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>
Andrew Kaszubski