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feat(backtest): add walk-forward OOS validation to backtest_signal_ftmo

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Split IS (2020-2023) and OOS (2024-2026) periods with independent FTMO
simulations. Strategy acceptance now requires OOS sharpe > 0 and
OOS monthly return > 0 to prevent overfitting. OOS metrics stored in
strategy JSON summary and CSV reports.

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
This commit is contained in:
TPTBusiness
2026-04-19 12:53:00 +02:00
parent 5bc517c3bc
commit 7232ebf89d
4 changed files with 263 additions and 36 deletions
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rdagent/components/backtesting/__init__.py
+2 -1
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@@ -10,6 +10,7 @@ from .vbt_backtest import (
FTMO_MAX_TOTAL_LOSS,
FTMO_MAX_LEVERAGE,
FTMO_RISK_PER_TRADE,
OOS_START_DEFAULT,
backtest_from_forward_returns,
backtest_signal,
backtest_signal_ftmo,
@@ -21,5 +22,5 @@ __all__ = [
'backtest_signal', 'backtest_signal_ftmo', 'backtest_from_forward_returns',
'DEFAULT_BARS_PER_YEAR', 'DEFAULT_TXN_COST_BPS',
'FTMO_INITIAL_CAPITAL', 'FTMO_MAX_DAILY_LOSS', 'FTMO_MAX_TOTAL_LOSS',
'FTMO_MAX_LEVERAGE', 'FTMO_RISK_PER_TRADE',
'FTMO_MAX_LEVERAGE', 'FTMO_RISK_PER_TRADE', 'OOS_START_DEFAULT',
]