backtest

Backtest - Complete API Reference

Validate trading strategies using historical data, walk-forward analysis, and Monte Carlo simulation.

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Chat Commands

Run Backtest

/backtest momentum --from 2024-01-01 --to 2024-12-31
/backtest mean-reversion --market "Trump 2028" --days 90
/backtest my-strategy --capital 10000

Quick Stats

/backtest stats momentum           Show strategy metrics
/backtest compare momentum arb     Compare two strategies
/backtest monte-carlo momentum     Run Monte Carlo simulation

Results

/backtest results                  Show recent results
/backtest stats                    Alias for results
/backtest results <id> --detailed  Detailed breakdown
/backtest export                   Export last results as CSV

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TypeScript API Reference

Create Backtest Engine

import { createBacktestEngine } from 'clodds/backtest';

const backtest = createBacktestEngine({
  // Data source
  dataSource: 'polymarket',  // or custom data provider

  // Capital
  initialCapital: 10000,

  // Fees (Polymarket: 0% on most markets; Kalshi: ~1.2% avg)
  fees: {
    maker: 0,       // 0% maker fee (Polymarket most markets)
    taker: 0,       // 0% taker fee (Polymarket most markets)
    // For 15-min crypto markets or Kalshi, use: taker: 0.012
  },

  // Slippage model
  slippageModel: 'realistic',  // 'none' | 'fixed' | 'realistic'
  slippageBps: 10,
});

Run Basic Backtest

const result = await backtest.run({
  strategy: 'momentum',
  startDate: '2024-01-01',
  endDate: '2024-12-31',
  parameters: {
    lookbackPeriod: 14,
    entryThreshold: 0.02,
    exitThreshold: 0.01,
  },
});

console.log(`Total Return: ${result.totalReturn}%`);
console.log(`Sharpe Ratio: ${result.sharpeRatio}`);
console.log(`Max Drawdown: ${result.maxDrawdown}%`);
console.log(`Win Rate: ${result.winRate}%`);
console.log(`Profit Factor: ${result.profitFactor}`);

Walk-Forward Analysis

// Out-of-sample validation
const wf = await backtest.walkForward({
  strategy: 'momentum',
  startDate: '2023-01-01',
  endDate: '2024-12-31',

  // Train/test split
  trainPeriod: '6M',
  testPeriod: '1M',
  step: '1M',

  // Optimization
  optimize: ['lookbackPeriod', 'entryThreshold'],
  optimizationMetric: 'sharpe',
});

console.log(`In-Sample Sharpe: ${wf.inSampleSharpe}`);
console.log(`Out-of-Sample Sharpe: ${wf.outOfSampleSharpe}`);
console.log(`Overfitting Ratio: ${wf.overfitRatio}`);