Introduction
Backtester (S&O) is a script that allows users to perform backtests using features from our Signals & Overlays™ toolkit. Many options are included to provide more complete & diverse backtests to the user, and each core component of the system are described in the following pages:
Backtest Parameters
The Backtester (S&O) use the following default properties:
| Property | Default | Description |
|---|---|---|
| Backtesting Window | Bars | Determines how the backtesting interval is set. If Bars is selected the most recent specified amount (in Window (Bars)) will be used to backtest the strategy. If Date is selected the interval will be set using the specified starting and ending dates, while using “Entire History” will use all the available historical data |
| Window (Bars) | 2000 | Amount of the most recent bars used to backtest the strategy if Bars is selected in Backtesting Window |
| Window Start | 2024-01-01 00:00 | Starting date of the backtesting strategy if Date is selected in Backtesting Window |
| Window End | 2024-01-01 00:00 | Ending date of the backtesting strategy if Date is selected in Backtesting Window and if the Window End toggle is enabled |
| Initial Capital | 10 000 | Initital amount of funds available at the start of the backtest |
| Base Currency | Default | Currency used for performing the backtest, backtest statistics will be expressed using this curreny. If Default is selected the symbol currency is used |
| Order Size | 1 Contract | Determines the amount of contracts/currency to buy or sell, can be expressed in contracts, currency, or percent of equity |
| Commission | 0% | Fees paid per clotured trades, can be expressed as currency per contracts, currency per order, or % of the total transation value |
| Margin for long position | 0% | Equity percentage required to fund a position |
| Margin for short position | 0% | Equity percentage required to fund a position |
These should be adjusted to return more precise and accurate results of the real performance of a trading strategy.
Disclaimer
Backtests are not indicative of future results. Backtesting strategies on synthetic data does not return representative results of a strategy. Backtests should be performed on charts returning real closing prices. See here for more information.
CFTC Rule 4.41 - Hypothetical or Simulated performance results have certain limitations, unlike an actual performance record, simulated results do not represent actual trading. Also, since the trades have not been executed, the results may have under-or-over compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profit or losses similar to those shown.
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