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feat(backtest): add FTMO-realistic backtest mode with leverage, daily/total loss limits and realistic EUR/USD costs

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TPTBusiness
2026-04-18 15:21:19 +02:00
parent 5a6948d321
commit d8b5bc4237
5 changed files with 560 additions and 14 deletions
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rdagent/components/backtesting/__init__.py
+9 -1
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@@ -5,13 +5,21 @@ from .risk_management import CorrelationAnalyzer, PortfolioOptimizer, AdvancedRi
from .vbt_backtest import (
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,
backtest_from_forward_returns,
backtest_signal,
backtest_signal_ftmo,
)
__all__ = [
'BacktestMetrics', 'FactorBacktester', 'ResultsDatabase',
'CorrelationAnalyzer', 'PortfolioOptimizer', 'AdvancedRiskManager',
'backtest_signal', 'backtest_from_forward_returns',
'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',
]