rustrade-backtest

Deterministic backtest engine for rustrade Brains. The same Brain trait used by rustrade for live trading drives the backtest — no special "backtest-mode" code paths in the strategy, no duplicate decision logic to keep in sync.

What's in this crate

Type	Purpose
`Backtest`	The replay loop — feeds candles to a `Brain` and accumulates fills
`BacktestConfig`	Symbols, sizing config, slippage / fee models, initial cash, Sharpe annualisation
`SlippageModel`	`Zero`, `FixedBps`. Applied between the brain's signal and the simulated fill price
`FeeModel`	`Zero`, `Flat`, `MakerTaker`. Applied to every simulated fill
`load_csv` / `load_csv_str`	CSV → `Vec<Candle>` with a fixed `time,open,high,low,close,volume` layout
`sort_chronological`	Stable ascending-time sort for loaders that hand you newest-first
`BacktestResult`	Final stats: return %, win rate, max drawdown, equity curve, Sharpe, Sortino, # trades

Quickstart

use std::sync::Arc;
use rustrade_backtest::{Backtest, BacktestConfig, FeeModel, SlippageModel, load_csv};

let candles = load_csv("data/btcusdt-1m.csv")?;
let result = Backtest::new(
    BacktestConfig::builder()
        .symbol("BTCUSDT")
        .initial_cash(10_000.0)
        .slippage(SlippageModel::FixedBps(5.0))
        .fees(FeeModel::Flat(0.001))
        .periods_per_year(252 * 24 * 60) // per-minute Sharpe
        .build()?,
    Arc::new(MySmaCrossBrain::new()),
)
.with_candles(candles)
.run()
.await?;

println!("{}", result.summary());
println!("sharpe : {:?}", result.sharpe_ratio());
println!("sortino: {:?}", result.sortino_ratio());

Multi-symbol replay

For portfolio strategies, attach a candle series per symbol. The engine merges all series chronologically before replay and maintains independent Position state per symbol against a single shared cash balance.

let result = Backtest::new(
    BacktestConfig::builder()
        .symbols(["BTCUSDT", "ETHUSDT"])
        .initial_cash(100_000.0)
        .build()?,
    Arc::new(MyPortfolioBrain::new()),
)
.with_symbol_candles("BTCUSDT", load_csv("data/btc.csv")?)
.with_symbol_candles("ETHUSDT", load_csv("data/eth.csv")?)
.run()
.await?;

Brain parity

Any impl rustrade_core::Brain that runs through the live rustrade::Bot runs in this engine unchanged. See tests/sma_replay.rs for the regression test that pins this down: the same brain emits the same sequence of decisions for the same candle series in both code paths.

Status

Phase 4b — adds CSV candle loader, Sharpe / Sortino, and multi-symbol replay. Parquet loaders and book-walk slippage remain deferred. See the workspace TODO.md.

Licence

MIT.