Backtesting Creation

The Backtesting Creation page enables you to design, configure, and launch backtests for various trading strategies using historical market data.

Features

🎯 Strategy Configuration

Pre-built Strategy Templates: Choose from popular strategies like PMM, XEMM, Grid, and Bollinger Bands
Custom Parameter Settings: Fine-tune strategy parameters including spreads, order amounts, and risk limits
Multi-Exchange Support: Backtest strategies across different exchanges and trading pairs
Position Mode Selection: Test strategies in ONE-WAY or HEDGE position modes

📅 Backtest Setup

Historical Data Selection: Choose date ranges for backtesting with available market data
Timeframe Configuration: Select candle intervals (1m, 5m, 15m, 1h, 1d)
Initial Portfolio Settings: Set starting balances for base and quote currencies
Fee Structure: Configure maker/taker fees to match real trading conditions

🚀 Execution Options

Single Backtest: Run individual backtests with specific configurations
Batch Testing: Queue multiple backtests with different parameters
Optimization Mode: Automatically test parameter ranges to find optimal settings
Real-time Progress: Monitor backtest execution with live progress updates

Usage Instructions

1. Select Strategy

Choose a strategy type from the dropdown menu
Review the strategy description and requirements
Load a saved configuration or start with defaults

2. Configure Parameters

Trading Pair: Select the market to backtest (e.g., BTC-USDT)
Date Range: Set start and end dates for historical data
Strategy Parameters: Adjust strategy-specific settings
- Spread percentages
- Order amounts and levels
- Risk management thresholds
- Refresh intervals

3. Set Initial Conditions

Starting Balance: Define initial holdings in base and quote currencies
Leverage: Set leverage for perpetual/futures markets (1x for spot)
Fees: Input maker and taker fee percentages

4. Launch Backtest

Review all settings in the configuration summary
Click "Run Backtest" to start execution
Monitor progress in the status panel
Access results in the Analyze page once complete

Technical Notes

Data Requirements

Historical candle data must be available for the selected date range
Order book snapshots are simulated based on historical spreads
Trade data is used for volume-weighted calculations

Execution Engine

Event-Driven Simulation: Tick-by-tick processing of market events
Order Matching: Realistic order filling based on historical liquidity
Latency Simulation: Configurable delays to model real-world conditions

Performance Optimization

Backtests run on the backend server for optimal performance
Large date ranges are processed in chunks to prevent memory issues
Results are streamed to the UI as they become available

Component Structure

create/
├── create.py              # Main page application
├── components/
│   ├── strategy_selector.py   # Strategy selection interface
│   ├── parameter_form.py      # Dynamic parameter input forms
│   └── backtest_launcher.py   # Backtest execution controls
└── configs/
    ├── strategy_defaults.py   # Default configurations
    └── validation.py          # Parameter validation rules

Supported Strategies

Market Making

Pure Market Making (PMM): Continuous bid/ask placement around mid-price
Cross-Exchange Market Making (XEMM): Arbitrage between exchanges
Perpetual Market Making: Strategies for perpetual futures

Directional

Bollinger Bands: Mean reversion based on volatility bands
MACD + Bollinger: Combined momentum and volatility signals
SuperTrend: Trend-following with dynamic stops

Grid Trading

Grid Strike: Fixed-interval grid with customizable ranges
Dynamic Grid: Adaptive grid based on market volatility

Error Handling

The creation page handles various error scenarios:

Invalid Parameters: Real-time validation with helpful error messages
Insufficient Data: Clear warnings when historical data is missing
Configuration Conflicts: Automatic detection of incompatible settings
Server Errors: Graceful fallbacks with retry options