feat: finalize portfolio system and quantitative validation- Finalized MA_Crossover(30,100) and TrendFiltered_MA(30,100,ADX=15)

- Implemented portfolio engine with risk-based allocation (50/50)
- Added equity-based metrics for system-level evaluation
- Validated portfolio against standalone strategies
- Reduced max drawdown and volatility at system level
- Quantitative decision closed before paper trading phase

tests/backtest/test_engine_percent_risk.py

@@ -0,0 +1,108 @@
+# tests/backtest/test_engine_percent_risk.py
+import sys
+from pathlib import Path
+import pandas as pd
+from datetime import datetime
+
+# Añadir raíz del proyecto al path
+sys.path.insert(0, str(Path(__file__).parent.parent.parent))
+
+from src.core.engine import Engine
+from src.core.strategy import Strategy, Signal
+from src.core.trade import TradeStatus
+from src.risk.sizing.percent_risk import PercentRiskSizer
+from src.risk.stops.fixed_stop import FixedStop
+
+
+# --------------------------------------------------
+# Estrategia dummy
+# --------------------------------------------------
+class AlwaysBuyStrategy(Strategy):
+    """
+    Compra en la primera vela y nunca vende.
+    El stop debe cerrar la posición.
+    """
+
+    def __init__(self):
+        super().__init__(name="AlwaysBuy", params={})
+
+    def init_indicators(self, data):
+        return data
+
+    def generate_signal(self, idx: int):
+        if idx == 0:
+            return Signal.BUY
+        return Signal.HOLD
+
+
+# --------------------------------------------------
+# Test de integración real
+# --------------------------------------------------
+def test_engine_percent_risk_with_fixed_stop():
+    """
+    Verifica que:
+    - El size se calcula usando el stop
+    - El riesgo por trade ≈ % configurado
+    - El stop cierra la posición
+    """
+
+    # -----------------------------
+    # Datos simulados
+    # -----------------------------
+    timestamps = pd.date_range(
+        start=datetime(2024, 1, 1),
+        periods=5,
+        freq="1h",
+    )
+
+    data = pd.DataFrame(
+        {
+            "open":  [100, 100, 100, 100, 100],
+            "high":  [101, 101, 101, 101, 101],
+            "low":   [99,  97,  95,  93,  90],
+            "close": [100, 98,  96,  94,  91],  # rompe stop
+            "volume": [1, 1, 1, 1, 1],
+        },
+        index=timestamps,
+    )
+
+    # -----------------------------
+    # Configuración
+    # -----------------------------
+    initial_capital = 10_000
+    risk_fraction = 0.01  # 1% por trade
+    stop_fraction = 0.02  # stop al 2%
+
+    strategy = AlwaysBuyStrategy()
+
+    engine = Engine(
+        strategy=strategy,
+        initial_capital=initial_capital,
+        commission=0.0,
+        slippage=0.0,
+        position_sizer=PercentRiskSizer(risk_fraction),
+        stop_loss=FixedStop(stop_fraction),
+    )
+
+    # -----------------------------
+    # Ejecutar backtest
+    # -----------------------------
+    engine.run(data)
+
+    # -----------------------------
+    # Assertions
+    # -----------------------------
+    assert len(engine.trades) == 1
+
+    trade = engine.trades[0]
+
+    # Trade cerrado por stop
+    assert trade.status == TradeStatus.CLOSED
+    assert trade.exit_reason == "Stop Loss"
+
+    # Riesgo real ≈ riesgo esperado
+    expected_risk = initial_capital * risk_fraction
+    actual_loss = abs(trade.pnl)
+
+    # Permitimos pequeño error numérico
+    assert abs(actual_loss - expected_risk) / expected_risk < 0.05

tests/backtest/test_engine_sizing.py

@@ -9,8 +9,8 @@ from datetime import datetime, timedelta
 # Añadir raíz del proyecto al path
 sys.path.insert(0, str(Path(__file__).parent.parent.parent))
 
-from src.backtest.engine import BacktestEngine
-from src.backtest.strategy import Strategy, Signal
+from src.core.engine import Engine
+from src.core.strategy import Strategy, Signal
 from src.risk.sizing.fixed import FixedPositionSizer
 
 class BuyOnceStrategy(Strategy):
@@ -66,7 +66,7 @@ def test_engine_uses_fixed_position_sizer():
 
     sizer = FixedPositionSizer(capital_fraction=0.5)
 
-    engine = BacktestEngine(
+    engine = Engine(
         strategy=strategy,
         initial_capital=10000,
         commission=0.0,

tests/backtest/test_engine_stop.py

@@ -6,9 +6,9 @@ from datetime import datetime
 # Añadir raíz del proyecto al path
 sys.path.insert(0, str(Path(__file__).parent.parent.parent))
 
-from src.backtest.engine import BacktestEngine
-from src.backtest.strategy import Strategy, Signal
-from src.backtest.trade import TradeStatus
+from src.core.engine import Engine
+from src.core.strategy import Strategy, Signal
+from src.core.trade import TradeStatus
 from src.risk.stops.fixed_stop import FixedStop
 
 
@@ -57,7 +57,7 @@ def test_engine_closes_position_on_stop_hit():
     data = _build_test_data()
     strategy = AlwaysBuyStrategy()
 
-    engine = BacktestEngine(
+    engine = Engine(
         strategy=strategy,
         initial_capital=10_000,
         commission=0.0,
@@ -82,7 +82,7 @@ def test_engine_closes_position_at_end_without_stop():
     data = _build_test_data()
     strategy = AlwaysBuyStrategy()
 
-    engine = BacktestEngine(
+    engine = Engine(
         strategy=strategy,
         initial_capital=10_000,
         commission=0.0,

tests/backtest/test_engine_trailing_stop.py

@@ -7,9 +7,9 @@ from datetime import datetime
 
 sys.path.insert(0, str(Path(__file__).parent.parent.parent))
 
-from src.backtest.engine import BacktestEngine
-from src.backtest.strategy import Strategy, Signal
-from src.backtest.trade import TradeStatus
+from src.core.engine import Engine
+from src.core.strategy import Strategy, Signal
+from src.core.trade import TradeStatus
 from src.risk.stops.trailing_stop import TrailingStop
 
 
@@ -58,7 +58,7 @@ def test_trailing_stop_moves_and_closes_position():
 
     strategy = AlwaysBuyStrategy()
 
-    engine = BacktestEngine(
+    engine = Engine(
         strategy=strategy,
         initial_capital=10000,
         commission=0.0,