finance_query/backtesting/
mod.rs

1//! Backtesting engine for trading strategy simulation.
2//!
3//! This module provides a complete backtesting framework with:
4//! - Expression-based strategy builder for custom entry/exit conditions
5//! - Pre-built strategies (SMA, RSI, MACD, Bollinger, SuperTrend, Donchian)
6//! - Full technical indicator coverage (40+ indicators)
7//! - Position tracking with long/short support
8//! - Stop-loss, take-profit, and trailing stop management
9//! - Comprehensive performance metrics
10//!
11//! # Quick Start
12//!
13//! ```no_run
14//! use finance_query::{Ticker, Interval, TimeRange};
15//! use finance_query::backtesting::{SmaCrossover, BacktestConfig};
16//!
17//! # async fn example() -> Result<(), Box<dyn std::error::Error>> {
18//! let ticker = Ticker::new("AAPL").await?;
19//! let result = ticker.backtest(
20//!     SmaCrossover::new(10, 20),
21//!     Interval::OneDay,
22//!     TimeRange::OneYear,
23//!     None,
24//! ).await?;
25//!
26//! println!("Return: {:.2}%", result.metrics.total_return_pct);
27//! println!("Sharpe: {:.2}", result.metrics.sharpe_ratio);
28//! println!("Max Drawdown: {:.2}%", result.metrics.max_drawdown_pct * 100.0);
29//! # Ok(())
30//! # }
31//! ```
32//!
33//! # Custom Strategies with StrategyBuilder
34//!
35//! Build custom strategies using the fluent builder API:
36//!
37//! ```ignore
38//! use finance_query::backtesting::StrategyBuilder;
39//! use finance_query::backtesting::refs::*;
40//! use finance_query::backtesting::condition::*;
41//!
42//! let strategy = StrategyBuilder::new("RSI Mean Reversion")
43//!     .entry(
44//!         rsi(14).crosses_below(30.0)
45//!             .and(price().above_ref(sma(200)))
46//!     )
47//!     .exit(
48//!         rsi(14).crosses_above(70.0)
49//!             .or(stop_loss(0.05))
50//!     )
51//!     .build();
52//! ```
53//!
54//! # Configuration
55//!
56//! ```no_run
57//! use finance_query::backtesting::BacktestConfig;
58//!
59//! let config = BacktestConfig::builder()
60//!     .initial_capital(50_000.0)
61//!     .commission_pct(0.001)      // 0.1% per trade
62//!     .slippage_pct(0.0005)       // 0.05% slippage
63//!     .stop_loss_pct(0.05)        // 5% stop-loss
64//!     .take_profit_pct(0.15)      // 15% take-profit
65//!     .allow_short(true)
66//!     .build()
67//!     .unwrap();
68//! ```
69//!
70//! # Pre-built Strategies
71//!
72//! | Strategy | Parameters | Description |
73//! |----------|------------|-------------|
74//! | [`SmaCrossover`] | fast, slow periods | Dual SMA crossover |
75//! | [`RsiReversal`] | period, oversold, overbought | Mean reversion on RSI |
76//! | [`MacdSignal`] | fast, slow, signal periods | MACD line crossover |
77//! | [`BollingerMeanReversion`] | period, std_dev | Buy at lower band |
78//! | [`SuperTrendFollow`] | period, multiplier | Trend following |
79//! | [`DonchianBreakout`] | period | Channel breakout |
80//!
81//! # Available Indicators
82//!
83//! The strategy builder supports all indicators via [`refs`]:
84//!
85//! - **Moving Averages**: `sma`, `ema`, `wma`, `dema`, `tema`, `hma`, `vwma`, `alma`, `mcginley`
86//! - **Oscillators**: `rsi`, `stochastic`, `stochastic_rsi`, `cci`, `williams_r`, `cmo`, `awesome_oscillator`
87//! - **Trend**: `macd`, `adx`, `aroon`, `supertrend`, `ichimoku`, `parabolic_sar`
88//! - **Volatility**: `atr`, `bollinger`, `keltner`, `donchian`, `choppiness_index`
89//! - **Volume**: `obv`, `vwap`, `mfi`, `cmf`, `chaikin_oscillator`, `accumulation_distribution`, `balance_of_power`
90//!
91//! # Available Conditions
92//!
93//! Build conditions via [`condition`]:
94//!
95//! - **Comparisons**: `above()`, `below()`, `crosses_above()`, `crosses_below()`, `between()`, `equals()`
96//! - **Composites**: `and()`, `or()`, `not()`
97//! - **Position Management**: `stop_loss()`, `take_profit()`, `trailing_stop()`, `trailing_take_profit()`
98//! - **Position State**: `has_position()`, `no_position()`, `is_long()`, `is_short()`, `in_profit()`, `in_loss()`
99
100pub mod comparison;
101pub mod condition;
102mod config;
103mod engine;
104mod error;
105pub mod monte_carlo;
106pub mod optimizer;
107pub mod portfolio;
108mod position;
109pub mod refs;
110pub mod resample;
111mod result;
112mod signal;
113pub mod strategy;
114pub mod walk_forward;
115
116// Re-export main types
117pub use config::{BacktestConfig, BacktestConfigBuilder};
118pub use engine::BacktestEngine;
119pub use error::{BacktestError, Result};
120pub use position::{Position, PositionSide, Trade};
121pub use result::{BacktestResult, BenchmarkMetrics, EquityPoint, PerformanceMetrics, SignalRecord};
122pub use signal::{
123    OrderType, PendingOrder, Signal, SignalDirection, SignalMetadata, SignalStrength,
124};
125
126// Re-export strategy types
127pub use strategy::{Strategy, StrategyContext};
128
129// Re-export strategy builder
130pub use strategy::StrategyBuilder;
131
132// Re-export pre-built strategies
133pub use strategy::{
134    BollingerMeanReversion, DonchianBreakout, MacdSignal, RsiReversal, SmaCrossover,
135    SuperTrendFollow,
136};
137
138// Re-export ensemble types
139pub use strategy::{EnsembleMode, EnsembleStrategy};
140
141// Re-export optimiser types for convenience
142pub use optimizer::{
143    BayesianSearch, GridSearch, OptimizationReport, OptimizationResult, OptimizeMetric, ParamRange,
144    ParamValue,
145};
146
147// Re-export walk-forward types
148pub use walk_forward::{WalkForwardConfig, WalkForwardReport, WindowResult};
149
150// Re-export Monte Carlo types
151pub use monte_carlo::{MonteCarloConfig, MonteCarloMethod, MonteCarloResult, PercentileStats};
152
153// Re-export comparison types
154pub use comparison::{BacktestComparison, ComparisonReport, ComparisonRow};
155
156// Re-export resample utility
157pub use resample::resample;
finance_query/backtesting/mod.rs

finance_query/backtesting/
mod.rs
