Struct BacktestConfig 

#[non_exhaustive]
pub struct BacktestConfig {

    pub initial_capital: f64,
    pub commission: f64,
    pub commission_pct: f64,
    pub slippage_pct: f64,
    pub position_size_pct: f64,
    pub max_positions: Option<usize>,
    pub allow_short: bool,
    pub min_signal_strength: f64,
    pub stop_loss_pct: Option<f64>,
    pub take_profit_pct: Option<f64>,
    pub close_at_end: bool,
    pub risk_free_rate: f64,
    pub trailing_stop_pct: Option<f64>,
    pub reinvest_dividends: bool,
    pub bars_per_year: f64,
    pub spread_pct: f64,
    pub transaction_tax_pct: f64,
    pub commission_fn: Option<CommissionFn>,
}

Configuration for backtest execution.

Use BacktestConfig::builder() to construct with the builder pattern.

Example

use finance_query::backtesting::BacktestConfig;

let config = BacktestConfig::builder()
    .initial_capital(50_000.0)
    .commission_pct(0.001)
    .slippage_pct(0.0005)
    .allow_short(true)
    .stop_loss_pct(0.05)
    .take_profit_pct(0.10)
    .build()
    .unwrap();

Fields (Non-exhaustive)

Non-exhaustive structs could have additional fields added in future. Therefore, non-exhaustive structs cannot be constructed in external crates using the traditional Struct { .. } syntax; cannot be matched against without a wildcard ..; and struct update syntax will not work.

initial_capital: f64

Initial portfolio capital in base currency

commission: f64

Commission per trade (flat fee)

commission_pct: f64

Commission as percentage of trade value (0.0 - 1.0)

slippage_pct: f64

Slippage as percentage of price (0.0 - 1.0)

position_size_pct: f64

Position sizing: fraction of equity per trade (0.0 - 1.0)

max_positions: Option<usize>

Maximum number of concurrent positions (None = unlimited)

allow_short: bool

Allow short selling

min_signal_strength: f64

Require signal strength threshold to trigger trades (0.0 - 1.0)

stop_loss_pct: Option<f64>

Stop-loss percentage (0.0 - 1.0). Auto-exit if loss exceeds this.

take_profit_pct: Option<f64>

Take-profit percentage (0.0 - 1.0). Auto-exit if profit exceeds this.

close_at_end: bool

Close any open position at end of backtest

risk_free_rate: f64

Annual risk-free rate for Sharpe/Sortino/Calmar ratio calculations (0.0 - 1.0).

Defaults to 0.0. Use the current T-bill rate for accurate ratios (e.g. 0.05 for 5% annual). Converted to a per-period rate internally.

trailing_stop_pct: Option<f64>

Trailing stop percentage (0.0 - 1.0).

For long positions: tracks the peak (highest) price since entry and triggers an exit when the price drops this fraction below the peak.

For short positions: tracks the trough (lowest) price since entry and triggers an exit when the price rises this fraction above the trough.

Checked before strategy signals each bar, same as stop_loss_pct and take_profit_pct. Exit slippage is applied.

reinvest_dividends: bool

When true, dividend income received during a holding period is notionally reinvested: the income is included in the trade’s P&L as if additional shares were purchased at the dividend ex-date close price.

When false (default), dividend income is simply added to P&L at close. In both cases the dividend amount is recorded on the Trade for reporting.

bars_per_year: f64

Number of bars per calendar year, used for annualising returns and ratios.

Defaults to 252.0 (US equity daily bars). Set to 52.0 for weekly bars, 12.0 for monthly, or 252.0 * 6.5 (≈ 1638) for hourly bars. This affects annualised return, Sharpe, Sortino, Calmar, and all benchmark metrics.

spread_pct: f64

Symmetric bid-ask spread as a fraction of price (0.0 – 1.0).

On each fill, half the spread widens the entry price adversely and half widens the exit price adversely (independent of slippage_pct, which models directional market impact). For example, a 0.0002 spread (2 bps) costs 1 bp on entry and 1 bp on exit.

Defaults to 0.0.

transaction_tax_pct: f64

Transaction tax as a fraction of trade value, applied on buy orders only (0.0 – 1.0).

Models jurisdiction-specific purchase taxes such as the UK Stamp Duty Reserve Tax (0.5 %). Applied on:

• Long entries (buying shares)
• Short exits (covering the short — i.e. buying to close)

Defaults to 0.0.

commission_fn: Option<CommissionFn>

Custom commission function f(size, price) -> commission.

When Some, replaces the flat commission + percentage commission_pct fields. The function receives the fill quantity (size) and the fill price (price) and must return the total commission amount in the same currency as initial_capital.

Not serialized — reconstruct after deserialization if needed.

Implementations

impl BacktestConfig

pub fn zero_cost() -> Self

Create a zero-cost configuration with no commission, slippage, spread, or tax.

Useful for unit tests and frictionless benchmark comparisons. All other fields use the same defaults as BacktestConfig::default().

pub fn builder() -> BacktestConfigBuilder

Create a new builder

pub fn validate(&self) -> Result<()>

Validate configuration parameters

pub fn calculate_commission(&self, size: f64, price: f64) -> f64

Calculate commission for a fill.

When commission_fn is set it takes precedence over the flat commission + percentage commission_pct fields.

pub fn apply_entry_slippage(&self, price: f64, is_long: bool) -> f64

Apply slippage to a price (for entry).

pub fn apply_exit_slippage(&self, price: f64, is_long: bool) -> f64

Apply slippage to a price (for exit).

pub fn apply_entry_spread(&self, price: f64, is_long: bool) -> f64

Apply the bid-ask spread to an entry fill price (half-spread adverse).

Long entries pay the ask (price rises by spread_pct / 2); short entries receive the bid (price falls by spread_pct / 2).

pub fn apply_exit_spread(&self, price: f64, is_long: bool) -> f64

Apply the bid-ask spread to an exit fill price (half-spread adverse).

Long exits receive the bid (price falls by spread_pct / 2); short exits pay the ask (price rises by spread_pct / 2).

pub fn calculate_transaction_tax(&self, trade_value: f64, is_buy: bool) -> f64

Calculate the transaction tax on a fill.

Tax applies only to buy orders (is_buy = true):

• Long entries (opening a long position)
• Short exits (covering a short position)

Returns 0.0 for all sell orders.

pub fn calculate_position_size(&self, available_capital: f64, price: f64) -> f64

Calculate position size based on available capital.

price must be the fully-adjusted entry price (after slippage and spread) so that subsequent fill guards (entry_value + costs > cash) do not over-allocate capital.

When commission_fn is set the commission component cannot be analytically solved for, so only spread and transaction-tax fractions are deducted from the denominator; the fill-rejection guard catches any remaining over-allocation.

Trait Implementations

impl Clone for BacktestConfig

fn clone(&self) -> BacktestConfig

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for BacktestConfig

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Default for BacktestConfig

fn default() -> Self

Returns the “default value” for a type.

impl<'de> Deserialize<'de> for BacktestConfig

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Serialize for BacktestConfig

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.