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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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CHANGELOG.md
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@@ -22,6 +22,11 @@
- Added persisted sweep artifacts with ranked in-sample/out-of-sample results and promotion-ready candidate reporting.
- Added out-of-sample overfit guards via train/test time-window split and generalization-gap checks.
- Added dashboard controls for tradable pair universe selection and strategy mode/parameter configuration.
- Added feature-flagged statistical arbitrage experiment scaffold (`src/arbitrade/strategy/stat_arb.py`) with mean-reversion signal lifecycle.
- Added strategy feature-flag settings for statistical arbitrage experiment activation and z-score/holding-window controls.
- Added unit coverage for statistical arbitrage experiment behavior and new strategy settings validation rules.
- Added dedicated backtesting dashboard page (`/dashboard/backtesting`) with run controls for replay path, fee profile, balances, slippage, and execution latency.
- Added backtesting run/report endpoints (`/dashboard/backtesting/run`, `/dashboard/api/backtesting/reports`) and recent-report history surfaced in UI.
### Changed
@@ -33,6 +38,8 @@
- Added backtesting usage and replay format documentation to README.
- Dashboard controls now surface tradable pairs and strategy config snapshot values.
- CI now publishes `git.allucanget.biz/allucanget/arbitrade:latest`, and README now documents Coolify image deployment with runtime environment variables managed in Coolify.
- Dashboard strategy-mode validation now allows `stat_arb_experiment` only when feature flag is enabled.
- README now documents deferred cross-exchange architecture requirements, risk assumptions, and promotion milestones for strategy expansion.
### Removed