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feat: add backtesting functionality with UI and API endpoints
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- Introduced backtesting page and fragment in the dashboard for running backtests and viewing recent reports.
- Implemented backtest run logic with configuration options including event path, starting balances, trade capital, and fee profiles.
- Added recent backtest reports storage and retrieval.
- Created a new strategy module for statistical arbitrage experiments with validation on configuration parameters.
- Updated settings to include parameters for the statistical arbitrage strategy.
- Enhanced dashboard controls to support the new strategy mode.
- Added unit tests for backtesting functionality and strategy validation.
- Updated templates for backtesting UI integration.
This commit is contained in:
zwitschi
2026-06-02 09:28:22 +02:00
parent f612c8533a
commit 38e1d64437
17 changed files with 1089 additions and 165 deletions
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.env.example
+5
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@@ -49,3 +49,8 @@ CUMULATIVE_LOSS_LIMIT_USD=10.0
MAX_SOURCE_LATENCY_MS=
MAX_APPLY_LATENCY_MS=
MAX_CONSECUTIVE_FAILURES=
STRATEGY_ENABLE_STAT_ARB_EXPERIMENT=false
STRATEGY_STAT_ARB_LOOKBACK_WINDOW=120
STRATEGY_STAT_ARB_ENTRY_ZSCORE=2.0
STRATEGY_STAT_ARB_EXIT_ZSCORE=0.5
STRATEGY_STAT_ARB_MAX_HOLDING_SECONDS=900.0