Remove deprecated modules and files related to the backtesting framework, including backtest.py, cli.py, config.py, data.py, intrabar.py, logging_utils.py, market_costs.py, metrics.py, trade.py, and supertrend indicators. Introduce a new structure for the backtesting engine with improved organization and functionality, including a CLI handler, data manager, and reporting capabilities. Update dependencies in pyproject.toml to support the new architecture.

OHLCVPredictor

@@ -1 +0,0 @@
-../OHLCVPredictor

backtest.py

@@ -1,70 +0,0 @@
-from __future__ import annotations
-import pandas as pd
-from pathlib import Path
-from trade import TradeState, enter_long, exit_long, maybe_trailing_stop
-from indicators import add_supertrends, compute_meta_trend
-from metrics import compute_metrics
-from logging_utils import write_trade_log
-
-DEFAULT_ST_SETTINGS = [(12, 3.0), (10, 1.0), (11, 2.0)]
-
-def backtest(
-    df: pd.DataFrame,
-    df_1min: pd.DataFrame,
-    timeframe_minutes: int,
-    stop_loss: float,
-    exit_on_bearish_flip: bool,
-    fee_bps: float,
-    slippage_bps: float,
-    log_path: Path | None = None,
-):
-    df = add_supertrends(df, DEFAULT_ST_SETTINGS)
-    df["meta_bull"] = compute_meta_trend(df, DEFAULT_ST_SETTINGS)
-
-    state = TradeState(stop_loss_frac=stop_loss, fee_bps=fee_bps, slippage_bps=slippage_bps)
-    equity, trades = [], []
-
-    for i, row in df.iterrows():
-        price = float(row["Close"])
-        ts = pd.Timestamp(row["Timestamp"])
-
-        if state.qty <= 0 and row["meta_bull"] == 1:
-            evt = enter_long(state, price)
-            if evt:
-                evt.update({"t": ts.isoformat(), "reason": "bull_flip"})
-                trades.append(evt)
-
-        start = ts
-        end = df["Timestamp"].iat[i + 1] if i + 1 < len(df) else ts + pd.Timedelta(minutes=timeframe_minutes)
-
-        if state.qty > 0:
-            win = df_1min[(df_1min["Timestamp"] >= start) & (df_1min["Timestamp"] < end)]
-            for _, m in win.iterrows():
-                hi = float(m["High"])
-                lo = float(m["Low"])
-                state.max_px = max(state.max_px or hi, hi)
-                trail = state.max_px * (1.0 - state.stop_loss_frac)
-                if lo <= trail:
-                    evt = exit_long(state, trail)
-                    if evt:
-                        prev = trades[-1]
-                        pnl = (evt["price"] - (prev.get("price") or evt["price"])) * (prev.get("qty") or 0.0)
-                        evt.update({"t": pd.Timestamp(m["Timestamp"]).isoformat(), "reason": "stop", "pnl": pnl})
-                        trades.append(evt)
-                    break
-
-        if state.qty > 0 and exit_on_bearish_flip and row["meta_bull"] == 0:
-            evt = exit_long(state, price)
-            if evt:
-                prev = trades[-1]
-                pnl = (evt["price"] - (prev.get("price") or evt["price"])) * (prev.get("qty") or 0.0)
-                evt.update({"t": ts.isoformat(), "reason": "bearish_flip", "pnl": pnl})
-                trades.append(evt)
-
-        equity.append(state.cash + state.qty * price)
-
-    equity_curve = pd.Series(equity, index=df["Timestamp"])
-    if log_path:
-        write_trade_log(trades, log_path)
-    perf = compute_metrics(equity_curve, trades)
-    return perf, equity_curve, trades

cli.py

@@ -1,80 +0,0 @@
-from __future__ import annotations
-import argparse
-from pathlib import Path
-import pandas as pd
-
-from config import CLIConfig
-from data import load_data
-from backtest import backtest
-
-def parse_args() -> CLIConfig:
-    p = argparse.ArgumentParser(prog="bt", description="Simple supertrend backtester")
-    p.add_argument("start")
-    p.add_argument("end")
-    p.add_argument("--timeframe-minutes", type=int, default=15)     # single TF
-    p.add_argument("--timeframes-minutes", nargs="+", type=int)     # multi TF: e.g. 5 15 60 240
-    p.add_argument("--stop-loss", dest="stop_losses", type=float, nargs="+", default=[0.02, 0.05])
-    p.add_argument("--exit-on-bearish-flip", action="store_true")
-    p.add_argument("--csv", dest="csv_path", type=Path, required=True)
-    p.add_argument("--out-csv", type=Path, default=Path("summary.csv"))
-    p.add_argument("--log-dir", type=Path, default=Path("./logs"))
-    p.add_argument("--fee-bps", type=float, default=10.0)
-    p.add_argument("--slippage-bps", type=float, default=2.0)
-    a = p.parse_args()
-
-    return CLIConfig(
-        start=a.start,
-        end=a.end,
-        timeframe_minutes=a.timeframe_minutes,
-        timeframes_minutes=a.timeframes_minutes,
-        stop_losses=a.stop_losses,
-        exit_on_bearish_flip=a.exit_on_bearish_flip,
-        csv_path=a.csv_path,
-        out_csv=a.out_csv,
-        log_dir=a.log_dir,
-        fee_bps=a.fee_bps,
-        slippage_bps=a.slippage_bps,
-    )
-
-def main():
-    cfg = parse_args()
-    frames = cfg.timeframes_minutes or [cfg.timeframe_minutes]
-
-    rows: list[dict] = []
-    for tfm in frames:
-        df_1min, df = load_data(cfg.start, cfg.end, tfm, cfg.csv_path)
-        for sl in cfg.stop_losses:
-            log_path = cfg.log_dir / f"{tfm}m_sl{sl:.2%}.csv"
-            perf, equity, _ = backtest(
-                df=df,
-                df_1min=df_1min,
-                timeframe_minutes=tfm,
-                stop_loss=sl,
-                exit_on_bearish_flip=cfg.exit_on_bearish_flip,
-                fee_bps=cfg.fee_bps,
-                slippage_bps=cfg.slippage_bps,
-                log_path=log_path,
-            )
-            rows.append({
-                "timeframe": f"{tfm}min",
-                "stop_loss": sl,
-                "exit_on_bearish_flip": cfg.exit_on_bearish_flip,
-                "total_return": f"{perf.total_return:.2%}",
-                "max_drawdown": f"{perf.max_drawdown:.2%}",
-                "sharpe_ratio": f"{perf.sharpe_ratio:.2f}",
-                "win_rate": f"{perf.win_rate:.2%}",
-                "num_trades": perf.num_trades,
-                "final_equity": f"${perf.final_equity:.2f}",
-                "initial_equity": f"${perf.initial_equity:.2f}",
-                "num_stop_losses": perf.num_stop_losses,
-                "total_fees": perf.total_fees,
-                "total_slippage_usd": perf.total_slippage_usd,
-                "avg_slippage_bps": perf.avg_slippage_bps,
-            })
-
-    out = pd.DataFrame(rows)
-    out.to_csv(cfg.out_csv, index=False)
-    print(out.to_string(index=False))
-
-if __name__ == "__main__":
-    main()

config.py

@@ -1,18 +0,0 @@
-from __future__ import annotations
-from dataclasses import dataclass
-from pathlib import Path
-from typing import Sequence
-
-@dataclass
-class CLIConfig:
-    start: str
-    end: str
-    timeframe_minutes: int
-    timeframes_minutes: list[int] | None
-    stop_losses: Sequence[float]
-    exit_on_bearish_flip: bool
-    csv_path: Path | None
-    out_csv: Path
-    log_dir: Path
-    fee_bps: float
-    slippage_bps: float

data.py

@@ -1,24 +0,0 @@
-from __future__ import annotations
-import pandas as pd
-from pathlib import Path
-
-def load_data(start: str, end: str, timeframe_minutes: int, csv_path: Path) -> tuple[pd.DataFrame, pd.DataFrame]:
-    df_1min = pd.read_csv(csv_path)
-    df_1min["Timestamp"] = pd.to_datetime(df_1min["Timestamp"], unit="s", utc=True)
-    df_1min = df_1min[(df_1min["Timestamp"] >= pd.Timestamp(start, tz="UTC")) &
-                      (df_1min["Timestamp"] <= pd.Timestamp(end, tz="UTC"))] \
-                     .sort_values("Timestamp").reset_index(drop=True)
-
-    if timeframe_minutes != 1:
-        g = df_1min.set_index("Timestamp").resample(f"{timeframe_minutes}min")
-        df = pd.DataFrame({
-            "Open":   g["Open"].first(),
-            "High":   g["High"].max(),
-            "Low":    g["Low"].min(),
-            "Close":  g["Close"].last(),
-            "Volume": g["Volume"].sum(),
-        }).dropna().reset_index()
-    else:
-        df = df_1min.copy()
-
-    return df_1min, df

engine/backtester.py

@@ -0,0 +1,352 @@
+"""
+Core backtesting engine for running strategy simulations.
+
+Supports multiple market types with realistic trading conditions.
+"""
+from dataclasses import dataclass
+
+import pandas as pd
+import vectorbt as vbt
+
+from engine.data_manager import DataManager
+from engine.logging_config import get_logger
+from engine.market import MarketType, get_market_config
+from engine.optimizer import WalkForwardOptimizer
+from engine.portfolio import run_long_only_portfolio, run_long_short_portfolio
+from engine.risk import (
+    LiquidationEvent,
+    calculate_funding,
+    calculate_liquidation_adjustment,
+    inject_liquidation_exits,
+)
+from strategies.base import BaseStrategy
+
+logger = get_logger(__name__)
+
+
+@dataclass
+class BacktestResult:
+    """
+    Container for backtest results with market-specific metrics.
+    
+    Attributes:
+        portfolio: VectorBT Portfolio object
+        market_type: Market type used for the backtest
+        leverage: Effective leverage used
+        total_funding_paid: Total funding fees paid (perpetuals only)
+        liquidation_count: Number of positions that were liquidated
+        liquidation_events: Detailed list of liquidation events
+        total_liquidation_loss: Total margin lost from liquidations
+        adjusted_return: Return adjusted for liquidation losses (percentage)
+    """
+    portfolio: vbt.Portfolio
+    market_type: MarketType
+    leverage: int
+    total_funding_paid: float = 0.0
+    liquidation_count: int = 0
+    liquidation_events: list[LiquidationEvent] | None = None
+    total_liquidation_loss: float = 0.0
+    adjusted_return: float | None = None
+
+
+class Backtester:
+    """
+    Backtester supporting multiple market types with realistic simulation.
+    
+    Features:
+    - Spot and Perpetual market support
+    - Long and short position handling
+    - Leverage simulation
+    - Funding rate calculation (perpetuals)
+    - Liquidation warnings
+    """
+    
+    def __init__(self, data_manager: DataManager):
+        self.dm = data_manager
+
+    def run_strategy(
+        self, 
+        strategy: BaseStrategy, 
+        exchange_id: str, 
+        symbol: str, 
+        timeframe: str = '1m', 
+        start_date: str | None = None, 
+        end_date: str | None = None,
+        init_cash: float = 10000,
+        fees: float | None = None,
+        slippage: float = 0.001,
+        sl_stop: float | None = None,
+        tp_stop: float | None = None,
+        sl_trail: bool = False,
+        leverage: int | None = None,
+        **strategy_params
+    ) -> BacktestResult:
+        """
+        Run a backtest with market-type-aware simulation.
+        
+        Args:
+            strategy: Strategy instance to backtest
+            exchange_id: Exchange identifier (e.g., 'okx')
+            symbol: Trading pair (e.g., 'BTC/USDT')
+            timeframe: Data timeframe (e.g., '1m', '1h', '1d')
+            start_date: Start date filter (YYYY-MM-DD)
+            end_date: End date filter (YYYY-MM-DD)
+            init_cash: Initial capital (margin for leveraged)
+            fees: Transaction fee override (uses market default if None)
+            slippage: Slippage percentage
+            sl_stop: Stop loss percentage
+            tp_stop: Take profit percentage
+            sl_trail: Enable trailing stop loss
+            leverage: Leverage override (uses strategy default if None)
+            **strategy_params: Additional strategy parameters
+            
+        Returns:
+            BacktestResult with portfolio and market-specific metrics
+        """
+        # Get market configuration from strategy
+        market_type = strategy.default_market_type
+        market_config = get_market_config(market_type)
+        
+        # Resolve leverage and fees
+        effective_leverage = self._resolve_leverage(leverage, strategy, market_type)
+        effective_fees = fees if fees is not None else market_config.taker_fee
+        
+        # Load and filter data
+        df = self._load_data(
+            exchange_id, symbol, timeframe, market_type, start_date, end_date
+        )
+        
+        close_price = df['close']
+        high_price = df['high']
+        low_price = df['low']
+        open_price = df['open']
+        volume = df['volume']
+
+        # Run strategy logic
+        signals = strategy.run(
+            close_price, 
+            high=high_price, 
+            low=low_price, 
+            open=open_price, 
+            volume=volume, 
+            **strategy_params
+        )
+        
+        # Normalize signals to 4-tuple format
+        signals = self._normalize_signals(signals, close_price, market_config)
+        long_entries, long_exits, short_entries, short_exits = signals
+        
+        # Process liquidations - inject forced exits at liquidation points
+        liquidation_events: list[LiquidationEvent] = []
+        if effective_leverage > 1:
+            long_exits, short_exits, liquidation_events = inject_liquidation_exits(
+                close_price, high_price, low_price,
+                long_entries, long_exits,
+                short_entries, short_exits,
+                effective_leverage,
+                market_config.maintenance_margin_rate
+            )
+        
+        # Calculate perpetual-specific metrics (after liquidation processing)
+        total_funding = 0.0
+        if market_type == MarketType.PERPETUAL:
+            total_funding = calculate_funding(
+                close_price, 
+                long_entries, long_exits,
+                short_entries, short_exits,
+                market_config,
+                effective_leverage
+            )
+        
+        # Run portfolio simulation with liquidation-aware exits
+        portfolio = self._run_portfolio(
+            close_price, market_config,
+            long_entries, long_exits,
+            short_entries, short_exits,
+            init_cash, effective_fees, slippage, timeframe,
+            sl_stop, tp_stop, sl_trail, effective_leverage
+        )
+        
+        # Calculate adjusted returns accounting for liquidation losses
+        total_liq_loss, liq_adjustment = calculate_liquidation_adjustment(
+            liquidation_events, init_cash, effective_leverage
+        )
+        
+        raw_return = portfolio.total_return().mean() * 100
+        adjusted_return = raw_return - liq_adjustment
+        
+        if liquidation_events:
+            logger.info(
+                "Liquidation impact: %d events, $%.2f margin lost, %.2f%% adjustment",
+                len(liquidation_events), total_liq_loss, liq_adjustment
+            )
+        
+        logger.info(
+            "Backtest completed: %s market, %dx leverage, fees=%.4f%%",
+            market_type.value, effective_leverage, effective_fees * 100
+        )
+        
+        return BacktestResult(
+            portfolio=portfolio,
+            market_type=market_type,
+            leverage=effective_leverage,
+            total_funding_paid=total_funding,
+            liquidation_count=len(liquidation_events),
+            liquidation_events=liquidation_events,
+            total_liquidation_loss=total_liq_loss,
+            adjusted_return=adjusted_return
+        )
+    
+    def _resolve_leverage(
+        self, 
+        leverage: int | None, 
+        strategy: BaseStrategy, 
+        market_type: MarketType
+    ) -> int:
+        """Resolve effective leverage from CLI, strategy default, or market type."""
+        effective = leverage or strategy.default_leverage
+        if market_type == MarketType.SPOT:
+            return 1  # Spot cannot have leverage
+        return effective
+    
+    def _load_data(
+        self,
+        exchange_id: str,
+        symbol: str,
+        timeframe: str,
+        market_type: MarketType,
+        start_date: str | None,
+        end_date: str | None
+    ) -> pd.DataFrame:
+        """Load and filter OHLCV data."""
+        try:
+            df = self.dm.load_data(exchange_id, symbol, timeframe, market_type)
+        except FileNotFoundError:
+            logger.warning("Data not found locally. Attempting download...")
+            df = self.dm.download_data(
+                exchange_id, symbol, timeframe, 
+                start_date, end_date, market_type
+            )
+            
+        if start_date:
+            df = df[df.index >= pd.Timestamp(start_date, tz="UTC")]
+        if end_date:
+            df = df[df.index <= pd.Timestamp(end_date, tz="UTC")]
+            
+        return df
+    
+    def _normalize_signals(
+        self, 
+        signals: tuple, 
+        close: pd.Series,
+        market_config
+    ) -> tuple:
+        """
+        Normalize strategy signals to 4-tuple format.
+        
+        Handles backward compatibility with 2-tuple (long-only) returns.
+        """
+        if len(signals) == 2:
+            long_entries, long_exits = signals
+            short_entries = BaseStrategy.create_empty_signals(long_entries)
+            short_exits = BaseStrategy.create_empty_signals(long_entries)
+            return long_entries, long_exits, short_entries, short_exits
+        
+        if len(signals) == 4:
+            long_entries, long_exits, short_entries, short_exits = signals
+            
+            # Warn and clear short signals on spot markets
+            if not market_config.supports_short:
+                has_shorts = (
+                    short_entries.any().any() 
+                    if hasattr(short_entries, 'any') 
+                    else short_entries.any()
+                )
+                if has_shorts:
+                    logger.warning(
+                        "Short signals detected but market type is SPOT. "
+                        "Short signals will be ignored."
+                    )
+                    short_entries = BaseStrategy.create_empty_signals(long_entries)
+                    short_exits = BaseStrategy.create_empty_signals(long_entries)
+                    
+            return long_entries, long_exits, short_entries, short_exits
+        
+        raise ValueError(
+            f"Strategy must return 2 or 4 signal arrays, got {len(signals)}"
+        )
+    
+    def _run_portfolio(
+        self,
+        close: pd.Series,
+        market_config,
+        long_entries, long_exits,
+        short_entries, short_exits,
+        init_cash: float,
+        fees: float,
+        slippage: float,
+        freq: str,
+        sl_stop: float | None,
+        tp_stop: float | None,
+        sl_trail: bool,
+        leverage: int
+    ) -> vbt.Portfolio:
+        """Select and run appropriate portfolio simulation."""
+        has_shorts = (
+            short_entries.any().any() 
+            if hasattr(short_entries, 'any') 
+            else short_entries.any()
+        )
+        
+        if market_config.supports_short and has_shorts:
+            return run_long_short_portfolio(
+                close, 
+                long_entries, long_exits,
+                short_entries, short_exits,
+                init_cash, fees, slippage, freq,
+                sl_stop, tp_stop, sl_trail, leverage
+            )
+        
+        return run_long_only_portfolio(
+            close,
+            long_entries, long_exits,
+            init_cash, fees, slippage, freq,
+            sl_stop, tp_stop, sl_trail, leverage
+        )
+    
+    def run_wfa(
+        self, 
+        strategy: BaseStrategy,
+        exchange_id: str,
+        symbol: str,
+        param_grid: dict,
+        n_windows: int = 10,
+        timeframe: str = '1m'
+    ):
+        """
+        Execute Walk-Forward Analysis.
+        
+        Args:
+            strategy: Strategy instance to optimize
+            exchange_id: Exchange identifier
+            symbol: Trading pair symbol
+            param_grid: Parameter grid for optimization
+            n_windows: Number of walk-forward windows
+            timeframe: Data timeframe to load
+            
+        Returns:
+            Tuple of (results DataFrame, stitched equity curve)
+        """
+        market_type = strategy.default_market_type
+        df = self.dm.load_data(exchange_id, symbol, timeframe, market_type)
+        
+        wfa = WalkForwardOptimizer(self, strategy, param_grid)
+        
+        results, stitched_curve = wfa.run(
+            df['close'], 
+            high=df['high'], 
+            low=df['low'], 
+            n_windows=n_windows
+        )
+        
+        return results, stitched_curve

engine/cli.py

@@ -0,0 +1,243 @@
+"""
+CLI handler for Lowkey Backtest.
+"""
+import argparse
+import sys
+
+from engine.backtester import Backtester
+from engine.data_manager import DataManager
+from engine.logging_config import get_logger, setup_logging
+from engine.market import MarketType
+from engine.reporting import Reporter
+from strategies.factory import get_strategy, get_strategy_names
+
+logger = get_logger(__name__)
+
+
+def create_parser() -> argparse.ArgumentParser:
+    """Create and configure the argument parser."""
+    parser = argparse.ArgumentParser(
+        description="Lowkey Backtest CLI (VectorBT Edition)"
+    )
+    subparsers = parser.add_subparsers(dest="command", help="Command to run")
+    
+    _add_download_parser(subparsers)
+    _add_backtest_parser(subparsers)
+    _add_wfa_parser(subparsers)
+    
+    return parser
+
+
+def _add_download_parser(subparsers) -> None:
+    """Add download command parser."""
+    dl_parser = subparsers.add_parser("download", help="Download historical data")
+    dl_parser.add_argument("--exchange", "-e", type=str, default="okx")
+    dl_parser.add_argument("--pair", "-p", type=str, required=True)
+    dl_parser.add_argument("--timeframe", "-t", type=str, default="1m")
+    dl_parser.add_argument("--start", type=str, help="Start Date (YYYY-MM-DD)")
+    dl_parser.add_argument(
+        "--market", "-m", 
+        type=str, 
+        choices=["spot", "perpetual"], 
+        default="spot"
+    )
+
+
+def _add_backtest_parser(subparsers) -> None:
+    """Add backtest command parser."""
+    strategy_choices = get_strategy_names()
+    
+    bt_parser = subparsers.add_parser("backtest", help="Run a backtest")
+    bt_parser.add_argument(
+        "--strategy", "-s", 
+        type=str, 
+        choices=strategy_choices, 
+        required=True
+    )
+    bt_parser.add_argument("--exchange", "-e", type=str, default="okx")
+    bt_parser.add_argument("--pair", "-p", type=str, required=True)
+    bt_parser.add_argument("--timeframe", "-t", type=str, default="1m")
+    bt_parser.add_argument("--start", type=str)
+    bt_parser.add_argument("--end", type=str)
+    bt_parser.add_argument("--grid", "-g", action="store_true")
+    bt_parser.add_argument("--plot", action="store_true")
+    
+    # Risk parameters
+    bt_parser.add_argument("--sl", type=float, help="Stop Loss %%")
+    bt_parser.add_argument("--tp", type=float, help="Take Profit %%")
+    bt_parser.add_argument("--trail", action="store_true")
+    bt_parser.add_argument("--no-bear-exit", action="store_true")
+    
+    # Cost parameters
+    bt_parser.add_argument("--fees", type=float, default=None)
+    bt_parser.add_argument("--slippage", type=float, default=0.001)
+    bt_parser.add_argument("--leverage", "-l", type=int, default=None)
+
+
+def _add_wfa_parser(subparsers) -> None:
+    """Add walk-forward analysis command parser."""
+    strategy_choices = get_strategy_names()
+    
+    wfa_parser = subparsers.add_parser("wfa", help="Run Walk-Forward Analysis")
+    wfa_parser.add_argument(
+        "--strategy", "-s", 
+        type=str, 
+        choices=strategy_choices, 
+        required=True
+    )
+    wfa_parser.add_argument("--pair", "-p", type=str, required=True)
+    wfa_parser.add_argument("--timeframe", "-t", type=str, default="1d")
+    wfa_parser.add_argument("--windows", "-w", type=int, default=10)
+    wfa_parser.add_argument("--plot", action="store_true")
+
+
+def run_download(args) -> None:
+    """Execute download command."""
+    dm = DataManager()
+    market_type = MarketType(args.market)
+    dm.download_data(
+        args.exchange, 
+        args.pair, 
+        args.timeframe, 
+        start_date=args.start,
+        market_type=market_type
+    )
+
+
+def run_backtest(args) -> None:
+    """Execute backtest command."""
+    dm = DataManager()
+    bt = Backtester(dm)
+    reporter = Reporter()
+    
+    strategy, params = get_strategy(args.strategy, args.grid)
+    
+    # Apply CLI overrides for meta_st strategy
+    params = _apply_strategy_overrides(args, strategy, params)
+    
+    if args.grid and args.strategy == "meta_st":
+        logger.info("Running Grid Search for Meta Supertrend...")
+    
+    try:
+        result = bt.run_strategy(
+            strategy, 
+            args.exchange, 
+            args.pair, 
+            timeframe=args.timeframe,
+            start_date=args.start,
+            end_date=args.end,
+            fees=args.fees,
+            slippage=args.slippage,
+            sl_stop=args.sl,
+            tp_stop=args.tp,
+            sl_trail=args.trail,
+            leverage=args.leverage,
+            **params
+        )
+        
+        reporter.print_summary(result)
+        reporter.save_reports(result, f"{args.strategy}_{args.pair.replace('/','-')}")
+        
+        if args.plot and not args.grid:
+            reporter.plot(result.portfolio)
+        elif args.plot and args.grid:
+            logger.info("Plotting skipped for Grid Search. Check CSV results.")
+             
+    except Exception as e:
+        logger.error("Backtest failed: %s", e, exc_info=True)
+
+
+def run_wfa(args) -> None:
+    """Execute walk-forward analysis command."""
+    dm = DataManager()
+    bt = Backtester(dm)
+    reporter = Reporter()
+    
+    strategy, params = get_strategy(args.strategy, is_grid=True)
+    
+    logger.info(
+        "Running WFA on %s for %s (%s) with %d windows...",
+        args.strategy, args.pair, args.timeframe, args.windows
+    )
+    
+    try:
+        results, stitched_curve = bt.run_wfa(
+            strategy,
+            "okx",
+            args.pair,
+            params,
+            n_windows=args.windows,
+            timeframe=args.timeframe
+        )
+        
+        _log_wfa_results(results)
+        _save_wfa_results(args, results, stitched_curve, reporter)
+            
+    except Exception as e:
+        logger.error("WFA failed: %s", e, exc_info=True)
+
+
+def _apply_strategy_overrides(args, strategy, params: dict) -> dict:
+    """Apply CLI argument overrides to strategy parameters."""
+    if args.strategy != "meta_st":
+        return params
+    
+    if args.no_bear_exit:
+        params['exit_on_bearish_flip'] = False
+    
+    if args.sl is None:
+        args.sl = strategy.default_sl_stop
+    
+    if not args.trail:
+        args.trail = strategy.default_sl_trail
+    
+    return params
+
+
+def _log_wfa_results(results) -> None:
+    """Log WFA results summary."""
+    logger.info("Walk-Forward Analysis Results:")
+    
+    if results.empty or 'window' not in results.columns:
+        logger.warning("No valid WFA results. All windows may have failed.")
+        return
+    
+    columns = ['window', 'train_score', 'test_score', 'test_return']
+    logger.info("\n%s", results[columns].to_string(index=False))
+    
+    avg_test_sharpe = results['test_score'].mean()
+    avg_test_return = results['test_return'].mean()
+    logger.info("Average Test Sharpe: %.2f", avg_test_sharpe)
+    logger.info("Average Test Return: %.2f%%", avg_test_return * 100)
+
+
+def _save_wfa_results(args, results, stitched_curve, reporter) -> None:
+    """Save WFA results to file and optionally plot."""
+    if results.empty:
+        return
+    
+    output_path = f"backtest_logs/wfa_{args.strategy}_{args.pair.replace('/','-')}.csv"
+    results.to_csv(output_path)
+    logger.info("Saved full results to %s", output_path)
+    
+    if args.plot:
+        reporter.plot_wfa(results, stitched_curve)
+
+
+def main():
+    """Main entry point."""
+    setup_logging()
+    
+    parser = create_parser()
+    args = parser.parse_args()
+    
+    commands = {
+        "download": run_download,
+        "backtest": run_backtest,
+        "wfa": run_wfa,
+    }
+    
+    if args.command in commands:
+        commands[args.command](args)
+    else:
+        parser.print_help()

engine/data_manager.py

@@ -0,0 +1,209 @@
+"""
+Data management for OHLCV data download and storage.
+
+Handles data retrieval from exchanges and local file management.
+"""
+import time
+from datetime import datetime, timezone
+from pathlib import Path
+
+import ccxt
+import pandas as pd
+
+from engine.logging_config import get_logger
+from engine.market import MarketType, get_ccxt_symbol
+
+logger = get_logger(__name__)
+
+
+class DataManager:
+    """
+    Manages OHLCV data download and storage for different market types.
+    
+    Data is stored in: data/ccxt/{exchange}/{market_type}/{symbol}/{timeframe}.csv
+    """
+    
+    def __init__(self, data_dir: str = "data/ccxt"):
+        self.data_dir = Path(data_dir)
+        self.data_dir.mkdir(parents=True, exist_ok=True)
+        self.exchanges: dict[str, ccxt.Exchange] = {}
+
+    def get_exchange(self, exchange_id: str) -> ccxt.Exchange:
+        """Get or create a CCXT exchange instance."""
+        if exchange_id not in self.exchanges:
+            exchange_class = getattr(ccxt, exchange_id)
+            self.exchanges[exchange_id] = exchange_class({
+                'enableRateLimit': True,
+            })
+        return self.exchanges[exchange_id]
+    
+    def _get_data_path(
+        self, 
+        exchange_id: str, 
+        symbol: str, 
+        timeframe: str,
+        market_type: MarketType
+    ) -> Path:
+        """
+        Get the file path for storing/loading data.
+        
+        Args:
+            exchange_id: Exchange name (e.g., 'okx')
+            symbol: Trading pair (e.g., 'BTC/USDT')
+            timeframe: Candle timeframe (e.g., '1m')
+            market_type: Market type (spot or perpetual)
+            
+        Returns:
+            Path to the CSV file
+        """
+        safe_symbol = symbol.replace('/', '-')
+        return (
+            self.data_dir 
+            / exchange_id 
+            / market_type.value 
+            / safe_symbol 
+            / f"{timeframe}.csv"
+        )
+
+    def download_data(
+        self, 
+        exchange_id: str, 
+        symbol: str, 
+        timeframe: str = '1m', 
+        start_date: str | None = None, 
+        end_date: str | None = None,
+        market_type: MarketType = MarketType.SPOT
+    ) -> pd.DataFrame | None:
+        """
+        Download OHLCV data from exchange and save to CSV.
+        
+        Args:
+            exchange_id: Exchange name (e.g., 'okx')
+            symbol: Trading pair (e.g., 'BTC/USDT')
+            timeframe: Candle timeframe (e.g., '1m')
+            start_date: Start date string (YYYY-MM-DD)
+            end_date: End date string (YYYY-MM-DD)
+            market_type: Market type (spot or perpetual)
+            
+        Returns:
+            DataFrame with OHLCV data, or None if download failed
+        """
+        exchange = self.get_exchange(exchange_id)
+        
+        file_path = self._get_data_path(exchange_id, symbol, timeframe, market_type)
+        file_path.parent.mkdir(parents=True, exist_ok=True)
+        
+        ccxt_symbol = get_ccxt_symbol(symbol, market_type)
+        
+        since, until = self._parse_date_range(exchange, start_date, end_date)
+        
+        logger.info(
+            "Downloading %s (%s) from %s...", 
+            symbol, market_type.value, exchange_id
+        )
+        
+        all_ohlcv = self._fetch_all_candles(exchange, ccxt_symbol, timeframe, since, until)
+        
+        if not all_ohlcv:
+            logger.warning("No data downloaded.")
+            return None
+
+        df = self._convert_to_dataframe(all_ohlcv)
+        df.to_csv(file_path)
+        logger.info("Saved %d candles to %s", len(df), file_path)
+        return df
+
+    def load_data(
+        self, 
+        exchange_id: str, 
+        symbol: str, 
+        timeframe: str = '1m',
+        market_type: MarketType = MarketType.SPOT
+    ) -> pd.DataFrame:
+        """
+        Load saved OHLCV data for vectorbt.
+        
+        Args:
+            exchange_id: Exchange name (e.g., 'okx')
+            symbol: Trading pair (e.g., 'BTC/USDT')
+            timeframe: Candle timeframe (e.g., '1m')
+            market_type: Market type (spot or perpetual)
+            
+        Returns:
+            DataFrame with OHLCV data indexed by timestamp
+            
+        Raises:
+            FileNotFoundError: If data file does not exist
+        """
+        file_path = self._get_data_path(exchange_id, symbol, timeframe, market_type)
+        
+        if not file_path.exists():
+            raise FileNotFoundError(
+                f"Data not found at {file_path}. "
+                f"Run: uv run python main.py download --pair {symbol} "
+                f"--market {market_type.value}"
+            )
+            
+        return pd.read_csv(file_path, index_col='timestamp', parse_dates=True)
+
+    def _parse_date_range(
+        self, 
+        exchange: ccxt.Exchange, 
+        start_date: str | None, 
+        end_date: str | None
+    ) -> tuple[int, int]:
+        """Parse date strings into millisecond timestamps."""
+        if start_date:
+            since = exchange.parse8601(f"{start_date}T00:00:00Z")
+        else:
+            since = exchange.milliseconds() - 365 * 24 * 60 * 60 * 1000
+            
+        if end_date:
+            until = exchange.parse8601(f"{end_date}T23:59:59Z")
+        else:
+            until = exchange.milliseconds()
+            
+        return since, until
+
+    def _fetch_all_candles(
+        self, 
+        exchange: ccxt.Exchange, 
+        symbol: str, 
+        timeframe: str, 
+        since: int, 
+        until: int
+    ) -> list:
+        """Fetch all candles in the date range."""
+        all_ohlcv = []
+        
+        while since < until:
+            try:
+                ohlcv = exchange.fetch_ohlcv(symbol, timeframe, since, limit=100)
+                if not ohlcv:
+                    break
+                    
+                all_ohlcv.extend(ohlcv)
+                since = ohlcv[-1][0] + 1
+                
+                current_date = datetime.fromtimestamp(
+                    since/1000, tz=timezone.utc
+                ).strftime('%Y-%m-%d')
+                logger.debug("Fetched up to %s", current_date)
+                
+                time.sleep(exchange.rateLimit / 1000)
+                
+            except Exception as e:
+                logger.error("Error fetching data: %s", e)
+                break
+                
+        return all_ohlcv
+
+    def _convert_to_dataframe(self, ohlcv: list) -> pd.DataFrame:
+        """Convert OHLCV list to DataFrame."""
+        df = pd.DataFrame(
+            ohlcv, 
+            columns=['timestamp', 'open', 'high', 'low', 'close', 'volume']
+        )
+        df['timestamp'] = pd.to_datetime(df['timestamp'], unit='ms', utc=True)
+        df.set_index('timestamp', inplace=True)
+        return df

engine/logging_config.py

@@ -0,0 +1,124 @@
+"""
+Centralized logging configuration for the backtest engine.
+
+Provides colored console output and rotating file logs.
+"""
+
+import logging
+import sys
+from logging.handlers import RotatingFileHandler
+from pathlib import Path
+
+
+# ANSI color codes for terminal output
+class Colors:
+    """ANSI escape codes for colored terminal output."""
+    
+    RESET = "\033[0m"
+    BOLD = "\033[1m"
+    
+    # Log level colors
+    DEBUG = "\033[36m"      # Cyan
+    INFO = "\033[32m"       # Green
+    WARNING = "\033[33m"    # Yellow
+    ERROR = "\033[31m"      # Red
+    CRITICAL = "\033[35m"   # Magenta
+
+
+class ColoredFormatter(logging.Formatter):
+    """
+    Custom formatter that adds colors to log level names in terminal output.
+    """
+    
+    LEVEL_COLORS = {
+        logging.DEBUG: Colors.DEBUG,
+        logging.INFO: Colors.INFO,
+        logging.WARNING: Colors.WARNING,
+        logging.ERROR: Colors.ERROR,
+        logging.CRITICAL: Colors.CRITICAL,
+    }
+    
+    def __init__(self, fmt: str = None, datefmt: str = None):
+        super().__init__(fmt, datefmt)
+    
+    def format(self, record: logging.LogRecord) -> str:
+        # Save original levelname
+        original_levelname = record.levelname
+        
+        # Add color to levelname
+        color = self.LEVEL_COLORS.get(record.levelno, Colors.RESET)
+        record.levelname = f"{color}{record.levelname}{Colors.RESET}"
+        
+        # Format the message
+        result = super().format(record)
+        
+        # Restore original levelname
+        record.levelname = original_levelname
+        
+        return result
+
+
+def setup_logging(
+    log_dir: str = "logs",
+    log_level: int = logging.INFO,
+    console_level: int = logging.INFO,
+    max_bytes: int = 5 * 1024 * 1024,  # 5MB
+    backup_count: int = 3
+) -> None:
+    """
+    Configure logging for the application.
+    
+    Args:
+        log_dir: Directory for log files
+        log_level: File logging level
+        console_level: Console logging level
+        max_bytes: Max size per log file before rotation
+        backup_count: Number of backup files to keep
+    """
+    log_path = Path(log_dir)
+    log_path.mkdir(parents=True, exist_ok=True)
+    
+    # Get root logger
+    root_logger = logging.getLogger()
+    root_logger.setLevel(logging.DEBUG)  # Capture all, handlers filter
+    
+    # Clear existing handlers
+    root_logger.handlers.clear()
+    
+    # Console handler with colors
+    console_handler = logging.StreamHandler(sys.stdout)
+    console_handler.setLevel(console_level)
+    console_fmt = ColoredFormatter(
+        fmt="[%(asctime)s] %(levelname)s - %(message)s",
+        datefmt="%H:%M:%S"
+    )
+    console_handler.setFormatter(console_fmt)
+    root_logger.addHandler(console_handler)
+    
+    # File handler with rotation
+    file_handler = RotatingFileHandler(
+        log_path / "backtest.log",
+        maxBytes=max_bytes,
+        backupCount=backup_count,
+        encoding="utf-8"
+    )
+    file_handler.setLevel(log_level)
+    file_fmt = logging.Formatter(
+        fmt="%(asctime)s - %(name)s - %(levelname)s - %(message)s",
+        datefmt="%Y-%m-%d %H:%M:%S"
+    )
+    file_handler.setFormatter(file_fmt)
+    root_logger.addHandler(file_handler)
+
+
+def get_logger(name: str) -> logging.Logger:
+    """
+    Get a logger instance for the given module name.
+    
+    Args:
+        name: Module name (typically __name__)
+        
+    Returns:
+        Configured logger instance
+    """
+    return logging.getLogger(name)

engine/market.py

@@ -0,0 +1,156 @@
+"""
+Market type definitions and configuration for backtesting.
+
+Supports different market types with their specific trading conditions:
+- SPOT: No leverage, no funding, long-only
+- PERPETUAL: Leverage, funding rates, long/short
+"""
+from dataclasses import dataclass
+from enum import Enum
+
+
+class MarketType(Enum):
+    """Supported market types for backtesting."""
+    SPOT = "spot"
+    PERPETUAL = "perpetual"
+
+
+@dataclass(frozen=True)
+class MarketConfig:
+    """
+    Configuration for a specific market type.
+    
+    Attributes:
+        market_type: The market type enum value
+        maker_fee: Maker fee as decimal (e.g., 0.0008 = 0.08%)
+        taker_fee: Taker fee as decimal (e.g., 0.001 = 0.1%)
+        max_leverage: Maximum allowed leverage
+        funding_rate: Funding rate per 8 hours as decimal (perpetuals only)
+        funding_interval_hours: Hours between funding payments
+        maintenance_margin_rate: Rate for liquidation calculation
+        supports_short: Whether short-selling is supported
+    """
+    market_type: MarketType
+    maker_fee: float
+    taker_fee: float
+    max_leverage: int
+    funding_rate: float
+    funding_interval_hours: int
+    maintenance_margin_rate: float
+    supports_short: bool
+
+
+# OKX-based default configurations
+SPOT_CONFIG = MarketConfig(
+    market_type=MarketType.SPOT,
+    maker_fee=0.0008,       # 0.08%
+    taker_fee=0.0010,       # 0.10%
+    max_leverage=1,
+    funding_rate=0.0,
+    funding_interval_hours=0,
+    maintenance_margin_rate=0.0,
+    supports_short=False,
+)
+
+PERPETUAL_CONFIG = MarketConfig(
+    market_type=MarketType.PERPETUAL,
+    maker_fee=0.0002,       # 0.02%
+    taker_fee=0.0005,       # 0.05%
+    max_leverage=125,
+    funding_rate=0.0001,    # 0.01% per 8 hours (simplified average)
+    funding_interval_hours=8,
+    maintenance_margin_rate=0.004,  # 0.4% for BTC on OKX
+    supports_short=True,
+)
+
+
+def get_market_config(market_type: MarketType) -> MarketConfig:
+    """
+    Get the configuration for a specific market type.
+    
+    Args:
+        market_type: The market type to get configuration for
+        
+    Returns:
+        MarketConfig with default values for that market type
+    """
+    configs = {
+        MarketType.SPOT: SPOT_CONFIG,
+        MarketType.PERPETUAL: PERPETUAL_CONFIG,
+    }
+    return configs[market_type]
+
+
+def get_ccxt_symbol(symbol: str, market_type: MarketType) -> str:
+    """
+    Convert a standard symbol to CCXT format for the given market type.
+    
+    Args:
+        symbol: Standard symbol (e.g., 'BTC/USDT')
+        market_type: The market type
+        
+    Returns:
+        CCXT-formatted symbol (e.g., 'BTC/USDT:USDT' for perpetuals)
+    """
+    if market_type == MarketType.PERPETUAL:
+        # OKX perpetual format: BTC/USDT:USDT
+        quote = symbol.split('/')[1] if '/' in symbol else 'USDT'
+        return f"{symbol}:{quote}"
+    return symbol
+
+
+def calculate_leverage_stop_loss(
+    leverage: int,
+    maintenance_margin_rate: float = 0.004
+) -> float:
+    """
+    Calculate the implicit stop-loss percentage from leverage.
+    
+    At a given leverage, liquidation occurs when the position loses
+    approximately (1/leverage - maintenance_margin_rate) of its value.
+    
+    Args:
+        leverage: Position leverage multiplier
+        maintenance_margin_rate: Maintenance margin rate (default OKX BTC: 0.4%)
+        
+    Returns:
+        Stop-loss percentage as decimal (e.g., 0.196 for 19.6%)
+    """
+    if leverage <= 1:
+        return 1.0  # No forced stop for spot
+    
+    return (1 / leverage) - maintenance_margin_rate
+
+
+def calculate_liquidation_price(
+    entry_price: float,
+    leverage: float,
+    is_long: bool,
+    maintenance_margin_rate: float = 0.004
+) -> float:
+    """
+    Calculate the liquidation price for a leveraged position.
+    
+    Args:
+        entry_price: Position entry price
+        leverage: Position leverage
+        is_long: True for long positions, False for short
+        maintenance_margin_rate: Maintenance margin rate (default OKX BTC: 0.4%)
+        
+    Returns:
+        Liquidation price
+    """
+    if leverage <= 1:
+        return 0.0 if is_long else float('inf')
+    
+    # Simplified liquidation formula
+    # Long: liq_price = entry * (1 - 1/leverage + maintenance_margin_rate)
+    # Short: liq_price = entry * (1 + 1/leverage - maintenance_margin_rate)
+    margin_ratio = 1 / leverage
+    
+    if is_long:
+        liq_price = entry_price * (1 - margin_ratio + maintenance_margin_rate)
+    else:
+        liq_price = entry_price * (1 + margin_ratio - maintenance_margin_rate)
+    
+    return liq_price

engine/optimizer.py

@@ -0,0 +1,245 @@
+"""
+Walk-Forward Analysis optimizer for strategy parameter optimization.
+
+Implements expanding window walk-forward analysis with train/test splits.
+"""
+import numpy as np
+import pandas as pd
+import vectorbt as vbt
+
+from engine.logging_config import get_logger
+
+logger = get_logger(__name__)
+
+
+def create_rolling_windows(
+    index: pd.Index, 
+    n_windows: int, 
+    train_split: float = 0.7
+):
+    """
+    Create rolling train/test split indices using expanding window approach.
+    
+    Args:
+        index: DataFrame index to split
+        n_windows: Number of walk-forward windows
+        train_split: Unused, kept for API compatibility
+        
+    Yields:
+        Tuples of (train_idx, test_idx) numpy arrays
+    """
+    chunks = np.array_split(index, n_windows + 1)
+    
+    for i in range(n_windows):
+        train_idx = np.concatenate([c for c in chunks[:i+1]])
+        test_idx = chunks[i+1]
+        yield train_idx, test_idx
+
+
+class WalkForwardOptimizer:
+    """
+    Walk-Forward Analysis optimizer for strategy backtesting.
+    
+    Optimizes strategy parameters on training windows and validates
+    on out-of-sample test windows.
+    """
+    
+    def __init__(
+        self, 
+        backtester, 
+        strategy, 
+        param_grid: dict, 
+        metric: str = 'Sharpe Ratio',
+        fees: float = 0.001,
+        freq: str = '1m'
+    ):
+        """
+        Initialize the optimizer.
+        
+        Args:
+            backtester: Backtester instance
+            strategy: Strategy instance to optimize
+            param_grid: Parameter grid for optimization
+            metric: Performance metric to optimize
+            fees: Transaction fees for simulation
+            freq: Data frequency for portfolio simulation
+        """
+        self.bt = backtester
+        self.strategy = strategy
+        self.param_grid = param_grid
+        self.metric = metric
+        self.fees = fees
+        self.freq = freq
+        
+        # Separate grid params (lists) from fixed params (scalars)
+        self.grid_keys = []
+        self.fixed_params = {}
+        for k, v in param_grid.items():
+            if isinstance(v, (list, np.ndarray)):
+                self.grid_keys.append(k)
+            else:
+                self.fixed_params[k] = v
+
+    def run(
+        self, 
+        close_price: pd.Series, 
+        high: pd.Series | None = None, 
+        low: pd.Series | None = None, 
+        n_windows: int = 10
+    ) -> tuple[pd.DataFrame, pd.Series | None]:
+        """
+        Execute walk-forward analysis.
+        
+        Args:
+            close_price: Close price series
+            high: High price series (optional)
+            low: Low price series (optional)
+            n_windows: Number of walk-forward windows
+            
+        Returns:
+            Tuple of (results DataFrame, stitched equity curve)
+        """
+        results = []
+        equity_curves = []
+        
+        logger.info(
+            "Starting Walk-Forward Analysis with %d windows (Expanding Train)...",
+            n_windows
+        )
+        
+        splitter = create_rolling_windows(close_price.index, n_windows)
+        
+        for i, (train_idx, test_idx) in enumerate(splitter):
+            logger.info("Processing Window %d/%d...", i + 1, n_windows)
+            
+            window_result = self._process_window(
+                i, train_idx, test_idx, close_price, high, low
+            )
+            
+            if window_result is not None:
+                result_dict, eq_curve = window_result
+                results.append(result_dict)
+                equity_curves.append(eq_curve)
+        
+        stitched_series = self._stitch_equity_curves(equity_curves)
+        return pd.DataFrame(results), stitched_series
+
+    def _process_window(
+        self,
+        window_idx: int,
+        train_idx: np.ndarray,
+        test_idx: np.ndarray,
+        close_price: pd.Series,
+        high: pd.Series | None,
+        low: pd.Series | None
+    ) -> tuple[dict, pd.Series] | None:
+        """Process a single WFA window."""
+        try:
+            # Slice data for train/test
+            train_close = close_price.loc[train_idx]
+            train_high = high.loc[train_idx] if high is not None else None
+            train_low = low.loc[train_idx] if low is not None else None
+            
+            # Train phase: find best parameters
+            best_params, best_score = self._optimize_train(
+                train_close, train_high, train_low
+            )
+            
+            # Test phase: validate with best params
+            test_close = close_price.loc[test_idx]
+            test_high = high.loc[test_idx] if high is not None else None
+            test_low = low.loc[test_idx] if low is not None else None
+            
+            test_params = {**self.fixed_params, **best_params}
+            test_score, test_return, eq_curve = self._run_test(
+                test_close, test_high, test_low, test_params
+            )
+            
+            return {
+                'window': window_idx + 1,
+                'train_start': train_idx[0],
+                'train_end': train_idx[-1],
+                'test_start': test_idx[0],
+                'test_end': test_idx[-1],
+                'best_params': best_params,
+                'train_score': best_score,
+                'test_score': test_score,
+                'test_return': test_return
+            }, eq_curve
+            
+        except Exception as e:
+            logger.error("Error in window %d: %s", window_idx + 1, e, exc_info=True)
+            return None
+
+    def _optimize_train(
+        self,
+        close: pd.Series,
+        high: pd.Series | None,
+        low: pd.Series | None
+    ) -> tuple[dict, float]:
+        """Run grid search on training data to find best parameters."""
+        entries, exits = self.strategy.run(
+            close, high=high, low=low, **self.param_grid
+        )
+        
+        pf_train = vbt.Portfolio.from_signals(
+            close, entries, exits, 
+            fees=self.fees, 
+            freq=self.freq
+        )
+        
+        perf_stats = pf_train.sharpe_ratio()
+        perf_stats = perf_stats.fillna(-999)
+        
+        best_idx = perf_stats.idxmax()
+        best_score = perf_stats.max()
+        
+        # Extract best params from grid search
+        if len(self.grid_keys) == 1:
+            best_params = {self.grid_keys[0]: best_idx}
+        elif len(self.grid_keys) > 1:
+            best_params = dict(zip(self.grid_keys, best_idx))
+        else:
+            best_params = {}
+            
+        return best_params, best_score
+
+    def _run_test(
+        self,
+        close: pd.Series,
+        high: pd.Series | None,
+        low: pd.Series | None,
+        params: dict
+    ) -> tuple[float, float, pd.Series]:
+        """Run test phase with given parameters."""
+        entries, exits = self.strategy.run(
+            close, high=high, low=low, **params
+        )
+        
+        pf_test = vbt.Portfolio.from_signals(
+            close, entries, exits, 
+            fees=self.fees, 
+            freq=self.freq
+        )
+        
+        return pf_test.sharpe_ratio(), pf_test.total_return(), pf_test.value()
+
+    def _stitch_equity_curves(
+        self, 
+        equity_curves: list[pd.Series]
+    ) -> pd.Series | None:
+        """Stitch multiple equity curves into a continuous series."""
+        if not equity_curves:
+            return None
+            
+        stitched = [equity_curves[0]]
+        for j in range(1, len(equity_curves)):
+            prev_end_val = stitched[-1].iloc[-1]
+            curr_curve = equity_curves[j]
+            init_cash = curr_curve.iloc[0]
+            
+            # Scale curve to continue from previous end value
+            scaled_curve = (curr_curve / init_cash) * prev_end_val
+            stitched.append(scaled_curve)
+        
+        return pd.concat(stitched)

engine/portfolio.py

@@ -0,0 +1,148 @@
+"""
+Portfolio simulation utilities for backtesting.
+
+Handles long-only and long/short portfolio creation using VectorBT.
+"""
+import pandas as pd
+import vectorbt as vbt
+
+from engine.logging_config import get_logger
+
+logger = get_logger(__name__)
+
+
+def run_long_only_portfolio(
+    close: pd.Series,
+    entries: pd.DataFrame,
+    exits: pd.DataFrame,
+    init_cash: float,
+    fees: float,
+    slippage: float,
+    freq: str,
+    sl_stop: float | None,
+    tp_stop: float | None,
+    sl_trail: bool,
+    leverage: int
+) -> vbt.Portfolio:
+    """
+    Run a long-only portfolio simulation.
+    
+    Args:
+        close: Close price series
+        entries: Entry signals
+        exits: Exit signals
+        init_cash: Initial capital
+        fees: Transaction fee percentage
+        slippage: Slippage percentage
+        freq: Data frequency string
+        sl_stop: Stop loss percentage
+        tp_stop: Take profit percentage
+        sl_trail: Enable trailing stop loss
+        leverage: Leverage multiplier
+        
+    Returns:
+        VectorBT Portfolio object
+    """
+    effective_cash = init_cash * leverage
+    
+    return vbt.Portfolio.from_signals(
+        close=close,
+        entries=entries,
+        exits=exits,
+        init_cash=effective_cash,
+        fees=fees,
+        slippage=slippage,
+        freq=freq,
+        sl_stop=sl_stop,
+        tp_stop=tp_stop,
+        sl_trail=sl_trail,
+        size=1.0,
+        size_type='percent',
+    )
+
+
+def run_long_short_portfolio(
+    close: pd.Series,
+    long_entries: pd.DataFrame,
+    long_exits: pd.DataFrame,
+    short_entries: pd.DataFrame,
+    short_exits: pd.DataFrame,
+    init_cash: float,
+    fees: float,
+    slippage: float,
+    freq: str,
+    sl_stop: float | None,
+    tp_stop: float | None,
+    sl_trail: bool,
+    leverage: int
+) -> vbt.Portfolio:
+    """
+    Run a portfolio supporting both long and short positions.
+    
+    Runs two separate portfolios (long and short) and combines results.
+    Each gets half the capital.
+    
+    Args:
+        close: Close price series
+        long_entries: Long entry signals
+        long_exits: Long exit signals
+        short_entries: Short entry signals
+        short_exits: Short exit signals
+        init_cash: Initial capital
+        fees: Transaction fee percentage
+        slippage: Slippage percentage
+        freq: Data frequency string
+        sl_stop: Stop loss percentage
+        tp_stop: Take profit percentage
+        sl_trail: Enable trailing stop loss
+        leverage: Leverage multiplier
+        
+    Returns:
+        VectorBT Portfolio object (long portfolio, short stats logged)
+    """
+    effective_cash = init_cash * leverage
+    half_cash = effective_cash / 2
+    
+    # Run long-only portfolio
+    long_pf = vbt.Portfolio.from_signals(
+        close=close,
+        entries=long_entries,
+        exits=long_exits,
+        direction='longonly',
+        init_cash=half_cash,
+        fees=fees,
+        slippage=slippage,
+        freq=freq,
+        sl_stop=sl_stop,
+        tp_stop=tp_stop,
+        sl_trail=sl_trail,
+        size=1.0,
+        size_type='percent',
+    )
+    
+    # Run short-only portfolio
+    short_pf = vbt.Portfolio.from_signals(
+        close=close,
+        entries=short_entries,
+        exits=short_exits,
+        direction='shortonly',
+        init_cash=half_cash,
+        fees=fees,
+        slippage=slippage,
+        freq=freq,
+        sl_stop=sl_stop,
+        tp_stop=tp_stop,
+        sl_trail=sl_trail,
+        size=1.0,
+        size_type='percent',
+    )
+    
+    # Log both portfolio stats
+    # TODO: Implement proper portfolio combination
+    logger.info(
+        "Long portfolio: %.2f%% return, Short portfolio: %.2f%% return",
+        long_pf.total_return().mean() * 100,
+        short_pf.total_return().mean() * 100
+    )
+    
+    return long_pf

engine/reporting.py

@@ -0,0 +1,228 @@
+"""
+Reporting module for backtest results.
+
+Handles summary printing, CSV exports, and plotting.
+"""
+from pathlib import Path
+
+import pandas as pd
+import plotly.graph_objects as go
+import vectorbt as vbt
+from plotly.subplots import make_subplots
+
+from engine.logging_config import get_logger
+
+logger = get_logger(__name__)
+
+
+class Reporter:
+    """Reporter for backtest results with market-specific metrics."""
+    
+    def __init__(self, output_dir: str = "backtest_logs"):
+        self.output_dir = Path(output_dir)
+        self.output_dir.mkdir(exist_ok=True)
+
+    def print_summary(self, result) -> None:
+        """
+        Print backtest summary to console via logger.
+        
+        Args:
+            result: BacktestResult or vbt.Portfolio object
+        """
+        (portfolio, market_type, leverage, funding_paid, 
+         liq_count, liq_loss, adjusted_return) = self._extract_result_data(result)
+        
+        # Extract period info
+        idx = portfolio.wrapper.index
+        start_date = idx[0].strftime("%Y-%m-%d")
+        end_date = idx[-1].strftime("%Y-%m-%d")
+        
+        # Extract price info
+        close = portfolio.close
+        start_price = close.iloc[0].mean() if hasattr(close.iloc[0], 'mean') else close.iloc[0]
+        end_price = close.iloc[-1].mean() if hasattr(close.iloc[-1], 'mean') else close.iloc[-1]
+        price_change = ((end_price - start_price) / start_price) * 100
+        
+        # Extract fees
+        stats = portfolio.stats()
+        total_fees = stats.get('Total Fees Paid', 0)
+        
+        raw_return = portfolio.total_return().mean() * 100
+        
+        # Build summary
+        summary_lines = [
+            "",
+            "=" * 50,
+            "BACKTEST RESULTS",
+            "=" * 50,
+            f"Market Type:  [{market_type.upper()}]",
+            f"Leverage:     [{leverage}x]",
+            f"Period:       [{start_date} to {end_date}]",
+            f"Price:        [{start_price:,.2f} -> {end_price:,.2f} ({price_change:+.2f}%)]",
+        ]
+        
+        # Show adjusted return if liquidations occurred
+        if liq_count > 0 and adjusted_return is not None:
+            summary_lines.append(f"Raw Return:   [%{raw_return:.2f}] (before liq adjustment)")
+            summary_lines.append(f"Adj Return:   [%{adjusted_return:.2f}] (after liq losses)")
+        else:
+            summary_lines.append(f"Total Return: [%{raw_return:.2f}]")
+        
+        summary_lines.extend([
+            f"Sharpe Ratio: [{portfolio.sharpe_ratio().mean():.2f}]",
+            f"Max Drawdown: [%{portfolio.max_drawdown().mean() * 100:.2f}]",
+            f"Total Trades: [{portfolio.trades.count().mean():.0f}]",
+            f"Win Rate:     [%{portfolio.trades.win_rate().mean() * 100:.2f}]",
+            f"Total Fees:   [{total_fees:,.2f}]",
+        ])
+        
+        if funding_paid != 0:
+            summary_lines.append(f"Funding Paid: [{funding_paid:,.2f}]")
+        if liq_count > 0:
+            summary_lines.append(f"Liquidations: [{liq_count}] (${liq_loss:,.2f} margin lost)")
+            
+        summary_lines.append("=" * 50)
+        logger.info("\n".join(summary_lines))
+
+    def save_reports(self, result, filename_prefix: str) -> None:
+        """
+        Save trade log, stats, and liquidation events to CSV files.
+        
+        Args:
+            result: BacktestResult or vbt.Portfolio object
+            filename_prefix: Prefix for output filenames
+        """
+        (portfolio, market_type, leverage, funding_paid, 
+         liq_count, liq_loss, adjusted_return) = self._extract_result_data(result)
+        
+        # Save trades
+        self._save_csv(
+            data=portfolio.trades.records_readable,
+            path=self.output_dir / f"{filename_prefix}_trades.csv",
+            description="trade log"
+        )
+        
+        # Save stats with market-specific additions
+        stats = portfolio.stats()
+        stats['Market Type'] = market_type
+        stats['Leverage'] = leverage
+        stats['Total Funding Paid'] = funding_paid
+        stats['Liquidations'] = liq_count
+        stats['Liquidation Loss'] = liq_loss
+        if adjusted_return is not None:
+            stats['Adjusted Return'] = adjusted_return
+        
+        self._save_csv(
+            data=stats,
+            path=self.output_dir / f"{filename_prefix}_stats.csv",
+            description="stats"
+        )
+        
+        # Save liquidation events if any
+        if hasattr(result, 'liquidation_events') and result.liquidation_events:
+            liq_df = pd.DataFrame([
+                {
+                    'entry_time': e.entry_time,
+                    'entry_price': e.entry_price,
+                    'liquidation_time': e.liquidation_time,
+                    'liquidation_price': e.liquidation_price,
+                    'actual_price': e.actual_price,
+                    'direction': e.direction,
+                    'margin_lost_pct': e.margin_lost_pct
+                }
+                for e in result.liquidation_events
+            ])
+            self._save_csv(
+                data=liq_df,
+                path=self.output_dir / f"{filename_prefix}_liquidations.csv",
+                description="liquidation events"
+            )
+
+    def plot(self, portfolio: vbt.Portfolio, show: bool = True) -> None:
+        """Display portfolio plot."""
+        if show:
+            portfolio.plot().show()
+            
+    def plot_wfa(
+        self, 
+        wfa_results: pd.DataFrame, 
+        stitched_curve: pd.Series | None = None, 
+        show: bool = True
+    ) -> None:
+        """
+        Plot Walk-Forward Analysis results.
+        
+        Args:
+            wfa_results: DataFrame with WFA window results
+            stitched_curve: Stitched out-of-sample equity curve
+            show: Whether to display the plot
+        """
+        fig = make_subplots(
+            rows=2, cols=1, 
+            shared_xaxes=False, 
+            vertical_spacing=0.1,
+            subplot_titles=(
+                "Walk-Forward Test Scores (Sharpe)", 
+                "Stitched Out-of-Sample Equity"
+            )
+        )
+        
+        fig.add_trace(
+            go.Bar(
+                x=wfa_results['window'], 
+                y=wfa_results['test_score'], 
+                name="Test Sharpe"
+            ),
+            row=1, col=1
+        )
+        
+        if stitched_curve is not None:
+            fig.add_trace(
+                go.Scatter(
+                    x=stitched_curve.index, 
+                    y=stitched_curve.values, 
+                    name="Equity", 
+                    mode='lines'
+                ),
+                row=2, col=1
+            )
+            
+        fig.update_layout(height=800, title_text="Walk-Forward Analysis Report")
+        
+        if show:
+            fig.show()
+
+    def _extract_result_data(self, result) -> tuple:
+        """
+        Extract data from BacktestResult or raw Portfolio.
+        
+        Returns:
+            Tuple of (portfolio, market_type, leverage, funding_paid, liq_count,
+                      liq_loss, adjusted_return)
+        """
+        if hasattr(result, 'portfolio'):
+            return (
+                result.portfolio,
+                result.market_type.value,
+                result.leverage,
+                result.total_funding_paid,
+                result.liquidation_count,
+                getattr(result, 'total_liquidation_loss', 0.0),
+                getattr(result, 'adjusted_return', None)
+            )
+        return (result, "unknown", 1, 0.0, 0, 0.0, None)
+
+    def _save_csv(self, data, path: Path, description: str) -> None:
+        """
+        Save data to CSV with consistent error handling.
+        
+        Args:
+            data: DataFrame or Series to save
+            path: Output file path
+            description: Human-readable description for logging
+        """
+        try:
+            data.to_csv(path)
+            logger.info("Saved %s to %s", description, path)
+        except Exception as e:
+            logger.error("Could not save %s: %s", description, e)

engine/risk.py

@@ -0,0 +1,395 @@
+"""
+Risk management utilities for backtesting.
+
+Handles funding rate calculations and liquidation detection.
+"""
+from dataclasses import dataclass
+
+import pandas as pd
+
+from engine.logging_config import get_logger
+from engine.market import MarketConfig, calculate_liquidation_price
+
+logger = get_logger(__name__)
+
+
+@dataclass
+class LiquidationEvent:
+    """
+    Record of a liquidation event during backtesting.
+    
+    Attributes:
+        entry_time: Timestamp when position was opened
+        entry_price: Price at position entry
+        liquidation_time: Timestamp when liquidation occurred
+        liquidation_price: Calculated liquidation price
+        actual_price: Actual price that triggered liquidation (high/low)
+        direction: 'long' or 'short'
+        margin_lost_pct: Percentage of margin lost (typically 100%)
+    """
+    entry_time: pd.Timestamp
+    entry_price: float
+    liquidation_time: pd.Timestamp
+    liquidation_price: float
+    actual_price: float
+    direction: str
+    margin_lost_pct: float = 1.0
+
+
+def calculate_funding(
+    close: pd.Series,
+    long_entries: pd.DataFrame,
+    long_exits: pd.DataFrame,
+    short_entries: pd.DataFrame,
+    short_exits: pd.DataFrame,
+    market_config: MarketConfig,
+    leverage: int
+) -> float:
+    """
+    Calculate total funding paid/received for perpetual positions.
+    
+    Simplified model: applies funding rate every 8 hours to open positions.
+    Positive rate means longs pay shorts.
+    
+    Args:
+        close: Price series
+        long_entries: Long entry signals
+        long_exits: Long exit signals
+        short_entries: Short entry signals
+        short_exits: Short exit signals
+        market_config: Market configuration with funding parameters
+        leverage: Position leverage
+        
+    Returns:
+        Total funding paid (positive) or received (negative)
+    """
+    if market_config.funding_interval_hours == 0:
+        return 0.0
+        
+    funding_rate = market_config.funding_rate
+    interval_hours = market_config.funding_interval_hours
+    
+    # Determine position state at each bar
+    long_position = long_entries.cumsum() - long_exits.cumsum()
+    short_position = short_entries.cumsum() - short_exits.cumsum()
+    
+    # Clamp to 0/1 (either in position or not)
+    long_position = (long_position > 0).astype(int)
+    short_position = (short_position > 0).astype(int)
+    
+    # Find funding timestamps (every 8 hours: 00:00, 08:00, 16:00 UTC)
+    funding_times = close.index[close.index.hour % interval_hours == 0]
+    
+    total_funding = 0.0
+    for ts in funding_times:
+        if ts not in close.index:
+            continue
+        price = close.loc[ts]
+        
+        # Long pays funding, short receives (when rate > 0)
+        if isinstance(long_position, pd.DataFrame):
+            long_open = long_position.loc[ts].any()
+            short_open = short_position.loc[ts].any()
+        else:
+            long_open = long_position.loc[ts] > 0
+            short_open = short_position.loc[ts] > 0
+        
+        position_value = price * leverage
+        if long_open:
+            total_funding += position_value * funding_rate
+        if short_open:
+            total_funding -= position_value * funding_rate
+            
+    return total_funding
+
+
+def inject_liquidation_exits(
+    close: pd.Series,
+    high: pd.Series,
+    low: pd.Series,
+    long_entries: pd.DataFrame | pd.Series,
+    long_exits: pd.DataFrame | pd.Series,
+    short_entries: pd.DataFrame | pd.Series,
+    short_exits: pd.DataFrame | pd.Series,
+    leverage: int,
+    maintenance_margin_rate: float
+) -> tuple[pd.DataFrame | pd.Series, pd.DataFrame | pd.Series, list[LiquidationEvent]]:
+    """
+    Modify exit signals to force position closure at liquidation points.
+    
+    This function simulates realistic liquidation behavior by:
+    1. Finding positions that would be liquidated before their normal exit
+    2. Injecting forced exit signals at the liquidation bar
+    3. Recording all liquidation events
+    
+    Args:
+        close: Close price series
+        high: High price series
+        low: Low price series
+        long_entries: Long entry signals
+        long_exits: Long exit signals
+        short_entries: Short entry signals
+        short_exits: Short exit signals
+        leverage: Position leverage
+        maintenance_margin_rate: Maintenance margin rate for liquidation
+        
+    Returns:
+        Tuple of (modified_long_exits, modified_short_exits, liquidation_events)
+    """
+    if leverage <= 1:
+        return long_exits, short_exits, []
+    
+    liquidation_events: list[LiquidationEvent] = []
+    
+    # Convert to DataFrame if Series for consistent handling
+    is_series = isinstance(long_entries, pd.Series)
+    if is_series:
+        long_entries_df = long_entries.to_frame()
+        long_exits_df = long_exits.to_frame()
+        short_entries_df = short_entries.to_frame()
+        short_exits_df = short_exits.to_frame()
+    else:
+        long_entries_df = long_entries
+        long_exits_df = long_exits.copy()
+        short_entries_df = short_entries
+        short_exits_df = short_exits.copy()
+    
+    modified_long_exits = long_exits_df.copy()
+    modified_short_exits = short_exits_df.copy()
+    
+    # Process long positions
+    long_mask = long_entries_df.any(axis=1)
+    for entry_idx in close.index[long_mask]:
+        entry_price = close.loc[entry_idx]
+        liq_price = calculate_liquidation_price(
+            entry_price, leverage, is_long=True,
+            maintenance_margin_rate=maintenance_margin_rate
+        )
+        
+        # Find the normal exit for this entry
+        subsequent_exits = long_exits_df.loc[entry_idx:].any(axis=1)
+        exit_indices = subsequent_exits[subsequent_exits].index
+        normal_exit_idx = exit_indices[0] if len(exit_indices) > 0 else close.index[-1]
+        
+        # Check if liquidation occurs before normal exit
+        price_range = low.loc[entry_idx:normal_exit_idx]
+        if (price_range < liq_price).any():
+            liq_bar = price_range[price_range < liq_price].index[0]
+            
+            # Inject forced exit at liquidation bar
+            for col in modified_long_exits.columns:
+                modified_long_exits.loc[liq_bar, col] = True
+            
+            # Record the liquidation event
+            liquidation_events.append(LiquidationEvent(
+                entry_time=entry_idx,
+                entry_price=entry_price,
+                liquidation_time=liq_bar,
+                liquidation_price=liq_price,
+                actual_price=low.loc[liq_bar],
+                direction='long',
+                margin_lost_pct=1.0
+            ))
+            
+            logger.warning(
+                "LIQUIDATION (Long): Entry %s ($%.2f) -> Liquidated %s "
+                "(liq=$%.2f, low=$%.2f)",
+                entry_idx.strftime('%Y-%m-%d'), entry_price,
+                liq_bar.strftime('%Y-%m-%d'), liq_price, low.loc[liq_bar]
+            )
+    
+    # Process short positions
+    short_mask = short_entries_df.any(axis=1)
+    for entry_idx in close.index[short_mask]:
+        entry_price = close.loc[entry_idx]
+        liq_price = calculate_liquidation_price(
+            entry_price, leverage, is_long=False,
+            maintenance_margin_rate=maintenance_margin_rate
+        )
+        
+        # Find the normal exit for this entry
+        subsequent_exits = short_exits_df.loc[entry_idx:].any(axis=1)
+        exit_indices = subsequent_exits[subsequent_exits].index
+        normal_exit_idx = exit_indices[0] if len(exit_indices) > 0 else close.index[-1]
+        
+        # Check if liquidation occurs before normal exit
+        price_range = high.loc[entry_idx:normal_exit_idx]
+        if (price_range > liq_price).any():
+            liq_bar = price_range[price_range > liq_price].index[0]
+            
+            # Inject forced exit at liquidation bar
+            for col in modified_short_exits.columns:
+                modified_short_exits.loc[liq_bar, col] = True
+            
+            # Record the liquidation event
+            liquidation_events.append(LiquidationEvent(
+                entry_time=entry_idx,
+                entry_price=entry_price,
+                liquidation_time=liq_bar,
+                liquidation_price=liq_price,
+                actual_price=high.loc[liq_bar],
+                direction='short',
+                margin_lost_pct=1.0
+            ))
+            
+            logger.warning(
+                "LIQUIDATION (Short): Entry %s ($%.2f) -> Liquidated %s "
+                "(liq=$%.2f, high=$%.2f)",
+                entry_idx.strftime('%Y-%m-%d'), entry_price,
+                liq_bar.strftime('%Y-%m-%d'), liq_price, high.loc[liq_bar]
+            )
+    
+    # Convert back to Series if input was Series
+    if is_series:
+        modified_long_exits = modified_long_exits.iloc[:, 0]
+        modified_short_exits = modified_short_exits.iloc[:, 0]
+    
+    return modified_long_exits, modified_short_exits, liquidation_events
+
+
+def calculate_liquidation_adjustment(
+    liquidation_events: list[LiquidationEvent],
+    init_cash: float,
+    leverage: int
+) -> tuple[float, float]:
+    """
+    Calculate the return adjustment for liquidated positions.
+    
+    VectorBT calculates trade P&L using close price at exit bar.
+    For liquidations, the actual loss is 100% of the position margin.
+    This function calculates the difference between what VectorBT
+    recorded and what actually would have happened.
+    
+    In our portfolio setup:
+    - Long/short each get half the capital (init_cash * leverage / 2)
+    - Each trade uses 100% of that allocation (size=1.0, percent)
+    - On liquidation, the margin for that trade is lost entirely
+    
+    The adjustment is the DIFFERENCE between:
+    - VectorBT's calculated P&L (exit at close price)
+    - Actual liquidation P&L (100% margin loss)
+    
+    Args:
+        liquidation_events: List of liquidation events
+        init_cash: Initial portfolio cash (before leverage)
+        leverage: Position leverage used
+        
+    Returns:
+        Tuple of (total_margin_lost, adjustment_pct)
+        - total_margin_lost: Estimated total margin lost from liquidations
+        - adjustment_pct: Percentage adjustment to apply to returns
+    """
+    if not liquidation_events:
+        return 0.0, 0.0
+    
+    # In our setup, each side (long/short) gets half the capital
+    # Margin per side = init_cash / 2
+    margin_per_side = init_cash / 2
+    
+    # For each liquidation, VectorBT recorded some P&L based on close price
+    # The actual P&L should be -100% of the margin used for that trade
+    # 
+    # We estimate the adjustment as:
+    # - Each liquidation should have resulted in ~-20% loss (at 5x leverage)
+    # - VectorBT may have recorded a different value
+    # - The margin loss is (1/leverage) per trade that gets liquidated
+    
+    # Calculate liquidation loss rate based on leverage
+    # At 5x leverage, liquidation = ~19.6% adverse move = 100% margin loss
+    liq_loss_rate = 1.0 / leverage  # Approximate loss per trade as % of position
+    
+    # Count liquidations
+    n_liquidations = len(liquidation_events)
+    
+    # Estimate total margin lost:
+    # Each liquidation on average loses the margin for that trade
+    # Since VectorBT uses half capital per side, and we trade 100% size,
+    # each liquidation loses approximately margin_per_side
+    # But we cap at available capital
+    total_margin_lost = min(n_liquidations * margin_per_side * liq_loss_rate, init_cash)
+    
+    # Calculate as percentage of initial capital
+    adjustment_pct = (total_margin_lost / init_cash) * 100
+    
+    return total_margin_lost, adjustment_pct
+
+
+def check_liquidations(
+    close: pd.Series,
+    high: pd.Series,
+    low: pd.Series,
+    long_entries: pd.DataFrame,
+    long_exits: pd.DataFrame,
+    short_entries: pd.DataFrame,
+    short_exits: pd.DataFrame,
+    leverage: int,
+    maintenance_margin_rate: float
+) -> int:
+    """
+    Check for liquidation events and log warnings.
+    
+    Args:
+        close: Close price series
+        high: High price series
+        low: Low price series
+        long_entries: Long entry signals
+        long_exits: Long exit signals
+        short_entries: Short entry signals
+        short_exits: Short exit signals
+        leverage: Position leverage
+        maintenance_margin_rate: Maintenance margin rate for liquidation
+        
+    Returns:
+        Count of liquidation warnings
+    """
+    warnings = 0
+    
+    # For long positions
+    long_mask = (
+        long_entries.any(axis=1) 
+        if isinstance(long_entries, pd.DataFrame) 
+        else long_entries
+    )
+    
+    for entry_idx in close.index[long_mask]:
+        entry_price = close.loc[entry_idx]
+        liq_price = calculate_liquidation_price(
+            entry_price, leverage, is_long=True, 
+            maintenance_margin_rate=maintenance_margin_rate
+        )
+        
+        subsequent = low.loc[entry_idx:]
+        if (subsequent < liq_price).any():
+            liq_bar = subsequent[subsequent < liq_price].index[0]
+            logger.warning(
+                "LIQUIDATION WARNING (Long): Entry at %s ($%.2f), "
+                "would liquidate at %s (liq_price=$%.2f, low=$%.2f)",
+                entry_idx, entry_price, liq_bar, liq_price, low.loc[liq_bar]
+            )
+            warnings += 1
+    
+    # For short positions
+    short_mask = (
+        short_entries.any(axis=1) 
+        if isinstance(short_entries, pd.DataFrame) 
+        else short_entries
+    )
+    
+    for entry_idx in close.index[short_mask]:
+        entry_price = close.loc[entry_idx]
+        liq_price = calculate_liquidation_price(
+            entry_price, leverage, is_long=False,
+            maintenance_margin_rate=maintenance_margin_rate
+        )
+        
+        subsequent = high.loc[entry_idx:]
+        if (subsequent > liq_price).any():
+            liq_bar = subsequent[subsequent > liq_price].index[0]
+            logger.warning(
+                "LIQUIDATION WARNING (Short): Entry at %s ($%.2f), "
+                "would liquidate at %s (liq_price=$%.2f, high=$%.2f)",
+                entry_idx, entry_price, liq_bar, liq_price, high.loc[liq_bar]
+            )
+            warnings += 1
+            
+    return warnings

indicators/__init__.py

@@ -1,3 +0,0 @@
-from .supertrend import add_supertrends, compute_meta_trend
-
-__all__ = ["add_supertrends", "compute_meta_trend"]

indicators/supertrend.py

@@ -1,58 +0,0 @@
-from __future__ import annotations
-import pandas as pd
-import numpy as np
-
-
-def _atr(high: pd.Series, low: pd.Series, close: pd.Series, period: int) -> pd.Series:
-    hl = (high - low).abs()
-    hc = (high - close.shift()).abs()
-    lc = (low - close.shift()).abs()
-    tr = pd.concat([hl, hc, lc], axis=1).max(axis=1)
-    return tr.rolling(period, min_periods=period).mean()
-
-
-def supertrend_series(df: pd.DataFrame, length: int, multiplier: float) -> pd.Series:
-    atr = _atr(df["High"], df["Low"], df["Close"], length)
-    hl2 = (df["High"] + df["Low"]) / 2
-    upper = hl2 + multiplier * atr
-    lower = hl2 - multiplier * atr
-
-    trend = pd.Series(index=df.index, dtype=float)
-    dir_up = True
-    prev_upper = np.nan
-    prev_lower = np.nan
-
-    for i in range(len(df)):
-        if i == 0 or pd.isna(atr.iat[i]):
-            trend.iat[i] = np.nan
-            prev_upper = upper.iat[i]
-            prev_lower = lower.iat[i]
-            continue
-
-        cu = min(upper.iat[i], prev_upper) if dir_up else upper.iat[i]
-        cl = max(lower.iat[i], prev_lower) if not dir_up else lower.iat[i]
-
-        if df["Close"].iat[i] > cu:
-            dir_up = True
-        elif df["Close"].iat[i] < cl:
-            dir_up = False
-
-        prev_upper = cu if dir_up else upper.iat[i]
-        prev_lower = lower.iat[i] if dir_up else cl
-        trend.iat[i] = cl if dir_up else cu
-
-    return trend
-
-
-def add_supertrends(df: pd.DataFrame, settings: list[tuple[int, float]]) -> pd.DataFrame:
-    out = df.copy()
-    for length, mult in settings:
-        col = f"supertrend_{length}_{mult}"
-        out[col] = supertrend_series(out, length, mult)
-        out[f"bull_{length}_{mult}"] = (out["Close"] >= out[col]).astype(int)
-    return out
-
-
-def compute_meta_trend(df: pd.DataFrame, settings: list[tuple[int, float]]) -> pd.Series:
-    bull_cols = [f"bull_{l}_{m}" for l, m in settings]
-    return (df[bull_cols].sum(axis=1) == len(bull_cols)).astype(int)

intrabar.py

@@ -1,10 +0,0 @@
-from __future__ import annotations
-import pandas as pd
-
-
-def precompute_slices(df: pd.DataFrame) -> pd.DataFrame:
-    return df  # hook for future use
-
-
-def entry_slippage_row(price: float, qty: float, slippage_bps: float) -> float:
-    return price + price * (slippage_bps / 1e4)

logging_utils.py

@@ -1,11 +0,0 @@
-from __future__ import annotations
-from pathlib import Path
-import pandas as pd
-
-
-def write_trade_log(trades: list[dict], path: Path) -> None:
-    if not trades:
-        return
-    df = pd.DataFrame(trades)
-    path.parent.mkdir(parents=True, exist_ok=True)
-    df.to_csv(path, index=False)

main.py

@@ -0,0 +1,10 @@
+"""
+Lowkey Backtest CLI - VectorBT Edition
+
+A backtesting framework supporting multiple market types (spot, perpetual)
+with realistic trading simulation including leverage, funding, and shorts.
+"""
+from engine.cli import main
+
+if __name__ == "__main__":
+    main()

market_costs.py

@@ -1,11 +0,0 @@
-from __future__ import annotations
-
-TAKER_FEE_BPS_DEFAULT = 10.0  # 0.10%
-
-
-def okx_fee(fee_bps: float, notional_usd: float) -> float:
-    return notional_usd * (fee_bps / 1e4)
-
-
-def estimate_slippage_rate(slippage_bps: float, notional_usd: float) -> float:
-    return notional_usd * (slippage_bps / 1e4)

metrics.py

@@ -1,54 +0,0 @@
-from __future__ import annotations
-from dataclasses import dataclass
-import numpy as np
-import pandas as pd
-
-
-@dataclass
-class Perf:
-    total_return: float
-    max_drawdown: float
-    sharpe_ratio: float
-    win_rate: float
-    num_trades: int
-    final_equity: float
-    initial_equity: float
-    num_stop_losses: int
-    total_fees: float
-    total_slippage_usd: float
-    avg_slippage_bps: float
-
-
-def compute_metrics(equity_curve: pd.Series, trades: list[dict]) -> Perf:
-    ret = equity_curve.pct_change().fillna(0.0)
-    total_return = equity_curve.iat[-1] / equity_curve.iat[0] - 1.0
-    cummax = equity_curve.cummax()
-    dd = (equity_curve / cummax - 1.0).min()
-    max_drawdown = dd
-
-    if ret.std(ddof=0) > 0:
-        sharpe = (ret.mean() / ret.std(ddof=0)) * np.sqrt(252 * 24 * 60)  # minute bars -> annualized
-    else:
-        sharpe = 0.0
-
-    closes = [t for t in trades if t.get("side") == "SELL"]
-    wins = [t for t in closes if t.get("pnl", 0.0) > 0]
-    win_rate = (len(wins) / len(closes)) if closes else 0.0
-
-    fees = sum(t.get("fee", 0.0) for t in trades)
-    slip = sum(t.get("slippage", 0.0) for t in trades)
-    slippage_bps = [t.get("slippage_bps", 0.0) for t in trades if "slippage_bps" in t]
-
-    return Perf(
-        total_return=total_return,
-        max_drawdown=max_drawdown,
-        sharpe_ratio=sharpe,
-        win_rate=win_rate,
-        num_trades=len(closes),
-        final_equity=float(equity_curve.iat[-1]),
-        initial_equity=float(equity_curve.iat[0]),
-        num_stop_losses=sum(1 for t in closes if t.get("reason") == "stop"),
-        total_fees=fees,
-        total_slippage_usd=slip,
-        avg_slippage_bps=float(np.mean(slippage_bps)) if slippage_bps else 0.0,
-    )

pyproject.toml

@@ -5,5 +5,20 @@ description = "Add your description here"
 readme = "README.md"
 requires-python = ">=3.12"
 dependencies = [
+    "ccxt>=4.5.32",
+    "numpy>=2.3.2",
+    "pandas>=2.3.1",
     "ta>=0.11.0",
+    "vectorbt>=0.28.2",
+]
+
+[project.optional-dependencies]
+dev = [
+    "pytest>=8.0.0",
+]
+
+[tool.pytest.ini_options]
+pythonpath = ["."]
+markers = [
+    "network: marks tests as requiring network access",
 ]

strategies/base.py

@@ -0,0 +1,80 @@
+"""
+Base strategy class for all trading strategies.
+
+Strategies should inherit from BaseStrategy and implement the run() method.
+"""
+from abc import ABC, abstractmethod
+
+import pandas as pd
+
+from engine.market import MarketType
+
+
+class BaseStrategy(ABC):
+    """
+    Abstract base class for trading strategies.
+    
+    Class Attributes:
+        default_market_type: Default market type for this strategy
+        default_leverage: Default leverage (only applies to perpetuals)
+        default_sl_stop: Default stop-loss percentage
+        default_tp_stop: Default take-profit percentage
+        default_sl_trail: Whether stop-loss is trailing by default
+    """
+    # Market configuration defaults
+    default_market_type: MarketType = MarketType.SPOT
+    default_leverage: int = 1
+    
+    # Risk management defaults (can be overridden per strategy)
+    default_sl_stop: float | None = None
+    default_tp_stop: float | None = None
+    default_sl_trail: bool = False
+    
+    def __init__(self, **kwargs):
+        self.params = kwargs
+
+    @abstractmethod
+    def run(
+        self, 
+        close: pd.Series, 
+        **kwargs
+    ) -> tuple[pd.DataFrame, pd.DataFrame, pd.DataFrame, pd.DataFrame]:
+        """
+        Run the strategy logic.
+        
+        Args:
+            close: Price series (can be multiple columns for grid search)
+            **kwargs: Additional data (high, low, open, volume) and parameters
+            
+        Returns:
+            Tuple of 4 DataFrames/Series:
+                - long_entries: Boolean signals to open long positions
+                - long_exits: Boolean signals to close long positions
+                - short_entries: Boolean signals to open short positions
+                - short_exits: Boolean signals to close short positions
+                
+        Note:
+            For spot markets, short signals will be ignored.
+            For backward compatibility, strategies can return 2-tuple (entries, exits)
+            which will be interpreted as long-only signals.
+        """
+        pass
+
+    def get_indicator(self, ind_cls, *args, **kwargs):
+        """Helper to run a vectorbt indicator."""
+        return ind_cls.run(*args, **kwargs)
+    
+    @staticmethod
+    def create_empty_signals(reference: pd.Series | pd.DataFrame) -> pd.DataFrame:
+        """
+        Create an empty (all False) signal DataFrame matching the reference shape.
+        
+        Args:
+            reference: Series or DataFrame to match shape/index
+            
+        Returns:
+            DataFrame of False values with same shape as reference
+        """
+        if isinstance(reference, pd.DataFrame):
+            return pd.DataFrame(False, index=reference.index, columns=reference.columns)
+        return pd.Series(False, index=reference.index)

strategies/examples.py

@@ -0,0 +1,97 @@
+"""
+Example trading strategies for backtesting.
+
+These are simple strategies demonstrating the framework usage.
+"""
+import pandas as pd
+import vectorbt as vbt
+
+from engine.market import MarketType
+from strategies.base import BaseStrategy
+
+
+class RsiStrategy(BaseStrategy):
+    """
+    RSI mean-reversion strategy.
+    
+    Long entry when RSI crosses below oversold level.
+    Long exit when RSI crosses above overbought level.
+    """
+    default_market_type = MarketType.SPOT
+    default_leverage = 1
+    
+    def run(
+        self, 
+        close: pd.Series, 
+        period: int = 14, 
+        rsi_lower: int = 30, 
+        rsi_upper: int = 70,
+        **kwargs
+    ) -> tuple[pd.DataFrame, pd.DataFrame, pd.DataFrame, pd.DataFrame]:
+        """
+        Generate RSI-based trading signals.
+        
+        Args:
+            close: Price series
+            period: RSI calculation period
+            rsi_lower: Oversold threshold (buy signal)
+            rsi_upper: Overbought threshold (sell signal)
+            
+        Returns:
+            4-tuple of (long_entries, long_exits, short_entries, short_exits)
+        """
+        # Calculate RSI
+        rsi = vbt.RSI.run(close, window=period)
+        
+        # Long signals: buy oversold, sell overbought
+        long_entries = rsi.rsi_crossed_below(rsi_lower)
+        long_exits = rsi.rsi_crossed_above(rsi_upper)
+        
+        # No short signals for this strategy (spot-focused)
+        short_entries = BaseStrategy.create_empty_signals(long_entries)
+        short_exits = BaseStrategy.create_empty_signals(long_entries)
+        
+        return long_entries, long_exits, short_entries, short_exits
+
+
+class MaCrossStrategy(BaseStrategy):
+    """
+    Moving Average crossover strategy.
+    
+    Long entry when fast MA crosses above slow MA.
+    Long exit when fast MA crosses below slow MA.
+    """
+    default_market_type = MarketType.SPOT
+    default_leverage = 1
+    
+    def run(
+        self, 
+        close: pd.Series, 
+        fast_window: int = 10, 
+        slow_window: int = 20,
+        **kwargs
+    ) -> tuple[pd.DataFrame, pd.DataFrame, pd.DataFrame, pd.DataFrame]:
+        """
+        Generate MA crossover trading signals.
+        
+        Args:
+            close: Price series
+            fast_window: Fast MA period
+            slow_window: Slow MA period
+            
+        Returns:
+            4-tuple of (long_entries, long_exits, short_entries, short_exits)
+        """
+        # Calculate Moving Averages
+        fast_ma = vbt.MA.run(close, window=fast_window)
+        slow_ma = vbt.MA.run(close, window=slow_window)
+        
+        # Long signals
+        long_entries = fast_ma.ma_crossed_above(slow_ma)
+        long_exits = fast_ma.ma_crossed_below(slow_ma)
+        
+        # No short signals for this strategy
+        short_entries = BaseStrategy.create_empty_signals(long_entries)
+        short_exits = BaseStrategy.create_empty_signals(long_entries)
+        
+        return long_entries, long_exits, short_entries, short_exits

strategies/factory.py

@@ -0,0 +1,128 @@
+"""
+Strategy factory for creating strategy instances with their parameters.
+
+Centralizes strategy creation and parameter configuration.
+"""
+from dataclasses import dataclass, field
+from typing import Any
+
+import numpy as np
+
+from strategies.base import BaseStrategy
+
+
+@dataclass
+class StrategyConfig:
+    """
+    Configuration for a strategy including default and grid parameters.
+    
+    Attributes:
+        strategy_class: The strategy class to instantiate
+        default_params: Parameters for single backtest runs
+        grid_params: Parameters for grid search optimization
+    """
+    strategy_class: type[BaseStrategy]
+    default_params: dict[str, Any] = field(default_factory=dict)
+    grid_params: dict[str, Any] = field(default_factory=dict)
+
+
+def _build_registry() -> dict[str, StrategyConfig]:
+    """
+    Build the strategy registry lazily to avoid circular imports.
+    
+    Returns:
+        Dictionary mapping strategy names to their configurations
+    """
+    # Import here to avoid circular imports
+    from strategies.examples import MaCrossStrategy, RsiStrategy
+    from strategies.supertrend import MetaSupertrendStrategy
+    
+    return {
+        "rsi": StrategyConfig(
+            strategy_class=RsiStrategy,
+            default_params={
+                'period': 14, 
+                'rsi_lower': 30, 
+                'rsi_upper': 70
+            },
+            grid_params={
+                'period': np.arange(10, 25, 2),
+                'rsi_lower': [20, 30, 40],
+                'rsi_upper': [60, 70, 80]
+            }
+        ),
+        "macross": StrategyConfig(
+            strategy_class=MaCrossStrategy,
+            default_params={
+                'fast_window': 10, 
+                'slow_window': 20
+            },
+            grid_params={
+                'fast_window': np.arange(5, 20, 5),
+                'slow_window': np.arange(20, 60, 10)
+            }
+        ),
+        "meta_st": StrategyConfig(
+            strategy_class=MetaSupertrendStrategy,
+            default_params={
+                'period1': 12, 'multiplier1': 3.0,
+                'period2': 10, 'multiplier2': 1.0,
+                'period3': 11, 'multiplier3': 2.0
+            },
+            grid_params={
+                'multiplier1': [2.0, 3.0, 4.0],
+                'period1': [10, 12, 14],
+                'period2': 11, 'multiplier2': 2.0,
+                'period3': 12, 'multiplier3': 1.0
+            }
+        ),
+    }
+
+
+# Module-level cache for the registry
+_REGISTRY_CACHE: dict[str, StrategyConfig] | None = None
+
+
+def get_registry() -> dict[str, StrategyConfig]:
+    """Get the strategy registry, building it on first access."""
+    global _REGISTRY_CACHE
+    if _REGISTRY_CACHE is None:
+        _REGISTRY_CACHE = _build_registry()
+    return _REGISTRY_CACHE
+
+
+def get_strategy_names() -> list[str]:
+    """
+    Get list of available strategy names.
+    
+    Returns:
+        List of strategy name strings
+    """
+    return list(get_registry().keys())
+
+
+def get_strategy(name: str, is_grid: bool = False) -> tuple[BaseStrategy, dict[str, Any]]:
+    """
+    Create a strategy instance with appropriate parameters.
+    
+    Args:
+        name: Strategy identifier (e.g., 'rsi', 'macross', 'meta_st')
+        is_grid: If True, return grid search parameters
+        
+    Returns:
+        Tuple of (strategy instance, parameters dict)
+        
+    Raises:
+        KeyError: If strategy name is not found in registry
+    """
+    registry = get_registry()
+    
+    if name not in registry:
+        available = ", ".join(registry.keys())
+        raise KeyError(f"Unknown strategy '{name}'. Available: {available}")
+    
+    config = registry[name]
+    strategy = config.strategy_class()
+    params = config.grid_params if is_grid else config.default_params
+    
+    return strategy, params.copy()

strategies/supertrend/__init__.py

@@ -0,0 +1,6 @@
+"""
+Meta Supertrend strategy package.
+"""
+from .strategy import MetaSupertrendStrategy
+
+__all__ = ['MetaSupertrendStrategy']

strategies/supertrend/indicators.py

@@ -0,0 +1,128 @@
+"""
+Supertrend indicators and helper functions.
+"""
+import numpy as np
+import vectorbt as vbt
+from numba import njit
+
+# --- Numba Compiled Helper Functions ---
+
+@njit(cache=False)  # Disable cache to avoid stale compilation issues
+def get_tr_nb(high, low, close):
+    """Calculate True Range (Numba compiled)."""
+    # Ensure 1D arrays
+    high = high.ravel()
+    low = low.ravel()
+    close = close.ravel()
+    
+    tr = np.empty_like(close)
+    tr[0] = high[0] - low[0]
+    for i in range(1, len(close)):
+        tr[i] = max(high[i] - low[i], abs(high[i] - close[i-1]), abs(low[i] - close[i-1]))
+    return tr
+
+@njit(cache=False)
+def get_atr_nb(high, low, close, period):
+    """Calculate ATR using Wilder's Smoothing (Numba compiled)."""
+    # Ensure 1D arrays
+    high = high.ravel()
+    low = low.ravel()
+    close = close.ravel()
+    
+    # Ensure period is native Python int (critical for Numba array indexing)
+    n = len(close)
+    p = int(period)
+    
+    tr = get_tr_nb(high, low, close)
+    atr = np.full(n, np.nan, dtype=np.float64)
+    
+    if n < p:
+        return atr
+        
+    # Initial ATR is simple average of TR
+    sum_tr = 0.0
+    for i in range(p):
+        sum_tr += tr[i]
+    atr[p - 1] = sum_tr / p
+    
+    # Subsequent ATR is Wilder's smoothed
+    for i in range(p, n):
+        atr[i] = (atr[i - 1] * (p - 1) + tr[i]) / p
+        
+    return atr
+
+@njit(cache=False)
+def get_supertrend_nb(high, low, close, period, multiplier):
+    """Calculate SuperTrend completely in Numba."""
+    # Ensure 1D arrays
+    high = high.ravel()
+    low = low.ravel()
+    close = close.ravel()
+    
+    # Ensure params are native Python types (critical for Numba)
+    n = len(close)
+    p = int(period)
+    m = float(multiplier)
+    
+    atr = get_atr_nb(high, low, close, p)
+    
+    final_upper = np.full(n, np.nan, dtype=np.float64)
+    final_lower = np.full(n, np.nan, dtype=np.float64)
+    trend = np.ones(n, dtype=np.int8)  # 1 Bull, -1 Bear
+    
+    # Skip until we have valid ATR
+    start_idx = p
+    if start_idx >= n:
+        return trend
+        
+    # Init first valid point
+    hl2 = (high[start_idx] + low[start_idx]) / 2
+    final_upper[start_idx] = hl2 + m * atr[start_idx]
+    final_lower[start_idx] = hl2 - m * atr[start_idx]
+    
+    # Loop
+    for i in range(start_idx + 1, n):
+        cur_hl2 = (high[i] + low[i]) / 2
+        cur_atr = atr[i]
+        basic_upper = cur_hl2 + m * cur_atr
+        basic_lower = cur_hl2 - m * cur_atr
+        
+        # Upper Band Logic
+        if basic_upper < final_upper[i-1] or close[i-1] > final_upper[i-1]:
+            final_upper[i] = basic_upper
+        else:
+            final_upper[i] = final_upper[i-1]
+            
+        # Lower Band Logic
+        if basic_lower > final_lower[i-1] or close[i-1] < final_lower[i-1]:
+            final_lower[i] = basic_lower
+        else:
+            final_lower[i] = final_lower[i-1]
+            
+        # Trend Logic
+        if trend[i-1] == 1:
+            if close[i] < final_lower[i-1]:
+                trend[i] = -1
+            else:
+                trend[i] = 1
+        else:
+            if close[i] > final_upper[i-1]:
+                trend[i] = 1
+            else:
+                trend[i] = -1
+                
+    return trend
+
+# --- VectorBT Indicator Factory ---
+
+SuperTrendIndicator = vbt.IndicatorFactory(
+    class_name='SuperTrend',
+    short_name='st',
+    input_names=['high', 'low', 'close'],
+    param_names=['period', 'multiplier'],
+    output_names=['trend']
+).from_apply_func(
+    get_supertrend_nb,
+    keep_pd=False,     # Disable automatic Pandas wrapping of inputs
+    param_product=True # Enable Cartesian product for list params
+)

strategies/supertrend/strategy.py

@@ -0,0 +1,142 @@
+"""
+Meta Supertrend strategy implementation.
+"""
+import numpy as np
+import pandas as pd
+
+from engine.market import MarketType
+from strategies.base import BaseStrategy
+from .indicators import SuperTrendIndicator
+
+
+class MetaSupertrendStrategy(BaseStrategy):
+    """
+    Meta Supertrend Strategy using 3 Supertrend indicators.
+    
+    Enters long when all 3 Supertrends are bullish.
+    Enters short when all 3 Supertrends are bearish.
+    
+    Designed for perpetual futures with leverage and short-selling support.
+    """
+    # Market configuration
+    default_market_type = MarketType.PERPETUAL
+    default_leverage = 5
+    
+    # Risk management parameters
+    default_sl_stop = 0.02           # 2% stop loss
+    default_sl_trail = True          # Trailing stop enabled
+    default_exit_on_bearish_flip = False  # Rely on SL/TP, not bearish flip
+    
+    def run(
+        self, 
+        close: pd.Series, 
+        high: pd.Series = None, 
+        low: pd.Series = None, 
+        period1: int = 10, 
+        multiplier1: float = 3.0,
+        period2: int = 11, 
+        multiplier2: float = 2.0,
+        period3: int = 12, 
+        multiplier3: float = 1.0, 
+        exit_on_bearish_flip: bool = None,
+        enable_short: bool = True,
+        **kwargs
+    ) -> tuple[pd.DataFrame, pd.DataFrame, pd.DataFrame, pd.DataFrame]:
+        
+        # 1. Validation & Setup
+        if exit_on_bearish_flip is None:
+            exit_on_bearish_flip = self.default_exit_on_bearish_flip
+        
+        if high is None or low is None:
+            raise ValueError("MetaSupertrendStrategy requires High and Low prices.")
+
+        # 2. Calculate Supertrends
+        t1, t2, t3 = self._calculate_supertrends(
+            high, low, close, 
+            period1, multiplier1, 
+            period2, multiplier2, 
+            period3, multiplier3
+        )
+        
+        # 3. Meta Signals
+        bullish, bearish = self._calculate_meta_signals(t1, t2, t3, close)
+        
+        # 4. Generate Entry/Exit Signals
+        return self._generate_signals(bullish, bearish, exit_on_bearish_flip, enable_short)
+
+    def _calculate_supertrends(
+        self, high, low, close, p1, m1, p2, m2, p3, m3
+    ):
+        """Run the 3 Supertrend indicators."""
+        # Pass NumPy arrays explicitly to avoid Numba typing errors
+        h_vals = high.values
+        l_vals = low.values
+        c_vals = close.values
+        
+        def run_st(p, m):
+            st = SuperTrendIndicator.run(h_vals, l_vals, c_vals, period=p, multiplier=m)
+            trend = st.trend
+            if isinstance(trend, pd.DataFrame):
+                trend.index = close.index
+                if trend.shape[1] == 1:
+                    trend = trend.iloc[:, 0]
+            elif isinstance(trend, pd.Series):
+                trend.index = close.index
+            return trend
+
+        t1 = run_st(p1, m1)
+        t2 = run_st(p2, m2)
+        t3 = run_st(p3, m3)
+        return t1, t2, t3
+
+    def _calculate_meta_signals(self, t1, t2, t3, close_series):
+        """Combine 3 Supertrends into boolean Bullish/Bearish signals."""
+        # Use NumPy broadcasting
+        t1_vals = t1.values if isinstance(t1, pd.DataFrame) else t1.values.reshape(-1, 1)
+        # Force column vectors for broadcasting if scalar result
+        t2_vals = t2.values.reshape(-1, 1) 
+        t3_vals = t3.values.reshape(-1, 1) 
+        
+        # Boolean logic on numpy arrays (1 = Bull, -1 = Bear)
+        bullish_vals = (t1_vals == 1) & (t2_vals == 1) & (t3_vals == 1)
+        bearish_vals = (t1_vals == -1) & (t2_vals == -1) & (t3_vals == -1)
+        
+        # Reconstruct Pandas objects
+        if isinstance(t1, pd.DataFrame):
+            bullish = pd.DataFrame(bullish_vals, index=t1.index, columns=t1.columns)
+            bearish = pd.DataFrame(bearish_vals, index=t1.index, columns=t1.columns)
+        else:
+            bullish = pd.Series(bullish_vals.flatten(), index=t1.index)
+            bearish = pd.Series(bearish_vals.flatten(), index=t1.index)
+            
+        return bullish, bearish
+
+    def _generate_signals(
+        self, bullish, bearish, exit_on_bearish_flip, enable_short
+    ):
+        """Generate long/short entry/exit signals based on meta trend."""
+        # Long Entries: Change from Not Bullish to Bullish
+        prev_bullish = bullish.shift(1).fillna(False)
+        long_entries = bullish & (~prev_bullish)
+        
+        # Long Exits
+        if exit_on_bearish_flip:
+            prev_bearish = bearish.shift(1).fillna(False)
+            long_exits = bearish & (~prev_bearish)
+        else:
+            long_exits = BaseStrategy.create_empty_signals(long_entries)
+        
+        # Short signals
+        if enable_short:
+            prev_bearish = bearish.shift(1).fillna(False)
+            short_entries = bearish & (~prev_bearish)
+            
+            if exit_on_bearish_flip:
+                short_exits = bullish & (~prev_bullish)
+            else:
+                short_exits = BaseStrategy.create_empty_signals(long_entries)
+        else:
+            short_entries = BaseStrategy.create_empty_signals(long_entries)
+            short_exits = BaseStrategy.create_empty_signals(long_entries)
+            
+        return long_entries, long_exits, short_entries, short_exits

strategies/supertrend_pkg/__init__.py

@@ -0,0 +1,6 @@
+"""
+Meta Supertrend strategy package.
+"""
+from .strategy import MetaSupertrendStrategy
+
+__all__ = ['MetaSupertrendStrategy']

strategies/supertrend_pkg/indicators.py

@@ -0,0 +1,128 @@
+"""
+Supertrend indicators and helper functions.
+"""
+import numpy as np
+import vectorbt as vbt
+from numba import njit
+
+# --- Numba Compiled Helper Functions ---
+
+@njit(cache=False)  # Disable cache to avoid stale compilation issues
+def get_tr_nb(high, low, close):
+    """Calculate True Range (Numba compiled)."""
+    # Ensure 1D arrays
+    high = high.ravel()
+    low = low.ravel()
+    close = close.ravel()
+    
+    tr = np.empty_like(close)
+    tr[0] = high[0] - low[0]
+    for i in range(1, len(close)):
+        tr[i] = max(high[i] - low[i], abs(high[i] - close[i-1]), abs(low[i] - close[i-1]))
+    return tr
+
+@njit(cache=False)
+def get_atr_nb(high, low, close, period):
+    """Calculate ATR using Wilder's Smoothing (Numba compiled)."""
+    # Ensure 1D arrays
+    high = high.ravel()
+    low = low.ravel()
+    close = close.ravel()
+    
+    # Ensure period is native Python int (critical for Numba array indexing)
+    n = len(close)
+    p = int(period)
+    
+    tr = get_tr_nb(high, low, close)
+    atr = np.full(n, np.nan, dtype=np.float64)
+    
+    if n < p:
+        return atr
+        
+    # Initial ATR is simple average of TR
+    sum_tr = 0.0
+    for i in range(p):
+        sum_tr += tr[i]
+    atr[p - 1] = sum_tr / p
+    
+    # Subsequent ATR is Wilder's smoothed
+    for i in range(p, n):
+        atr[i] = (atr[i - 1] * (p - 1) + tr[i]) / p
+        
+    return atr
+
+@njit(cache=False)
+def get_supertrend_nb(high, low, close, period, multiplier):
+    """Calculate SuperTrend completely in Numba."""
+    # Ensure 1D arrays
+    high = high.ravel()
+    low = low.ravel()
+    close = close.ravel()
+    
+    # Ensure params are native Python types (critical for Numba)
+    n = len(close)
+    p = int(period)
+    m = float(multiplier)
+    
+    atr = get_atr_nb(high, low, close, p)
+    
+    final_upper = np.full(n, np.nan, dtype=np.float64)
+    final_lower = np.full(n, np.nan, dtype=np.float64)
+    trend = np.ones(n, dtype=np.int8)  # 1 Bull, -1 Bear
+    
+    # Skip until we have valid ATR
+    start_idx = p
+    if start_idx >= n:
+        return trend
+        
+    # Init first valid point
+    hl2 = (high[start_idx] + low[start_idx]) / 2
+    final_upper[start_idx] = hl2 + m * atr[start_idx]
+    final_lower[start_idx] = hl2 - m * atr[start_idx]
+    
+    # Loop
+    for i in range(start_idx + 1, n):
+        cur_hl2 = (high[i] + low[i]) / 2
+        cur_atr = atr[i]
+        basic_upper = cur_hl2 + m * cur_atr
+        basic_lower = cur_hl2 - m * cur_atr
+        
+        # Upper Band Logic
+        if basic_upper < final_upper[i-1] or close[i-1] > final_upper[i-1]:
+            final_upper[i] = basic_upper
+        else:
+            final_upper[i] = final_upper[i-1]
+            
+        # Lower Band Logic
+        if basic_lower > final_lower[i-1] or close[i-1] < final_lower[i-1]:
+            final_lower[i] = basic_lower
+        else:
+            final_lower[i] = final_lower[i-1]
+            
+        # Trend Logic
+        if trend[i-1] == 1:
+            if close[i] < final_lower[i-1]:
+                trend[i] = -1
+            else:
+                trend[i] = 1
+        else:
+            if close[i] > final_upper[i-1]:
+                trend[i] = 1
+            else:
+                trend[i] = -1
+                
+    return trend
+
+# --- VectorBT Indicator Factory ---
+
+SuperTrendIndicator = vbt.IndicatorFactory(
+    class_name='SuperTrend',
+    short_name='st',
+    input_names=['high', 'low', 'close'],
+    param_names=['period', 'multiplier'],
+    output_names=['trend']
+).from_apply_func(
+    get_supertrend_nb,
+    keep_pd=False,     # Disable automatic Pandas wrapping of inputs
+    param_product=True # Enable Cartesian product for list params
+)

strategies/supertrend_pkg/strategy.py

@@ -0,0 +1,142 @@
+"""
+Meta Supertrend strategy implementation.
+"""
+import numpy as np
+import pandas as pd
+
+from engine.market import MarketType
+from strategies.base import BaseStrategy
+from .indicators import SuperTrendIndicator
+
+
+class MetaSupertrendStrategy(BaseStrategy):
+    """
+    Meta Supertrend Strategy using 3 Supertrend indicators.
+    
+    Enters long when all 3 Supertrends are bullish.
+    Enters short when all 3 Supertrends are bearish.
+    
+    Designed for perpetual futures with leverage and short-selling support.
+    """
+    # Market configuration
+    default_market_type = MarketType.PERPETUAL
+    default_leverage = 5
+    
+    # Risk management parameters
+    default_sl_stop = 0.02           # 2% stop loss
+    default_sl_trail = True          # Trailing stop enabled
+    default_exit_on_bearish_flip = False  # Rely on SL/TP, not bearish flip
+    
+    def run(
+        self, 
+        close: pd.Series, 
+        high: pd.Series = None, 
+        low: pd.Series = None, 
+        period1: int = 10, 
+        multiplier1: float = 3.0,
+        period2: int = 11, 
+        multiplier2: float = 2.0,
+        period3: int = 12, 
+        multiplier3: float = 1.0, 
+        exit_on_bearish_flip: bool = None,
+        enable_short: bool = True,
+        **kwargs
+    ) -> tuple[pd.DataFrame, pd.DataFrame, pd.DataFrame, pd.DataFrame]:
+        
+        # 1. Validation & Setup
+        if exit_on_bearish_flip is None:
+            exit_on_bearish_flip = self.default_exit_on_bearish_flip
+        
+        if high is None or low is None:
+            raise ValueError("MetaSupertrendStrategy requires High and Low prices.")
+
+        # 2. Calculate Supertrends
+        t1, t2, t3 = self._calculate_supertrends(
+            high, low, close, 
+            period1, multiplier1, 
+            period2, multiplier2, 
+            period3, multiplier3
+        )
+        
+        # 3. Meta Signals
+        bullish, bearish = self._calculate_meta_signals(t1, t2, t3, close)
+        
+        # 4. Generate Entry/Exit Signals
+        return self._generate_signals(bullish, bearish, exit_on_bearish_flip, enable_short)
+
+    def _calculate_supertrends(
+        self, high, low, close, p1, m1, p2, m2, p3, m3
+    ):
+        """Run the 3 Supertrend indicators."""
+        # Pass NumPy arrays explicitly to avoid Numba typing errors
+        h_vals = high.values
+        l_vals = low.values
+        c_vals = close.values
+        
+        def run_st(p, m):
+            st = SuperTrendIndicator.run(h_vals, l_vals, c_vals, period=p, multiplier=m)
+            trend = st.trend
+            if isinstance(trend, pd.DataFrame):
+                trend.index = close.index
+                if trend.shape[1] == 1:
+                    trend = trend.iloc[:, 0]
+            elif isinstance(trend, pd.Series):
+                trend.index = close.index
+            return trend
+
+        t1 = run_st(p1, m1)
+        t2 = run_st(p2, m2)
+        t3 = run_st(p3, m3)
+        return t1, t2, t3
+
+    def _calculate_meta_signals(self, t1, t2, t3, close_series):
+        """Combine 3 Supertrends into boolean Bullish/Bearish signals."""
+        # Use NumPy broadcasting
+        t1_vals = t1.values if isinstance(t1, pd.DataFrame) else t1.values.reshape(-1, 1)
+        # Force column vectors for broadcasting if scalar result
+        t2_vals = t2.values.reshape(-1, 1) 
+        t3_vals = t3.values.reshape(-1, 1) 
+        
+        # Boolean logic on numpy arrays (1 = Bull, -1 = Bear)
+        bullish_vals = (t1_vals == 1) & (t2_vals == 1) & (t3_vals == 1)
+        bearish_vals = (t1_vals == -1) & (t2_vals == -1) & (t3_vals == -1)
+        
+        # Reconstruct Pandas objects
+        if isinstance(t1, pd.DataFrame):
+            bullish = pd.DataFrame(bullish_vals, index=t1.index, columns=t1.columns)
+            bearish = pd.DataFrame(bearish_vals, index=t1.index, columns=t1.columns)
+        else:
+            bullish = pd.Series(bullish_vals.flatten(), index=t1.index)
+            bearish = pd.Series(bearish_vals.flatten(), index=t1.index)
+            
+        return bullish, bearish
+
+    def _generate_signals(
+        self, bullish, bearish, exit_on_bearish_flip, enable_short
+    ):
+        """Generate long/short entry/exit signals based on meta trend."""
+        # Long Entries: Change from Not Bullish to Bullish
+        prev_bullish = bullish.shift(1).fillna(False)
+        long_entries = bullish & (~prev_bullish)
+        
+        # Long Exits
+        if exit_on_bearish_flip:
+            prev_bearish = bearish.shift(1).fillna(False)
+            long_exits = bearish & (~prev_bearish)
+        else:
+            long_exits = BaseStrategy.create_empty_signals(long_entries)
+        
+        # Short signals
+        if enable_short:
+            prev_bearish = bearish.shift(1).fillna(False)
+            short_entries = bearish & (~prev_bearish)
+            
+            if exit_on_bearish_flip:
+                short_exits = bullish & (~prev_bullish)
+            else:
+                short_exits = BaseStrategy.create_empty_signals(long_entries)
+        else:
+            short_entries = BaseStrategy.create_empty_signals(long_entries)
+            short_exits = BaseStrategy.create_empty_signals(long_entries)
+            
+        return long_entries, long_exits, short_entries, short_exits

tasks/prd-market-type-selection.md

@@ -0,0 +1,295 @@
+# PRD: Market Type Selection for Backtesting
+
+## Introduction/Overview
+
+Currently, the backtesting system operates with a single, implicit market type assumption. This PRD defines the implementation of **market type selection** (Spot vs. USDT-M Perpetual Futures) to enable realistic simulation of different trading conditions.
+
+**Problem Statement:**
+- Strategies cannot be backtested against different market mechanics (leverage, funding, short-selling)
+- Fee structures are uniform regardless of market type
+- No support for short-selling strategies
+- Data fetching doesn't distinguish between spot and futures markets
+
+**Goal:**
+Enable users to backtest strategies against specific market types (Spot or USDT-M Perpetual) with realistic trading conditions matching OKX's live environment.
+
+---
+
+## Goals
+
+1. **Support two market types:** Spot and USDT-M Perpetual Futures
+2. **Realistic fee simulation:** Match OKX's fee structure per market type
+3. **Leverage support:** Per-strategy configurable leverage (perpetuals only)
+4. **Funding rate simulation:** Simplified funding rate model for perpetuals
+5. **Short-selling support:** Enable strategies to generate short signals
+6. **Liquidation awareness:** Warn when positions would be liquidated (no full simulation)
+7. **Separate data storage:** Download and store data per market type
+8. **Grid search integration:** Allow leverage optimization in parameter grids
+
+---
+
+## User Stories
+
+1. **As a trader**, I want to backtest my strategy on perpetual futures so that I can simulate leveraged trading with funding costs.
+
+2. **As a trader**, I want to backtest on spot markets so that I can compare performance without leverage or funding overhead.
+
+3. **As a strategy developer**, I want to define a default market type for my strategy so that it runs with appropriate settings by default.
+
+4. **As a trader**, I want to test different leverage levels so that I can find the optimal risk/reward balance.
+
+5. **As a trader**, I want to see warnings when my position would have been liquidated so that I can adjust my risk parameters.
+
+6. **As a strategy developer**, I want to create strategies that can go short so that I can profit from downward price movements.
+
+---
+
+## Functional Requirements
+
+### FR1: Market Type Enum and Configuration
+
+1.1. Create a `MarketType` enum with values: `SPOT`, `PERPETUAL`
+
+1.2. Each strategy class must have a `default_market_type` class attribute
+
+1.3. Market type can be overridden via CLI (optional, for testing)
+
+### FR2: Data Management
+
+2.1. Modify `DataManager` to support market type in data paths:
+   - Spot: `data/ccxt/{exchange}/spot/{symbol}/{timeframe}.csv`
+   - Perpetual: `data/ccxt/{exchange}/perpetual/{symbol}/{timeframe}.csv`
+
+2.2. Update `download` command to accept `--market` flag:
+   ```bash
+   uv run python main.py download --pair BTC/USDT --market perpetual
+   ```
+
+2.3. Use CCXT's market type parameter when fetching data:
+   - Spot: `exchange.fetch_ohlcv(symbol, timeframe, ...)`
+   - Perpetual: `exchange.fetch_ohlcv(symbol + ':USDT', timeframe, ...)`
+
+### FR3: Fee Structure
+
+3.1. Define default fees per market type (matching OKX):
+
+| Market Type | Maker Fee | Taker Fee | Notes |
+|-------------|-----------|-----------|-------|
+| Spot | 0.08% | 0.10% | No funding |
+| Perpetual | 0.02% | 0.05% | + funding |
+
+3.2. Allow fee override via CLI (existing `--fees` flag)
+
+### FR4: Leverage Support (Perpetual Only)
+
+4.1. Add `default_leverage` class attribute to strategies (default: 1 for spot, configurable for perpetual)
+
+4.2. Add `--leverage` CLI flag for backtest command
+
+4.3. Leverage affects:
+   - Position sizing (notional = cash * leverage)
+   - PnL calculation (multiplied by leverage)
+   - Liquidation threshold calculation
+
+4.4. Support leverage in grid search parameter grids
+
+### FR5: Funding Rate Simulation (Perpetual Only)
+
+5.1. Implement simplified funding rate model:
+   - Default rate: 0.01% per 8 hours (configurable)
+   - Applied every 8 hours to open positions
+   - Positive rate: Longs pay shorts
+   - Negative rate: Shorts pay longs
+
+5.2. Add `--funding-rate` CLI flag to override default
+
+5.3. Track cumulative funding paid/received in backtest stats
+
+### FR6: Short-Selling Support
+
+6.1. Modify `BaseStrategy.run()` signature to return 4 signal arrays:
+   ```python
+   def run(self, close, **kwargs) -> tuple[pd.DataFrame, pd.DataFrame, pd.DataFrame, pd.DataFrame]:
+       """
+       Returns:
+           long_entries: Boolean signals to open long positions
+           long_exits: Boolean signals to close long positions
+           short_entries: Boolean signals to open short positions
+           short_exits: Boolean signals to close short positions
+       """
+   ```
+
+6.2. Update `Backtester` to use VectorBT's `direction` parameter or dual portfolio simulation
+
+6.3. For spot market: Ignore short signals (log warning if present)
+
+6.4. For perpetual market: Process both long and short signals
+
+### FR7: Liquidation Warning
+
+7.1. Calculate liquidation price based on:
+   - Entry price
+   - Leverage
+   - Maintenance margin rate (OKX: ~0.4% for BTC)
+
+7.2. During backtest, check if price crosses liquidation threshold
+
+7.3. Log warning with details:
+   ```
+   WARNING: Position would be liquidated at bar 1234 (price: $45,000, liq_price: $44,820)
+   ```
+
+7.4. Include liquidation event count in backtest summary stats
+
+### FR8: Backtester Integration
+
+8.1. Modify `Backtester.run_strategy()` to accept market type from strategy
+
+8.2. Apply market-specific simulation parameters:
+   - Fees (if not overridden)
+   - Leverage
+   - Funding rate calculation
+   - Short-selling capability
+
+8.3. Update portfolio simulation to handle leveraged positions
+
+### FR9: Reporting Updates
+
+9.1. Add market type to backtest summary output
+
+9.2. Add new stats for perpetual backtests:
+   - Total funding paid/received
+   - Number of liquidation warnings
+   - Effective leverage used
+
+9.3. Update CSV exports to include market-specific columns
+
+---
+
+## Non-Goals (Out of Scope)
+
+- **Coin-M (Inverse) Perpetuals:** Not included in v1
+- **Spot Margin Trading:** Not included in v1
+- **Expiry Futures:** Not included in v1
+- **Full Liquidation Simulation:** Only warnings, no automatic position closure
+- **Real Funding Rate Data:** Use simplified model; historical funding API integration is future work
+- **Cross-Margin Mode:** Assume isolated margin for simplicity
+- **Partial Liquidation:** Assume full liquidation threshold only
+
+---
+
+## Design Considerations
+
+### Data Directory Structure (New)
+
+```
+data/ccxt/
+  okx/
+    spot/
+      BTC-USDT/
+        1m.csv
+        1d.csv
+    perpetual/
+      BTC-USDT/
+        1m.csv
+        1d.csv
+```
+
+### Strategy Class Example
+
+```python
+class MetaSupertrendStrategy(BaseStrategy):
+    default_market_type = MarketType.PERPETUAL
+    default_leverage = 5
+    default_sl_stop = 0.02
+    
+    def run(self, close, **kwargs):
+        # ... indicator logic ...
+        return long_entries, long_exits, short_entries, short_exits
+```
+
+### CLI Usage Examples
+
+```bash
+# Download perpetual data
+uv run python main.py download --pair BTC/USDT --market perpetual
+
+# Backtest with strategy defaults (uses strategy's default_market_type)
+uv run python main.py backtest --strategy meta_st --pair BTC/USDT
+
+# Override leverage
+uv run python main.py backtest --strategy meta_st --pair BTC/USDT --leverage 10
+
+# Grid search including leverage
+uv run python main.py backtest --strategy meta_st --pair BTC/USDT --grid
+# (leverage can be part of param grid in strategy factory)
+```
+
+---
+
+## Technical Considerations
+
+1. **VectorBT Compatibility:**
+   - VectorBT's `Portfolio.from_signals()` supports `direction` parameter for long/short
+   - Alternatively, run two portfolios (long-only, short-only) and combine
+   - Leverage can be simulated via `size` parameter or post-processing returns
+
+2. **CCXT Market Type Handling:**
+   - OKX perpetual symbols use format: `BTC/USDT:USDT`
+   - Need to handle symbol conversion in DataManager
+
+3. **Funding Rate Timing:**
+   - OKX funding at 00:00, 08:00, 16:00 UTC
+   - Need to identify these timestamps in the data and apply funding
+
+4. **Backward Compatibility:**
+   - Existing strategies should work with minimal changes
+   - Default to `MarketType.SPOT` if not specified
+   - Existing 2-tuple return from `run()` should be interpreted as long-only
+
+---
+
+## Success Metrics
+
+1. **Functional:** All existing backtests produce same results when run with `MarketType.SPOT`
+2. **Functional:** Perpetual backtests correctly apply funding every 8 hours
+3. **Functional:** Leverage multiplies both gains and losses correctly
+4. **Functional:** Short signals are processed for perpetual, ignored for spot
+5. **Usability:** Users can switch market types with minimal configuration
+6. **Accuracy:** Fee structures match OKX's published rates
+
+---
+
+## Open Questions
+
+1. **Position Sizing with Leverage:**
+   - Should leverage affect `init_cash` interpretation (notional value) or position size directly?
+   - Recommendation: Affect position size; `init_cash` remains the actual margin deposited.
+
+2. **Multiple Positions:**
+   - Can strategies hold both long and short simultaneously (hedging)?
+   - Recommendation: No for v1; only one direction at a time.
+
+3. **Funding Rate Sign:**
+   - When funding is positive, longs pay shorts. Should we assume the user is always the "taker" of funding?
+   - Recommendation: Yes, apply funding based on position direction.
+
+4. **Migration Path:**
+   - Should we migrate existing data to new directory structure?
+   - Recommendation: No auto-migration; users re-download with `--market` flag.
+
+---
+
+## Implementation Priority
+
+| Priority | Component | Complexity |
+|----------|-----------|------------|
+| 1 | MarketType enum + strategy defaults | Low |
+| 2 | DataManager market type support | Medium |
+| 3 | Fee structure per market type | Low |
+| 4 | Short-selling signal support | Medium |
+| 5 | Leverage simulation | Medium |
+| 6 | Funding rate simulation | Medium |
+| 7 | Liquidation warnings | Low |
+| 8 | Reporting updates | Low |
+| 9 | Grid search leverage support | Low |

tasks/prd-vectorbt-migration.md

@@ -0,0 +1,76 @@
+# PRD: VectorBT Migration & CCXT Integration
+
+## 1. Introduction
+The goal of this project is to refactor the current backtesting infrastructure to a professional-grade stack using **VectorBT** for high-performance backtesting and **CCXT** for robust historical data acquisition. The system will support rapid prototyping of "many simple strategies," parameter optimization (Grid Search), and stability testing (Walk-Forward Analysis).
+
+## 2. Goals
+-   **Replace Custom Backtester:** Retire the existing loop-based backtesting logic in favor of vectorized operations using `vectorbt`.
+-   **Automate Data Collection:** Implement a `ccxt` based downloader to fetch and cache OHLCV data from OKX (and other exchanges) automatically.
+-   **Enable Optimization:** Built-in support for Grid Search to find optimal strategy parameters.
+-   **Validation:** Implement Walk-Forward Analysis (WFA) to validate strategy robustness and prevent overfitting.
+-   **Standardized Reporting:** Generate consistent outputs: Console summaries, CSV logs, and VectorBT interactive plots.
+
+## 3. User Stories
+-   **Data Acquisition:** "As a user, I want to run a command `download_data --pair BTC/USDT --exchange okx` and have the system fetch historical 1-minute candles and save them to `data/ccxt/okx/BTC-USDT/1m.csv`."
+-   **Strategy Dev:** "As a researcher, I want to define a new strategy by simply writing a class/function that defines entry/exit signals, without worrying about the backtesting loop."
+-   **Optimization:** "As a researcher, I want to say 'Optimize RSI period between 10 and 20' and get a heatmap of results."
+-   **Validation:** "As a researcher, I want to verify if my 'best' parameters work on unseen data using Walk-Forward Analysis."
+-   **Analysis:** "As a user, I want to see an equity curve and key metrics (Sharpe, Drawdown) immediately after a test run."
+
+## 4. Functional Requirements
+
+### 4.1 Data Module (`data_manager`)
+-   **Exchange Interface:** Use `ccxt` to connect to exchanges (initially OKX).
+-   **Fetching Logic:** Fetch OHLCV data in chunks to handle rate limits and long histories.
+-   **Storage:** Save data to standardized paths: `data/ccxt/{exchange}/{pair}_{timeframe}.csv`.
+-   **Loading:** Utility to load saved CSVs into a Pandas DataFrame compatible with `vectorbt`.
+
+### 4.2 Strategy Interface (`strategies/`)
+-   **Base Protocol:** Define a standard structure for strategies. A strategy should return/define:
+    -   Indicator calculations (Vectorized).
+    -   Entry signals (Boolean Series).
+    -   Exit signals (Boolean Series).
+-   **Parameterization:** Strategies must accept dynamic parameters to support Grid Search.
+
+### 4.3 Backtest Engine (`engine.py`)
+-   **Simulation:** Use `vectorbt.Portfolio.from_signals` (or similar) for fast simulation.
+-   **Cost Model:** Support configurable fees (maker/taker) and slippage estimates.
+-   **Grid Search:** Utilize `vectorbt`'s parameter broadcasting to run many variations simultaneously.
+-   **Walk-Forward Analysis:**
+    -   Implement a splitting mechanism (e.g., `vectorbt.Splitter`) to divide data into In-Sample (Train) and Out-of-Sample (Test) sets.
+    -   Execute optimization on Train, validate on Test.
+
+### 4.4 Reporting (`reporting.py`)
+-   **Console:** Print key metrics: Total Return, Sharpe Ratio, Max Drawdown, Win Rate, Count of Trades.
+-   **Files:** Save detailed trade logs and metrics summaries to `backtest_logs/`.
+-   **Visuals:** Generate and save/show `vectorbt` plots (Equity curve, Drawdowns).
+
+## 5. Non-Goals
+-   Real-time live trading execution (this is strictly for research/backtesting).
+-   Complex Machine Learning models (initially focusing on indicator-based logic).
+-   High-frequency tick-level backtesting (1-minute granularity is the target).
+
+## 6. Technical Architecture Proposal
+```text
+project_root/
+├── data/
+│   └── ccxt/               # New data storage structure
+├── strategies/             # Strategy definitions
+│   ├── __init__.py
+│   ├── base.py             # Abstract Base Class
+│   └── ma_cross.py         # Example strategy
+├── engine/
+│   ├── data_loader.py      # CCXT wrapper
+│   ├── backtester.py       # VBT runner
+│   └── optimizer.py        # Grid Search & WFA logic
+├── main.py                 # CLI entry point
+└── pyproject.toml
+```
+
+## 7. Success Metrics
+-   Can download 1 year of 1m BTC/USDT data from OKX in < 2 minutes.
+-   Can run a 100-parameter grid search on 1 year of 1m data in < 10 seconds.
+-   Walk-forward analysis produces a clear "Robustness Score" or visual comparison of Train vs Test performance.
+
+## 8. Open Questions
+-   Do we need to handle funding rates for perp futures in the PnL calculation immediately? (Assumed NO for V1, stick to spot/simple futures price action).

tests/__init__.py

@@ -0,0 +1 @@
+"""Test suite for lowkey_backtest."""

tests/test_data_manager.py

@@ -0,0 +1,69 @@
+"""Tests for DataManager functionality."""
+import pytest
+
+from engine.data_manager import DataManager
+from engine.market import MarketType
+
+
+class TestDataManager:
+    """Test suite for DataManager class."""
+    
+    def test_init_creates_data_dir(self, tmp_path):
+        """Test that DataManager creates data directory on init."""
+        data_dir = tmp_path / "test_data"
+        dm = DataManager(data_dir=str(data_dir))
+        assert data_dir.exists()
+    
+    def test_get_data_path_spot(self, tmp_path):
+        """Test data path generation for spot market."""
+        dm = DataManager(data_dir=str(tmp_path))
+        path = dm._get_data_path("okx", "BTC/USDT", "1m", MarketType.SPOT)
+        
+        expected = tmp_path / "okx" / "spot" / "BTC-USDT" / "1m.csv"
+        assert path == expected
+    
+    def test_get_data_path_perpetual(self, tmp_path):
+        """Test data path generation for perpetual market."""
+        dm = DataManager(data_dir=str(tmp_path))
+        path = dm._get_data_path("okx", "BTC/USDT", "1h", MarketType.PERPETUAL)
+        
+        expected = tmp_path / "okx" / "perpetual" / "BTC-USDT" / "1h.csv"
+        assert path == expected
+    
+    def test_load_data_file_not_found(self, tmp_path):
+        """Test that load_data raises FileNotFoundError for missing data."""
+        dm = DataManager(data_dir=str(tmp_path))
+        
+        with pytest.raises(FileNotFoundError):
+            dm.load_data("okx", "BTC/USDT", "1m", MarketType.SPOT)
+
+
+@pytest.mark.network
+class TestDataManagerDownload:
+    """Tests requiring network access (marked for selective running)."""
+    
+    def test_download_spot_data(self):
+        """Test downloading spot market data."""
+        dm = DataManager()
+        df = dm.download_data(
+            "okx", "BTC/USDT", "1m", 
+            start_date="2025-01-01", 
+            market_type=MarketType.SPOT
+        )
+        
+        assert df is not None
+        assert 'open' in df.columns
+        assert 'close' in df.columns
+    
+    def test_download_perpetual_data(self):
+        """Test downloading perpetual market data."""
+        dm = DataManager()
+        df = dm.download_data(
+            "okx", "BTC/USDT", "1m", 
+            start_date="2025-01-01", 
+            market_type=MarketType.PERPETUAL
+        )
+        
+        assert df is not None
+        assert 'open' in df.columns
+        assert 'close' in df.columns

trade.py

@@ -1,52 +0,0 @@
-from __future__ import annotations
-from dataclasses import dataclass
-import pandas as pd
-from market_costs import okx_fee, estimate_slippage_rate
-from intrabar import entry_slippage_row
-
-
-@dataclass
-class TradeState:
-    cash: float = 1000.0
-    qty: float = 0.0
-    entry_px: float | None = None
-    max_px: float | None = None
-    stop_loss_frac: float = 0.02
-    fee_bps: float = 10.0
-    slippage_bps: float = 2.0
-
-
-def enter_long(state: TradeState, price: float) -> dict:
-    if state.qty > 0:
-        return {}
-    px = entry_slippage_row(price, 0.0, state.slippage_bps)
-    qty = state.cash / px
-    fee = okx_fee(state.fee_bps, state.cash)
-    state.qty = max(qty - fee / px, 0.0)
-    state.cash = 0.0
-    state.entry_px = px
-    state.max_px = px
-    return {"side": "BUY", "price": px, "qty": state.qty, "fee": fee}
-
-
-def maybe_trailing_stop(state: TradeState, price: float) -> float:
-    if state.qty <= 0:
-        return float("inf")
-    state.max_px = max(state.max_px or price, price)
-    trail_px = state.max_px * (1.0 - state.stop_loss_frac)
-    return trail_px
-
-
-def exit_long(state: TradeState, price: float) -> dict:
-    if state.qty <= 0:
-        return {}
-    notional = state.qty * price
-    slip = estimate_slippage_rate(state.slippage_bps, notional)
-    fee = okx_fee(state.fee_bps, notional)
-    cash_back = notional - slip - fee
-    event = {"side": "SELL", "price": price, "qty": state.qty, "fee": fee, "slippage": slip}
-    state.cash = cash_back
-    state.qty = 0.0
-    state.entry_px = None
-    state.max_px = None
-    return event