Root cause: _generate_signals() iterated all bars calling strategy.next()
but never updated _position_size or _cash on the strategy. Strategies
that check self.position['size'] before buy/sell always saw 0, producing
only BUY signals with no SELL — exhausting cash and producing drawdowns
exceeding 100%.
Fix: add _update_strategy_position() that estimates position changes
after each bar's signals using close price. This gives the strategy an
accurate view of its holdings so it can correctly alternate buy/sell.
Regression tests added:
- test_position_aware_buy_sell_alternation: verifies BUY/SELL alternation
- test_position_aware_no_duplicate_buys: no suspicious tiny duplicate buys
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
- Implement BacktestEngine orchestrator with 4-step pipeline:
1. Signal generation (Strategy)
2. Order simulation (OrderSimulator)
3. Portfolio tracking (PortfolioTracker)
4. Performance analysis (PerformanceAnalyzer)
- Support both strategy class and instance initialization
- Add PnL calculation for sell trades
- Add JSON serialization with numpy/timestamp support
- Include comprehensive test coverage (12 tests, all passing)
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
