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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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1 changed files with 5 additions and 1 deletions
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6
src/analysis/backtest_pipeline.py
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@@ -236,7 +236,11 @@ def _m1_pred(train_labels: Sequence[int]) -> int:
return train_labels[-1]
def _build_execution_model(*, cost_model: BacktestCostModel, fold_seed: int) -> BacktestExecutionModel:
def _build_execution_model(
*,
cost_model: BacktestCostModel,
fold_seed: int,
) -> BacktestExecutionModel:
return BacktestExecutionModel(
ExecutionAssumptions(
slippage_bps_by_session=dict(cost_model.slippage_bps_by_session or {}),