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Add backtesting engine with SMA cross strategy

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Reads features from Supabase, simulates SMA(3)/SMA(20) crossover signals,
and outputs P&L, drawdown, and trade logs per instrument/granularity.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
Brent Neale
2026-02-16 15:58:00 +10:00
co-authored by Claude Opus 4.6
parent 31c74d4e5f
commit 187ebe9a9e
5 changed files with 412 additions and 0 deletions
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logs/backtest_trades_EUR_USD_M5.csv
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time,instrument,granularity,side,price,position_size,equity,drawdown
2026-02-13 16:20:00+00:00,EUR_USD,M5,BUY,1.18684,100.0,10000.0,0.0
2026-02-13 18:15:00+00:00,EUR_USD,M5,FLAT,1.18742,0.0,10000.05,7e-06
2026-02-13 18:30:00+00:00,EUR_USD,M5,BUY,1.1878,100.0,10000.05,7e-06
2026-02-13 19:00:00+00:00,EUR_USD,M5,FLAT,1.18712,0.0,9999.99,1.2e-05
2026-02-13 20:50:00+00:00,EUR_USD,M5,BUY,1.18708,100.0,9999.99,1.2e-05
2026-02-13 21:40:00+00:00,EUR_USD,M5,FLAT,1.18682,0.0,9999.97,1.5e-05
2026-02-15 22:10:00+00:00,EUR_USD,M5,BUY,1.18719,100.0,9999.97,1.5e-05
2026-02-15 22:55:00+00:00,EUR_USD,M5,FLAT,1.18708,0.0,9999.96,1.6e-05
2026-02-16 01:20:00+00:00,EUR_USD,M5,BUY,1.18645,100.0,9999.96,1.6e-05
2026-02-16 01:40:00+00:00,EUR_USD,M5,FLAT,1.1864,0.0,9999.96,1.6e-05
2026-02-16 01:55:00+00:00,EUR_USD,M5,BUY,1.18654,100.0,9999.96,1.6e-05
2026-02-16 02:15:00+00:00,EUR_USD,M5,FLAT,1.18625,0.0,9999.93,1.8e-05
2026-02-16 02:30:00+00:00,EUR_USD,M5,BUY,1.18654,100.0,9999.93,1.8e-05
2026-02-16 04:20:00+00:00,EUR_USD,M5,FLAT,1.18663,0.0,9999.94,1.8e-05
1 time instrument granularity side price position_size equity drawdown
2 2026-02-13 16:20:00+00:00 EUR_USD M5 BUY 1.18684 100.0 10000.0 0.0
3 2026-02-13 18:15:00+00:00 EUR_USD M5 FLAT 1.18742 0.0 10000.05 7e-06
4 2026-02-13 18:30:00+00:00 EUR_USD M5 BUY 1.1878 100.0 10000.05 7e-06
5 2026-02-13 19:00:00+00:00 EUR_USD M5 FLAT 1.18712 0.0 9999.99 1.2e-05
6 2026-02-13 20:50:00+00:00 EUR_USD M5 BUY 1.18708 100.0 9999.99 1.2e-05
7 2026-02-13 21:40:00+00:00 EUR_USD M5 FLAT 1.18682 0.0 9999.97 1.5e-05
8 2026-02-15 22:10:00+00:00 EUR_USD M5 BUY 1.18719 100.0 9999.97 1.5e-05
9 2026-02-15 22:55:00+00:00 EUR_USD M5 FLAT 1.18708 0.0 9999.96 1.6e-05
10 2026-02-16 01:20:00+00:00 EUR_USD M5 BUY 1.18645 100.0 9999.96 1.6e-05
11 2026-02-16 01:40:00+00:00 EUR_USD M5 FLAT 1.1864 0.0 9999.96 1.6e-05
12 2026-02-16 01:55:00+00:00 EUR_USD M5 BUY 1.18654 100.0 9999.96 1.6e-05
13 2026-02-16 02:15:00+00:00 EUR_USD M5 FLAT 1.18625 0.0 9999.93 1.8e-05
14 2026-02-16 02:30:00+00:00 EUR_USD M5 BUY 1.18654 100.0 9999.93 1.8e-05
15 2026-02-16 04:20:00+00:00 EUR_USD M5 FLAT 1.18663 0.0 9999.94 1.8e-05