Module backtesting 

Strategy backtests over simulated paths: evaluation, statistics, reports and metrics. Backtesting

classDiagram
direction LR
    class BacktestResult {
        +GeneralPerformanceMetrics general_performance
        +OptionsSpecificMetrics options_metrics
        +TradeStatistics trade_statistics
        +DrawdownAnalysis drawdown_analysis
        +CapitalUtilization capital_utilization
        +TimeSeriesData time_series
        +Vec~TradeRecord~ trades
        +MarketConditionMetrics? market_conditions
        +VolatilityData? volatility_data
        +AdvancedRiskMetrics? risk_metrics
        +SimulationResult? monte_carlo_simulation
        +String strategy_name
        +DateTime test_period_start
        +DateTime test_period_end
        +Decimal initial_capital
        +Decimal final_capital
        +HashMap custom_metrics
    }

    class GeneralPerformanceMetrics {
        +Decimal total_return
        +Decimal annualized_return
        +Positive? volatility
        +Positive? downside_deviation
        +Decimal? sharpe_ratio
        +Decimal? sortino_ratio
        +Decimal? calmar_ratio
        +Decimal? win_rate
        +Decimal? profit_factor
        +Decimal? avg_gain
        +Decimal? avg_loss
        +Decimal? gain_loss_ratio
    }

    class OptionsSpecificMetrics {
        +Decimal? return_on_margin
        +Decimal? return_on_premium
        +Decimal? premium_capture
        +Decimal? avg_delta_exposure
        +Decimal? avg_gamma_exposure
        +Decimal? avg_theta_exposure
        +Decimal? avg_vega_exposure
        +Decimal? avg_vanna_exposure
        +Decimal? avg_vomma_exposure
        +Decimal? avg_veta_exposure
        +Decimal? avg_charm_exposure
        +Decimal? avg_color_exposure
        +Decimal? calls_percentage
        +Decimal? puts_percentage
        +Decimal? long_percentage
        +Decimal? short_percentage
    }

    class TradeStatistics {
        +usize number_of_trades
        +usize winners
        +usize losers
        +usize break_even
        +Decimal average_trade_return
        +Decimal median_trade_return
        +Decimal? largest_win
        +Decimal? largest_loss
        +Positive average_holding_period
        +Positive median_holding_period
        +Positive min_holding_period
        +Positive max_holding_period
        +usize long_trades
        +usize short_trades
        +usize call_trades
        +usize put_trades
        +usize spread_trades
    }

    class DrawdownAnalysis {
        +Decimal max_drawdown
        +Positive max_drawdown_duration
        +Positive? recovery_duration
        +Positive time_to_max_drawdown
        +Vec~DrawdownEvent~ drawdowns
        +Decimal avg_drawdown
        +Positive? avg_recovery_time
        +Positive total_underwater_days
        +Decimal underwater_percentage
    }

    class CapitalUtilization {
        +Decimal max_capital_used
        +Decimal avg_capital_used
        +Decimal capital_efficiency
        +Decimal total_margin_used
        +Decimal max_margin_used
        +Decimal avg_margin_used
        +Decimal total_premium_paid
        +Decimal total_premium_received
        +Decimal net_premium
        +Decimal max_position_size
        +Decimal avg_position_size
    }

    class TimeSeriesData {
        +Vec timestamps
        +Vec equity_curve
        +Vec drawdown_curve
        +Vec margin_usage
        +Vec position_count
        +Vec? delta_exposure
        +Vec? gamma_exposure
        +Vec? theta_exposure
        +Vec? vega_exposure
        +Vec? vanna_exposure
        +Vec? vomma_exposure
        +Vec? veta_exposure
        +Vec? charm_exposure
        +Vec? color_exposure
        +HashMap custom_series
        +new(capacity)
        +add_data_point()
        +add_greeks()
        +add_custom_metric()
    }

    class TradeRecord {
        +Uuid id
        +DateTime entry_date
        +DateTime? exit_date
        +Positive? duration
        +Uuid? strategy
        +Position position
        +Decimal? exit_price
        +Decimal? slippage
        +Decimal? profit_loss
        +Decimal? return_percentage
        +Decimal? margin_required
        +ExitReason? exit_reason
        +String? notes
        +GreeksSnapshot? entry_greeks
        +GreeksSnapshot? exit_greeks
    }

    class MarketConditionMetrics {
        +Positive bull_market_days
        +Positive bear_market_days
        +Positive sideways_market_days
        +Positive high_volatility_days
        +Positive low_volatility_days
        +Decimal? avg_market_volatility
    }

    class VolatilityData {
        +bool implied_volatility_used
        +Decimal? avg_iv_traded
        +Decimal? iv_percentile_traded
        +Decimal? iv_rank_traded
    }

    class AdvancedRiskMetrics {
        +Decimal? value_at_risk_95
        +Decimal? value_at_risk_99
        +Decimal? expected_shortfall
        +Decimal? tail_ratio
        +usize max_consecutive_losses
        +Decimal? ulcer_index
        +Decimal? pain_index
    }

    class SimulationResult {
        +usize simulation_count
        +RiskMetricsSimulation risk_metrics
        +HashMap final_equity_percentiles
        +Vec? sample_paths
    }

    class CustomMetrics {
        String to Decimal mapping
    }

    class RollingMetrics {
        +Positive window_size
        +Vec timestamps
        +Vec rolling_returns
        +Vec rolling_volatility
        +Vec rolling_sharpe
        +Vec rolling_sortino
        +Vec rolling_win_rate
    }

    class BenchmarkComparison {
        +String benchmark_name
        +Decimal benchmark_return
        +Decimal alpha
        +Decimal beta
        +Decimal correlation
        +Decimal tracking_error
        +Decimal? information_ratio
        +Decimal? up_capture
        +Decimal? down_capture
    }

    class DrawdownEvent {
        +NaiveDateTime start_date
        +NaiveDateTime bottom_date
        +NaiveDateTime? recovery_date
        +Decimal magnitude
        +Positive duration
        +Positive? recovery_duration
    }

    class RiskMetricsSimulation {
    }

    class EquityPercentiles {
        u8 to Decimal mapping
    }

    class SamplePaths {
        Vec of Vec of Decimal
    }

    class GreeksSnapshot {
    }

    class Position {
    }

    class ExitReason {
        TargetReached
        StopLoss
        Expiration
        RollOver
        ManualClose
        MarginCall
        Other(String)
    }

    class CustomSeries {
        String to Vec mapping
    }

    class TimestampSeries {
        Vec of DateTime
    }

    class EquityCurve {
        Vec of Decimal
    }

    class DrawdownCurve {
        Vec of Decimal
    }

    class MarginUsage {
        Vec of Decimal
    }

    class PositionCount {
        Vec of usize
    }

    class GreeksExposure {
        Vectors of Delta, Gamma, Theta, Vega, Vanna, Vomma, Veta, Charm, Color
    }

    class WindowSize {
        Positive value
    }

    class RollingTimestamps {
        Vec of NaiveDateTime
    }

    class RollingReturns {
        Vec of Decimal
    }

    class RollingVolatility {
        Vec of Decimal
    }

    class RollingSharpe {
        Vec of Decimal
    }

    class RollingSortino {
        Vec of Decimal
    }

    class RollingWinRate {
        Vec of Decimal
    }

    <<abstract>> CustomMetrics
    <<abstract>> EquityPercentiles
    <<abstract>> SamplePaths
    <<enumeration>> ExitReason
    <<abstract>> CustomSeries
    <<abstract>> TimestampSeries
    <<abstract>> EquityCurve
    <<abstract>> DrawdownCurve
    <<abstract>> MarginUsage
    <<abstract>> PositionCount
    <<abstract>> GreeksExposure
    <<abstract>> WindowSize
    <<abstract>> RollingTimestamps
    <<abstract>> RollingReturns
    <<abstract>> RollingVolatility
    <<abstract>> RollingSharpe
    <<abstract>> RollingSortino
    <<abstract>> RollingWinRate

    BacktestResult *-- GeneralPerformanceMetrics
    BacktestResult *-- OptionsSpecificMetrics
    BacktestResult *-- TradeStatistics
    BacktestResult *-- DrawdownAnalysis
    BacktestResult *-- CapitalUtilization
    BacktestResult *-- TimeSeriesData
    BacktestResult *-- TradeRecord : many
    BacktestResult o-- MarketConditionMetrics : optional
    BacktestResult o-- VolatilityData : optional
    BacktestResult o-- AdvancedRiskMetrics : optional
    BacktestResult o-- SimulationResult : monte_carlo
    BacktestResult o-- CustomMetrics : key-value pairs
    RollingMetrics --o BacktestResult : calculated from
    BenchmarkComparison --o BacktestResult : compared to
    DrawdownAnalysis *-- DrawdownEvent : many
    SimulationResult *-- RiskMetricsSimulation
    SimulationResult o-- EquityPercentiles : percentile map
    SimulationResult o-- SamplePaths : optional
    TradeRecord o-- GreeksSnapshot : entry_greeks
    TradeRecord o-- GreeksSnapshot : exit_greeks
    TradeRecord o-- Position : position details
    TradeRecord o-- ExitReason : reason for exit
    TimeSeriesData o-- CustomSeries : name-values map
    TimeSeriesData o-- TimestampSeries : date points
    TimeSeriesData o-- EquityCurve : values over time
    TimeSeriesData o-- DrawdownCurve : values over time
    TimeSeriesData o-- MarginUsage : values over time
    TimeSeriesData o-- PositionCount : count over time
    TimeSeriesData o-- GreeksExposure : optional
    RollingMetrics o-- WindowSize : period length
    RollingMetrics o-- RollingTimestamps : period dates
    RollingMetrics o-- RollingReturns : values over periods
    RollingMetrics o-- RollingVolatility : values over periods
    RollingMetrics o-- RollingSharpe : values over periods
    RollingMetrics o-- RollingSortino : values over periods
    RollingMetrics o-- RollingWinRate : values over periods
    Position --o TradeRecord : many
    GreeksSnapshot --o TradeRecord

Re-exports

pub use stats::SimulationStats;

pub use strategy_simulation::Simulate;

pub use metrics::*;

pub use results::*;

pub use types::*;

Modules

adapters

Adapters between the generic simulation contracts (PathOutcome, PathStatistics) and the strategy-bound SimulationResult / SimulationStatsResult shapes. Backtesting owns the conversion so the simulation layer never has to name a strategy. Adapters between the generic simulation contracts and the strategy-bound result types.

metrics

GeneralPerformanceMetrics

results

This module defines the structure that aggregates and stores all results produced during a trading backtest simulation.

stats

Simulation orchestration for the single-leg strategies (LongCall, LongPut, ShortCall, ShortPut): the Simulate implementations, the shared per-path evaluator and the SingleLegSimulation contract that captures what differs between the four.

strategy_simulation

Simulation orchestration for the single-leg strategies.

types

This module defines the core data structures needed to analyze trading performance, risk, and capital utilization for backtests or live trading systems.