Boros Backtest Modes

demeter.boros_v4 supports multiple execution modes that should be treated as engine parameters rather than different strategy families.

Mode Matrix

Mode	Intended Use	Fidelity	Speed	Recommendation
BAR_APPROX	smoke tests, signal debugging	low	highest	dev only
NEXT_TRADE	lightweight replay baseline	low to medium	high	dev and sanity checks
TX_REPLAY_BEST_EXEC	stable experimental replay	medium	high	default experimental baseline
EVENT_REPLAY_FULL_PROTO	highest current Boros fidelity	highest	high enough	recommended high-fidelity mode

Current Comparison

Latest stable comparison on the real dual-market Boros dataset:

Engine	Runtime (s)	Final Net Value	Total PnL
TX_REPLAY_BEST_EXEC	209.50	996.1757	-3.8243
EVENT_REPLAY_FULL_PROTO	200.70	1000.8072	+0.8072

Interpretation:

• EVENT_REPLAY_FULL_PROTO currently improves pnl materially.

• It does so without a runtime penalty large enough to reject it.

• That makes it the best candidate for the recommended high-fidelity Boros engine.

Diagnostics

The full execution mode also supports source-selection diagnostics.

Current diagnostic snapshot after dust filtering and conservative split gating:

• orderbook_fill: 155

• amm_fill: 25

• only_available_quote: 150

• selected_best_all_in_rate: 30

This suggests:

• most executions still come from a single credible source

• deeper split or matching complexity should be justified by measured gains, not by assumption

Recommendation

For public experimental release:

• expose TX_REPLAY_BEST_EXEC as the stable default

• expose EVENT_REPLAY_FULL_PROTO as the higher-fidelity experimental option

• keep BAR_APPROX and NEXT_TRADE documented as development utilities