Backtest Config Files

Algo Trading Stack uses YAML config files to control simulation parameters and assets.
These configs describe portfolio setup, fees, and detailed contract specs for each instrument.

File structure

A config YAML has two layers:

Global settings — apply to the whole backtest.
Assets list — each symbol has its own entry with overrides.

Example (10-yr multi-market):

data_source: Yahoo_Finance
initial_cash: 1000000
commission_per_contract: 2.5    # USD per contract (both sides, can be per side if desired)
fee_per_trade: 1.0              # USD per trade (flat, optional)
assets:
  - symbol: 6B=F  # British Pound Futures
    type: futures
    file: yahoo_finance/data/Futures/British_Pound/1Day_timeframe/british_pound_10yr.csv
    contract_size: 62500
    tick_size: 0.0001
    tick_value: 6.25
    initial_margin: 2420
    maintenance_margin: 2200
    slippage_pct: 0.0007
    commission_per_contract: 2.0
    fee_per_trade: 1.5
    currency: USD
    exchange: CME
 
  - symbol: CL=F  # Crude Oil Futures
    type: futures
    file: yahoo_finance/data/Futures/Crude_Oil/1Day_timeframe/crude_oil_10yr.csv
    contract_size: 1000
    tick_size: 0.01
    tick_value: 10.0
    initial_margin: 5060
    maintenance_margin: 4600
    slippage_pct: 0.0005
    commission_per_contract: 2.0
    fee_per_trade: 1.5
    currency: USD
    exchange: NYMEX

Global keys

Key	Type	Meaning
`data_source`	string	Records where the asset price data came from.
`initial_cash`	float	Starting portfolio equity in USD (or chosen base currency).
`commission_per_contract`	float	Default commission charged per contract (can be overridden per asset).
`fee_per_trade`	float	Flat per-trade fee (order-level).
`include_slippage`	bool	Whether to apply slippage logic globally.
`slippage_ticks`	int	Slippage in ticks (preferred over percent).
`slippage_pct`	float	Slippage as fraction of price (fallback if no ticks specified).
`live_price_mode`	string	How live bars are exposed: `"open_only"` (default) or `"random_in_hilo"`.
`random_seed`	int	RNG seed for deterministic backtests (used in `"random_in_hilo"` mode).
`skip_synthetic_open_bars`	bool	If true (default), skip bars with missing OPEN when emitting live data.

Global values serve as defaults; assets can override commissions, fees, and slippage.
(These are applied in _apply_global_defaults.)

Asset entries

Each element in assets: specifies one tradable instrument.

Key	Type	Meaning
`symbol`	string	Identifier (e.g. `"CL=F"` for Crude Oil futures).
`type`	string	Currently `"futures"` (others can be added).
`file`	string	Path to historical data CSV (Yahoo or TradeStation supported).
`contract_size`	int	Units per contract (e.g. 1,000 barrels for CL).
`tick_size`	float	Minimum price increment.
`tick_value`	float	P&L value per tick per contract.
`initial_margin`	float	Exchange initial margin requirement per contract.
`maintenance_margin`	float	Maintenance margin (falls back to `initial_margin` if not given).
`commission_per_contract`	float	Override per-contract commission.
`fee_per_trade`	float	Override per-trade fee.
`slippage_ticks`	int	Override ticks of slippage.
`slippage_pct`	float	Override percent slippage.
`currency`	string	Trading currency (default `"USD"`).
`exchange`	string	Exchange code (e.g. CME, NYMEX, COMEX).

Data loading

Yahoo Finance CSVs and TradeStation CSVs are auto-detected and normalized.
Missing dates across assets produce synthetic bars:
- O/H/L left as NaN (to mark gaps).
- Close forward-filled to keep equity continuous.
- Volume zero-filled.

Intrabar policies

The config can also include an exit resolution policy:

intrabar_tp_sl_policy: worst_case

Options

worst_case (default) → Stop-loss assumed hit first if both touched.
best_case → Take-profit assumed hit.
sl_first / tp_first → Explicit priority.

Putting it together

Start with a base config (e.g. backtest_config.yaml).
Add multiple assets with their margins, contract sizes, and CSV data paths.
Override global fees/slippage if some markets have different specs.
Run:

python run_backtest.py --config backtest_configs/backtest_config_10_yrs.yaml

The engine will load the config, normalize data, and enforce margins, commissions, slippage, and fees exactly as described.

Summary

Config files are the backbone of reproducible backtests:

Globals define portfolio cash, fees, and defaults.
Assets define contract specs, margin requirements, and data.
Policies control intrabar exit handling and slippage.

By editing YAML, you can swap asset universes, adjust fees, or change assumptions without touching code.

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