porcelaincodeandporcelaincode
fa6959bb99
Adds a full tick-level backtest path that operates on raw tick arrays (ltp, bid, ask, per-tick buy/sell qty deltas, oi) plus caller-computed entry/exit signal bool arrays. Entry fills at ask+slippage; stop/target checked against ltp on every tick; max-hold-seconds time exit; cooldown between entries. Produces identical BacktestMetrics as run_single_backtest via the new compute_backtest_metrics free fn. 5 Rust unit tests: target-hit, stop-hit, time-exit, multi-trade-with-cooldown, empty-ticks edge case — all pass (138 total, 0 failed). Co-Authored-By: porcelaincode <contact@alphabench.in>
20 lines
498 B
Rust
20 lines
498 B
Rust
//! Strategy implementations for different backtest types.
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pub mod basket;
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pub mod multi;
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pub mod options;
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pub mod pairs;
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pub mod single;
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pub mod spreads;
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pub mod tick;
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pub use basket::BasketBacktest;
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pub use multi::MultiStrategyBacktest;
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pub use options::OptionsBacktest;
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pub use pairs::PairsBacktest;
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pub use single::SingleBacktest;
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pub use spreads::{
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LegConfig, OptionType as SpreadOptionType, SpreadBacktest, SpreadConfig, SpreadType,
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};
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pub use tick::{TickBacktest, TickBacktestConfig};
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