Merge pull request #12 from alphabench/feat/refining-metrics-for-portfolio

feat: add batch spread backtest with parallel execution, bump to 0.3.3

Cargo.lock

@@ -502,7 +502,7 @@ dependencies = [
 
 [[package]]
 name = "raptorbt"
-version = "0.3.1"
+version = "0.3.3"
 dependencies = [
  "approx",
  "criterion",

Cargo.toml

@@ -1,6 +1,6 @@
 [package]
 name = "raptorbt"
-version = "0.3.1"
+version = "0.3.3"
 edition = "2021"
 description = "High-performance Rust backtesting engine with Python bindings. Drop-in VectorBT replacement with up insanely faster performance at fractional memory footprint."
 authors = ["Alphabench <contact@alphabench.in>"]

README.md

@@ -79,9 +79,11 @@ RaptorBT was built to address the performance limitations of VectorBT. Benchmark
 
 ### Key Features
 
-- **5 Strategy Types**: Single instrument, basket/collective, pairs trading, options, and multi-strategy
-- **30+ Metrics**: Full parity with VectorBT including Sharpe, Sortino, Calmar, Omega, SQN, and more
-- **10 Technical Indicators**: SMA, EMA, RSI, MACD, Stochastic, ATR, Bollinger Bands, ADX, VWAP, Supertrend
+- **6 Strategy Types**: Single instrument, basket/collective, pairs trading, options, spreads, and multi-strategy
+- **Batch Spread Backtesting**: Run multiple spread backtests in parallel via Rayon with GIL released
+- **Monte Carlo Simulation**: Correlated multi-asset forward projection via GBM + Cholesky decomposition
+- **33 Metrics**: Full parity with VectorBT including Sharpe, Sortino, Calmar, Omega, SQN, Payoff Ratio, Recovery Factor, and more
+- **12 Technical Indicators**: SMA, EMA, RSI, MACD, Stochastic, ATR, Bollinger Bands, ADX, VWAP, Supertrend, Rolling Min, Rolling Max
 - **Stop/Target Management**: Fixed, ATR-based, and trailing stops with risk-reward targets
 - **100% Deterministic**: No JIT compilation variance between runs
 - **Native Parallelism**: Rayon-based parallel processing with explicit SIMD optimizations
@@ -127,6 +129,7 @@ raptorbt/
 │   ├── core/              # Core types and error handling
 │   │   ├── types.rs       # BacktestConfig, BacktestResult, Trade, Metrics
 │   │   ├── error.rs       # RaptorError enum
+│   │   ├── session.rs     # SessionTracker, SessionConfig (intraday sessions)
 │   │   └── timeseries.rs  # Time series utilities
 │   │
 │   ├── strategies/        # Strategy implementations
@@ -134,6 +137,7 @@ raptorbt/
 │   │   ├── basket.rs      # Basket/collective strategies
 │   │   ├── pairs.rs       # Pairs trading
 │   │   ├── options.rs     # Options strategies
+│   │   ├── spreads.rs     # Multi-leg spread strategies
 │   │   └── multi.rs       # Multi-strategy combining
 │   │
 │   ├── indicators/        # Technical indicators
@@ -141,7 +145,8 @@ raptorbt/
 │   │   ├── momentum.rs    # RSI, MACD, Stochastic
 │   │   ├── volatility.rs  # ATR, Bollinger Bands
 │   │   ├── strength.rs    # ADX
-│   │   └── volume.rs      # VWAP
+│   │   ├── volume.rs      # VWAP
+│   │   └── rolling.rs     # Rolling Min/Max (LLV/HHV)
 │   │
 │   ├── metrics/           # Performance metrics
 │   │   ├── streaming.rs   # Streaming metric calculations
@@ -158,6 +163,12 @@ raptorbt/
 │   │   ├── atr.rs         # ATR-based stops
 │   │   └── trailing.rs    # Trailing stops
 │   │
+│   ├── portfolio/         # Portfolio-level analysis
+│   │   ├── monte_carlo.rs # Monte Carlo forward simulation (GBM + Cholesky)
+│   │   ├── allocation.rs  # Capital allocation
+│   │   ├── engine.rs      # Portfolio engine
+│   │   └── position.rs    # Position management
+│   │
 │   ├── python/            # PyO3 bindings
 │   │   ├── bindings.rs    # Python function exports
 │   │   └── numpy_bridge.rs # NumPy array conversion
@@ -394,6 +405,50 @@ result = raptorbt.run_multi_backtest(
 - `weighted`: Weight signals by strategy weight
 - `independent`: Run strategies independently (aggregate PnL)
 
+### 6. Batch Spread Backtest
+
+Run multiple spread backtests in parallel. Shared data (timestamps, underlying close) is converted once, then each item is backtested on its own Rayon thread with the GIL released for maximum throughput.
+
+```python
+import numpy as np
+import raptorbt
+
+config = raptorbt.PyBacktestConfig(initial_capital=100000, fees=0.001)
+
+# Create batch items — one per strategy variation
+items = [
+    raptorbt.PyBatchSpreadItem(
+        strategy_id="straddle_24000",
+        legs_premiums=[call_24000_premiums, put_24000_premiums],
+        leg_configs=[("CE", 24000.0, -1, 50), ("PE", 24000.0, -1, 50)],
+        entries=entries,
+        exits=exits,
+        spread_type="straddle",
+        max_loss=5000.0,
+        target_profit=3000.0,
+    ),
+    raptorbt.PyBatchSpreadItem(
+        strategy_id="strangle_23500_24500",
+        legs_premiums=[call_24500_premiums, put_23500_premiums],
+        leg_configs=[("CE", 24500.0, -1, 50), ("PE", 23500.0, -1, 50)],
+        entries=entries,
+        exits=exits,
+        spread_type="strangle",
+    ),
+]
+
+# Run all in parallel — returns list of (strategy_id, result) tuples
+results = raptorbt.batch_spread_backtest(
+    timestamps=timestamps,
+    underlying_close=underlying_close,
+    items=items,
+    config=config,
+)
+
+for strategy_id, result in results:
+    print(f"{strategy_id}: {result.metrics.total_return_pct:.2f}%")
+```
+
 ---
 
 ## Metrics
@@ -529,6 +584,68 @@ config.set_risk_reward_target(ratio=2.0)  # 2:1 risk-reward ratio
 
 ---
 
+## Monte Carlo Portfolio Simulation
+
+RaptorBT includes a high-performance Monte Carlo forward simulation engine for portfolio risk analysis. It uses Geometric Brownian Motion (GBM) with Cholesky decomposition for correlated multi-asset simulation, parallelized via Rayon.
+
+```python
+import numpy as np
+import raptorbt
+
+# Historical daily returns per strategy/asset (numpy arrays)
+returns = [
+    np.array([0.001, -0.002, 0.003, ...]),  # Strategy 1 returns
+    np.array([0.002, 0.001, -0.001, ...]),   # Strategy 2 returns
+]
+
+# Portfolio weights (must sum to 1.0)
+weights = np.array([0.6, 0.4])
+
+# Correlation matrix (N x N)
+correlation_matrix = [
+    np.array([1.0, 0.3]),
+    np.array([0.3, 1.0]),
+]
+
+# Run simulation
+result = raptorbt.simulate_portfolio_mc(
+    returns=returns,
+    weights=weights,
+    correlation_matrix=correlation_matrix,
+    initial_value=100000.0,
+    n_simulations=10000,   # Number of Monte Carlo paths (default: 10,000)
+    horizon_days=252,      # Forward projection horizon (default: 252)
+    seed=42,               # Random seed for reproducibility (default: 42)
+)
+
+# Results
+print(f"Expected Return: {result['expected_return']:.2f}%")
+print(f"Probability of Loss: {result['probability_of_loss']:.2%}")
+print(f"VaR (95%): {result['var_95']:.2f}%")
+print(f"CVaR (95%): {result['cvar_95']:.2f}%")
+
+# Percentile paths: list of (percentile, path_values)
+# Percentiles: 5th, 25th, 50th, 75th, 95th
+for pct, path in result['percentile_paths']:
+    print(f"  P{pct:.0f} final value: {path[-1]:.2f}")
+
+# Final values: numpy array of terminal values for all simulations
+final_values = result['final_values']  # numpy array, length = n_simulations
+```
+
+### Result Fields
+
+| Field                 | Type                       | Description                                                |
+| --------------------- | -------------------------- | ---------------------------------------------------------- |
+| `expected_return`     | `float`                    | Expected return as percentage over the horizon             |
+| `probability_of_loss` | `float`                    | Probability that final value < initial value (0.0 to 1.0)  |
+| `var_95`              | `float`                    | Value at Risk at 95% confidence (percentage)               |
+| `cvar_95`             | `float`                    | Conditional VaR at 95% confidence (percentage)             |
+| `percentile_paths`    | `List[Tuple[float, List]]` | Portfolio paths at 5th, 25th, 50th, 75th, 95th percentiles |
+| `final_values`        | `numpy.ndarray`            | Terminal portfolio values for all simulations              |
+
+---
+
 ## VectorBT Comparison
 
 RaptorBT is designed as a drop-in replacement for VectorBT. Here's a side-by-side comparison:
@@ -643,10 +760,55 @@ inst_config.set_fixed_target(0.05)
 ```
 
 **Fields:**
+
 - `lot_size` - Minimum tradeable quantity. Position sizes are rounded down to nearest lot_size multiple. Use `1.0` for equities, `50.0` for NIFTY F&O, `0.01` for forex.
 - `alloted_capital` - Per-instrument capital cap (capped at available cash).
 - `existing_qty` / `avg_price` - Reserved for future live-to-backtest transitions.
 
+### PyBatchSpreadItem
+
+```python
+item = raptorbt.PyBatchSpreadItem(
+    strategy_id: str,                    # Unique identifier for this backtest
+    legs_premiums: List[np.ndarray],     # Premium series per leg
+    leg_configs: List[Tuple[str, float, int, int]],  # (option_type, strike, quantity, lot_size)
+    entries: np.ndarray,                 # bool entry signals
+    exits: np.ndarray,                   # bool exit signals
+    spread_type: str = "custom",         # Spread type string
+    max_loss: float = None,              # Optional max loss exit
+    target_profit: float = None,         # Optional target profit exit
+)
+```
+
+### batch_spread_backtest
+
+```python
+results = raptorbt.batch_spread_backtest(
+    timestamps: np.ndarray,              # int64 nanosecond timestamps (shared)
+    underlying_close: np.ndarray,        # Underlying close prices (shared)
+    items: List[PyBatchSpreadItem],      # List of spread backtest items
+    config: PyBacktestConfig = None,     # Optional shared config
+) -> List[Tuple[str, PyBacktestResult]]  # (strategy_id, result) pairs
+```
+
+Runs all spread backtests in parallel via Rayon. Timestamps and underlying close are shared across all items and converted once. The GIL is released during execution for maximum Python concurrency.
+
+### simulate_portfolio_mc
+
+```python
+result = raptorbt.simulate_portfolio_mc(
+    returns: List[np.ndarray],               # Per-asset daily returns (N arrays)
+    weights: np.ndarray,                     # Portfolio weights (length N, sum to 1)
+    correlation_matrix: List[np.ndarray],    # N x N correlation matrix
+    initial_value: float,                    # Starting portfolio value
+    n_simulations: int = 10000,              # Number of Monte Carlo paths
+    horizon_days: int = 252,                 # Forward projection horizon in days
+    seed: int = 42,                          # Random seed for reproducibility
+) -> dict
+```
+
+Returns a dictionary with keys: `expected_return`, `probability_of_loss`, `var_95`, `cvar_95`, `percentile_paths`, `final_values`.
+
 ### PyBacktestResult
 
 ```python
@@ -699,6 +861,8 @@ metrics.max_consecutive_wins
 metrics.max_consecutive_losses
 metrics.exposure_pct
 metrics.open_trade_pnl
+metrics.payoff_ratio            # avg win / avg loss (risk/reward per trade)
+metrics.recovery_factor         # net profit / max drawdown (resilience)
 
 # Convert to dictionary (VectorBT format)
 stats_dict = metrics.to_dict()
@@ -833,6 +997,31 @@ MIT License - see [LICENSE](LICENSE) for details.
 
 ## Changelog
 
+### v0.3.3
+
+- Add `batch_spread_backtest` function for running multiple spread backtests in parallel via Rayon
+- Add `PyBatchSpreadItem` class for defining individual items in a batch spread backtest
+- Shared data (timestamps, underlying close) is converted once and reused across all items
+- GIL released during parallel execution for maximum Python concurrency
+- Each item carries its own `strategy_id`, leg configs, signals, spread type, and optional max loss / target profit
+- Returns a list of `(strategy_id, PyBacktestResult)` tuples preserving result-to-input mapping
+
+### v0.3.2
+
+- Add `payoff_ratio` metric to `BacktestMetrics` — average winning trade return divided by average losing trade return (absolute), measures risk/reward per trade
+- Add `recovery_factor` metric to `BacktestMetrics` — net profit divided by maximum drawdown in absolute terms, measures how many times over the strategy recovered from its worst drawdown
+- Both metrics computed in `StreamingMetrics::finalize()` (single-instrument backtest) and `PortfolioEngine` (multi-strategy aggregation)
+- Both metrics exposed via PyO3 as `#[pyo3(get)]` attributes on `PyBacktestMetrics`
+- Handles edge cases: returns `f64::INFINITY` when denominator is zero with positive numerator, `0.0` otherwise
+
+### v0.3.1
+
+- Add Monte Carlo portfolio simulation (`simulate_portfolio_mc`) for forward risk projection
+- Geometric Brownian Motion (GBM) with Cholesky decomposition for correlated multi-asset simulation
+- Rayon-parallelized simulation paths with deterministic seeding (xoshiro256\*\*)
+- Returns percentile paths (P5/P25/P50/P75/P95), VaR, CVaR, expected return, and probability of loss
+- GIL released during simulation for maximum Python concurrency
+
 ### v0.3.0
 
 - Per-instrument configuration via `PyInstrumentConfig` (lot_size, alloted_capital, stop/target overrides)

pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "maturin"
 
 [project]
 name = "raptorbt"
-version = "0.3.1"
+version = "0.3.3"
 description = "High-performance Rust backtesting engine with Python bindings. Drop-in VectorBT replacement with up insanely faster performance at fractional memory footprint."
 readme = "README.md"
 requires-python = ">=3.10"

python/raptorbt/__init__.py

@@ -26,6 +26,9 @@ from raptorbt._raptorbt import (
     run_pairs_backtest,
     run_multi_backtest,
     run_spread_backtest,
+    # Batch backtest
+    PyBatchSpreadItem,
+    batch_spread_backtest,
     # Monte Carlo simulation
     simulate_portfolio_mc,
     # Indicator functions
@@ -43,7 +46,7 @@ from raptorbt._raptorbt import (
     rolling_max,
 )
 
-__version__ = "0.3.1"
+__version__ = "0.3.3"
 
 __all__ = [
     # Config classes
@@ -62,6 +65,9 @@ __all__ = [
     "run_pairs_backtest",
     "run_multi_backtest",
     "run_spread_backtest",
+    # Batch backtest
+    "PyBatchSpreadItem",
+    "batch_spread_backtest",
     # Monte Carlo simulation
     "simulate_portfolio_mc",
     # Indicator functions

src/core/types.rs

@@ -376,6 +376,10 @@ pub struct BacktestMetrics {
     pub avg_holding_period: f64,
     /// Exposure time percentage (time in market).
     pub exposure_pct: f64,
+    /// Payoff ratio (avg win / avg loss).
+    pub payoff_ratio: f64,
+    /// Recovery factor (net profit / max drawdown).
+    pub recovery_factor: f64,
 }
 
 /// Complete backtest result.

src/lib.rs

@@ -44,6 +44,10 @@ fn _raptorbt(_py: Python<'_>, m: &PyModule) -> PyResult<()> {
     m.add_function(wrap_pyfunction!(python::bindings::run_multi_backtest, m)?)?;
     m.add_function(wrap_pyfunction!(python::bindings::run_spread_backtest, m)?)?;
 
+    // Register batch spread backtest
+    m.add_class::<python::bindings::PyBatchSpreadItem>()?;
+    m.add_function(wrap_pyfunction!(python::bindings::batch_spread_backtest, m)?)?;
+
     // Register Monte Carlo simulation
     m.add_function(wrap_pyfunction!(python::bindings::simulate_portfolio_mc, m)?)?;
 

src/metrics/streaming.rs

@@ -513,6 +513,30 @@ impl StreamingMetrics {
         let worst_trade_pct =
             if self.worst_trade_pct == f64::INFINITY { 0.0 } else { self.worst_trade_pct };
 
+        // Payoff ratio: average win / average loss (absolute value)
+        let payoff_ratio = if avg_loss_pct.abs() > 0.0 {
+            avg_win_pct / avg_loss_pct.abs()
+        } else if avg_win_pct > 0.0 {
+            f64::INFINITY
+        } else {
+            0.0
+        };
+
+        // Recovery factor: net profit / max drawdown (absolute value)
+        let net_profit = final_value - initial_capital;
+        let recovery_factor = if self.max_drawdown_pct > 0.0 && initial_capital > 0.0 {
+            let max_dd_absolute = self.max_drawdown_pct / 100.0 * initial_capital;
+            if max_dd_absolute > 0.0 {
+                net_profit / max_dd_absolute
+            } else {
+                0.0
+            }
+        } else if net_profit > 0.0 {
+            f64::INFINITY
+        } else {
+            0.0
+        };
+
         BacktestMetrics {
             total_return_pct,
             sharpe_ratio,
@@ -545,6 +569,8 @@ impl StreamingMetrics {
             max_consecutive_losses: self.max_consecutive_losses,
             avg_holding_period,
             exposure_pct: 0.0, // TODO: calculate based on time in market
+            payoff_ratio,
+            recovery_factor,
         }
     }
 

src/portfolio/engine.rs

@@ -591,6 +591,30 @@ impl PortfolioEngine {
             0.0
         };
 
+        // Payoff ratio: average win / average loss (absolute value)
+        let payoff_ratio = if avg_loss_pct.abs() > 0.0 {
+            avg_win_pct / avg_loss_pct.abs()
+        } else if avg_win_pct > 0.0 {
+            f64::INFINITY
+        } else {
+            0.0
+        };
+
+        // Recovery factor: net profit / max drawdown (absolute value)
+        let net_profit = end_value - start_value;
+        let recovery_factor = if max_drawdown_pct > 0.0 && start_value > 0.0 {
+            let max_dd_absolute = max_drawdown_pct / 100.0 * start_value;
+            if max_dd_absolute > 0.0 {
+                net_profit / max_dd_absolute
+            } else {
+                0.0
+            }
+        } else if net_profit > 0.0 {
+            f64::INFINITY
+        } else {
+            0.0
+        };
+
         BacktestMetrics {
             total_return_pct,
             sharpe_ratio,
@@ -623,6 +647,8 @@ impl PortfolioEngine {
             max_consecutive_losses,
             avg_holding_period,
             exposure_pct,
+            payoff_ratio,
+            recovery_factor,
         }
     }
 

src/python/bindings.rs

@@ -419,6 +419,10 @@ pub struct PyBacktestMetrics {
     pub avg_holding_period: f64,
     #[pyo3(get)]
     pub exposure_pct: f64,
+    #[pyo3(get)]
+    pub payoff_ratio: f64,
+    #[pyo3(get)]
+    pub recovery_factor: f64,
 }
 
 #[pymethods]
@@ -838,6 +842,146 @@ pub fn run_spread_backtest<'py>(
     Ok(convert_result(result))
 }
 
+/// A single spread backtest item for batch execution.
+#[pyclass]
+#[derive(Clone)]
+pub struct PyBatchSpreadItem {
+    #[pyo3(get, set)]
+    pub strategy_id: String,
+    pub legs_premiums: Vec<Vec<f64>>,
+    pub leg_configs: Vec<(String, f64, i32, usize)>,
+    pub entries: Vec<bool>,
+    pub exits: Vec<bool>,
+    #[pyo3(get, set)]
+    pub spread_type: String,
+    #[pyo3(get, set)]
+    pub max_loss: Option<f64>,
+    #[pyo3(get, set)]
+    pub target_profit: Option<f64>,
+}
+
+#[pymethods]
+impl PyBatchSpreadItem {
+    #[new]
+    #[pyo3(signature = (strategy_id, legs_premiums, leg_configs, entries, exits,
+        spread_type="custom", max_loss=None, target_profit=None))]
+    fn new(
+        strategy_id: String,
+        legs_premiums: Vec<PyReadonlyArray1<f64>>,
+        leg_configs: Vec<(String, f64, i32, usize)>,
+        entries: PyReadonlyArray1<bool>,
+        exits: PyReadonlyArray1<bool>,
+        spread_type: &str,
+        max_loss: Option<f64>,
+        target_profit: Option<f64>,
+    ) -> Self {
+        Self {
+            strategy_id,
+            legs_premiums: legs_premiums.into_iter().map(numpy_to_vec_f64).collect(),
+            leg_configs,
+            entries: numpy_to_vec_bool(entries),
+            exits: numpy_to_vec_bool(exits),
+            spread_type: spread_type.to_string(),
+            max_loss,
+            target_profit,
+        }
+    }
+}
+
+/// Run multiple spread backtests in parallel via Rayon.
+///
+/// Shared data (timestamps, underlying_close) is converted once, then each
+/// item is backtested on its own Rayon thread with the GIL released.
+///
+/// Returns a Vec of (strategy_id, PyBacktestResult) tuples.
+#[pyfunction]
+#[pyo3(signature = (timestamps, underlying_close, items, config=None))]
+pub fn batch_spread_backtest(
+    py: Python<'_>,
+    timestamps: PyReadonlyArray1<i64>,
+    underlying_close: PyReadonlyArray1<f64>,
+    items: Vec<PyBatchSpreadItem>,
+    config: Option<&PyBacktestConfig>,
+) -> PyResult<Vec<(String, PyBacktestResult)>> {
+    use rayon::prelude::*;
+
+    // Convert shared data while holding GIL
+    let ts = numpy_to_vec_i64(timestamps);
+    let underlying = numpy_to_vec_f64(underlying_close);
+    let base_config = config.map(|c| BacktestConfig::from(c)).unwrap_or_default();
+
+    // Prepare each item into a self-contained struct for parallel execution
+    struct PreparedItem {
+        strategy_id: String,
+        premiums: Vec<Vec<f64>>,
+        entries: Vec<bool>,
+        exits: Vec<bool>,
+        spread_config: SpreadConfig,
+    }
+
+    let prepared: Vec<PreparedItem> = items
+        .into_iter()
+        .map(|item| {
+            let rust_leg_configs: Vec<LegConfig> = item
+                .leg_configs
+                .into_iter()
+                .map(|(opt_type, strike, quantity, lot_size)| {
+                    let option_type =
+                        SpreadOptionType::from_str(&opt_type).unwrap_or(SpreadOptionType::Call);
+                    LegConfig::new(option_type, strike, quantity, lot_size)
+                })
+                .collect();
+
+            let spread_type_enum = match item.spread_type.to_lowercase().as_str() {
+                "straddle" => SpreadType::Straddle,
+                "strangle" => SpreadType::Strangle,
+                "vertical_call" | "verticalcall" => SpreadType::VerticalCall,
+                "vertical_put" | "verticalput" => SpreadType::VerticalPut,
+                "iron_condor" | "ironcondor" => SpreadType::IronCondor,
+                "iron_butterfly" | "ironbutterfly" => SpreadType::IronButterfly,
+                "butterfly_call" | "butterflycall" => SpreadType::ButterflyCall,
+                "butterfly_put" | "butterflyput" => SpreadType::ButterflyPut,
+                "calendar" => SpreadType::Calendar,
+                "diagonal" => SpreadType::Diagonal,
+                _ => SpreadType::Custom,
+            };
+
+            let spread_config = SpreadConfig {
+                base: base_config.clone(),
+                spread_type: spread_type_enum,
+                leg_configs: rust_leg_configs.clone(),
+                max_loss: item.max_loss,
+                target_profit: item.target_profit,
+                close_at_eod: false,
+            };
+
+            PreparedItem {
+                strategy_id: item.strategy_id,
+                premiums: item.legs_premiums,
+                entries: item.entries,
+                exits: item.exits,
+                spread_config,
+            }
+        })
+        .collect();
+
+    // Release GIL and run all backtests in parallel via Rayon
+    let results: Vec<(String, crate::core::types::BacktestResult)> = py.allow_threads(|| {
+        prepared
+            .into_par_iter()
+            .map(|item| {
+                let backtest = SpreadBacktest::new(item.spread_config);
+                let result =
+                    backtest.run(&ts, &underlying, &item.premiums, &item.entries, &item.exits);
+                (item.strategy_id, result)
+            })
+            .collect()
+    });
+
+    // Re-acquire GIL and convert results to Python objects
+    Ok(results.into_iter().map(|(id, result)| (id, convert_result(result))).collect())
+}
+
 /// Run multi-strategy backtest.
 #[pyfunction]
 #[pyo3(signature = (timestamps, open, high, low, close, volume, strategies, config=None, combine_mode="any"))]
@@ -1203,6 +1347,8 @@ fn convert_result(result: crate::core::types::BacktestResult) -> PyBacktestResul
         max_consecutive_losses: result.metrics.max_consecutive_losses,
         avg_holding_period: result.metrics.avg_holding_period,
         exposure_pct: result.metrics.exposure_pct,
+        payoff_ratio: result.metrics.payoff_ratio,
+        recovery_factor: result.metrics.recovery_factor,
     };
 
     let trades: Vec<PyTrade> = result