Commit Graph
3 Commits
Author SHA1 Message Date
Justin Gu 1e99feb7c2 feat: multi-factor combo backtest engine (v1.9.0)
- Add backtest/combo.py: CombinationRunner, extract_factor_signals, combine_masks
- Signal merge modes: AND / OR / MAJORITY (majority default)
- CLI: --combo-strategies and --combo-mode for easy-tdx backtest
- run_all_strategies.py: --combo 2 --combo 3 auto-screen best combos
- Fix MyTT MFI/CR divide-by-zero RuntimeWarning
- 14 new unit tests, 328 total passing
2026-06-10 01:37:28 +08:00
GitHubandClaude Opus 4.8 706f22ba5e feat(backtest): add DSL strategy skeleton and update __init__.py exports
- Add dsl_strategy decorator in dsl.py (P1 skeleton implementation)
- Update __init__.py to export BacktestEngine, Strategy, and related types
- All 106 backtest unit tests pass

Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
2026-06-09 18:12:38 +08:00
GitHubandClaude Opus 4.8 f37b75ea42 feat(backtest): add core data types (Signal/Trade/Position/BacktestResult)
- Add Signal dataclass for trading signals with optional price/stop_loss/take_profit
- Add Trade dataclass for executed trades with commission/slippage/pnl/rejected
- Add Position dataclass for position snapshots (long/short/flat)
- Add BacktestResult dataclass with to_dict()/to_json()/summary() methods
- Add comprehensive unit tests (13 test cases, 100% pass)
- All code passes mypy strict, ruff lint+format checks

Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
2026-06-09 16:43:44 +08:00