warren618
1f8f4a005f
- Add CompositeEngine for backtesting portfolios spanning multiple markets (e.g. A-shares + crypto) with a single shared capital pool - Extract on_bar logic (funding fee, liquidation, swap) into _market_hooks.py as pure functions, called by both original engines and CompositeEngine - Fix _align() signal shift bug: shift on each symbol's own trading calendar then ffill to unified dates (prevents Monday close-and-reopen for A-shares) - Add calendar-day annualization for cross-market Sharpe calculation - Add cross-market-strategy skill with vol-adjusted weighting example - Update all READMEs (en/zh/ja/ko/ar): news, 69 skills, composite engine - Update test imports for extracted _market_hooks functions
31 lines
1.1 KiB
Python
31 lines
1.1 KiB
Python
"""Backtest engines.
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Wave 1 (v1):
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- BaseEngine: ABC for bar-by-bar execution with market rules
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- ChinaAEngine: A-share (T+1, no short, price limits)
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- GlobalEquityEngine: US / HK equities
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- CryptoEngine: Crypto perpetuals (funding fees, liquidation)
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- options_portfolio: European/American options (Black-Scholes, v2 with IV smile)
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Wave 2:
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- FuturesBaseEngine: intermediate layer adding contract-multiplier logic
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- ChinaFuturesEngine: China commodity/financial futures (CFFEX/SHFE/DCE/ZCE/INE)
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- GlobalFuturesEngine: International futures (CME/ICE/Eurex)
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- ForexEngine: FX spot/CFD (spread, swap, high leverage)
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Wave 3:
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- CompositeEngine: Cross-market engine with shared capital pool
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- _market_hooks: Extracted on_bar logic (funding, liquidation, swap)
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Inheritance:
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BaseEngine
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├── ChinaAEngine
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├── GlobalEquityEngine
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├── CryptoEngine
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├── ForexEngine
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├── CompositeEngine (delegates to sub-engines as rule providers)
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└── FuturesBaseEngine
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├── ChinaFuturesEngine
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└── GlobalFuturesEngine
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"""
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