feat: Implement v0.2 backtesting engine and CLI#7
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impatient0 merged 69 commits intodevelopfrom Nov 7, 2025
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- Define a new module in the root POM - Create module's own POM with basic dependencies
- Logically group dependencies in POMs and add comments to each group
- Create `Candle`, `Position` and `Trade` domain models - Create a `TradeDirection` domain enum
- Create `Strategy` interface defining the contract for the analytical component - Create `TradingContext` interface defining the contract for the environment `Strategy` operates within
- Define a new module in the root POM - Create module's own POM with basic dependencies
- Add method declarations to TradingContext interface - Create data model for backtester consisting of BacktestConfig and BacktestResult
- Create initial (stubbed) implementation for BacktestEngine
- Make TradingContext interface more flexible by introducing a submitOrder(...) method that allows opening, scaling and closing positions
- Update BacktestEngine to implement the evolved TradingContext - Refine position handling logic
- Update BacktestConfig to include trading fees and slippage parameters
- Implement logic for calculating the costs of opening and closing positions, as well as liquidation cost for the final position - Correct the cash flow logic for opening/closing SHORT positions
- Create descriptive Javadocs for all fields and methods in BacktestEngine that previously weren't annotated
- Create a0-backtester/README.md with a detailed description of module's functionality - Update README.md and ARCHITECTURE.md to reflect the changes to project's current state and roadmap
- replace `get(....size() - 1)` with `getLast()`
- Replace the stubbing `Object` with an actual `Strategy` field in BacktestConfig - Use the `Strategy` object in the engine's main loop
- Create ConfigurableTestStrategy that executes a predefined set of actions - Create TestDataFactory that produces test candle data
- Implement a test verifying that P/L is calculated correctly if a strategy opens one LONG position and never closes it
- Log message for opening a position now indicates the volume of the asset
- Add test verifying that orders with a cost exceeding available balance are ignored - Add test verifying that orders for a new symbol are ignored if another position is already open - Add test verifying that scale-out order exceeding position size closes the position - Add test verifying that closing a position and opening a new one on a different symbol is handled correctly
- Update backtester's own README.md to reflect the implemented functionality - Tick off the corresponding item in the project-level README.md roadmap list
- Add a note to the BacktestConfig Javadoc indicating that it requires a fresh instance of a `Strategy` object - Add a similar note to backtester's README.md
- Update project-level README.md and ARCHITECTURE.md to reflect the revised implementation plan, introducing a new `a0-strategy-rules-engine` module
- Update strategy example in ARCHITECTURE.md to reflect the new architecture
- Implement logic that calculates and locks the collateral for SHORT trades. All LONG trades are considered spot trades, and SHORT trades are considered margin trades for the purpose of simplicity
- Create an AccountMode enum - Add a corresponding field to BacktestConfig
- Make the engine aware of account mode and have business logic branch accordingly
- Define collateral ratios in a dedicated YAML file - Create a CollateralRatioLoader config class
- Update BacktestConfig to store multiple streams of candle data - Rename `collateral` to `costBasis` in Position for clarity in context of spot positions - Adapt TradingContext for positions in multiple symbols
- Remove the `updateCurrentPrices` as it should be package-private - Update Javadocs to be more clear
- Update group ID for Jackson dependencies from legacy `com.fasterxml.jackson...` to `tools.jackson...`
- Implement data transfer objects for strategy configuration
- Refactor StrategyConfig into a record class and include a new `timeframe` field
- Create an Indicator interface defining the contract for an indicator - Implement an RsiIndicator using the TA4j library
- Introduce a new MarketEvent record class carrying candle and symbol information - Strategy now has a `void onMarketEvent(...)` method instead of the `void onCandle(...)`
- Refactor the main loop to feed MarketEvents into strategies
- Refactor tests to correctly use MarketEvent
- Refactor TradingContext by introducing more methods to provide detailed read-only view of the trading account state
- Implement the new methods from TradingContext in the BacktestTradingContext - Replace the `getWalletBalanceForTest` method usage with `getAssetBalance`
- Expand config to include position sizing - Implement exit and sizing logic - Implement the strategy class
- Create TimeframeParser utility class - Implement StrategyLoader able to load strategies from YAML configs
- Implement the TimeframeParserTest class - Add a `junit-jupiter-params` dependency
- Add Lombok `@With` annotation to generate corresponding methods in Candle class
- Create TakeProfitRuleTest and StopLossRuleTest verifying that the rules trigger correctly
- Create RsiIndicatorTest verifying that signals are being triggered correctly
- Add package-private getters to RulesBasedStrategy to enable integration testing of StrategyLoader
- Verify happy path of successfully loading a strategy - Verify graceful failure when loading from incorrect or malformed config
…rategy - Using mocked strategy components (indicators, sizers, exit rules), verify that the strategy operates them correctly
- Create module-level README.md providing detailed description of `a0-strategy-rules-engine` functionality - Update project-level documentation, detailing architecture changes and roadmap progress
- Create new module, initialize necessary dependencies and configure build
- Implement a BacktesterCli class with a stubbed `call()` method for now
- Implement CsvDataLoader class that reads data from a CSV file and converts it to a `List<Candle>`
- Fully implement the `call()` method inside the BacktesterCli class
- Wrap the `call()` method body in `try-catch` and print more user friendly error messages
- Verify various scenarios, including a "happy path", malformed data, incorrect command-line arguments, etc.
- Configure build to eliminate some artifact clash shade warnings (some are still present though)
- Create module-level README.md providing detailed description of `a0-backtester-cli` functionality - Update project-level documentation, detailing architecture changes and roadmap progress
- Remove unused imports - Replace statement lambdas with expressions for conciseness
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Summary
This pull request marks the completion of the v0.2 project epic, delivering a complete, end-to-end backtesting system for the A-Zero framework. It integrates three new major modules (
a0-backtester,a0-strategy-rules-engine,a0-backtester-cli) and refactors thea0-coreto create a cohesive, user-facing application.With this change, a user can now define a complex trading strategy in a declarative YAML file, run it against historical data, and receive a detailed performance summary, all from the command line. This PR transforms the project from a set of foundational libraries into a fully functional, data-driven tool for systematic strategy evaluation.
Key Features
Standalone CLI Application (
a0-backtester-cli): A new, executable uber-jar that serves as the primary user interface. It is built withpicoclifor robust argument parsing, provides clear user feedback, and prints a formatted summary of backtest results.Declarative Rules Engine (
a0-strategy-rules-engine): A powerful new library that parses strategy logic from YAML files.Sophisticated Portfolio Margin Engine (
a0-backtester): A major refactoring of the backtesting engine to simulate a professional-grade portfolio margin system (inspired by the Bybit UTA).walletto track both owned assets and borrowed liabilities.collateral-ratios.yaml.Architectural Enhancements (
a0-core): The core interfaces have been evolved to support a multi-asset, event-driven architecture.MarketEventrecord for clean, extensible data passing.TradingContextinterface to provide strategies with a rich, read-only view of account NAV, margin equity, and wallet balances.Comprehensive Test Suite: A full suite of JUnit 5 and Mockito tests has been developed for all new modules. The suite includes:
RulesBasedStrategy's decision-making logic.BacktestEngine, validating critical edge cases like margin calls, liquidations, and complex accounting scenarios.This pull request completes all planned work for v0.2. It delivers the core value proposition of the A-Zero project and establishes a robust, tested foundation for future work on paper trading and live execution.