backtest/api.yaml at main · ml4t/backtest · GitHub

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name: ml4t-backtest
version: 1.0.0
python_requires: ">=3.12"
description: Event-driven backtesting engine with VectorBT validation

modules:
  - path: ml4t.backtest
    description: Main entry point
    classes:
      - name: Engine
        description: Main backtest execution engine
        params:
          - name: data
            type: polars.DataFrame
            required: true
          - name: strategy
            type: Strategy
            required: true
          - name: config
            type: BacktestConfig
            required: false
        methods:
          - name: run
            returns: BacktestResult

      - name: Strategy
        description: Base class for trading strategies
        methods:
          - name: on_bar
            params: [{name: bar, type: Bar}]
            description: Called for each price bar
          - name: buy
            params: [{name: size, type: int}, {name: price, type: float | None}]
          - name: sell
            params: [{name: size, type: int}, {name: price, type: float | None}]
          - name: close
            description: Close current position
        properties:
          - name: position
            type: int
          - name: equity
            type: float

      - name: BacktestConfig
        params:
          - name: initial_cash
            type: float
            default: 100000.0
          - name: commission
            type: float
            default: 0.001
          - name: slippage
            type: float
            default: 0.0
          - name: margin_ratio
            type: float
            default: 1.0

      - name: BacktestResult
        properties:
          - name: equity_curve
            type: polars.DataFrame
          - name: trades
            type: list[Trade]
          - name: metrics
            type: dict
          - name: final_equity
            type: float
        methods:
          - name: to_tearsheet
            returns: str
          - name: to_vectorbt
            returns: Any

types:
  Order:
    fields: [symbol, side, type, size, price, timestamp]
  Fill:
    fields: [order_id, price, size, commission, timestamp]
  Trade:
    fields: [entry_time, exit_time, side, size, pnl, return_pct]
  Position:
    fields: [symbol, size, avg_price, unrealized_pnl]

enums:
  OrderType: [MARKET, LIMIT, STOP, STOP_LIMIT]
  OrderSide: [BUY, SELL]