deploy/pages/backtesting/create/README.md

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