Package com.quantfinlib.backtest

@NullMarked package com.quantfinlib.backtest

Bar-based backtesting engines, execution models and performance analytics. Backtester is the single-instrument engine (fills at the next bar's open by default, see FillPolicy; intrabar gap-aware stops); ExecutionAwareBacktester upgrades signals to parent orders worked through a pluggable ExecutionModel (InstantExecution, SorExecution, IcebergExecution, LastLookExecution — FX last-look rejects on adverse hold-window moves) with multi-bar fills and one-call TCA per ParentOrder; ExecutionAlgoBacktester compares benchmark algorithms by cost, replaying execution.BenchmarkExecutor over a session's bars and grading it TCA-style (shortfall vs arrival, slippage vs session VWAP), with its simplifications stated in the javadoc. BenchmarkComparison reports alpha, beta, tracking error, information ratio and up/down capture against a benchmark, and DrawdownAnalytics reports drawdown structure: episode depth and duration and time under water. Sub-packages: strategies (built-ins), validation (walk-forward, purged K-fold, CSCV overfit probability, deflated Sharpe), portfolio (multi-asset), and tick (event-driven tick-level engine).

Related Packages

Package	Description
com.quantfinlib.backtest.portfolio	Multi-asset portfolio backtesting with point-in-time universes and financing.
com.quantfinlib.backtest.validation	Validation tools that test a backtest for overfitting.

Class	Description
BacktestConfig	Backtest execution parameters.
Backtester	Event-driven, single-instrument, long-only backtesting engine.
Backtester.Segment	A segment's result and the state it ended in.
Backtester.State	Book state carried between segments.
BacktestResult	Result of a backtest run: full equity curve (one point per bar), completed trade history, and derived performance metrics.
BenchmarkComparison	Benchmark-relative performance — the numbers an allocator actually asks for.
BenchmarkComparison.Result	Strategy statistics relative to a benchmark.
DrawdownAnalytics	Drawdown structure — because "max drawdown 18%" hides the number that actually fires clients: how long the pain lasted.
DrawdownAnalytics.Drawdown	One peak-to-recovery episode.
DrawdownAnalytics.Result	Drawdown statistics of an equity curve.
ExecutionAlgoBacktester	Backtests the dynamic execution stack over bar data.
ExecutionAlgoBacktester.Config	Execution simulation settings.
ExecutionAlgoBacktester.Result	The TCA-style verdict for one parent worked over one session.
ExecutionAwareBacktester	Execution-aware backtesting engine: strategy signals create parent orders that are worked through an ExecutionModel — routed by SorExecution, sliced by IcebergExecution, or filled instantly by InstantExecution.
ExecutionAwareResult	Result of an execution-aware backtest: the standard BacktestResult (equity curve, trades, performance metrics) plus the full parent-order / child-fill history, with one-call TCA per parent order.
ExecutionModel	How parent orders turn into fills in an execution-aware backtest (ExecutionAwareBacktester).
FillPolicy	When an order decided on bar t is filled.
IcebergExecution	Iceberg execution: wraps another ExecutionModel and caps each bar's execution at the IcebergOrder state machine's visible tranche (optionally randomized), plus an optional participation cap versus the bar's volume.
InstantExecution	Baseline execution model: the full quantity fills at the bar close with commission and slippage folded into the all-in price — equivalent to the classic Backtester fill assumption.
LastLookExecution	Last-look execution model — the missing realism for FX backtests: on ECN and single-dealer FX liquidity, the provider holds your order briefly and may reject it if the price moves against them during the hold.
ParentOrder	One parent order worked by the ExecutionAwareBacktester: the signal that created it, the arrival price (close at signal time — the TCA benchmark), and the child fills with the bar index each filled on.
PerformanceAnalytics	Computes PerformanceMetrics from an equity curve and trade history.
PerformanceMetrics	Strategy performance analytics.
Signal	Trading signal emitted by a strategy for a single bar.
SorExecution	Smart-order-routed execution over a synthetic fragmented market.
SorExecution.VenueConfig	One venue's fee, liquidity share and lit or dark status.
Trade	A completed round-trip trade.
TradeAnalytics	Trade-level analytics — the numbers a discretionary reviewer asks for that a Sharpe ratio hides.
TradeAnalytics.Result	Trade-level statistics.
TradeCostModel	A pluggable per-trade cost model — the one definition of "what a trade costs" shared by the backtest engines, so an execution-aware number and a survivorship-aware number can come out of the same run: TradeCostModel.flat(double) — a fixed all-in bps (the classic commission assumption, and the exact equivalent of the legacy commissionRate configs); TradeCostModel.institutional(double, double, double, int): commission + half-spread + slippage + square-root market impact, with per-symbol ADV/vol estimated from the trailing bars via MarketImpactModel.estimate(BarSeries, int, int).
TradingStrategy	A bar-driven trading strategy.