BacktestResult¶

BacktestResult collects fills during backtest execution and computes performance statistics.

BacktestConfig¶

struct BacktestConfig
{
  double initialCapital{100000.0};
  double feeRate{0.0001};        // 0.01% per trade
  bool usePercentageFee{true};
  double fixedFeePerTrade{0.0};
};

Field	Default	Description
`initialCapital`	100000.0	Starting capital
`feeRate`	0.0001	Fee as fraction of notional (0.01%)
`usePercentageFee`	true	Use percentage fee vs fixed
`fixedFeePerTrade`	0.0	Fixed fee per trade

BacktestStats¶

struct BacktestStats
{
  size_t totalTrades{0};
  size_t winningTrades{0};
  size_t losingTrades{0};

  double initialCapital{0.0};
  double finalCapital{0.0};
  double totalPnl{0.0};
  double totalFees{0.0};
  double netPnl{0.0};
  double grossProfit{0.0};
  double grossLoss{0.0};

  double maxDrawdown{0.0};
  double maxDrawdownPct{0.0};

  double winRate{0.0};
  double profitFactor{0.0};
  double avgWin{0.0};
  double avgLoss{0.0};

  double sharpeRatio{0.0};
  double returnPct{0.0};

  UnixNanos startTimeNs{0};
  UnixNanos endTimeNs{0};
};

BacktestResult¶

class BacktestResult
{
public:
  explicit BacktestResult(const BacktestConfig& config = {}, size_t expectedFills = 16384);

  void recordFill(const Fill& fill);
  BacktestStats computeStats() const noexcept;

  const std::vector<Fill>& fills() const noexcept;
  const std::vector<TradeRecord>& trades() const noexcept;
  double totalPnl() const noexcept;
};

Metrics¶

Metric	Formula
`netPnl`	`totalPnl - totalFees`
`returnPct`	`(netPnl / initialCapital) * 100`
`winRate`	`winningTrades / totalTrades`
`profitFactor`	`grossProfit / grossLoss`
`avgWin`	`grossProfit / winningTrades`
`avgLoss`	`grossLoss / losingTrades`
`maxDrawdownPct`	`maxDrawdown / peakEquity * 100`
`sharpeRatio`	`mean(returns) / std(returns) * sqrt(252)`

Fee Calculation¶

// Percentage fee (default)
fee = price * quantity * feeRate

// Fixed fee
fee = fixedFeePerTrade

Usage¶

auto stats = result.computeStats();

std::cout << "Return: " << stats.returnPct << "%\n";
std::cout << "Sharpe: " << stats.sharpeRatio << "\n";
std::cout << "Max DD: " << stats.maxDrawdownPct << "%\n";
std::cout << "Win rate: " << stats.winRate * 100 << "%\n";
std::cout << "Profit factor: " << stats.profitFactor << "\n";