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Backtest model

What the backtest engine assumes — explicit, so you know what you're trusting.

What a backtest looks like

A complete backtest invocation and its output:

qkt backtest strategies/momentum.qkt --from 2024-01-01 --to 2024-04-01

Trades:                 187
Final realized:         1,420.50
Final unrealized:       35.20            (open position at run end)
Total P&L:              1,455.70
Win rate:               0.583
Avg win:                18.40
Avg loss:               -11.20
Sharpe (daily):         1.34
Calmar:                 2.18
Profit factor:          1.95
Max drawdown:           -185.25          (-3.7% peak-to-trough)
DD duration:            9 trading days
Max consecutive losses: 4

Report: ./reports/momentum-20240501-103245.html

Each row corresponds to something defined below. The HTML report unpacks every metric into a chart or table — equity curve, drawdown periods, Monte Carlo fan, per-trade risk table.

Fills

  • Market orders fill at the MarketPriceTracker's last-known price for the symbol at the moment the order is submitted.
  • Stop and Limit orders fill at the trigger price, the moment the trigger condition becomes true.
  • Bracket SL/TP triggers when the underlying tick crosses the level. Fill price = trigger price (no gap simulation).

Slippage

Not modeled by default. Strategies should account for spread + slippage in their stop-loss buffers. A future enhancement adds a configurable slippage model.

Spread

Not modeled. The tick stream is mid-price. Real brokers fill on the wrong side of the spread for the strategy's direction.

Partial fills

Not modeled. Every order is either filled fully or rejected.

Equity

  • equity = balance + Σ unrealized_pnl_per_open_position
  • realized accumulates as positions close.
  • The equity curve in the HTML report is sampled at the configured cadence (SampleCadence.TICK by default; CANDLE_CLOSE for candle-driven strategies).

Drawdown

  • Tracked in real-time by DrawdownTracker (max DD as a single number) and analyzed post-run by DrawdownAnalyzer (full segments with peak/trough/recovery).
  • "Underwater" = current equity < running-peak equity.
  • An ongoing drawdown is one that hasn't recovered by the end of the run.

Risk engine

Halts apply to the engine itself, not just to logging:

  • MaxDrawdown: engine refuses new orders when global DD breaches the threshold
  • MaxStrategyDrawdown: per-strategy halt
  • MaxDailyLoss: engine halts after a daily-loss boundary
  • Halts are stateful — operator manually resumes via the engine's resume API

See Phase 9 changelog for the full risk-rule catalog.

Monte Carlo

Phase 16's MC bootstraps per-trade returns with replacement:

  • Default 1000 simulations
  • Each simulation walks the trade sequence with random replacement
  • Reports P5/P25/P50/P75/P95 final equity, max DD distribution, P(final < 0)

Assumes trade returns are i.i.d. — strategies with clustered wins/losses (momentum) violate this and the MC will be optimistic about path dependence. Block bootstrap is a future enhancement.

Per-trade risk

TradeRecord.riskUsd is qty × |entry - stopLoss| in the symbol's quote currency, captured at order submission. Surfaced in the HTML report's per-trade table. n/a when the order had no stop attached.

What's not in the model

  • Funding fees (perpetual swaps)
  • Overnight financing (CFDs)
  • Commission per trade (configurable in a future enhancement)
  • FX conversion of cross-currency positions
  • Borrowing costs for shorts
  • Tax effects

See also