optionstratlib-backtest

Strategy backtests over simulated paths for OptionStratLib: a strategy is evaluated on every path of a simulator, each path ends by an exit policy, and the run is summarised with its statistics, report types and metrics. The crate depends on optionstratlib-core, optionstratlib-pricing, optionstratlib-simulation, optionstratlib-analytics and optionstratlib-strategies, and on no option-chain I/O, plotting or async code.

Place in the workspace

• Depends on optionstratlib-core, optionstratlib-pricing, optionstratlib-simulation, optionstratlib-analytics and optionstratlib-strategies.
• Must not depend on optionstratlib-visualization; make check-graph enforces the layering (ADR-0001 D9).
• In the facade: optionstratlib::backtesting and BacktestError in optionstratlib::error, under the facade feature backtest. The facade paths are the same types as the paths here; the ownership map lists every one with its feature.

Moving from 0.21? The 0.22 architecture and adoption guide maps each redesign to its replacement workflow; 0.22 keeps no compatibility with 0.21.

Minimal example

use optionstratlib_backtest::backtesting::SimulationStatsResult;

fn main() {
    // A run's statistics start empty; `Simulate::simulate` fills them from a
    // `Simulator`'s paths (see the runnable example below).
    let stats = SimulationStatsResult::default();
    assert_eq!(stats.total_simulations, 0);
}

Runnable example

A runnable program that depends on this crate directly, with the smallest dependency set and no facade, is osl-example-direct-backtest; make tree-example-direct-backtest asserts its resolved graph.

Features

License

MIT