6e52e4190d
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> |
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| test_backtest_engine.py | ||