Backtesting Engine

PHASE 5

Event-driven daily backtests with costs, slippage and full performance stats.

Planned capabilities

›Event-driven daily loop with cash, holdings and mark-to-market equity accounting.
›Costs in basis points per trade plus slippage, rebalance frequency and a leverage cap.
›Optional stop-loss and take-profit overlay.
›Configurable demo strategies: buy and hold, moving-average crossover, volatility targeting, momentum top-N.
›Equity curve versus benchmark, drawdowns, monthly return heatmap, rolling Sharpe and turnover.
›Full metrics table, trade blotter and a cost-sensitivity sweep from 0 to 50 basis points.

Data readiness

datasets available in the workspace.

Status

This module is scaffolded and wired into the workspace. It will be built out in phase 5, using the shared math library and the datasets you generate or upload.