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
2026-02-02 14:38:05 +01:00
parent c569170fcc
commit f85c522f22
53 changed files with 2389 additions and 104 deletions
--- a/.gitignore
+++ b/.gitignore
@@ -15,3 +15,4 @@ logs/

 # Resultados
 backtest_results/
+output/
--- a/backtest.py
+++ b/backtest.py
@@ -9,8 +9,8 @@ from datetime import datetime, timedelta

 from src.utils.logger import log
 from src.data.storage import StorageManager
-from src.backtest.engine import BacktestEngine
-from src.backtest.metrics import print_backtest_report, calculate_all_metrics
+from src.core.engine import Engine
+from src.core.metrics import print_backtest_report, calculate_all_metrics
 from src.strategies import MovingAverageCrossover, BuyAndHold, RSIStrategy

 def setup_environment():
@@ -76,7 +76,7 @@ def run_backtest_demo():
    )
    
    # Crear motor de backtesting
-    engine = BacktestEngine(
+    engine = Engine(
        strategy=strategy,
        initial_capital=10000,
        commission=0.001,  # 0.1%
@@ -172,7 +172,7 @@ def compare_strategies_demo():
    for name, strategy in strategies:
        log.info(f"\n🧪 Testeando: {name}")
        
-        engine = BacktestEngine(
+        engine = Engine(
            strategy=strategy,
            initial_capital=10000,
            commission=0.001,
@@ -187,7 +187,7 @@ def compare_strategies_demo():
        log.info(f"   Win Rate: {results['win_rate_pct']:.2f}%")
    
    # Comparar resultados
-    from src.backtest.metrics import compare_strategies
+    from src.core.metrics import compare_strategies
    compare_strategies(all_results)
    
    storage.close()
--- a/scripts/research/compare_stops.py
+++ b/scripts/research/compare_stops.py
@@ -0,0 +1,186 @@
+# scripts/research/compare_stops.py
+import os
+import sys
+from pathlib import Path
+from dotenv import load_dotenv
+from datetime import datetime, timedelta
+import pandas as pd
+import matplotlib.pyplot as plt
+from loguru import logger
+
+# Añadir raíz del proyecto al path
+sys.path.insert(0, str(Path(__file__).parent.parent.parent))
+
+from src.utils.logger import log
+from src.data.storage import StorageManager
+from src.core.engine import Engine
+from src.strategies import MovingAverageCrossover
+from src.risk.sizing.fixed import FixedPositionSizer
+from src.risk.stops.fixed_stop import FixedStop
+from src.risk.stops.trailing_stop import TrailingStop
+from src.risk.stops.atr_stop import ATRStop
+
+# --------------------------------------------------
+# Configuración común
+# --------------------------------------------------
+SYMBOL = "BTC/USDT"
+TIMEFRAME = "1d"
+DAYS_BACK = 180
+
+INITIAL_CAPITAL = 10_000
+COMISSION = 0.001
+SLIPPAGE = 0.0005
+
+# Estrategia
+STRATEGY = MovingAverageCrossover(
+    fast_period=10,
+    slow_period=30,
+    ma_type='ema',
+    use_adx=False,
+    adx_threshold=20
+)
+
+# Position sizing fijo (para aislar el efecto del stop)
+POSITION_SIZER = FixedPositionSizer(0.95)
+
+# Stops a comparar
+STOPS = {
+    "Fixed 2%": FixedStop(0.02),
+    "Trailing 2%": TrailingStop(0.02),
+    "ATR 14 x 2.0": ATRStop(atr_period=14, multiplier=2.0),
+}
+
+def setup_environment():
+    """Carga variables de entorno"""
+    env_path = Path(__file__).parent.parent.parent / 'config' / 'secrets.env'
+    load_dotenv(dotenv_path=env_path)
+
+def load_data():
+    """
+    Carga datos desde la base de datos
+    """
+    # Setup
+    setup_environment()
+
+    # Cargar datos
+    storage = StorageManager(
+        db_host=os.getenv("DB_HOST"),
+        db_port=int(os.getenv("DB_PORT", 5432)),
+        db_name=os.getenv("DB_NAME"),
+        db_user=os.getenv("DB_USER"),
+        db_password=os.getenv("DB_PASSWORD"),
+    )
+
+    end_date = datetime.now()
+    start_date = end_date - timedelta(DAYS_BACK)
+
+    data = storage.load_ohlcv(
+        symbol=SYMBOL,
+        timeframe=TIMEFRAME,
+        start_date=None,
+        end_date=None,
+        use_cache=False,
+    )
+
+    storage.close()
+
+    if data.empty:
+        raise RuntimeError("No se cargaron datos")
+    
+    return data
+
+def run():
+    log.info("=" * 80)
+    log.info("🧪 COMPARACIÓN DE STOPS (Research)")
+    log.info("=" * 80)
+
+    data = load_data()
+
+    log.info(f"Símbolo: {SYMBOL}")
+    log.info(f"Timeframe: {TIMEFRAME}")
+    log.info(f"Velas: {len(data)}")
+    log.info(f"Periodo: {data.index[0]} → {data.index[-1]}")
+    print()
+
+    results = {}
+
+    # --------------------------------------------------
+    # Ejecutar backtest por cada stop
+    # --------------------------------------------------
+    for name, stop in STOPS.items():
+        log.info(f"▶️ Ejecutando con stop: {name}")
+
+        # Silenciar logs del engine (solo warnings o errores)
+        logger.disable("src.backtest.engine")
+
+        engine = Engine(
+            strategy=STRATEGY,
+            initial_capital=INITIAL_CAPITAL,
+            commission=COMISSION,
+            slippage=SLIPPAGE,
+            position_sizer=POSITION_SIZER,
+            stop_loss=stop,
+        )
+
+        res = engine.run(data)
+
+        results[name] = res
+
+        logger.enable("src.backtest.engine")
+
+        log.info(
+            f"Trades: {res['total_trades']:>4} | "
+            f"Max DD: {res['max_drawdown_pct']:>7.2f}% | "
+            f"Return: {res['total_return_pct']:>7.2f}%"
+        )
+        print()
+
+    print("\n" + "=" * 70)
+    print("📊 RESUMEN COMPARATIVO DE STOPS")
+    print("=" * 70)
+
+    for name, res in results.items():
+        print(
+            f"{name:<15} | "
+            f"Trades: {res['total_trades']:>4} | "
+            f"Max DD: {res['max_drawdown_pct']:>7.2f}% | "
+            f"Return: {res['total_return_pct']:>7.2f}%"
+        )
+
+    print("=" * 70)
+
+
+    # --------------------------------------------------
+    # Plot equity curves (comparativa visual)
+    # --------------------------------------------------
+    plt.figure(figsize=(14, 7))
+
+    for name, res in results.items():
+        plt.plot(
+            res["timestamps"],
+            res["equity_curve"],
+            label=name,
+        )
+
+    plt.title(f"Equity Curve Comparison – {SYMBOL} {TIMEFRAME}")
+    plt.xlabel("Time")
+    plt.ylabel("Equity")
+    plt.legend()
+    plt.grid(alpha=0.3)
+    plt.tight_layout()
+
+    # --------------------------------------------------
+    # Guardar gráfico
+    # --------------------------------------------------
+    output_dir = Path(__file__).parent / "output"
+    output_dir.mkdir(parents=True, exist_ok=True)
+
+    output_path = output_dir / f"equity_comparison_{SYMBOL.replace('/', '_')}_{TIMEFRAME}.png"
+
+    plt.savefig(output_path, dpi=150)
+    plt.close()
+
+    log.success(f"📈 Equity curve guardada en: {output_path}")
+
+if __name__ == "__main__":
+    run()
--- a/scripts/research/compare_systems.py
+++ b/scripts/research/compare_systems.py
@@ -0,0 +1,192 @@
+# scripts/research/compare_systems.py
+
+"""
+Comparación cuantitativa final entre:
+- MA_Crossover (standalone)
+- TrendFiltered_MA (standalone)
+- Portfolio 50/50
+
+Este script cierra la decisión cuantitativa antes de pasar a paper trading.
+"""
+
+import os
+import sys
+from pathlib import Path
+from dotenv import load_dotenv
+
+import pandas as pd
+
+sys.path.insert(0, str(Path(__file__).parent.parent.parent))
+
+from src.core.engine import Engine
+from src.data.storage import StorageManager
+from src.risk.sizing.percent_risk import PercentRiskSizer
+from src.risk.stops.trailing_stop import TrailingStop
+
+from src.strategies.moving_average import MovingAverageCrossover
+from src.strategies.trend_filtered import TrendFilteredMACrossover
+
+from src.portfolio.portfolio_engine import PortfolioEngine
+from src.portfolio.allocation import Allocation
+
+from src.metrics.equity_metrics import compute_equity_metrics
+
+
+# --------------------------------------------------
+# CONFIG
+# --------------------------------------------------
+SYMBOL = "BTC/USDT"
+TIMEFRAME = "1h"
+INITIAL_CAPITAL = 10_000
+
+STOP = TrailingStop(0.02)
+
+
+# --------------------------------------------------
+def load_data():
+    load_dotenv("config/secrets.env")
+
+    storage = StorageManager(
+        db_host=os.getenv("DB_HOST"),
+        db_port=int(os.getenv("DB_PORT", 5432)),
+        db_name=os.getenv("DB_NAME"),
+        db_user=os.getenv("DB_USER"),
+        db_password=os.getenv("DB_PASSWORD"),
+    )
+
+    data = storage.load_ohlcv(
+        symbol=SYMBOL,
+        timeframe=TIMEFRAME,
+        use_cache=True,
+    )
+    storage.close()
+
+    if data.empty:
+        raise RuntimeError("No data loaded")
+
+    return data
+
+
+def run_engine(engine: Engine, data) -> dict:
+    res = engine.run(data)
+    equity = res["equity_curve"]
+    timestamps = res["timestamps"]
+
+    metrics = compute_equity_metrics(
+        equity_curve=equity,
+        timestamps=timestamps,
+    )
+
+    return {
+        "final_capital": equity[-1],
+        **metrics,
+    }
+
+
+# --------------------------------------------------
+def run():
+    data = load_data()
+
+    systems = {}
+
+    # --------------------------------------------------
+    # MA_Crossover standalone (1% risk)
+    # --------------------------------------------------
+    systems["MA_Crossover"] = run_engine(
+        Engine(
+            strategy=MovingAverageCrossover(30, 100, "ema", False),
+            initial_capital=INITIAL_CAPITAL,
+            position_sizer=PercentRiskSizer(0.01),
+            stop_loss=STOP,
+            commission=0.001,
+            slippage=0.0005,
+        ),
+        data,
+    )
+
+    # --------------------------------------------------
+    # TrendFiltered_MA standalone (1% risk)
+    # --------------------------------------------------
+    systems["TrendFiltered_MA"] = run_engine(
+        Engine(
+            strategy=TrendFilteredMACrossover(30, 100, "ema", 15),
+            initial_capital=INITIAL_CAPITAL,
+            position_sizer=PercentRiskSizer(0.01),
+            stop_loss=STOP,
+            commission=0.001,
+            slippage=0.0005,
+        ),
+        data,
+    )
+
+    # --------------------------------------------------
+    # Portfolio 50/50 (0.5% + 0.5%)
+    # --------------------------------------------------
+    engines = {
+        "MA_Crossover": Engine(
+            strategy=MovingAverageCrossover(30, 100, "ema", False),
+            initial_capital=INITIAL_CAPITAL,
+            position_sizer=PercentRiskSizer(0.005),
+            stop_loss=STOP,
+            commission=0.001,
+            slippage=0.0005,
+        ),
+        "TrendFiltered_MA": Engine(
+            strategy=TrendFilteredMACrossover(30, 100, "ema", 15),
+            initial_capital=INITIAL_CAPITAL,
+            position_sizer=PercentRiskSizer(0.005),
+            stop_loss=STOP,
+            commission=0.001,
+            slippage=0.0005,
+        ),
+    }
+
+    portfolio = PortfolioEngine(
+        engines=engines,
+        allocation=Allocation(
+            weights={
+                "MA_Crossover": 0.5,
+                "TrendFiltered_MA": 0.5,
+            }
+        ),
+        initial_capital=INITIAL_CAPITAL,
+    )
+
+    portfolio_res = portfolio.run(data)
+
+    systems["Portfolio_50_50"] = {
+        "final_capital": portfolio_res.final_capital,
+        **compute_equity_metrics(
+            equity_curve=portfolio_res.equity_curve,
+            timestamps=data.index[: len(portfolio_res.equity_curve)],
+        ),
+    }
+
+    # --------------------------------------------------
+    # COMPARISON TABLE
+    # --------------------------------------------------
+    df = pd.DataFrame(systems).T
+
+    df["final_capital"] = df["final_capital"].round(2)
+    df["cagr"] = (df["cagr"] * 100).round(2)
+    df["max_drawdown"] = (df["max_drawdown"] * 100).round(2)
+    df["volatility"] = (df["volatility"] * 100).round(2)
+    df["time_in_drawdown"] = (df["time_in_drawdown"] * 100).round(2)
+    df["calmar_ratio"] = df["calmar_ratio"].round(2)
+    df["ulcer_index"] = df["ulcer_index"].round(2)
+
+    print("\n" + "=" * 100)
+    print("📊 SYSTEM COMPARISON (FINAL DECISION)")
+    print("=" * 100)
+    print(df)
+    print("=" * 100)
+
+    print("\n📌 Interpretación:")
+    print("- El mejor sistema NO es el que tiene mayor capital final.")
+    print("- Prioriza menor drawdown, mejor Calmar y menor Ulcer Index.")
+    print("- Si el portfolio domina en riesgo/retorno → decisión cerrada.\n")
+
+
+# --------------------------------------------------
+if __name__ == "__main__":
+    run()
--- a/scripts/research/portfolio_backtest.py
+++ b/scripts/research/portfolio_backtest.py
@@ -0,0 +1,199 @@
+# scripts/research/portfolio_backtest.py
+
+"""
+Portfolio Backtest Script (50/50 Allocation)
+
+Este script ejecuta un backtest de un portfolio multi-estrategia compuesto por:
+
+- MA_Crossover (EMA 30 / EMA 100)
+- TrendFiltered_MA (EMA 30 / EMA 100 + ADX 15)
+
+Cada estrategia opera de forma independiente, pero comparte el riesgo total
+mediante una asignación fija 50/50 (0.5% de riesgo por estrategia).
+
+Objetivos principales del script:
+- Validar el comportamiento conjunto del portfolio
+- Evaluar la reducción de drawdown y volatilidad frente a estrategias individuales
+- Calcular métricas de sistema basadas únicamente en la equity curve
+  (CAGR, Max Drawdown, Calmar Ratio, Time in Drawdown, Ulcer Index)
+- Generar una visualización de la equity del portfolio y su drawdown
+
+Este script representa el último paso cuantitativo antes de:
+- Walk-Forward del portfolio
+- Paper trading en tiempo real
+- Construcción de la UI de monitorización
+
+No modifica parámetros, estrategias ni lógica de ejecución.
+Su propósito es exclusivamente de validación y análisis del sistema.
+"""
+
+import os
+import sys
+from pathlib import Path
+from dotenv import load_dotenv
+
+import matplotlib.pyplot as plt
+import pandas as pd
+
+sys.path.insert(0, str(Path(__file__).parent.parent.parent))
+
+from src.core.engine import Engine
+from src.data.storage import StorageManager
+from src.risk.sizing.percent_risk import PercentRiskSizer
+from src.risk.stops.trailing_stop import TrailingStop
+
+from src.strategies.moving_average import MovingAverageCrossover
+from src.strategies.trend_filtered import TrendFilteredMACrossover
+
+from src.portfolio.portfolio_engine import PortfolioEngine
+from src.portfolio.allocation import Allocation
+
+from src.metrics.equity_metrics import (
+    compute_equity_metrics,
+    calculate_drawdown_series,
+)
+
+
+# --------------------------------------------------
+# CONFIG
+# --------------------------------------------------
+SYMBOL = "BTC/USDT"
+TIMEFRAME = "1h"
+INITIAL_CAPITAL = 10_000
+
+STOP = TrailingStop(0.02)
+
+# 50/50 risk split
+RISK_A = PercentRiskSizer(0.005)
+RISK_B = PercentRiskSizer(0.005)
+
+OUTPUT_DIR = Path(__file__).parent / "output/portfolio_backtest"
+OUTPUT_DIR.mkdir(parents=True, exist_ok=True)
+
+
+# --------------------------------------------------
+def load_data():
+    load_dotenv("config/secrets.env")
+
+    storage = StorageManager(
+        db_host=os.getenv("DB_HOST"),
+        db_port=int(os.getenv("DB_PORT", 5432)),
+        db_name=os.getenv("DB_NAME"),
+        db_user=os.getenv("DB_USER"),
+        db_password=os.getenv("DB_PASSWORD"),
+    )
+
+    data = storage.load_ohlcv(
+        symbol=SYMBOL,
+        timeframe=TIMEFRAME,
+        use_cache=True,
+    )
+    storage.close()
+
+    if data.empty:
+        raise RuntimeError("No data loaded")
+
+    return data
+
+
+# --------------------------------------------------
+def run():
+    data = load_data()
+
+    # -----------------------------
+    # Engines
+    # -----------------------------
+    engines = {
+        "MA_Crossover": Engine(
+            strategy=MovingAverageCrossover(30, 100, "ema", False),
+            initial_capital=INITIAL_CAPITAL,
+            position_sizer=RISK_A,
+            stop_loss=STOP,
+            commission=0.001,
+            slippage=0.0005,
+        ),
+        "TrendFiltered_MA": Engine(
+            strategy=TrendFilteredMACrossover(30, 100, "ema", 15),
+            initial_capital=INITIAL_CAPITAL,
+            position_sizer=RISK_B,
+            stop_loss=STOP,
+            commission=0.001,
+            slippage=0.0005,
+        ),
+    }
+
+    allocation = Allocation(
+        weights={
+            "MA_Crossover": 0.5,
+            "TrendFiltered_MA": 0.5,
+        }
+    )
+
+    portfolio = PortfolioEngine(
+        engines=engines,
+        allocation=allocation,
+        initial_capital=INITIAL_CAPITAL,
+    )
+
+    # -----------------------------
+    # Run portfolio
+    # -----------------------------
+    result = portfolio.run(data)
+
+    equity = pd.Series(result.equity_curve, index=pd.to_datetime(data.index[:len(result.equity_curve)]))
+
+    # -----------------------------
+    # Metrics
+    # -----------------------------
+    metrics = compute_equity_metrics(
+        equity_curve=result.equity_curve,
+        timestamps=equity.index.tolist(),
+    )
+
+    # -----------------------------
+    # Report
+    # -----------------------------
+    print("\n" + "=" * 80)
+    print("📊 PORTFOLIO BACKTEST REPORT (50/50)")
+    print("=" * 80)
+    print(f"Final Capital:        ${result.final_capital:,.2f}")
+    print(f"CAGR:                 {metrics['cagr'] * 100:>8.2f}%")
+    print(f"Max Drawdown:         {metrics['max_drawdown'] * 100:>8.2f}%")
+    print(f"Calmar Ratio:         {metrics['calmar_ratio']:>8.2f}")
+    print(f"Volatility (ann.):    {metrics['volatility'] * 100:>8.2f}%")
+    print(f"Time in Drawdown:     {metrics['time_in_drawdown'] * 100:>8.2f}%")
+    print(f"Ulcer Index:          {metrics['ulcer_index']:>8.2f}")
+    print("=" * 80)
+
+    # -----------------------------
+    # Plots
+    # -----------------------------
+    dd_series = calculate_drawdown_series(equity)
+
+    fig, (ax1, ax2) = plt.subplots(
+        2, 1, figsize=(13, 7), sharex=True,
+        gridspec_kw={"height_ratios": [3, 1]}
+    )
+
+    ax1.plot(equity.index, equity.values, label="Portfolio Equity")
+    ax1.set_title("Portfolio Equity Curve (50/50)")
+    ax1.set_ylabel("Capital")
+    ax1.grid(alpha=0.3)
+    ax1.legend()
+
+    ax2.fill_between(dd_series.index, dd_series.values * 100, 0, color="red", alpha=0.3)
+    ax2.set_ylabel("Drawdown (%)")
+    ax2.set_xlabel("Time")
+    ax2.grid(alpha=0.3)
+
+    plt.tight_layout()
+    path = OUTPUT_DIR / "portfolio_equity_drawdown.png"
+    plt.savefig(path)
+    plt.close()
+
+    print(f"\n📈 Saved plot: {path}")
+
+
+# --------------------------------------------------
+if __name__ == "__main__":
+    run()
--- a/scripts/research/risk_validation.py
+++ b/scripts/research/risk_validation.py
@@ -0,0 +1,185 @@
+import os
+import sys
+from pathlib import Path
+from dotenv import load_dotenv
+from datetime import datetime, timedelta
+import numpy as np
+import pandas as pd
+import matplotlib.pyplot as plt
+
+# --------------------------------------------------
+# Path setup
+# --------------------------------------------------
+sys.path.insert(0, str(Path(__file__).parent.parent.parent))
+
+from src.utils.logger import log
+from src.data.storage import StorageManager
+from src.core.engine import Engine
+from src.strategies import MovingAverageCrossover
+from src.risk.sizing.percent_risk import PercentRiskSizer
+from src.risk.stops.atr_stop import ATRStop
+
+
+# --------------------------------------------------
+# CONFIG
+# --------------------------------------------------
+SYMBOL = "BTC/USDT"
+TIMEFRAME = "1h"
+DAYS_BACK = 180
+
+INITIAL_CAPITAL = 10_000
+RISK_PER_TRADE = 0.01  # 1%
+
+ATR_PERIOD = 14
+ATR_MULTIPLIER = 2.0
+
+COMMISSION = 0.001
+SLIPPAGE = 0.0005
+
+
+def setup_environment():
+    """Carga variables de entorno"""
+    env_path = Path(__file__).parent.parent.parent / 'config' / 'secrets.env'
+    load_dotenv(dotenv_path=env_path)
+
+# --------------------------------------------------
+# Load data
+# --------------------------------------------------
+def load_data():
+    # Setup
+    setup_environment()
+
+    storage = StorageManager(
+        db_host=os.getenv("DB_HOST"),
+        db_port=int(os.getenv("DB_PORT", 5432)),
+        db_name=os.getenv("DB_NAME"),
+        db_user=os.getenv("DB_USER"),
+        db_password=os.getenv("DB_PASSWORD"),
+    )
+
+    end_date = datetime.now()
+    start_date = end_date - timedelta(days=DAYS_BACK)
+
+    data = storage.load_ohlcv(
+        symbol=SYMBOL,
+        timeframe=TIMEFRAME,
+        start_date=start_date,
+        end_date=end_date,
+        use_cache=False,
+    )
+
+    storage.close()
+
+    if data.empty:
+        raise RuntimeError("No data loaded")
+
+    return data
+
+
+# --------------------------------------------------
+# Main
+# --------------------------------------------------
+def run():
+    log.info("=" * 70)
+    log.info("📐 RISK VALIDATION – PercentRiskSizer + ATRStop")
+    log.info("=" * 70)
+
+    data = load_data()
+
+    strategy = MovingAverageCrossover(
+        fast_period=10,
+        slow_period=30,
+        ma_type="ema",
+        use_adx=False,
+    )
+
+    engine = Engine(
+        strategy=strategy,
+        initial_capital=INITIAL_CAPITAL,
+        commission=COMMISSION,
+        slippage=SLIPPAGE,
+        position_sizer=PercentRiskSizer(RISK_PER_TRADE),
+        stop_loss=ATRStop(
+            atr_period=ATR_PERIOD,
+            multiplier=ATR_MULTIPLIER,
+        ),
+    )
+
+    results = engine.run(data)
+    trades = results["trades"]
+
+    # --------------------------------------------------
+    # Compute real risk per trade
+    # --------------------------------------------------
+    risks = []
+
+    for trade in trades:
+        if trade.exit_reason != "Stop Loss":
+            continue
+
+        risk_amount = abs(
+            trade.entry_price - trade.stop_price_at_entry
+        ) * trade.size
+
+        risk_pct = risk_amount / trade.capital_at_entry
+        risks.append(risk_pct)
+
+    risks = np.array(risks)
+
+    if len(risks) == 0:
+        log.warning("No stop-loss trades found")
+        return
+
+    # --------------------------------------------------
+    # Print summary
+    # --------------------------------------------------
+    print()
+    print("=" * 70)
+    print("📊 RISK PER TRADE SUMMARY")
+    print("=" * 70)
+    print(f"Trades analysed : {len(risks)}")
+    print(f"Target risk     : {RISK_PER_TRADE*100:.2f}%")
+    print(f"Mean risk       : {risks.mean()*100:.2f}%")
+    print(f"Std deviation   : {risks.std()*100:.2f}%")
+    print(f"Min risk        : {risks.min()*100:.2f}%")
+    print(f"Max risk        : {risks.max()*100:.2f}%")
+    print("=" * 70)
+
+    output_dir = Path(__file__).parent / "output"
+    output_dir.mkdir(parents=True, exist_ok=True)
+
+    # --------------------------------------------------
+    # Plot risk distribution
+    # --------------------------------------------------
+    plt.figure(figsize=(10, 5))
+    plt.hist(risks * 100, bins=25, edgecolor="black", alpha=0.7)
+    plt.axvline(RISK_PER_TRADE * 100, color="red", linestyle="--", label="Target")
+    plt.title("Risk distribution per trade (%)")
+    plt.xlabel("Risk (%)")
+    plt.ylabel("Trades")
+    plt.legend()
+    plt.grid(alpha=0.3)
+    plt.tight_layout()
+    plt.savefig(output_dir / "risk_distribution.png")
+    plt.close()
+
+    # --------------------------------------------------
+    # Plot risk over time
+    # --------------------------------------------------
+    plt.figure(figsize=(12, 5))
+    plt.plot(risks * 100, marker="o", linewidth=1)
+    plt.axhline(RISK_PER_TRADE * 100, color="red", linestyle="--", label="Target")
+    plt.title("Risk per trade over time")
+    plt.xlabel("Trade #")
+    plt.ylabel("Risk (%)")
+    plt.legend()
+    plt.grid(alpha=0.3)
+    plt.tight_layout()
+    plt.savefig(output_dir / "risk_over_time.png")
+    plt.close()
+
+    log.success("Risk validation completed ✔")
+
+
+if __name__ == "__main__":
+    run()
--- a/scripts/research/walk_forward_stops.py
+++ b/scripts/research/walk_forward_stops.py
@@ -0,0 +1,222 @@
+import os
+import sys
+from pathlib import Path
+from datetime import datetime, timedelta
+import pandas as pd
+import numpy as np
+import matplotlib.pyplot as plt
+from dotenv import load_dotenv
+
+# --------------------------------------------------
+# Path setup
+# --------------------------------------------------
+sys.path.insert(0, str(Path(__file__).parent.parent.parent))
+
+from src.utils.logger import log
+from src.data.storage import StorageManager
+from src.core.engine import Engine
+from src.strategies import MovingAverageCrossover
+from src.risk.sizing.percent_risk import PercentRiskSizer
+from src.risk.stops.fixed_stop import FixedStop
+from src.risk.stops.trailing_stop import TrailingStop
+from src.risk.stops.atr_stop import ATRStop
+
+# --------------------------------------------------
+# CONFIG
+# --------------------------------------------------
+SYMBOL = "BTC/USDT"
+TIMEFRAME = "1h"
+
+TRAIN_DAYS = 120
+TEST_DAYS = 30
+STEP_DAYS = 30
+
+INITIAL_CAPITAL = 10_000
+COMMISSION = 0.001
+SLIPPAGE = 0.0005
+
+RISK_FRACTION = 0.01
+
+OUT_DIR = Path("scripts/research/output/wf_stops") / f"{SYMBOL.replace('/', '_')}_{TIMEFRAME}"
+OUT_DIR.mkdir(parents=True, exist_ok=True)
+
+STOPS = {
+    "Fixed 2%": FixedStop(0.02),
+    "Trailing 2%": TrailingStop(0.02),
+    "ATR 14 x 2.0": ATRStop(14, 2.0),
+}
+
+# --------------------------------------------------
+# Helpers
+# --------------------------------------------------
+def make_strategy():
+    return MovingAverageCrossover(
+        fast_period=10,
+        slow_period=30,
+        ma_type="ema",
+        use_adx=False,
+        adx_threshold=20.0,
+    )
+
+
+def setup_env():
+    env_path = Path(__file__).parent.parent.parent / "config" / "secrets.env"
+    load_dotenv(env_path)
+
+
+def load_data():
+    setup_env()
+
+    storage = StorageManager(
+        db_host=os.getenv("DB_HOST"),
+        db_port=int(os.getenv("DB_PORT", 5432)),
+        db_name=os.getenv("DB_NAME"),
+        db_user=os.getenv("DB_USER"),
+        db_password=os.getenv("DB_PASSWORD"),
+    )
+
+    data = storage.load_ohlcv(
+        symbol=SYMBOL,
+        timeframe=TIMEFRAME,
+        use_cache=True,
+    )
+
+    storage.close()
+
+    if data.empty:
+        raise RuntimeError("No data loaded")
+
+    return data
+
+
+# --------------------------------------------------
+# Walk Forward
+# --------------------------------------------------
+def run():
+    log.info("=" * 80)
+    log.info("🔁 WALK-FORWARD – STOP COMPARISON (120/30/30, 1h)")
+    log.info("=" * 80)
+
+    data = load_data()
+
+    wf_results = []
+    equity_curves = {name: [] for name in STOPS.keys()}
+
+    start_time = data.index[0]
+    end_time = data.index[-1]
+
+    window_id = 0
+    current_train_start = start_time
+
+    while True:
+        train_end = current_train_start + timedelta(days=TRAIN_DAYS)
+        test_start = train_end
+        test_end = test_start + timedelta(days=TEST_DAYS)
+
+        if test_end > end_time:
+            break
+
+        train_df = data.loc[current_train_start:train_end]
+        test_df = data.loc[test_start:test_end]
+
+        if len(test_df) < 50:
+            break
+
+        window_id += 1
+
+        print()
+        print(
+            f"WF Window {window_id:02d} | "
+            f"TRAIN {train_df.index[0].date()} → {train_df.index[-1].date()} | "
+            f"TEST {test_df.index[0].date()} → {test_df.index[-1].date()} | "
+            f"bars_test={len(test_df)}"
+        )
+
+        for stop_name, stop in STOPS.items():
+            engine = Engine(
+                strategy=make_strategy(),
+                initial_capital=INITIAL_CAPITAL,
+                commission=COMMISSION,
+                slippage=SLIPPAGE,
+                position_sizer=PercentRiskSizer(RISK_FRACTION),
+                stop_loss=stop,
+            )
+
+            res = engine.run(test_df)
+
+            wf_results.append({
+                "window": window_id,
+                "stop": stop_name,
+                "train_start": train_df.index[0],
+                "train_end": train_df.index[-1],
+                "test_start": test_df.index[0],
+                "test_end": test_df.index[-1],
+                "trades": res["total_trades"],
+                "max_dd_pct": res["max_drawdown_pct"],
+                "return_pct": res["total_return_pct"],
+                "final_equity": res["final_equity"],
+            })
+
+            equity_curves[stop_name].append(
+                pd.Series(res["equity_curve"], index=res["timestamps"])
+            )
+
+            print(
+                f"  {stop_name:<13} | "
+                f"Trades: {res['total_trades']:>3} | "
+                f"MaxDD: {res['max_drawdown_pct']:>7.2f}% | "
+                f"Return: {res['total_return_pct']:>7.2f}%"
+            )
+
+        current_train_start += timedelta(days=STEP_DAYS)
+
+    # --------------------------------------------------
+    # Save results
+    # --------------------------------------------------
+    df = pd.DataFrame(wf_results)
+    df.to_csv(OUT_DIR / "wf_results.csv", index=False)
+
+    print()
+    print("=" * 80)
+    print("📊 WF SUMMARY (aggregated)")
+    print("=" * 80)
+
+    summary = (
+        df.groupby("stop")
+        .agg(
+            windows=("window", "nunique"),
+            trades_avg=("trades", "mean"),
+            max_dd_worst=("max_dd_pct", "min"),
+            return_mean=("return_pct", "mean"),
+            return_median=("return_pct", "median"),
+        )
+        .round(2)
+    )
+
+    print(summary)
+    print("=" * 80)
+
+    # --------------------------------------------------
+    # Plot equity curves (visual comparison)
+    # --------------------------------------------------
+    plt.figure(figsize=(14, 7))
+
+    for stop_name, curves in equity_curves.items():
+        if not curves:
+            continue
+        concat_curve = pd.concat(curves)
+        plt.plot(concat_curve.index, concat_curve.values, label=stop_name)
+
+    plt.title(f"WF Equity Comparison – {SYMBOL} {TIMEFRAME}")
+    plt.xlabel("Time")
+    plt.ylabel("Equity (per-window)")
+    plt.legend()
+    plt.grid(alpha=0.3)
+    plt.tight_layout()
+
+    plt.savefig(OUT_DIR / "wf_equity_comparison.png")
+    plt.close()
+
+
+if __name__ == "__main__":
+    run()
--- a/scripts/research/wf_compare_strategies.py
+++ b/scripts/research/wf_compare_strategies.py
@@ -0,0 +1,275 @@
+# scripts/research/wf_compare_strategies.py
+
+import os
+import sys
+from pathlib import Path
+from dotenv import load_dotenv
+from datetime import timedelta
+
+import pandas as pd
+import numpy as np
+import matplotlib.pyplot as plt
+
+sys.path.insert(0, str(Path(__file__).parent.parent.parent))
+
+from src.core.engine import Engine
+from src.data.storage import StorageManager
+from src.risk.sizing.percent_risk import PercentRiskSizer
+from src.risk.stops.trailing_stop import TrailingStop
+
+from src.strategies.moving_average import MovingAverageCrossover
+from src.strategies.trend_filtered import TrendFilteredMACrossover
+from src.strategies.breakout import DonchianBreakout
+from src.strategies.mean_reversion import RSIMeanReversion
+
+from src.utils.logger import log
+
+
+# --------------------------------------------------
+# CONFIG
+# --------------------------------------------------
+SYMBOL = "BTC/USDT"
+TIMEFRAME = "1h"
+
+TRAIN_DAYS = 120
+TEST_DAYS = 30
+STEP_DAYS = 30
+
+INITIAL_CAPITAL = 10_000
+
+RISK = PercentRiskSizer(0.01)
+STOP = TrailingStop(0.02)
+
+OUTPUT_DIR = Path(__file__).parent / "output/wf_strategies"
+OUTPUT_DIR.mkdir(parents=True, exist_ok=True)
+
+
+# --------------------------------------------------
+# STRATEGIES
+# --------------------------------------------------
+STRATEGIES = {
+    "MA_Crossover": lambda: MovingAverageCrossover(20, 50, "ema", False),
+    "TrendFiltered_MA": lambda: TrendFilteredMACrossover(20, 50, "ema", 20),
+    "Donchian": lambda: DonchianBreakout(20),
+    "RSI_Reversion": lambda: RSIMeanReversion(14, 30, 70),
+}
+
+
+# --------------------------------------------------
+def setup_env():
+    env_path = Path(__file__).parent.parent.parent / "config" / "secrets.env"
+    load_dotenv(env_path)
+
+
+def load_data():
+    setup_env()
+
+    storage = StorageManager(
+        db_host=os.getenv("DB_HOST"),
+        db_port=int(os.getenv("DB_PORT", 5432)),
+        db_name=os.getenv("DB_NAME"),
+        db_user=os.getenv("DB_USER"),
+        db_password=os.getenv("DB_PASSWORD"),
+    )
+
+    data = storage.load_ohlcv(SYMBOL, TIMEFRAME, use_cache=True)
+    storage.close()
+
+    if data.empty:
+        raise RuntimeError("No data loaded")
+
+    return data
+
+
+# --------------------------------------------------
+def compute_percentiles(curves, n_points=100):
+    x_common = np.linspace(0, 1, n_points)
+    interpolated = []
+
+    for curve in curves:
+        x = np.linspace(0, 1, len(curve))
+        interpolated.append(np.interp(x_common, x, curve.values))
+
+    arr = np.vstack(interpolated)
+    return (
+        x_common,
+        np.percentile(arr, 10, axis=0),
+        np.percentile(arr, 50, axis=0),
+        np.percentile(arr, 90, axis=0),
+    )
+
+
+# --------------------------------------------------
+def run():
+    log.info("🧪 WF MULTI-STRATEGY TEST (FULL VISUAL + STATS)")
+
+    data = load_data()
+
+    results_summary = []
+    all_accumulated = {}
+    all_dispersion_percentiles = {}
+
+    for name, strat_factory in STRATEGIES.items():
+        log.info(f"▶ Strategy: {name}")
+
+        capital = INITIAL_CAPITAL
+        equity_accumulated = []
+        dispersion_curves = []
+        window_returns = []
+
+        worst_dd = 0.0
+        start = data.index[0]
+
+        while True:
+            train_end = start + timedelta(days=TRAIN_DAYS)
+            test_end = train_end + timedelta(days=TEST_DAYS)
+
+            if test_end > data.index[-1]:
+                break
+
+            test_data = data.loc[train_end:test_end]
+
+            engine = Engine(
+                strategy=strat_factory(),
+                initial_capital=capital,
+                position_sizer=RISK,
+                stop_loss=STOP,
+                commission=0.001,
+                slippage=0.0005,
+            )
+
+            res = engine.run(test_data)
+
+            # ---- accumulated
+            capital *= (1 + res["total_return_pct"] / 100)
+            equity_accumulated.append((res["timestamps"][-1], capital))
+
+            # ---- dispersion (normalized reset)
+            eq = pd.Series(res["equity_curve"], index=res["timestamps"])
+            dispersion_curves.append(eq / eq.iloc[0])
+
+            window_returns.append(res["total_return_pct"])
+            worst_dd = min(worst_dd, res["max_drawdown_pct"])
+
+            start += timedelta(days=STEP_DAYS)
+
+        # ===============================
+        # STORE ACCUMULATED
+        # ===============================
+        acc_df = pd.DataFrame(equity_accumulated, columns=["time", "capital"]).set_index("time")
+        all_accumulated[name] = acc_df
+
+        # ===============================
+        # 1️⃣ DISPERSION – RAW (OLD)
+        # ===============================
+        plt.figure(figsize=(12, 5))
+        for eq in dispersion_curves:
+            plt.plot(eq.index, eq.values, alpha=0.3)
+
+        plt.title(f"WF Equity Dispersion (Raw) – {name}")
+        plt.ylabel("Normalized Equity")
+        plt.grid(alpha=0.3)
+
+        path = OUTPUT_DIR / f"wf_equity_dispersion_raw_{name}.png"
+        plt.tight_layout()
+        plt.savefig(path)
+        plt.close()
+
+        # ===============================
+        # 2️⃣ DISPERSION – PERCENTILES (NEW)
+        # ===============================
+        x, p10, p50, p90 = compute_percentiles(dispersion_curves)
+        all_dispersion_percentiles[name] = (x, p10, p50, p90)
+
+        plt.figure(figsize=(12, 5))
+        plt.plot(x, p50, label="P50", linewidth=2)
+        plt.fill_between(x, p10, p90, alpha=0.3, label="P10–P90")
+
+        plt.title(f"WF Equity Dispersion (Percentiles) – {name}")
+        plt.ylabel("Normalized Equity")
+        plt.xlabel("Window Progress")
+        plt.legend()
+        plt.grid(alpha=0.3)
+
+        path = OUTPUT_DIR / f"wf_equity_dispersion_percentiles_{name}.png"
+        plt.tight_layout()
+        plt.savefig(path)
+        plt.close()
+
+        # ===============================
+        # 3️⃣ RETURN DISTRIBUTION (OLD)
+        # ===============================
+        plt.figure(figsize=(10, 5))
+        plt.hist(window_returns, bins=20, density=True, alpha=0.7)
+
+        plt.title(f"WF Return Distribution – {name}")
+        plt.xlabel("Return per window (%)")
+        plt.ylabel("Density")
+        plt.grid(alpha=0.3)
+
+        path = OUTPUT_DIR / f"wf_return_distribution_{name}.png"
+        plt.tight_layout()
+        plt.savefig(path)
+        plt.close()
+
+        # ===============================
+        # SUMMARY
+        # ===============================
+        results_summary.append({
+            "strategy": name,
+            "windows": len(window_returns),
+            "return_mean": round(np.mean(window_returns), 2),
+            "return_median": round(np.median(window_returns), 2),
+            "max_dd_worst": round(worst_dd, 2),
+            "final_capital": round(capital, 2),
+        })
+
+    # ===============================
+    # 4️⃣ ACCUMULATED EQUITY – ALL
+    # ===============================
+    plt.figure(figsize=(13, 6))
+    for name, acc_df in all_accumulated.items():
+        plt.plot(acc_df.index, acc_df["capital"], linewidth=2, label=name)
+
+    plt.title("WF Accumulated Equity – Strategy Comparison")
+    plt.ylabel("Capital")
+    plt.legend()
+    plt.grid(alpha=0.3)
+
+    path = OUTPUT_DIR / "wf_equity_accumulated_ALL.png"
+    plt.tight_layout()
+    plt.savefig(path)
+    plt.close()
+
+    # ===============================
+    # 5️⃣ DISPERSION COMPARISON – P50
+    # ===============================
+    plt.figure(figsize=(12, 6))
+    for name, (x, _, p50, _) in all_dispersion_percentiles.items():
+        plt.plot(x, p50, linewidth=2, label=name)
+
+    plt.title("WF Dispersion Comparison (Median – P50)")
+    plt.ylabel("Normalized Equity")
+    plt.xlabel("Window Progress")
+    plt.legend()
+    plt.grid(alpha=0.3)
+
+    path = OUTPUT_DIR / "wf_dispersion_comparison_P50.png"
+    plt.tight_layout()
+    plt.savefig(path)
+    plt.close()
+
+    # ===============================
+    # FINAL TABLE
+    # ===============================
+    summary_df = pd.DataFrame(results_summary).set_index("strategy")
+
+    print("\n" + "=" * 80)
+    print("📊 WF SUMMARY (ACCUMULATED)")
+    print("=" * 80)
+    print(summary_df)
+    print("=" * 80)
+
+
+if __name__ == "__main__":
+    run()
--- a/scripts/research/wf_optimize_strategies.py
+++ b/scripts/research/wf_optimize_strategies.py
@@ -0,0 +1,257 @@
+# scripts/research/wf_optimize_strategies.py
+
+import os
+import sys
+from pathlib import Path
+from dotenv import load_dotenv
+from datetime import timedelta
+
+import pandas as pd
+import numpy as np
+import matplotlib.pyplot as plt
+import seaborn as sns
+
+sys.path.insert(0, str(Path(__file__).parent.parent.parent))
+
+from src.core.engine import Engine
+from src.data.storage import StorageManager
+from src.risk.sizing.percent_risk import PercentRiskSizer
+from src.risk.stops.trailing_stop import TrailingStop
+
+from src.strategies.optimization.opt_moving_average import MACrossoverOptimization
+from src.strategies.optimization.opt_trend_filtered import TrendFilteredMAOptimization
+
+from src.utils.logger import log
+
+
+# --------------------------------------------------
+# CONFIG
+# --------------------------------------------------
+SYMBOL = "BTC/USDT"
+TIMEFRAME = "1h"
+
+TRAIN_DAYS = 120
+TEST_DAYS = 30
+STEP_DAYS = 30
+
+INITIAL_CAPITAL = 10_000
+
+RISK = PercentRiskSizer(0.01)
+STOP = TrailingStop(0.02)
+
+COMMISSION = 0.001
+SLIPPAGE = 0.0005
+
+OUTPUT_DIR = Path(__file__).parent / "output/wf_optimize"
+OUTPUT_DIR.mkdir(parents=True, exist_ok=True)
+
+TOP_N_PRINT = 15
+
+OPTIMIZERS = [
+    MACrossoverOptimization,
+    TrendFilteredMAOptimization,
+]
+
+# --------------------------------------------------
+def setup_env():
+    env_path = Path(__file__).parent.parent.parent / "config" / "secrets.env"
+    load_dotenv(env_path)
+
+def load_data():
+    setup_env()
+
+    storage = StorageManager(
+        db_host=os.getenv("DB_HOST"),
+        db_port=int(os.getenv("DB_PORT", 5432)),
+        db_name=os.getenv("DB_NAME"),
+        db_user=os.getenv("DB_USER"),
+        db_password=os.getenv("DB_PASSWORD"),
+    )
+
+    data = storage.load_ohlcv(
+        symbol=SYMBOL,
+        timeframe=TIMEFRAME,
+        use_cache=True,
+    )
+    storage.close()
+
+    if data.empty:
+        raise RuntimeError("No data loaded")
+
+    return data
+
+def run_wf(data: pd.DataFrame, strategy_factory) -> dict:
+    capital = INITIAL_CAPITAL
+    window_returns = []
+    worst_dd = 0.0
+    windows = 0
+
+    start = data.index[0]
+
+    while True:
+        train_end = start + timedelta(days=TRAIN_DAYS)
+        test_end = train_end + timedelta(days=TEST_DAYS)
+
+        if test_end > data.index[-1]:
+            break
+
+        test_data = data.loc[train_end:test_end]
+
+        engine = Engine(
+            strategy=strategy_factory(),
+            initial_capital=capital,
+            position_sizer=RISK,
+            stop_loss=STOP,
+            commission=COMMISSION,
+            slippage=SLIPPAGE,
+        )
+
+        res = engine.run(test_data)
+
+        windows += 1
+        window_returns.append(res["total_return_pct"])
+        worst_dd = min(worst_dd, res["max_drawdown_pct"])
+        capital *= (1 + res["total_return_pct"] / 100)
+
+        start += timedelta(days=STEP_DAYS)
+
+    wr = np.array(window_returns, dtype=float)
+
+    return {
+        "windows": windows,
+        "final_capital": round(capital, 2),
+        "return_mean": round(wr.mean(), 4),
+        "return_median": round(np.median(wr), 4),
+        "max_dd_worst": round(worst_dd, 4),
+        "win_rate": round((wr > 0).mean(), 4),
+    }
+
+def score_row(row):
+    dd_penalty = abs(row["max_dd_worst"]) / 100.0
+    return (
+        (row["final_capital"] / INITIAL_CAPITAL)
+        + row["win_rate"] * 0.5
+        - dd_penalty * 1.5
+    )
+
+# --------------------------------------------------
+def run():
+    data = load_data()
+    rows = []
+
+    for optimizer in OPTIMIZERS:
+        log.info(f"🧪 Optimizing {optimizer.name}")
+
+        for params in optimizer.parameter_grid():
+
+            def factory(p=params):
+                return optimizer.build_strategy(p)
+
+            metrics = run_wf(data, factory)
+            row = {
+                "strategy": optimizer.name,
+                **params,
+                **metrics,
+            }
+            row["score"] = score_row(row)
+            rows.append(row)
+
+    df = pd.DataFrame(rows)
+    df = df.sort_values("score", ascending=False)
+
+    # --------------------------------------------------
+    # SAVE CSV
+    # --------------------------------------------------
+    csv_path = OUTPUT_DIR / "wf_optimization_results.csv"
+    df.to_csv(csv_path, index=False)
+    log.info(f"✅ Saved CSV: {csv_path}")
+
+    # --------------------------------------------------
+    # PRINT TOP CONFIGS
+    # --------------------------------------------------
+    print("\n" + "=" * 100)
+    print("🏆 TOP CONFIGS (by score)")
+    print("=" * 100)
+
+    for strat in df["strategy"].unique():
+        top = df[df["strategy"] == strat].head(TOP_N_PRINT)
+        print(f"\n--- {strat} ---")
+        print(
+            top[
+                [
+                    "fast_period",
+                    "slow_period",
+                    "adx_threshold",
+                    "final_capital",
+                    "return_mean",
+                    "win_rate",
+                    "max_dd_worst",
+                    "score",
+                ]
+            ].to_string(index=False)
+        )
+
+    # --------------------------------------------------
+    # 📊 VISUALIZATIONS
+    # --------------------------------------------------
+    sns.set(style="whitegrid")
+
+    # A) Scatter: Score vs DD
+    plt.figure(figsize=(10, 6))
+    sns.scatterplot(
+        data=df,
+        x="max_dd_worst",
+        y="score",
+        hue="strategy",
+        size="final_capital",
+        sizes=(40, 200),
+        alpha=0.7,
+    )
+    plt.title("Score vs Max Drawdown")
+    plt.tight_layout()
+    plt.savefig(OUTPUT_DIR / "scatter_score_vs_dd.png")
+    plt.close()
+
+    # B) Boxplot: Score by Strategy
+    plt.figure(figsize=(8, 5))
+    sns.boxplot(data=df, x="strategy", y="score")
+    plt.title("Score Distribution by Strategy")
+    plt.tight_layout()
+    plt.savefig(OUTPUT_DIR / "boxplot_score_by_strategy.png")
+    plt.close()
+
+    # C) Heatmaps
+    for strat in df["strategy"].unique():
+        sub = df[df["strategy"] == strat]
+
+        if "adx_threshold" in sub.columns and sub["adx_threshold"].notna().any():
+            for adx in sorted(sub["adx_threshold"].dropna().unique()):
+                pivot = sub[sub["adx_threshold"] == adx].pivot(
+                    index="fast_period",
+                    columns="slow_period",
+                    values="final_capital",
+                )
+                plt.figure(figsize=(10, 6))
+                sns.heatmap(pivot, annot=False, cmap="viridis")
+                plt.title(f"{strat} – Final Capital (ADX={adx})")
+                plt.tight_layout()
+                plt.savefig(
+                    OUTPUT_DIR / f"heatmap_{strat}_adx_{int(adx)}.png"
+                )
+                plt.close()
+        else:
+            pivot = sub.pivot(
+                index="fast_period",
+                columns="slow_period",
+                values="final_capital",
+            )
+            plt.figure(figsize=(10, 6))
+            sns.heatmap(pivot, annot=False, cmap="viridis")
+            plt.title(f"{strat} – Final Capital")
+            plt.tight_layout()
+            plt.savefig(OUTPUT_DIR / f"heatmap_{strat}.png")
+            plt.close()
+
+
+if __name__ == "__main__":
+    run()
--- a/src/backtest/init.py
+++ b/src/backtest/init.py
@@ -2,7 +2,7 @@
 """
 Módulo de backtesting
 """
-from .engine import BacktestEngine
+from .engine import Engine
 from .strategy import Strategy, Signal
 from .trade import Trade, TradeType, TradeStatus, Position
 from .optimizer import ParameterOptimizer
@@ -16,7 +16,7 @@ from .metrics import (
 )

 __all__ = [
-    'BacktestEngine',
+    'Engine',
    'Strategy',
    'Signal',
    'Trade',
--- a/src/backtest/engine.py
+++ b/src/backtest/engine.py
@@ -12,7 +12,7 @@ from .trade import Trade, TradeType, TradeStatus, Position
 from ..risk.sizing.base import PositionSizer
 from ..risk.stops.base import StopLoss

-class BacktestEngine:
+class Engine:
    """
    Motor de backtesting que simula la ejecución de una estrategia
    """
@@ -185,14 +185,30 @@ class BacktestEngine:
        Abre una nueva posición, delegando size al PositionSizer si existe
        """
        current_bar = self.data.iloc[idx]
-        current_price = current_bar['close']
+        current_price = current_bar["close"]
        current_time = current_bar.name

-        # Aplicar slippage (en compra, pagamos más)
+        # Aplicar slippage (en compra pagamos más)
        execution_price = current_price * (1 + self.slippage)

        # --------------------------------------------------
-        # ✅ 1) Calcular units (size) vía sizer o fallback legacy
+        # 🔴 1) Calcular STOP antes del size (si existe)
+        # --------------------------------------------------
+        stop_price = None
+        if self.stop_loss is not None:
+            try:
+                stop_price = self.stop_loss.get_stop_price(
+                    data=self.data,
+                    idx=idx,
+                    entry_price=execution_price,
+                    trade_type=trade_type,
+                )
+            except Exception as e:
+                log.warning(f"[{current_time}] Error calculando stop: {e}")
+                return
+
+        # --------------------------------------------------
+        # ✅ 2) Calcular units (size)
        # --------------------------------------------------
        if self.position_sizer is not None:
            try:
@@ -200,8 +216,9 @@ class BacktestEngine:
                    self.position_sizer.calculate_size(
                        capital=self.cash,
                        entry_price=float(execution_price),
-                        stop_price=None,    # stops aún no integrados
-                        volatility=None     # vol/ATR aún no integrado aquí
+                        stop_price=stop_price,
+                        max_capital=self.cash,
+                        volatility=None,
                    )
                )
            except Exception as e:
@@ -209,69 +226,76 @@ class BacktestEngine:
                return

            if not np.isfinite(units) or units <= 0:
-                log.warning(f"[{current_time}] PositionSizer devolvió units inválidos: {units}")
+                log.warning(f"[{current_time}] Units inválidas: {units}")
                return

-            position_value = units * execution_price
-
        else:
-            # Fallback actual: usar fracción del cash
-            position_value = self.cash * self.position_size_fraction
-            units = position_value / execution_price
+            # Fallback legacy
+            units = (self.cash * self.position_size_fraction) / execution_price

        # --------------------------------------------------
-        # ✅ 2) Comisión basada en el nominal invertido
+        # ✅ 3) CLIP SIZE si no hay suficiente cash
        # --------------------------------------------------
+        position_value = units * execution_price
        commission_cost = position_value * self.commission
+        total_cost = position_value + commission_cost

-        # Verificar que tenemos suficiente cash
-        if self.cash < position_value + commission_cost:
-            log.warning(
-                f"[{current_time}] Cash insuficiente para abrir posición "
-                f"(cash=${self.cash:.2f}, needed=${position_value + commission_cost:.2f})"
+        if total_cost > self.cash:
+            max_affordable_units = self.cash / (
+                execution_price * (1 + self.commission)
            )
-            return
+
+            if max_affordable_units <= 0:
+                log.warning(
+                    f"[{current_time}] Cash insuficiente incluso para size mínimo"
+                )
+                return
+
+            units = max_affordable_units
+            position_value = units * execution_price
+            commission_cost = position_value * self.commission

        # --------------------------------------------------
-        # ✅ 3) Crear trade + posición
+        # ✅ 4) Crear trade
        # --------------------------------------------------
        trade = Trade(
-            symbol=current_bar.get('symbol', 'UNKNOWN'),
+            symbol=current_bar.get("symbol", "UNKNOWN"),
            trade_type=trade_type,
            entry_price=execution_price,
            entry_time=current_time,
            size=units,
            entry_commission=commission_cost,
-            entry_reason="Strategy signal"
+            entry_reason="Strategy signal",
+            stop_price_at_entry=stop_price,
+            capital_at_entry=self.cash,
        )

        # Actualizar cash
        self.cash -= (position_value + commission_cost)

-        # Crear posición
+        # --------------------------------------------------
+        # ✅ 5) Crear posición
+        # --------------------------------------------------
        self.current_position = Position(
            symbol=trade.symbol,
            trade_type=trade_type,
            average_price=execution_price,
            total_size=units,
-            trades=[trade]
+            trades=[trade],
        )

-        # 🔴 FIJAR STOP INICIAL
-        if self.stop_loss is not None:
-            stop_price = self.stop_loss.get_stop_price(
-                data=self.data,
-                idx=idx,
-                entry_price=execution_price,
-                trade_type=trade_type,
-            )
+        # Fijar stop inicial (si existe)
+        if stop_price is not None:
            self.current_position.set_stop(stop_price)

        self.trades.append(trade)

-        log.debug(f"[{current_time}] OPEN {trade_type.value}: "
-                 f"Price: ${execution_price:.2f}, Units: {units:.6f}, "
-                 f"Value: ${position_value:.2f}, Fee: ${commission_cost:.2f}")
+        log.debug(
+            f"[{current_time}] OPEN {trade_type.value}: "
+            f"Price=${execution_price:.2f} | Units={units:.6f} | "
+            f"Value=${position_value:.2f} | Fee=${commission_cost:.2f}"
+        )
+

    def _close_position(self, idx: int, reason: str):
        """
--- a/src/backtest/metrics.py
+++ b/src/backtest/metrics.py
@@ -1,4 +1,4 @@
-# src/backtest/metrics.py
+# src/core/metrics.py
 """
 Métricas avanzadas de performance para backtesting
 """
--- a/src/backtest/optimizer.py
+++ b/src/backtest/optimizer.py
@@ -7,7 +7,7 @@ import pandas as pd
 from typing import Dict, List, Any, Type
 from itertools import product
 from ..utils.logger import log
-from .engine import BacktestEngine
+from .engine import Engine
 from .strategy import Strategy

 class ParameterOptimizer:
@@ -82,7 +82,7 @@ class ParameterOptimizer:
                strategy = self.strategy_class(**params)
                
                # Ejecutar backtest
-                engine = BacktestEngine(
+                engine = Engine(
                    strategy=strategy,
                    initial_capital=self.initial_capital,
                    commission=self.commission,
--- a/src/backtest/strategy.py
+++ b/src/backtest/strategy.py
--- a/src/backtest/trade.py
+++ b/src/backtest/trade.py
@@ -30,6 +30,8 @@ class Trade:
    exit_price: Optional[float] = None
    exit_time: Optional[datetime] = None
    status: TradeStatus = field(default=TradeStatus.OPEN)
+    stop_price_at_entry: Optional[float] = None
+    capital_at_entry: Optional[float] = None
    
    # Costes
    entry_commission: float = 0.0
--- a/src/backtest/visualizers/init.py
+++ b/src/backtest/visualizers/init.py
--- a/src/backtest/visualizers/visualizer.py
+++ b/src/backtest/visualizers/visualizer.py
--- a/src/backtest/visualizers/walk_forward_visualizer.py
+++ b/src/backtest/visualizers/walk_forward_visualizer.py
--- a/src/backtest/walk_forward.py
+++ b/src/backtest/walk_forward.py
@@ -1,8 +1,8 @@
 # src/backtest/walk_forward.py
 import pandas as pd
 from typing import List, Dict, Optional
-from src.backtest.optimizer import ParameterOptimizer
-from src.backtest.engine import BacktestEngine
+from src.core.optimizer import ParameterOptimizer
+from src.core.engine import Engine
 from ..utils.logger import log

 class WalkForwardValidator:
@@ -188,7 +188,7 @@ class WalkForwardValidator:
            # 2️⃣ Backtest TEST (OOS)
            strategy = self.strategy_class(**best_params)

-            engine = BacktestEngine(
+            engine = Engine(
                strategy=strategy,
                initial_capital=self.initial_capital,
                commission=self.commission,
--- a/src/metrics/init.py
+++ b/src/metrics/init.py
--- a/src/metrics/equity_metrics.py
+++ b/src/metrics/equity_metrics.py
@@ -0,0 +1,131 @@
+# src/metrics/equity_metrics.py
+"""
+Métricas basadas exclusivamente en equity curve.
+Pensadas para portfolio, paper trading y UI.
+"""
+
+import numpy as np
+import pandas as pd
+from typing import List, Optional, Dict
+
+
+# --------------------------------------------------
+# Helpers
+# --------------------------------------------------
+def _to_series(
+    equity_curve: List[float],
+    timestamps: Optional[List[pd.Timestamp]] = None,
+) -> pd.Series:
+    if timestamps is None:
+        return pd.Series(equity_curve)
+    return pd.Series(equity_curve, index=pd.to_datetime(timestamps))
+
+
+# --------------------------------------------------
+# Core metrics
+# --------------------------------------------------
+def calculate_cagr(
+    equity_curve: List[float],
+    timestamps: List[pd.Timestamp],
+) -> float:
+    """
+    CAGR real usando timestamps.
+    """
+    equity = _to_series(equity_curve, timestamps)
+
+    if len(equity) < 2:
+        return 0.0
+
+    start, end = equity.iloc[0], equity.iloc[-1]
+    years = (equity.index[-1] - equity.index[0]).days / 365.25
+
+    if years <= 0:
+        return 0.0
+
+    return (end / start) ** (1 / years) - 1
+
+
+def calculate_drawdown_series(equity: pd.Series) -> pd.Series:
+    running_max = equity.cummax()
+    return (equity - running_max) / running_max
+
+
+def calculate_max_drawdown(
+    equity_curve: List[float],
+    timestamps: Optional[List[pd.Timestamp]] = None,
+) -> float:
+    equity = _to_series(equity_curve, timestamps)
+    dd = calculate_drawdown_series(equity)
+    return dd.min()
+
+
+def calculate_time_in_drawdown(
+    equity_curve: List[float],
+    timestamps: List[pd.Timestamp],
+) -> float:
+    """
+    % del tiempo que el sistema está bajo su máximo histórico.
+    """
+    equity = _to_series(equity_curve, timestamps)
+    dd = calculate_drawdown_series(equity)
+    return (dd < 0).mean()
+
+
+def calculate_ulcer_index(
+    equity_curve: List[float],
+    timestamps: Optional[List[pd.Timestamp]] = None,
+) -> float:
+    """
+    Ulcer Index: profundidad + duración del drawdown.
+    """
+    equity = _to_series(equity_curve, timestamps)
+    dd = calculate_drawdown_series(equity)
+    return np.sqrt(np.mean(np.square(dd * 100)))
+
+
+def calculate_equity_volatility(
+    equity_curve: List[float],
+    timestamps: Optional[List[pd.Timestamp]] = None,
+    annualize: bool = True,
+) -> float:
+    equity = _to_series(equity_curve, timestamps)
+    returns = equity.pct_change().dropna()
+
+    if returns.empty:
+        return 0.0
+
+    vol = returns.std()
+    return vol * np.sqrt(252) if annualize else vol
+
+
+def calculate_calmar_ratio(
+    equity_curve: List[float],
+    timestamps: List[pd.Timestamp],
+) -> float:
+    cagr = calculate_cagr(equity_curve, timestamps)
+    max_dd = abs(calculate_max_drawdown(equity_curve, timestamps))
+
+    if max_dd == 0:
+        return 0.0
+
+    return cagr / max_dd
+
+
+# --------------------------------------------------
+# Aggregator
+# --------------------------------------------------
+def compute_equity_metrics(
+    equity_curve: List[float],
+    timestamps: List[pd.Timestamp],
+) -> Dict[str, float]:
+    """
+    Métricas clave para comparar sistemas y portfolios.
+    """
+    return {
+        "cagr": calculate_cagr(equity_curve, timestamps),
+        "max_drawdown": calculate_max_drawdown(equity_curve, timestamps),
+        "calmar_ratio": calculate_calmar_ratio(equity_curve, timestamps),
+        "volatility": calculate_equity_volatility(equity_curve, timestamps),
+        "time_in_drawdown": calculate_time_in_drawdown(equity_curve, timestamps),
+        "ulcer_index": calculate_ulcer_index(equity_curve, timestamps),
+    }
--- a/src/portfolio/init.py
+++ b/src/portfolio/init.py
--- a/src/portfolio/allocation.py
+++ b/src/portfolio/allocation.py
@@ -0,0 +1,17 @@
+# src/portfolio/allocation.py
+from dataclasses import dataclass
+from typing import Dict
+
+
+@dataclass
+class Allocation:
+    """
+    Define cómo se reparte el riesgo entre estrategias.
+    Los pesos deben sumar 1.0
+    """
+    weights: Dict[str, float]
+
+    def validate(self):
+        total = sum(self.weights.values())
+        if abs(total - 1.0) > 1e-6:
+            raise ValueError(f"Allocation weights must sum to 1. Got {total}")
--- a/src/portfolio/portfolio_engine.py
+++ b/src/portfolio/portfolio_engine.py
@@ -0,0 +1,67 @@
+# src/portfolio/portfolio_engine.py
+
+from typing import Dict
+import pandas as pd
+
+from src.core.engine import Engine
+from src.portfolio.allocation import Allocation
+from src.portfolio.portfolio_result import PortfolioResult
+
+
+class PortfolioEngine:
+    """
+    Ejecuta múltiples engines en paralelo y combina resultados
+    alineando las curvas por timestamp.
+    """
+
+    def __init__(
+        self,
+        engines: Dict[str, Engine],
+        allocation: Allocation,
+        initial_capital: float,
+    ):
+        allocation.validate()
+        self.engines = engines
+        self.allocation = allocation
+        self.initial_capital = initial_capital
+
+    def run(self, data):
+        results = {}
+        equity_series = []
+
+        for name, engine in self.engines.items():
+            res = engine.run(data)
+            results[name] = res
+
+            weight = self.allocation.weights[name]
+
+            # --- construir serie con timestamps ---
+            eq = pd.Series(
+                res["equity_curve"],
+                index=pd.to_datetime(res["timestamps"]),
+                name=name,
+            )
+
+            # --- aplicar peso ---
+            eq_weighted = eq * weight
+            equity_series.append(eq_weighted)
+
+        # --------------------------------------------------
+        # Alinear todas las curvas por timestamp
+        # --------------------------------------------------
+        df = pd.concat(equity_series, axis=1)
+
+        # Forward fill para periodos sin trades
+        df = df.ffill()
+
+        # Si alguna empieza más tarde, asumimos capital inicial ponderado
+        df = df.fillna(self.initial_capital * 0.0)
+
+        # Equity total del portfolio
+        portfolio_equity = df.sum(axis=1)
+
+        return PortfolioResult(
+            equity_curve=portfolio_equity.tolist(),
+            final_capital=float(portfolio_equity.iloc[-1]),
+            components=results,
+        )
--- a/src/portfolio/portfolio_result.py
+++ b/src/portfolio/portfolio_result.py
@@ -0,0 +1,10 @@
+# src/portfolio/portfolio_result.py
+from dataclasses import dataclass
+from typing import Dict, List
+
+
+@dataclass
+class PortfolioResult:
+    equity_curve: List[float]
+    final_capital: float
+    components: Dict[str, dict]
--- a/src/risk/sizing/base.py
+++ b/src/risk/sizing/base.py
@@ -12,9 +12,11 @@ class PositionSizer(ABC):
    @abstractmethod
    def calculate_size(
        self,
+        *,
        capital: float,
        entry_price: float,
        stop_price: Optional[float] = None,
+        max_capital: float | None = None,
        volatility: Optional[float] = None,
    ) -> float:
        """
--- a/src/risk/sizing/percent_risk.py
+++ b/src/risk/sizing/percent_risk.py
@@ -1,11 +1,11 @@
 # src/risk/sizing/percent_risk.py
-
 from .base import PositionSizer


 class PercentRiskSizer(PositionSizer):
    """
-    Position sizing basado en % de riesgo por trade.
+    Position sizing basado en % de riesgo por trade,
+    limitado por capital disponible.
    """

    def __init__(self, risk_fraction: float):
@@ -15,22 +15,30 @@ class PercentRiskSizer(PositionSizer):

    def calculate_size(
        self,
+        *,
        capital: float,
        entry_price: float,
-        stop_price: float | None = None
+        stop_price: float | None = None,
+        max_capital: float | None = None,
+        volatility=None,
    ) -> float:

        if stop_price is None:
            raise ValueError("PercentRiskSizer requiere stop_price")

-        risk_amount = capital * self.risk_fraction
        distance = abs(entry_price - stop_price)
-
-        if distance < 0:
-            raise ValueError("Distancia entry-stop inválida")
-
-        if distance == 0:
+        if distance <= 0:
            return 0.0

-        position_size = risk_amount / distance
-        return position_size
+        # 1️⃣ Riesgo máximo permitido
+        risk_amount = capital * self.risk_fraction
+        units_by_risk = risk_amount / distance
+
+        # 2️⃣ Límite por capital disponible
+        if max_capital is not None:
+            max_units_by_cash = max_capital / entry_price
+            units = min(units_by_risk, max_units_by_cash)
+        else:
+            units = units_by_risk
+
+        return max(units, 0.0)
--- a/src/risk/stops/atr_stop.py
+++ b/src/risk/stops/atr_stop.py
@@ -2,7 +2,7 @@
 import pandas as pd
 import numpy as np
 from src.risk.stops.base import StopLoss
-from src.backtest.trade import TradeType
+from src.core.trade import TradeType


 class ATRStop(StopLoss):
@@ -36,7 +36,7 @@ class ATRStop(StopLoss):
            axis=1,
        ).max(axis=1)

-        atr = tr.rolling(self.atr_period).mean()
+        atr = tr.ewm(alpha=1/self.atr_period, adjust=False).mean()
        return atr

    def get_stop_price(
--- a/src/risk/stops/base.py
+++ b/src/risk/stops/base.py
@@ -2,7 +2,7 @@

 from abc import ABC, abstractmethod
 import pandas as pd
-from src.backtest.trade import TradeType
+from src.core.trade import TradeType


 class StopLoss(ABC):
@@ -37,3 +37,16 @@ class StopLoss(ABC):
            stop_price (float)
        """
        pass
+
+    def update_stop(
+        self,
+        *,
+        data: pd.DataFrame,
+        idx: int,
+        position
+    ):
+        """
+        Por defecto: stop NO dinámico.
+        Devuelve None → no mover stop.
+        """
+        return None
--- a/src/risk/stops/fixed_stop.py
+++ b/src/risk/stops/fixed_stop.py
@@ -1,7 +1,7 @@
 # src/risk/stops/fixed_stop.py
 import pandas as pd
 from src.risk.stops.base import StopLoss
-from src.backtest.trade import TradeType
+from src.core.trade import TradeType

 class FixedStop(StopLoss):
    """
--- a/src/risk/stops/trailing_stop.py
+++ b/src/risk/stops/trailing_stop.py
@@ -1,7 +1,7 @@
 # src/risk/stops/trailing_stop.py
 import pandas as pd
 from src.risk.stops.base import StopLoss
-from src.backtest.trade import TradeType, Position
+from src.core.trade import TradeType, Position


 class TrailingStop(StopLoss):
--- a/src/strategies/base.py
+++ b/src/strategies/base.py
@@ -1,5 +1,45 @@
 # src/strategies/base.py
-"""
-Estrategias base para herencia compleja
-TODO: Implementar en fases futuras
-"""
+
+from abc import ABC, abstractmethod
+import pandas as pd
+from src.core.strategy import Signal
+
+
+class Strategy(ABC):
+    """
+    Clase base para todas las estrategias.
+
+    Flujo:
+    - Engine llama a set_data(data)
+    - set_data → init_indicators
+    - Engine llama a generate_signal(idx)
+    """
+
+    def __init__(self, name: str, params: dict | None = None):
+        self.name = name
+        self.params = params or {}
+        self.data: pd.DataFrame | None = None
+
+    def set_data(self, data: pd.DataFrame):
+        """
+        Inyecta el DataFrame y calcula indicadores.
+        """
+        self.data = self.init_indicators(data.copy())
+
+    @abstractmethod
+    def init_indicators(self, data: pd.DataFrame) -> pd.DataFrame:
+        """
+        Calcula y añade indicadores al DataFrame.
+        """
+        pass
+
+    @abstractmethod
+    def generate_signal(self, idx: int) -> Signal:
+        """
+        Devuelve BUY / SELL / HOLD para el índice idx.
+        """
+        pass
+
+    def __repr__(self):
+        params = ", ".join(f"{k}={v}" for k, v in self.params.items())
+        return f"{self.name}({params})"
--- a/src/strategies/breakout.py
+++ b/src/strategies/breakout.py
@@ -0,0 +1,64 @@
+# src/strategies/breakout.py
+import pandas as pd
+
+from src.strategies.base import Strategy
+from src.core.strategy import Signal
+
+class DonchianBreakout(Strategy):
+    """
+    Estrategia de ruptura de canales Donchian
+
+    Señales:
+    - BUY: El precio rompe el máximo de los últimos N periodos
+    - SELL: El precio rompe el mínimo de los últimos N periodos
+    - HOLD: En cualquier otro caso
+
+    Parámetros:
+        lookback: Ventana de cálculo del canal
+
+    Valores por defecto:
+        lookback = 20
+        ≈ 1 día en timeframe 1h
+        Parámetro clásico del sistema Turtle
+
+    Notas:
+        - Es una estrategia de momentum puro
+        - No intenta comprar barato, compra fortaleza
+        - Filtra ruido al exigir ruptura real
+    """
+
+    def __init__(self, lookback: int = 20):
+        params = {
+            "lookback": lookback
+        }
+
+        super().__init__(name="DonchianBreakout", params=params)
+
+        self.lookback = lookback
+
+    # ------------------------------------------------------------------
+
+    def init_indicators(self, data: pd.DataFrame) -> pd.DataFrame:
+        data["donchian_high"] = data["high"].rolling(self.lookback).max()
+        data["donchian_low"] = data["low"].rolling(self.lookback).min()
+        return data
+
+    def generate_signal(self, idx: int) -> Signal:
+        if idx < self.lookback:
+            return Signal.HOLD
+        
+        high = self.data["high"]
+        low = self.data["low"]
+        close = self.data["close"]
+
+        max_high = high.iloc[idx - self.lookback : idx].max()
+        min_low = low.iloc[idx - self.lookback : idx].min()
+
+        price = close.iloc[idx]
+
+        if price > max_high:
+            return Signal.BUY
+        elif price < min_low:
+            return Signal.SELL
+        
+        return Signal.HOLD
--- a/src/strategies/buy_and_hold.py
+++ b/src/strategies/buy_and_hold.py
@@ -3,7 +3,7 @@
 Estrategia Buy and Hold
 """
 import pandas as pd
-from ..backtest.strategy import Strategy, Signal
+from ..core.strategy import Strategy, Signal

 class BuyAndHold(Strategy):
    """
--- a/src/strategies/mean_reversion.py
+++ b/src/strategies/mean_reversion.py
@@ -0,0 +1,95 @@
+# src/strategies/mean_reversion.py
+
+import pandas as pd
+import numpy as np
+
+from src.strategies.base import Strategy
+from src.core.strategy import Signal
+
+
+class RSIMeanReversion(Strategy):
+    """
+    Estrategia de reversión a la media basada en RSI.
+
+    Idea:
+    - Compra cuando el mercado está sobrevendido
+    - Vende cuando el precio rebota hacia la media
+
+    Señales:
+    - BUY: RSI cruza por debajo de oversold
+    - SELL: RSI cruza por encima de overbought
+    - HOLD: en cualquier otro caso
+
+    Parámetros:
+        period: periodo del RSI
+        oversold: nivel de sobreventa
+        overbought: nivel de sobrecompra
+
+    Valores típicos:
+        period = 14
+        oversold = 30
+        overbought = 70
+    """
+
+    def __init__(
+        self,
+        period: int = 14,
+        oversold: float = 30.0,
+        overbought: float = 70.0,
+    ):
+        super().__init__(
+            name="RSI_MeanReversion",
+            params={
+                "period": period,
+                "oversold": oversold,
+                "overbought": overbought,
+            },
+        )
+
+        self.period = period
+        self.oversold = oversold
+        self.overbought = overbought
+
+    # --------------------------------------------------
+    def init_indicators(self, data: pd.DataFrame) -> pd.DataFrame:
+        """
+        Calcula el RSI clásico (Wilder).
+
+        Añade:
+            - data["rsi"]
+        """
+        delta = data["close"].diff()
+
+        gain = delta.clip(lower=0)
+        loss = -delta.clip(upper=0)
+
+        avg_gain = gain.ewm(alpha=1 / self.period, adjust=False).mean()
+        avg_loss = loss.ewm(alpha=1 / self.period, adjust=False).mean()
+
+        rs = avg_gain / avg_loss
+        rsi = 100 - (100 / (1 + rs))
+
+        data["rsi"] = rsi
+
+        return data
+
+    # --------------------------------------------------
+    def generate_signal(self, idx: int) -> Signal:
+        """
+        Genera señales de trading basadas en cruces del RSI.
+        """
+        if idx == 0:
+            return Signal.HOLD
+
+        rsi_prev = self.data["rsi"].iloc[idx - 1]
+        rsi_curr = self.data["rsi"].iloc[idx]
+
+        # BUY → cruce hacia abajo de oversold
+        if rsi_prev > self.oversold and rsi_curr <= self.oversold:
+            return Signal.BUY
+
+        # SELL → cruce hacia arriba de overbought
+        if rsi_prev < self.overbought and rsi_curr >= self.overbought:
+            return Signal.SELL
+
+        return Signal.HOLD
--- a/src/strategies/moving_average.py
+++ b/src/strategies/moving_average.py
@@ -3,7 +3,7 @@
 Estrategia de cruce de medias móviles con filtro ADX opcional
 """
 import pandas as pd
-from ..backtest.strategy import Strategy, Signal, calculate_sma, calculate_ema
+from ..core.strategy import Strategy, Signal, calculate_sma, calculate_ema


 class MovingAverageCrossover(Strategy):
@@ -21,13 +21,18 @@ class MovingAverageCrossover(Strategy):
        ma_type: 'sma' o 'ema'
        use_adx: Activar filtro ADX
        adx_threshold: Umbral mínimo de ADX
+
+    Valores por defecto:
+        20/50 EMA → clásico en crypto 1h - 4h
+        EMA reacciona mejor que SMA
+        Sin ADX todavía → primero evaluamos la señal “pura”
    """

    def __init__(
        self,
-        fast_period: int = 10,
-        slow_period: int = 30,
-        ma_type: str = 'sma',
+        fast_period: int = 20,
+        slow_period: int = 50,
+        ma_type: str = 'ema',
        use_adx: bool = False,
        adx_threshold: float = 20.0
    ):
--- a/src/strategies/optimization/init.py
+++ b/src/strategies/optimization/init.py
--- a/src/strategies/optimization/base.py
+++ b/src/strategies/optimization/base.py
--- a/src/strategies/optimization/opt_moving_average.py
+++ b/src/strategies/optimization/opt_moving_average.py
@@ -0,0 +1,25 @@
+from itertools import product
+from src.strategies.moving_average import MovingAverageCrossover
+
+class MACrossoverOptimization:
+
+    name = "MA_Crossover"
+
+    @staticmethod
+    def parameter_grid():
+        fast = [10, 15, 20, 25, 30]
+        slow = [40, 50, 60, 80, 100]
+        min_gap = 15
+
+        for f, s in product(fast, slow):
+            if s - f >= min_gap:
+                yield {
+                    "fast_period": f,
+                    "slow_period": s,
+                    "ma_type": "ema",
+                    "use_adx": False,
+                }
+
+    @staticmethod
+    def build_strategy(params):
+        return MovingAverageCrossover(**params)
--- a/src/strategies/optimization/opt_trend_filtered.py
+++ b/src/strategies/optimization/opt_trend_filtered.py
@@ -0,0 +1,26 @@
+from itertools import product
+from src.strategies.trend_filtered import TrendFilteredMACrossover
+
+class TrendFilteredMAOptimization:
+
+    name = "TrendFiltered_MA"
+
+    @staticmethod
+    def parameter_grid():
+        fast = [10, 15, 20, 25, 30]
+        slow = [40, 50, 60, 80, 100]
+        adx = [15, 20, 25, 30]
+        min_gap = 15
+
+        for f, s, a in product(fast, slow, adx):
+            if s - f >= min_gap:
+                yield {
+                    "fast_period": f,
+                    "slow_period": s,
+                    "ma_type": "ema",
+                    "adx_threshold": a,
+                }
+
+    @staticmethod
+    def build_strategy(params):
+        return TrendFilteredMACrossover(**params)
--- a/src/strategies/rsi_strategy.py
+++ b/src/strategies/rsi_strategy.py
@@ -3,7 +3,7 @@
 Estrategia basada en RSI
 """
 import pandas as pd
-from ..backtest.strategy import Strategy, Signal, calculate_rsi
+from ..core.strategy import Strategy, Signal, calculate_rsi

 class RSIStrategy(Strategy):
    """
--- a/src/strategies/trend_filtered.py
+++ b/src/strategies/trend_filtered.py
@@ -0,0 +1,131 @@
+# src/strategies/trend_filtered.py
+
+import pandas as pd
+import numpy as np
+
+from src.strategies.base import Strategy
+from src.core.strategy import Signal
+
+
+class TrendFilteredMACrossover(Strategy):
+    """
+    Estrategia de cruce de medias con filtro de tendencia.
+
+    Señales:
+    - BUY:
+        * Cruce alcista de medias
+        * Precio por encima de MA lenta
+        * ADX >= threshold
+    - SELL:
+        * Cruce bajista de medias
+    - HOLD:
+        * En cualquier otro caso
+
+    Objetivo:
+    - Evitar whipsaws en mercado lateral
+    - Operar solo cuando hay estructura de tendencia
+
+    Parámetros por defecto:
+        fast_period=20
+        slow_period=50
+        ma_type='ema'
+        adx_period=14
+        adx_threshold=20
+    """
+
+    def __init__(
+        self,
+        fast_period: int = 20,
+        slow_period: int = 50,
+        ma_type: str = "ema",
+        adx_period: int = 14,
+        adx_threshold: float = 20.0,
+    ):
+        params = {
+            "fast_period": fast_period,
+            "slow_period": slow_period,
+            "ma_type": ma_type,
+            "adx_period": adx_period,
+            "adx_threshold": adx_threshold,
+        }
+
+        super().__init__(name="TrendFilteredMACrossover", params=params)
+
+        self.fast_period = fast_period
+        self.slow_period = slow_period
+        self.ma_type = ma_type
+        self.adx_period = adx_period
+        self.adx_threshold = adx_threshold
+
+    # --------------------------------------------------
+    def init_indicators(self, data: pd.DataFrame) -> pd.DataFrame:
+        # Medias móviles
+        if self.ma_type == "ema":
+            data["ma_fast"] = data["close"].ewm(
+                span=self.fast_period, adjust=False
+            ).mean()
+            data["ma_slow"] = data["close"].ewm(
+                span=self.slow_period, adjust=False
+            ).mean()
+        else:
+            data["ma_fast"] = data["close"].rolling(self.fast_period).mean()
+            data["ma_slow"] = data["close"].rolling(self.slow_period).mean()
+
+        # ADX
+        high = data["high"]
+        low = data["low"]
+        close = data["close"]
+
+        plus_dm = high.diff()
+        minus_dm = low.diff().abs()
+
+        plus_dm[plus_dm < 0] = 0
+        minus_dm[minus_dm < 0] = 0
+
+        tr = pd.concat(
+            [
+                high - low,
+                (high - close.shift()).abs(),
+                (low - close.shift()).abs(),
+            ],
+            axis=1,
+        ).max(axis=1)
+
+        atr = tr.ewm(alpha=1 / self.adx_period, adjust=False).mean()
+
+        plus_di = 100 * (
+            plus_dm.ewm(alpha=1 / self.adx_period, adjust=False).mean() / atr
+        )
+        minus_di = 100 * (
+            minus_dm.ewm(alpha=1 / self.adx_period, adjust=False).mean() / atr
+        )
+
+        dx = (abs(plus_di - minus_di) / (plus_di + minus_di)) * 100
+        data["adx"] = dx.ewm(alpha=1 / self.adx_period, adjust=False).mean()
+
+        return data
+
+    # --------------------------------------------------
+    def generate_signal(self, idx: int) -> Signal:
+        if idx == 0:
+            return Signal.HOLD
+
+        row = self.data.iloc[idx]
+        prev = self.data.iloc[idx - 1]
+
+        # Cruces
+        cross_up = prev.ma_fast <= prev.ma_slow and row.ma_fast > row.ma_slow
+        cross_down = prev.ma_fast >= prev.ma_slow and row.ma_fast < row.ma_slow
+
+        # Filtro de tendencia
+        trend_ok = (
+            row.close > row.ma_slow and row.adx >= self.adx_threshold
+        )
+
+        if cross_up and trend_ok:
+            return Signal.BUY
+
+        if cross_down:
+            return Signal.SELL
+
+        return Signal.HOLD
--- a/tests/backtest/test_engine_percent_risk.py
+++ b/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
--- a/tests/backtest/test_engine_sizing.py
+++ b/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,
--- a/tests/backtest/test_engine_stop.py
+++ b/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,
--- a/tests/backtest/test_engine_trailing_stop.py
+++ b/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,
--- a/tests/dam_test.py
+++ b/tests/dam_test.py
@@ -12,7 +12,7 @@ import pandas as pd
 sys.path.insert(0, str(Path(__file__).parent.parent))

 from src.data.storage import StorageManager
-from src.backtest.walk_forward import WalkForwardValidator
+from src.core.walk_forward import WalkForwardValidator
 from src.strategies import MovingAverageCrossover

 def setup_environment():
--- a/tests/risk/stops/test_atr_stop.py
+++ b/tests/risk/stops/test_atr_stop.py
@@ -9,9 +9,9 @@ import pytest
 sys.path.insert(0, str(Path(__file__).parent.parent.parent.parent))

 from src.risk.stops.base import StopLoss
-from src.backtest.trade import TradeType
+from src.core.trade import TradeType
 from src.risk.stops.atr_stop import ATRStop
-from src.backtest.trade import TradeType
+from src.core.trade import TradeType


 def atr_data():
--- a/tests/risk/stops/test_fixed_stop.py
+++ b/tests/risk/stops/test_fixed_stop.py
@@ -8,7 +8,7 @@ import pytest
 sys.path.insert(0, str(Path(__file__).parent.parent.parent.parent))

 from src.risk.stops.fixed_stop import FixedStop
-from src.backtest.trade import TradeType
+from src.core.trade import TradeType


 def dummy_data():
--- a/tests/test_optimizer.py
+++ b/tests/test_optimizer.py
@@ -14,7 +14,7 @@ sys.path.insert(0, str(Path(__file__).parent.parent))
 from src.utils.logger import log
 from src.data.storage import StorageManager
 from src.strategies import MovingAverageCrossover
-from src.backtest.optimizer import ParameterOptimizer
+from src.core.optimizer import ParameterOptimizer

 def setup_environment():
    """Carga variables de entorno"""
--- a/tests/test_visualizer.py
+++ b/tests/test_visualizer.py
@@ -14,8 +14,8 @@ sys.path.insert(0, str(Path(__file__).parent.parent))
 from src.utils.logger import log
 from src.data.storage import StorageManager
 from src.strategies import MovingAverageCrossover
-from src.backtest import BacktestEngine
-from src.backtest.visualizers.visualizer import BacktestVisualizer
+from src.core import BacktestEngine
+from src.core.visualizers.visualizer import BacktestVisualizer

 def setup_environment():
    """Carga variables de entorno"""
--- a/tests/test_walkforwad.py
+++ b/tests/test_walkforwad.py
@@ -15,7 +15,7 @@ sys.path.insert(0, str(Path(__file__).parent.parent))
 from src.utils.logger import log
 from src.data.storage import StorageManager
 from src.strategies import MovingAverageCrossover
-from src.backtest.walk_forward import WalkForwardValidator
+from src.core.walk_forward import WalkForwardValidator


 def setup_environment():
--- a/tests/test_wf_visualizer.py
+++ b/tests/test_wf_visualizer.py
@@ -7,7 +7,7 @@ import pandas as pd
 # Añadir raíz del proyecto al path
 sys.path.insert(0, str(Path(__file__).parent.parent))

-from src.backtest.visualizers.walk_forward_visualizer import WalkForwardVisualizer
+from src.core.visualizers.walk_forward_visualizer import WalkForwardVisualizer


 def test_wf_visualizer():