backtestingfx/CHANGELOG.md

Changelog

[Unreleased]

Added

• Documented and regression-tested the stop-first intrabar SL/TP policy, inclusive touches and next-bar checks for new entries.
• Contributor setup and validation guidance, bug/feature issue templates, an API/platform compatibility policy, and a prioritized FX roadmap.

Fixed

• SL/TP processing checks the midpoint open first: crossed stops fill at the adverse open, while crossed targets receive the favorable open, before any later range touches. Exit spread, commission, and conversion still apply. Bars that open inside both levels retain stop-first intrabar behavior.
• Batch stop-loss/take-profit processing uses a single linear pass, preserving survivor and trade order, fills, and accounting when many positions exit together.
• Native engine runs reset cash, positions, trade history, and position IDs before each independent simulation, including repeated run_native_sma() calls.
• spread now means the full bid–ask width around midpoint OHLC prices. Each fill applies half the width, so a one-pip EURUSD spread costs $10 per standard lot on a flat round trip, before commission, instead of $20.
• Open equity uses the bid/ask price available to close each position and includes the exit-side spread (future exit commission is still charged only at closing).

Migration

• Gap-bar SL/TP fills now use the opening price instead of the configured level. An opening target also takes precedence over a later stop touch. Rerun affected backtests: PnL, equity, and strategy decisions can change; there is no legacy gap-fill option. See README execution policy for long/short examples.
• Double the previous spread input to preserve pre-change fills and completed trade PnL. Equity curves can still differ because marking now includes exit spread. SL/TP levels remain midpoint levels. See README price conventions.

[0.2.0] - 2026-08-30

First release to reach PyPI since 0.1.1 — the v0.1.2 tag predated the release workflow, so 0.1.2 was tagged but never published. Everything listed under 0.1.2 below ships here too.

Added

• Strategy.update_sl(id, stop_loss) — move the stop on an open position in place, so a trailing stop doesn't pay spread and commission to close and reopen
• Strategy.close_partial(id, lot_size) — scale out of a position, leaving the remainder open under the same id

Changed

• Broker closes positions through one internal settle helper instead of four copies of the same PnL and commission arithmetic

[0.1.2] - 2026-08-13

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)
• Sample EURUSD hourly data is now in the repo, so the examples run on a fresh clone

Fixed

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

Changed

• numpy is now a direct dependency (it was already pulled in by pandas)
• CI runs cargo clippy -- -D warnings in place of cargo check

[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