backtestingfx/CHANGELOG.md

Changelog

[Unreleased]

Added

• Backtest.optimize() — parallel grid search over a vectorised signal function. Simulations run on native threads with the GIL released (src/optimise.rs); 157x faster than looping run() over the same grid.
• strategy_class is now optional, so Backtest(df, cash=...) works for optimization
• Standalone HTML reports (Backtest.plot()) and examples/html_report.py
• Three-way speed benchmark against backtesting.py (examples/benchmark.py)

Fixed

• Data access inside next() is O(1) per bar instead of O(n) — ~2.6x faster

[0.1.1] - 2026-07-05

Added

• self.data, self.index, self.cash, self.equity properties on Strategy
• Sharpe ratio in Stats output (unannualized)
• __repr__ on Position — readable output when printing positions
• DataFrame column validation with clear error message

Fixed

• Trade PnL in history now stores net PnL (after exit commission) — per-trade stats were slightly optimistic
• Position pyclass uses from_py_object to fix PyO3 deprecation warning
• Removed dead AttributeError swallow in engine.rs

Examples

• Added examples/sma_cross.py — SMA 10/50 crossover on EURUSD hourly data
• Added examples/compare_bt.py — side-by-side comparison against backtesting.py

[0.1.0] - 2026-06-21

Added

• Event-driven backtesting engine on OHLCV bar data
• Simulated broker with buy, sell, close_all, close_position
• Per-position stop loss and take profit
• Realistic FX lot sizing (0.01 / 0.10 / 1.00) with contract_size and quote_to_account conversion
• Full trade history with PnL per trade
• Stats: return, win rate, avg PnL, best/worst trade, profit factor, max drawdown
• Python API — inherit Strategy, run Backtest
• PyO3 Rust extension with Python wrapper