backtestingfx/CHANGELOG.md

Changelog

[Unreleased]

Added

• Contributor setup and validation guidance, bug/feature issue templates, an API/platform compatibility policy, and a prioritized FX roadmap.

Fixed

• 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

• 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