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backtest: reflect cost/execution effects in fold scoring (#368) #382

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jihoson merged 2 commits from feature/issue-368-backtest-cost-exec into feature/v3-session-policy-stream 2026-03-02 02:30:45 +09:00
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agentson commented 2026-03-02 02:15:22 +09:00
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Summary

  • BacktestCostModel에 partial_fill_rate_by_session를 추가하고 세션별 필수 검증을 강제했습니다.
  • run_v2_backtest_pipeline() fold 점수 경로에 BacktestExecutionModel을 연결해 slippage/failure/partial-fill/commission 영향을 반영했습니다.
  • baseline 점수에 cost_adjusted_accuracy를 추가해 비용 반영 성과를 별도로 제공하도록 확장했습니다.
  • 보수적 가정이 낙관적 가정보다 낮은 점수를 내는 회귀 테스트를 추가했습니다.

Scope Mapping

  • REQ: REQ-V2-007
  • TASK: TASK-V2-012, TASK-CODE-006
  • TEST: TEST-ACC-014

Validation

  • pytest -q tests/test_backtest_cost_guard.py
  • pytest -q tests/test_backtest_pipeline_integration.py
  • pytest -q tests/test_backtest_execution_model.py
## Summary - `BacktestCostModel`에 `partial_fill_rate_by_session`를 추가하고 세션별 필수 검증을 강제했습니다. - `run_v2_backtest_pipeline()` fold 점수 경로에 `BacktestExecutionModel`을 연결해 slippage/failure/partial-fill/commission 영향을 반영했습니다. - baseline 점수에 `cost_adjusted_accuracy`를 추가해 비용 반영 성과를 별도로 제공하도록 확장했습니다. - 보수적 가정이 낙관적 가정보다 낮은 점수를 내는 회귀 테스트를 추가했습니다. ## Scope Mapping - REQ: `REQ-V2-007` - TASK: `TASK-V2-012`, `TASK-CODE-006` - TEST: `TEST-ACC-014` ## Validation - `pytest -q tests/test_backtest_cost_guard.py` - `pytest -q tests/test_backtest_pipeline_integration.py` - `pytest -q tests/test_backtest_execution_model.py`
agentson added 1 commit 2026-03-02 02:15:22 +09:00
backtest: reflect cost/execution effects in fold scoring (#368)
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agentson commented 2026-03-02 02:21:22 +09:00
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CI 실패 원인: backtest_pipeline.py:239 E501 (줄 길이 103 > 100). _build_execution_model 함수 시그니처를 줄바꿈 처리하면 됩니다. 코드 품질 자체는 양호합니다.

CI 실패 원인: backtest_pipeline.py:239 E501 (줄 길이 103 > 100). _build_execution_model 함수 시그니처를 줄바꿈 처리하면 됩니다. 코드 품질 자체는 양호합니다.
agentson added 1 commit 2026-03-02 02:24:02 +09:00
style: wrap long helper signature in backtest pipeline
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ed713fdf40
jihoson merged commit 3914f24872 into feature/v3-session-policy-stream 2026-03-02 02:30:45 +09:00
jihoson deleted branch feature/issue-368-backtest-cost-exec 2026-03-02 02:30:45 +09:00
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Reference: jihoson/The-Ouroboros#382
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