Trading metrics + equity curve in backtest report (ABI v2)#31

Merged

luisleo526 merged 15 commits into

mainfrom

feat/trading-metrics

Jun 11, 2026

Commits on Jun 11, 2026

feat(abi): metrics/equity-curve report fields, trade commission+bar-index fields, pf_abi_version (PF_ABI_VERSION=2)

luisleo526
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claude
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docs(abi): per-field metric doxygen with pinned units; test pf_abi_version C-side; document include-order

luisleo526
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claude
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feat(engine): capture per-trade commission at close; expose in TradeC

luisleo526
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claude
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feat(engine): per-script-bar equity curve + bars-in-market collection, reset-safe

luisleo526
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claude
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feat(metrics): compute_trade_stats with TV sign/NaN conventions + unit tests

luisleo526
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claude
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feat(metrics): compute_equity_stats (dd walk, TV monthly + per-bar sharpe/sortino, cagr/calmar) + unit tests

luisleo526
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claude
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test(metrics): engine-vs-walk dd invariant, per-bar + non-UTC sharpe oracles; document tz-lock contract

luisleo526
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feat(report): wire metrics + equity curve into fill_report/free_report

luisleo526
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feat(harness): mirror ABI v2 (metrics + equity curve), enforce pf_abi_version

luisleo526
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claude
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polish(metrics): review nits — ordering comment, test deref guard, empty-curve coverage

luisleo526
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claude
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docs: sync FFI mirrors + report schema with ABI v2 (metrics, equity curve, pf_abi_version)

luisleo526
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claude
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docs(abi): truncation caveat on equity_curve len; drop gitignored-spec reference from source comment

luisleo526
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claude
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fix(metrics): TV conventions arbitrated vs real export — net return-on-cost pnl_pct, independent largest-%, inclusive avg bars

luisleo526
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claude
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test(metrics): cross-validation script vs quantstats/empyrical-reloaded

luisleo526
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ci: register pf_abi_version in check_c_abi_runtime EXPECTED_RUNTIME; SOP in CLAUDE.md

luisleo526
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claude
committed

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Trading metrics + equity curve in backtest report (ABI v2)#31

Trading metrics + equity curve in backtest report (ABI v2)#31
luisleo526 merged 15 commits into
mainfrom
feat/trading-metrics

Commits on Jun 11, 2026

feat(abi): metrics/equity-curve report fields, trade commission+bar-index fields, pf_abi_version (PF_ABI_VERSION=2)

docs(abi): per-field metric doxygen with pinned units; test pf_abi_version C-side; document include-order

feat(engine): capture per-trade commission at close; expose in TradeC

feat(engine): per-script-bar equity curve + bars-in-market collection, reset-safe

feat(metrics): compute_trade_stats with TV sign/NaN conventions + unit tests

feat(metrics): compute_equity_stats (dd walk, TV monthly + per-bar sharpe/sortino, cagr/calmar) + unit tests

test(metrics): engine-vs-walk dd invariant, per-bar + non-UTC sharpe oracles; document tz-lock contract

feat(report): wire metrics + equity curve into fill_report/free_report

feat(harness): mirror ABI v2 (metrics + equity curve), enforce pf_abi_version

polish(metrics): review nits — ordering comment, test deref guard, empty-curve coverage

docs: sync FFI mirrors + report schema with ABI v2 (metrics, equity curve, pf_abi_version)

docs(abi): truncation caveat on equity_curve len; drop gitignored-spec reference from source comment

fix(metrics): TV conventions arbitrated vs real export — net return-on-cost pnl_pct, independent largest-%, inclusive avg bars

test(metrics): cross-validation script vs quantstats/empyrical-reloaded

ci: register pf_abi_version in check_c_abi_runtime EXPECTED_RUNTIME; SOP in CLAUDE.md