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analysis: reflect cost/execution in v2 backtest pipeline (#368) #387

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jihoson merged 4 commits from feature/issue-368-backtest-cost-execution into feature/v3-session-policy-stream 2026-03-02 09:21:07 +09:00
Conversation 3 Commits 4 Files Changed 6 +1 -9
1 changed files with 1 additions and 9 deletions
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10
src/analysis/backtest_pipeline.py
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@@ -94,14 +94,6 @@ def run_v2_backtest_pipeline(
else sorted({bar.session_id for bar in bars})
)
validate_backtest_cost_model(model=cost_model, required_sessions=resolved_sessions)
execution_model = BacktestExecutionModel(
ExecutionAssumptions(
slippage_bps_by_session=cost_model.slippage_bps_by_session or {},
failure_rate_by_session=cost_model.failure_rate_by_session or {},
partial_fill_rate_by_session=cost_model.partial_fill_rate_by_session or {},
seed=0,
)
)
highs = [float(bar.high) for bar in bars]
lows = [float(bar.low) for bar in bars]
@@ -156,7 +148,7 @@ def run_v2_backtest_pipeline(
execution_model = _build_execution_model(cost_model=cost_model, fold_seed=fold_idx)
execution_return_model = _build_execution_model(
cost_model=cost_model,
fold_seed=fold_idx,
fold_seed=fold_idx + 1000,
)
b0_pred = _baseline_b0_pred(train_labels)
m1_pred = _m1_pred(train_labels)