPL"].quantity == Decimal("-100")
+
+    def test_run_position_sizing(self, price_data):
+        """Test automatic position sizing."""
+        engine = BacktestEngine(BacktestConfig(
+            initial_capital=Decimal("100000"),
+            position_sizing="equal",
+        ))
+
+        signals = [
+            Signal(
+                timestamp=datetime(2023, 1, 3),
+                symbol="AAPL",
+                side=OrderSide.BUY,
+                quantity=ZERO,  # Auto-size
+            ),
+        ]
+        result = engine.run(price_data, signals)
+
+        # Should have calculated quantity
+        if result.total_trades > 0:
+            assert result.trades[0].quantity > ZERO
+
+    def test_get_position(self, engine, price_data):
+        """Test getting position."""
+        signals = [
+            Signal(
+                timestamp=datetime(2023, 1, 3),
+                symbol="AAPL",
+                side=OrderSide.BUY,
+                quantity=Decimal("100"),
+            ),
+        ]
+        engine.run(price_data, signals)
+
+        position = engine.get_position("AAPL")
+        assert position is not None
+        assert position.quantity == Decimal("100")
+
+        no_position = engine.get_position("GOOG")
+        assert no_position is None
+
+    def test_get_cash(self, engine, price_data):
+        """Test getting cash balance."""
+        initial_cash = engine.get_cash()
+        assert initial_cash == Decimal("100000")
+
+        signals = [
+            Signal(
+                timestamp=datetime(2023, 1, 3),
+                symbol="AAPL",
+                side=OrderSide.BUY,
+                quantity=Decimal("100"),
+            ),
+        ]
+        engine.run(price_data, signals)
+
+        assert engine.get_cash() < initial_cash
+
+    def test_get_portfolio_value(self, engine, price_data):
+        """Test getting portfolio value."""
+        signals = [
+            Signal(
+                timestamp=datetime(2023, 1, 3),
+                symbol="AAPL",
+                side=OrderSide.BUY,
+                quantity=Decimal("100"),
+            ),
+        ]
+        engine.run(price_data, signals)
+
+        value = engine.get_portfolio_value()
+        # Should be approximately initial capital (cash + position value)
+        assert value > Decimal("99000")
+        assert value < Decimal("101000")
+
+
+class TestBacktestResult:
+    """Tests for BacktestResult metrics."""
+
+    @pytest.fixture
+    def price_data(self):
+        """Create test price data with clear trend."""
+        return {
+            "AAPL": [
+                OHLCV(datetime(2023, 1, 3), 100, 102, 99, 100, 1000000, "AAPL"),
+                OHLCV(datetime(2023, 1, 4), 100, 105, 99, 105, 1200000, "AAPL"),
+                OHLCV(datetime(2023, 1, 5), 105, 110, 104, 110, 1100000, "AAPL"),
+                OHLCV(datetime(2023, 1, 6), 110, 115, 109, 115, 1300000, "AAPL"),
+                OHLCV(datetime(2023, 1, 9), 115, 120, 114, 120, 1400000, "AAPL"),
+            ],
+        }
+
+    def test_winning_trade(self, price_data):
+        """Test metrics for winning trade."""
+        engine = BacktestEngine(BacktestConfig(initial_capital=Decimal("100000")))
+
+        signals = [
+            Signal(datetime(2023, 1, 3), "AAPL", OrderSide.BUY, Decimal("100")),
+            Signal(datetime(2023, 1, 9), "AAPL", OrderSide.SELL, Decimal("100")),
+        ]
+        result = engine.run(price_data, signals)
+
+        assert result.total_trades == 2
+        assert result.winning_trades >= 1
+        assert result.total_return > ZERO
+        assert result.final_value > result.initial_capital
+
+    def test_max_drawdown(self, price_data):
+        """Test max drawdown calculation."""
+        # Add some volatility
+        price_data["AAPL"].insert(2, OHLCV(
+            datetime(2023, 1, 4, 12), 105, 106, 95, 95, 1000000, "AAPL"
+        ))
+
+        engine = BacktestEngine(BacktestConfig(initial_capital=Decimal("100000")))
+
+        signals = [
+            Signal(datetime(2023, 1, 3), "AAPL", OrderSide.BUY, Decimal("100")),
+        ]
+        result = engine.run(price_data, signals)
+
+        # Should have some drawdown recorded
+        assert result.max_drawdown >= ZERO
+
+    def test_snapshots(self, price_data):
+        """Test snapshot creation."""
+        engine = BacktestEngine(BacktestConfig(initial_capital=Decimal("100000")))
+
+        signals = [
+            Signal(datetime(2023, 1, 3), "AAPL", OrderSide.BUY, Decimal("100")),
+        ]
+        result = engine.run(price_data, signals)
+
+        assert len(result.snapshots) == 5
+        for snapshot in result.snapshots:
+            assert snapshot.total_value > ZERO
+            assert snapshot.cash >= ZERO
+
+    def test_daily_returns(self, price_data):
+        """Test daily returns calculation."""
+        engine = BacktestEngine(BacktestConfig(initial_capital=Decimal("100000")))
+
+        signals = [
+            Signal(datetime(2023, 1, 3), "AAPL", OrderSide.BUY, Decimal("100")),
+        ]
+        result = engine.run(price_data, signals)
+
+        assert len(result.daily_returns) == 4  # 5 snapshots = 4 returns
+
+    def test_trade_stats(self, price_data):
+        """Test trade statistics."""
+        engine = BacktestEngine(BacktestConfig(initial_capital=Decimal("100000")))
+
+        signals = [
+            Signal(datetime(2023, 1, 3), "AAPL", OrderSide.BUY, Decimal("50")),
+            Signal(datetime(2023, 1, 5), "AAPL", OrderSide.SELL, Decimal("50")),
+            Signal(datetime(2023, 1, 5), "AAPL", OrderSide.BUY, Decimal("50")),
+            Signal(datetime(2023, 1, 9), "AAPL", OrderSide.SELL, Decimal("50")),
+        ]
+        result = engine.run(price_data, signals)
+
+        assert result.total_trades == 4
+        assert result.winning_trades + result.losing_trades + (result.total_trades - result.winning_trades - result.losing_trades) == result.total_trades
+
+
+class TestBacktestEngineIntegration:
+    """Integration tests for backtest engine."""
+
+    def test_module_imports(self):
+        """Test that all classes are exported from module."""
+        from tradingagents.backtest import (
+            OrderSide,
+            OrderType,
+            FillStatus,
+            OHLCV,
+            Signal,
+            BacktestConfig,
+            BacktestPosition,
+            BacktestTrade,
+            BacktestSnapshot,
+            BacktestResult,
+            SlippageModel,
+            NoSlippage,
+            FixedSlippage,
+            PercentageSlippage,
+            VolumeSlippage,
+            CommissionModel,
+            NoCommission,
+            FixedCommission,
+            PerShareCommission,
+            PercentageCommission,
+            TieredCommission,
+            BacktestEngine,
+            create_backtest_engine,
+        )
+
+        # All imports successful
+        assert BacktestEngine is not None
+        assert OrderSide.BUY is not None
+
+    def test_create_backtest_engine_factory(self):
+        """Test factory function."""
+        engine = create_backtest_engine(
+            initial_capital=Decimal("50000"),
+            slippage=PercentageSlippage(Decimal("0.1")),
+            commission=FixedCommission(Decimal("10")),
+        )
+
+        assert engine.config.initial_capital == Decimal("50000")
+        assert isinstance(engine.config.slippage_model, PercentageSlippage)
+        assert isinstance(engine.config.commission_model, FixedCommission)
+
+    def test_strategy_callback(self):
+        """Test dynamic signal generation via callback."""
+        engine = BacktestEngine(BacktestConfig(initial_capital=Decimal("100000")))
+
+        price_data = {
+            "AAPL": [
+                OHLCV(datetime(2023, 1, 3), 100, 102, 99, 101, 1000000, "AAPL"),
+                OHLCV(datetime(2023, 1, 4), 101, 105, 100, 104, 1200000, "AAPL"),
+                OHLCV(datetime(2023, 1, 5), 104, 108, 103, 107, 1100000, "AAPL"),
+            ],
+        }
+
+        def strategy(timestamp, bars):
+            """Simple momentum strategy."""
+            if "AAPL" in bars and bars["AAPL"].close > Decimal("102"):
+                return [Signal(
+                    timestamp=timestamp,
+                    symbol="AAPL",
+                    side=OrderSide.BUY,
+                    quantity=Decimal("10"),
+                )]
+            return []
+
+        result = engine.run(price_data, [], strategy_callback=strategy)
+
+        # Strategy should have generated signals on days 2 and 3
+        assert result.total_trades >= 1
+
+    def test_multi_symbol(self):
+        """Test with multiple symbols."""
+        engine = BacktestEngine(BacktestConfig(initial_capital=Decimal("100000")))
+
+        price_data = {
+            "AAPL": [
+                OHLCV(datetime(2023, 1, 3), 100, 102, 99, 101, 1000000, "AAPL"),
+                OHLCV(datetime(2023, 1, 4), 101, 105, 100, 104, 1200000, "AAPL"),
+            ],
+            "GOOG": [
+                OHLCV(datetime(2023, 1, 3), 90, 92, 89, 91, 500000, "GOOG"),
+                OHLCV(datetime(2023, 1, 4), 91, 94, 90, 93, 600000, "GOOG"),
+            ],
+        }
+
+        signals = [
+            Signal(datetime(2023, 1, 3), "AAPL", OrderSide.BUY, Decimal("50")),
+            Signal(datetime(2023, 1, 3), "GOOG", OrderSide.BUY, Decimal("50")),
+        ]
+
+        result = engine.run(price_data, signals)
+
+        assert result.total_trades == 2
+        assert "AAPL" in engine.positions
+        assert "GOOG" in engine.positions
+
+    def test_date_range_filter(self):
+        """Test date range filtering."""
+        config = BacktestConfig(
+            initial_capital=Decimal("100000"),
+            start_date=datetime(2023, 1, 4),
+            end_date=datetime(2023, 1, 5),
+        )
+        engine = BacktestEngine(config)
+
+        price_data = {
+            "AAPL": [
+                OHLCV(datetime(2023, 1, 3), 100, 102, 99, 101, 1000000, "AAPL"),
+                OHLCV(datetime(2023, 1, 4), 101, 105, 100, 104, 1200000, "AAPL"),
+                OHLCV(datetime(2023, 1, 5), 104, 108, 103, 107, 1100000, "AAPL"),
+                OHLCV(datetime(2023, 1, 6), 107, 110, 106, 109, 1300000, "AAPL"),
+            ],
+        }
+
+        signals = [
+            Signal(datetime(2023, 1, 3), "AAPL", OrderSide.BUY, Decimal("50")),  # Before range
+            Signal(datetime(2023, 1, 4), "AAPL", OrderSide.BUY, Decimal("50")),  # In range
+            Signal(datetime(2023, 1, 6), "AAPL", OrderSide.SELL, Decimal("50")),  # After range
+        ]
+
+        result = engine.run(price_data, signals)
+
+        # Only Jan 4 signal should execute
+        assert result.total_trades == 1
+        assert len(result.snapshots) == 2  # Only Jan 4-5

tradingagents/backtest/__init__.py

@@ -0,0 +1,141 @@
+"""Backtest module for historical strategy replay.
+
+Issue #42: [BT-41] Backtest engine - historical replay, slippage
+
+This module provides backtesting capabilities:
+- Historical price data replay
+- Realistic slippage modeling
+- Commission/fee handling
+- Position and portfolio tracking
+- Trade execution simulation
+- Performance metrics calculation
+
+Classes:
+    Enums:
+    - OrderSide: Buy or sell
+    - OrderType: Market, limit, stop, stop_limit
+    - FillStatus: Order fill status
+
+    Data Classes:
+    - OHLCV: Price bar data
+    - Signal: Trading signal
+    - BacktestConfig: Backtest configuration
+    - BacktestPosition: Position tracking
+    - BacktestTrade: Trade record
+    - BacktestSnapshot: Portfolio snapshot
+    - BacktestResult: Complete result with metrics
+
+    Slippage Models:
+    - SlippageModel: Base class
+    - NoSlippage: No slippage
+    - FixedSlippage: Fixed amount per share
+    - PercentageSlippage: Percentage of price
+    - VolumeSlippage: Volume-impact model
+
+    Commission Models:
+    - CommissionModel: Base class
+    - NoCommission: No commission
+    - FixedCommission: Fixed per trade
+    - PerShareCommission: Per share commission
+    - PercentageCommission: Percentage of value
+    - TieredCommission: Tiered by trade value
+
+    Main Classes:
+    - BacktestEngine: Main backtest engine
+
+Example:
+    >>> from tradingagents.backtest import (
+    ...     BacktestEngine,
+    ...     BacktestConfig,
+    ...     OHLCV,
+    ...     Signal,
+    ...     OrderSide,
+    ...     PercentageSlippage,
+    ...     PercentageCommission,
+    ... )
+    >>> from decimal import Decimal
+    >>> from datetime import datetime
+    >>>
+    >>> config = BacktestConfig(
+    ...     initial_capital=Decimal("100000"),
+    ...     slippage_model=PercentageSlippage(Decimal("0.1")),
+    ...     commission_model=PercentageCommission(Decimal("0.1")),
+    ... )
+    >>> engine = BacktestEngine(config)
+    >>>
+    >>> price_data = {
+    ...     "AAPL": [
+    ...         OHLCV(datetime(2023, 1, 3), 130, 132, 129, 131, 1000000),
+    ...         OHLCV(datetime(2023, 1, 4), 131, 135, 130, 134, 1200000),
+    ...     ],
+    ... }
+    >>> signals = [
+    ...     Signal(datetime(2023, 1, 3), "AAPL", OrderSide.BUY, Decimal("100")),
+    ... ]
+    >>> result = engine.run(price_data, signals)
+    >>> print(f"Return: {result.total_return}%")
+"""
+
+from .backtest_engine import (
+    # Enums
+    OrderSide,
+    OrderType,
+    FillStatus,
+    # Data Classes
+    OHLCV,
+    Signal,
+    BacktestConfig,
+    BacktestPosition,
+    BacktestTrade,
+    BacktestSnapshot,
+    BacktestResult,
+    # Slippage Models
+    SlippageModel,
+    NoSlippage,
+    FixedSlippage,
+    PercentageSlippage,
+    VolumeSlippage,
+    # Commission Models
+    CommissionModel,
+    NoCommission,
+    FixedCommission,
+    PerShareCommission,
+    PercentageCommission,
+    TieredCommission,
+    # Main Classes
+    BacktestEngine,
+    # Factory Functions
+    create_backtest_engine,
+)
+
+__all__ = [
+    # Enums
+    "OrderSide",
+    "OrderType",
+    "FillStatus",
+    # Data Classes
+    "OHLCV",
+    "Signal",
+    "BacktestConfig",
+    "BacktestPosition",
+    "BacktestTrade",
+    "BacktestSnapshot",
+    "BacktestResult",
+    # Slippage Models
+    "SlippageModel",
+    "NoSlippage",
+    "FixedSlippage",
+    "PercentageSlippage",
+    "VolumeSlippage",
+    # Commission Models
+    "CommissionModel",
+    "NoCommission",
+    "FixedCommission",
+    "PerShareCommission",
+    "PercentageCommission",
+    "TieredCommission",
+    # Main Classes
+    "BacktestEngine",
+    # Factory Functions
+    "create_backtest_engine",
+]