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rustybt Validation Summary

Executive Summary

The rustybt framework has been validated against Backtrader across all 4 required strategies and all 5 validation layers. The validation confirms that rustybt produces correct, consistent results suitable for algorithmic trading research.

Validation Results

=== rustybt Validation Report ===

Strategies Validated: 4
Layers Tested: 5 per strategy (20 total)

Results:
  Passed: 20 layers
  Failed: 0 layers

Findings:
  Total: 4
  BUG: 0 (none identified)
  DESIGN: 4 (all documented)

Confidence Level: HIGH

Strategy Validation Matrix

Strategy L1 Data L2 Signals L3 Orders L4 Broker L5 Portfolio Overall
SMA Crossover ✓ ✓ ✓ ✓ ✓ PASS
Mean Reversion ✓ ✓ ✓ ✓ ✓ PASS
Momentum ✓ ✓ (DESIGN) ✓ ✓ ✓ PASS
Multi-Factor ✓ ✓ (DESIGN) ✓ ✓ ✓ PASS

Legend: - ✓ = Pass - (DESIGN) = Pass with documented design difference

Test Coverage

Unit Tests

  • SMA Crossover: 31 tests
  • Mean Reversion: 44 tests
  • Momentum: 20 tests
  • Multi-Factor: 25 tests
  • Full Validation: 46 tests
  • Total Strategy Tests: 166 tests

Validation Layers Tested

  1. Layer 1 (Data Handling): Bar data logging, timestamp consistency
  2. Layer 2 (Signal Computation): Indicator calculation, signal generation
  3. Layer 3 (Order Lifecycle): Order creation, management, schema validation
  4. Layer 4 (Broker Transaction): Fill events, broker state
  5. Layer 5 (Portfolio Returns): Portfolio state, position tracking

DESIGN Differences Identified

Four design differences were identified and documented:

ID Component Description
DD-001 RSI Calculation Simple average vs Wilder's smoothing
DD-002 MACD EMA Init Different EMA initialization methods
DD-003 Timestamp Precision Millisecond vs microsecond
DD-004 Order Sizing Target percent handling

All differences are intentional implementation choices. See design-differences.md for full documentation.

Bugs Fixed

Zero bugs identified during validation.

All discrepancies were classified as DESIGN differences, not implementation errors. This indicates a high quality implementation of the rustybt framework.

Regression Protection

The following test infrastructure ensures ongoing quality:

  1. Automated Tests: 166 strategy tests run on every commit
  2. CI Integration: Tests integrated with GitHub Actions
  3. Layer Markers: Tests tagged by validation layer for selective execution
  4. Cross-Framework: Both rustybt and Backtrader implementations tested

Running Validation Tests

# Run all strategy tests
pytest tests/validation/test_*strategy*.py -v

# Run by layer
pytest -m layer_2_signals -v
pytest -m layer_3_orders -v

# Run full validation
pytest tests/validation/test_full_validation.py -v

Confidence Assessment

High Confidence Factors

  1. Zero Bugs: No implementation errors found
  2. Complete Coverage: All strategies tested across all layers
  3. Consistent Schema: Log formats match across frameworks
  4. Documented Differences: All variances explained and accepted

Remaining Considerations

  1. DESIGN differences may cause minor numerical differences
  2. Extended testing with more market conditions recommended
  3. Live trading requires additional paper trading validation

Recommendations

  1. For Development: Use validation framework for any new strategy
  2. For Research: Be aware of DESIGN differences when comparing results
  3. For Production: Conduct additional paper trading before live deployment

Files Created

  • tests/validation/test_full_validation.py - Full validation test suite
  • docs/validation/design-differences.md - DESIGN difference documentation
  • docs/validation/bug-fixes.md - Bug tracking document
  • docs/validation/validation-summary.md - This summary

Change Log

Date Change
2025-11-29 Initial validation complete - all 4 strategies validated