backtest

type AnalysisResult ¶ added in v0.0.3

type AnalysisResult map[string]interface{}

AnalysisResult represents the collected results from all analyzers.

type Analyzer ¶ added in v0.0.3

type Analyzer interface {
	Name() string
	Analyze(trades []metrics.Trade, equityCurve []metrics.EquityPoint) interface{}
}

Analyzer is an interface for analyzing backtest results.

type AnalyzerRegistry ¶ added in v0.0.3

type AnalyzerRegistry struct {
	// contains filtered or unexported fields
}

AnalyzerRegistry maintains a list of available analyzers.

func NewAnalyzerRegistry() *AnalyzerRegistry

func (ar *AnalyzerRegistry) Add(analyzer Analyzer)

func (ar *AnalyzerRegistry) Run(trades []metrics.Trade, equityCurve []metrics.EquityPoint) AnalysisResult

type AverageTradeDurationAnalyzer ¶ added in v0.0.3

type AverageTradeDurationAnalyzer struct{}

func (atda *AverageTradeDurationAnalyzer) Analyze(trades []metrics.Trade, equityCurve []metrics.EquityPoint) interface{}

func (atda *AverageTradeDurationAnalyzer) Name() string

type BacktestConfig ¶

type BacktestConfig struct {
	InitialCapital decimal.Decimal
	PositionSize   decimal.Decimal
	RiskPerTrade   decimal.Decimal
	Commission     decimal.Decimal
	Slippage       decimal.Decimal
	AllowShort     bool
	AllowLong      bool
}

type BacktestExporter ¶ added in v0.0.7

type BacktestExporter struct {
	// contains filtered or unexported fields
}

func NewBacktestExporter(opts ExportOptions) *BacktestExporter

func (e *BacktestExporter) Export(result BacktestResult, writer io.Writer) error

func (e *BacktestExporter) ExportEquityCurve(curve []metrics.EquityPoint, writer io.Writer) error

func (e *BacktestExporter) ExportSummary(result BacktestResult, writer io.Writer) error

func (e *BacktestExporter) ExportToFile(result BacktestResult, path string) (err error)

func (e *BacktestExporter) ExportTrades(trades []Trade, writer io.Writer) error

type BacktestResult ¶

type BacktestResult struct {
	TotalTrades          int
	WinningTrades        int
	LosingTrades         int
	WinRate              decimal.Decimal
	TotalProfit          decimal.Decimal
	TotalLoss            decimal.Decimal
	NetProfit            decimal.Decimal
	GrossProfit          decimal.Decimal
	GrossLoss            decimal.Decimal
	ProfitFactor         decimal.Decimal
	AverageWin           decimal.Decimal
	AverageLoss          decimal.Decimal
	AverageTrade         decimal.Decimal
	MaxConsecutiveWins   int
	MaxConsecutiveLosses int
	MaxDrawdown          decimal.Decimal
	MaxDrawdownPercent   decimal.Decimal
	RecoveryFactor       decimal.Decimal
	RiskRewardRatio      decimal.Decimal
	CalmarRatio          decimal.Decimal
	SortinoRatio         decimal.Decimal
	SharpeRatio          decimal.Decimal
	CAGR                 decimal.Decimal
	FinalEquity          decimal.Decimal
	InitialCapital       decimal.Decimal
	Trades               []Trade
	Analysis             AnalysisResult
}

type Backtester ¶

type Backtester struct {
	// contains filtered or unexported fields
}

func NewBacktester(s *series.TimeSeries, strategy trading.Strategy) *Backtester

func (b *Backtester) AddAnalyzer(a Analyzer)

func (b *Backtester) Run(config BacktestConfig) BacktestResult

type BarEventData ¶ added in v0.0.7

type BarEventData struct {
	Candle *series.Candle
}

BarEventData contains the candle data for a bar event.

type CommissionModel ¶ added in v0.0.7

type CommissionModel func(order *trading.Order, fillPrice, fillAmount decimal.Decimal) decimal.Decimal

CommissionModel computes the commission for an order fill.

func FixedCommission(amount decimal.Decimal) CommissionModel

func PercentCommission(pct float64) CommissionModel

type DrawdownAnalyzer ¶ added in v0.0.3

type DrawdownAnalyzer struct{}

DrawdownAnalyzer analyzes drawdown performance.

func (a *DrawdownAnalyzer) Analyze(trades []metrics.Trade, equityCurve []metrics.EquityPoint) interface{}

func (a *DrawdownAnalyzer) Name() string

type DrawdownStats ¶ added in v0.0.3

type DrawdownStats struct {
	MaxDrawdown    decimal.Decimal
	MaxDrawdownPct decimal.Decimal
}

DrawdownStats represents drawdown statistics.

type EquityCurveAnalyzer ¶ added in v0.0.3

type EquityCurveAnalyzer struct{}

EquityCurveAnalyzer simply returns the equity curve data points.

func (a *EquityCurveAnalyzer) Analyze(trades []metrics.Trade, equityCurve []metrics.EquityPoint) interface{}

func (a *EquityCurveAnalyzer) Name() string

type ErrInvalidWFAConfig ¶ added in v0.0.6

type ErrInvalidWFAConfig string

ErrInvalidWFAConfig is returned when WFAConfig fails validation.

func (e ErrInvalidWFAConfig) Error() string

type Event ¶ added in v0.0.7

type Event struct {
	Type      EventType
	Timestamp time.Time
	Symbol    string
	Data      any
}

Event represents a market event in chronological order.

type EventDrivenBacktester ¶ added in v0.0.7

type EventDrivenBacktester struct {
	// contains filtered or unexported fields
}

EventDrivenBacktester processes market events bar-by-bar for realistic order simulation.

func NewEventDrivenBacktester() *EventDrivenBacktester

func (edb *EventDrivenBacktester) AddAnalyzer(a Analyzer)

func (edb *EventDrivenBacktester) Register(symbol string, broker *SimulatedBroker, strategy trading.Strategy)

func (edb *EventDrivenBacktester) Run(events []Event) (map[string]BacktestResult, error)

type EventType ¶ added in v0.0.7

type EventType string

EventType defines the type of event.

const (
	// EventBar represents a bar (candle) event.
	EventBar EventType = "bar"
)

type ExpectancyAnalyzer ¶ added in v0.0.3

type ExpectancyAnalyzer struct{}

func (ea *ExpectancyAnalyzer) Analyze(trades []metrics.Trade, equityCurve []metrics.EquityPoint) interface{}

func (ea *ExpectancyAnalyzer) Name() string

type ExpectancyPerTradeAnalyzer ¶ added in v0.0.3

type ExpectancyPerTradeAnalyzer struct{}

func (ept *ExpectancyPerTradeAnalyzer) Analyze(trades []metrics.Trade, equityCurve []metrics.EquityPoint) interface{}

func (ept *ExpectancyPerTradeAnalyzer) Name() string

type ExportFormat ¶ added in v0.0.7

type ExportFormat string

const (
	ExportFormatCSV  ExportFormat = "csv"
	ExportFormatJSON ExportFormat = "json"
)

type ExportOptions ¶ added in v0.0.7

type ExportOptions struct {
	Format        ExportFormat
	TimeFormat    string
	PrettyPrint   bool
	IncludeHeader bool
}

func DefaultExportOptions() ExportOptions

type FillPriceSource ¶ added in v0.0.7

type FillPriceSource int

FillPriceSource determines which price to use for market order fills.

const (
	// FillAtOpen fills market orders at the bar's open price.
	FillAtOpen FillPriceSource = iota
	// FillAtClose fills market orders at the bar's close price.
	FillAtClose
)

type MCMethod ¶ added in v0.0.7

type MCMethod string

MCMethod defines the Monte Carlo simulation method.

const (
	// MCMethodTradeShuffle randomly reorders trades.
	MCMethodTradeShuffle MCMethod = "trade_shuffle"
	// MCMethodBootstrap resamples trades with replacement.
	MCMethodBootstrap MCMethod = "bootstrap"
	// MCMethodRandomStart takes a random contiguous subset of trades.
	MCMethodRandomStart MCMethod = "random_start"
)

type MCSimulationConfig ¶ added in v0.0.7

type MCSimulationConfig struct {
	// Simulations is the number of Monte Carlo runs. Default 10000.
	Simulations int
	// ConfidenceLevel is the confidence level for intervals, e.g. 0.95.
	ConfidenceLevel float64
	// Method is the simulation method.
	Method MCMethod
	// Seed is the random seed. Zero means time-based.
	Seed int64
}

MCSimulationConfig configures the Monte Carlo simulation.

func DefaultMCSimulationConfig() MCSimulationConfig

type MCSimulationResult ¶ added in v0.0.7

type MCSimulationResult struct {
	SimulatedEquityCurves          [][]metrics.EquityPoint
	FinalEquityStats               MCStats
	MaxDrawdownStats               MCStats
	SharpeStats                    MCStats
	BelowInitialCapitalProbability float64
	Percentiles                    map[string]map[float64]decimal.Decimal
}

MCSimulationResult holds the outcome of a Monte Carlo simulation.

type MCStats ¶ added in v0.0.7

type MCStats struct {
	Mean   decimal.Decimal
	Median decimal.Decimal
	StdDev decimal.Decimal
	Min    decimal.Decimal
	Max    decimal.Decimal
}

MCStats holds aggregate statistics across simulations.

type MaxConsecutiveAnalyzer ¶ added in v0.0.3

type MaxConsecutiveAnalyzer struct{}

func (mca *MaxConsecutiveAnalyzer) Analyze(trades []metrics.Trade, equityCurve []metrics.EquityPoint) interface{}

func (mca *MaxConsecutiveAnalyzer) Name() string

type MonteCarloSimulator ¶ added in v0.0.7

type MonteCarloSimulator struct {
	// contains filtered or unexported fields
}

MonteCarloSimulator runs Monte Carlo simulations on backtest results.

func NewMonteCarloSimulator(config MCSimulationConfig) *MonteCarloSimulator

func (mc *MonteCarloSimulator) Run(result BacktestResult) (*MCSimulationResult, error)

type MultiAssetBacktester ¶ added in v0.0.3

type MultiAssetBacktester struct {
	// contains filtered or unexported fields
}

MultiAssetBacktester runs backtests across multiple assets simultaneously

func NewMultiAssetBacktester(strategy trading.Strategy) *MultiAssetBacktester

func (m *MultiAssetBacktester) AddAsset(symbol string, s *series.TimeSeries)

func (m *MultiAssetBacktester) Run(config BacktestConfig) map[string]BacktestResult

type ObjectiveFunction ¶ added in v0.0.7

type ObjectiveFunction func(result BacktestResult) float64

ObjectiveFunction scores a backtest result. Higher is better.

type OptimizationConfig ¶ added in v0.0.7

type OptimizationConfig struct {
	Method          OptimizationMethod
	ParameterSpaces []ParameterSpace
	ObjectiveFunc   ObjectiveFunction
	RandomSamples   int // Total random samples for random search
	MaxWorkers      int // Parallelism; 0 means sequential
	ProgressFunc    func(completed, total int)
	Seed            int64 // For reproducible random search; 0 means time-based
}

OptimizationConfig configures the optimization run.

func (c OptimizationConfig) Validate() error

type OptimizationFunc ¶ added in v0.0.6

type OptimizationFunc func(ts *series.TimeSeries) (StrategyFactory, BacktestConfig)

OptimizationFunc is a user-provided function that optimizes strategy configuration on the given in-sample time series and returns a factory that can build a fresh strategy for any sub-series.

type OptimizationMethod ¶ added in v0.0.7

type OptimizationMethod string

OptimizationMethod defines the parameter search strategy.

const (
	// OptMethodGridSearch exhaustively searches the discretized parameter space.
	OptMethodGridSearch OptimizationMethod = "grid_search"
	// OptMethodRandomSearch randomly samples within parameter bounds.
	OptMethodRandomSearch OptimizationMethod = "random_search"
)

type OptimizationResult ¶ added in v0.0.7

type OptimizationResult struct {
	BestConfig map[string]float64
	BestScore  float64
	AllResults []ParameterSetResult
	Duration   time.Duration
	TotalRuns  int
}

OptimizationResult holds the outcome of a parameter optimization run.

type Optimizer ¶ added in v0.0.7

type Optimizer struct {
	// contains filtered or unexported fields
}

Optimizer runs parameter optimization over a backtest strategy.

func NewOptimizer(config OptimizationConfig) (*Optimizer, error)

func (o *Optimizer) Optimize(
	ts *series.TimeSeries,
	strategyFactory func(params map[string]float64) trading.Strategy,
	btConfig BacktestConfig,
) (*OptimizationResult, error)

type ParameterSetResult ¶ added in v0.0.7

type ParameterSetResult struct {
	Params map[string]float64
	Score  float64
	Result BacktestResult
}

ParameterSetResult holds the score for a single parameter combination.

type ParameterSpace ¶ added in v0.0.7

type ParameterSpace struct {
	Name string
	Min  float64
	Max  float64
	Step float64 // For grid search; must be > 0
}

ParameterSpace defines the range and step for a single parameter.

func (ps ParameterSpace) Validate() error

type PartialFillModel ¶ added in v0.0.7

type PartialFillModel func(order *trading.Order, candle *series.Candle) decimal.Decimal

PartialFillModel determines how much of an order fills. Returns the filled amount (must be <= order.Amount).

type PortfolioResult ¶ added in v0.0.3

type PortfolioResult struct {
	AssetResults map[string]BacktestResult
	TotalEquity  decimal.Decimal
}

PortfolioResult combines results from multiple assets

type PortfolioSimulator ¶ added in v0.0.3

type PortfolioSimulator struct {
	InitialCapital decimal.Decimal
	Fees           decimal.Decimal
	Slippage       decimal.Decimal
}

PortfolioSimulator simulates a portfolio based on signals

func NewPortfolioSimulator(initialCapital, fees, slippage float64) *PortfolioSimulator

func (ps *PortfolioSimulator) SimulateLongOnly(s *series.TimeSeries, signals []int) BacktestResult

type Position ¶

type Position struct {
	EntryTime  int
	EntryPrice decimal.Decimal
	Direction  string
	Quantity   decimal.Decimal
	StopLoss   decimal.Decimal
	TakeProfit decimal.Decimal
}

type ProfitFactorAnalyzer ¶ added in v0.0.3

type ProfitFactorAnalyzer struct{}

func (pfa *ProfitFactorAnalyzer) Analyze(trades []metrics.Trade, equityCurve []metrics.EquityPoint) interface{}

func (pfa *ProfitFactorAnalyzer) Name() string

type RExpectancyAnalyzer ¶ added in v0.0.3

type RExpectancyAnalyzer struct{}

func (rea *RExpectancyAnalyzer) Analyze(trades []metrics.Trade, equityCurve []metrics.EquityPoint) interface{}

func (rea *RExpectancyAnalyzer) Name() string

type SharpeRatioAnalyzer ¶ added in v0.0.3

type SharpeRatioAnalyzer struct {
	RiskFreeRate decimal.Decimal
}

SharpeRatioAnalyzer calculates the Sharpe Ratio.

func (a *SharpeRatioAnalyzer) Analyze(trades []metrics.Trade, equityCurve []metrics.EquityPoint) interface{}

func (a *SharpeRatioAnalyzer) Name() string

type SimulatedBroker ¶ added in v0.0.7

type SimulatedBroker struct {
	Symbol           string
	InitialCapital   decimal.Decimal
	Equity           decimal.Decimal
	CommissionModel  CommissionModel
	SlippageModel    SlippageModel
	FillPriceSource  FillPriceSource
	PartialFillModel PartialFillModel
	AllowLong        bool
	AllowShort       bool
	// contains filtered or unexported fields
}

SimulatedBroker simulates order execution for a single asset.

func NewSimulatedBroker(symbol string, initialCapital decimal.Decimal) *SimulatedBroker

func (b *SimulatedBroker) BacktestResult() BacktestResult

func (b *SimulatedBroker) ProcessBar(index int, candle *series.Candle)

func (b *SimulatedBroker) ProcessStrategySignal(shouldEnter, shouldExit bool, index int, candle *series.Candle)

func (b *SimulatedBroker) SubmitOrder(order *trading.Order)

type SlippageModel ¶ added in v0.0.7

type SlippageModel func(order *trading.Order, candle *series.Candle) decimal.Decimal

SlippageModel computes the slippage for an order fill. Positive slippage worsens the fill (higher for buy, lower for sell).

func FixedSlippage(amount decimal.Decimal) SlippageModel

type StrategyFactory ¶ added in v0.0.6

type StrategyFactory func(ts *series.TimeSeries) trading.Strategy

StrategyFactory creates a fresh strategy instance bound to the given series. Used by WalkForwardAnalyzer to prevent indicator state leakage between in-sample and out-of-sample runs.

type SystemQualityNumberAnalyzer ¶ added in v0.0.3

type SystemQualityNumberAnalyzer struct{}

func (sqna *SystemQualityNumberAnalyzer) Analyze(trades []metrics.Trade, equityCurve []metrics.EquityPoint) interface{}

func (sqna *SystemQualityNumberAnalyzer) Name() string

type Trade ¶

type Trade struct {
	EntryTime     int
	EntryPrice    decimal.Decimal
	ExitTime      int
	ExitPrice     decimal.Decimal
	Direction     string
	Quantity      decimal.Decimal
	Profit        decimal.Decimal
	ProfitPercent decimal.Decimal
	Duration      int
}

type TradeStats ¶ added in v0.0.3

type TradeStats struct {
	TotalTrades    int
	WinningTrades  int
	LosingTrades   int
	WinRate        decimal.Decimal
	ProfitFactor   decimal.Decimal
	Expectancy     decimal.Decimal
	AverageWin     decimal.Decimal
	AverageLoss    decimal.Decimal
	TotalNetProfit decimal.Decimal
}

TradeStats represents basic trade statistics.

type TradeStatsAnalyzer ¶ added in v0.0.3

type TradeStatsAnalyzer struct{}

TradeStatsAnalyzer analyzes trade-level performance.

func (a *TradeStatsAnalyzer) Analyze(trades []metrics.Trade, equityCurve []metrics.EquityPoint) interface{}

func (a *TradeStatsAnalyzer) Name() string

type WFAAggregateMetrics ¶ added in v0.0.6

type WFAAggregateMetrics struct {
	TotalWindows             int
	AverageInSampleSharpe    decimal.Decimal
	AverageOutOfSampleSharpe decimal.Decimal
	DegradationRate          decimal.Decimal // (IS - OOS) / |IS|, lower is better
	WinningWindowsPercent    decimal.Decimal // % of OOS windows with positive net profit
	AverageInSampleProfit    decimal.Decimal
	AverageOutOfSampleProfit decimal.Decimal
}

WFAAggregateMetrics summarizes performance across all WFA windows.

type WFAConfig ¶ added in v0.0.6

type WFAConfig struct {
	InSampleWindowSize    int // Number of candles for in-sample (training)
	OutOfSampleWindowSize int // Number of candles for out-of-sample (testing)
	StepSize              int // How many candles to roll forward each window
}

WFAConfig configures the walk-forward analysis parameters.

func (c WFAConfig) Validate() error

type WFAResult ¶ added in v0.0.6

type WFAResult struct {
	Windows          []WFWindowResult
	AggregateMetrics WFAAggregateMetrics
}

WFAResult is the complete output of a walk-forward analysis.

type WFWindowResult ¶ added in v0.0.6

type WFWindowResult struct {
	WindowIndex       int
	InSampleStart     int
	InSampleEnd       int
	OutOfSampleStart  int
	OutOfSampleEnd    int
	InSampleResult    BacktestResult
	OutOfSampleResult BacktestResult
}

WFWindowResult holds the backtest results for a single WFA window.

type WalkForwardAnalyzer ¶ added in v0.0.6

type WalkForwardAnalyzer struct {
	// contains filtered or unexported fields
}

WalkForwardAnalyzer runs walk-forward analysis on a time series.

func NewWalkForwardAnalyzer(config WFAConfig) (*WalkForwardAnalyzer, error)

func (wfa *WalkForwardAnalyzer) Run(
	ts *series.TimeSeries,
	optimize OptimizationFunc,
) (*WFAResult, error)

type WinLossRatioAnalyzer ¶ added in v0.0.3

type WinLossRatioAnalyzer struct{}

func (wlra *WinLossRatioAnalyzer) Analyze(trades []metrics.Trade, equityCurve []metrics.EquityPoint) interface{}

func (wlra *WinLossRatioAnalyzer) Name() string