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Fix Backtest correctness issues and build guided documentation - #119
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stefan-jansen merged 24 commits intoSep 24, 2026
Merged
stefan-jansen merged 24 commits into
stefan-jansen merged 24 commits into
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Submit risk-tagged reduction orders once per continuous drawdown breach and reject unsupported reduce settings at construction. Preserve broker state if order submission fails, and document the configured fraction. Closes #103.
Derive timestamp dtypes from recorded events and use the equity timeline for empty exports. Keep fills joinable to the original feed across aware and naive timestamp settings. Closes #104.
Calculate commission once for the executed quantity, then allocate it between the closing and opening portions for trade accounting. Document estimate calls and require side-effect-free commission models. Closes #105.
Run cash and margin estimates on independent model copies, reserve one fee for flip orders, and leave rejected estimates out of a stateful model's execution count. Refs #105.
Apply validated timestamped funding to perpetual positions before orders and strategy callbacks, and preserve the payments in results and artifacts. Closes #106.
Group validated daily price bars by explicit session date for causal cross-sectional decisions while keeping each later fill at its real bar time. Closes #107.
Ship synthetic price panels for equities, ETFs, futures, FX, and crypto perpetuals and check their recorded outcomes against an installed wheel. Closes #108.
Replace the trend-only buy-and-hold output with an installed-wheel example that records two next-bar fills, one closed trade, and reconciled equity. Closes #109.
Execute one fixed strategy under market, limit, stop, and timing settings, and correct the order reference to match observed fill sources. Closes #110.
Show signal-to-weight decisions for equities, ETFs, futures, and USD-quoted FX, including separate futures closes and causal session fills. Closes #111.
Refs #115; retained parity evidence needs refresh after engine changes.
Regenerated the full 66-pair passing matrix against the current engine source.
This was referenced Sep 24, 2026
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stefan-jansen
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September 24, 2026 05:59
stefan-jansen
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September 24, 2026 08:55
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Scope
Resolve milestone 6 correctness defects and provide an executable, example-led Backtest guide. The milestone plan remains in the private development sidecar; this PR contains the public implementation and validation artifacts.
Progress
Verification
Issue closure on merge
Closes #103
Closes #104
Closes #105
Closes #106
Closes #107
Closes #108
Closes #109
Closes #110
Closes #111
Closes #112
Closes #113
Closes #114
Closes #115
Closes #116
Closes #117
Issue #118 remains open until the release artifact and deployed documentation are verified under the separate publication approvals.