Backtest Center guide¶

A backtest validates strategy behavior against specified historical data and execution assumptions. It is a research tool, not a promise of future returns or proof that live connectivity and venue rules are ready.

Before running¶

Verify these inputs:

• Source and manifest are the intended strategy version.
• Market, instruments, and frequency use canonical identifiers.
• The start leaves enough warmup history for indicators and universe selection.
• Initial capital, fees, slippage, and position limits match the test.
• The benchmark is comparable to the strategy market and quote currency.

Read a result¶

Review in this order:

1. Data and status: success does not prove complete data. Check first and last timestamps, bar counts, warmup, and missing fields.
2. Execution assumptions: inspect fees, slippage, liquidity, and unmodeled items. Strategy API V2 currently does not model Crypto funding payments.
3. Risk: review maximum drawdown, volatility, concentration, and the worst period.
4. Execution ledger: sample entries, exits, quantities, prices, fees, and position changes against the source.
5. Benchmark: compare both absolute return and relative performance.
6. Robustness: vary ranges, parameters, and regimes instead of keeping only the best run.

Benchmark-relative metrics¶

When benchmark data is available, Strategy API V2 includes benchmarkRelativeMetrics. The calculation samples the portfolio at the benchmark's native observation times before calculating returns. This matters when a long intraday backtest uses a coarser benchmark series: both return streams and the annualization factor use that coarser frequency, without forward-filled prices creating artificial tracking error.

Annualized portfolio, benchmark, and active returns use arithmetic periodic means. Annualized tracking error uses the sample standard deviation of periodic active returns, and the Information Ratio divides annualized active return by annualized tracking error. Continuous-market gaps and non-consecutive equity sessions are excluded rather than treated as one ordinary period.

Check status before reading the ratio. insufficient_history means fewer than two valid aligned return observations were available. zero_tracking_error leaves the ratio and classification unset instead of emitting infinity. Missing, non-finite, and non-positive observations are excluded, while negative Information Ratios are preserved.

The default interpretation bands (weak, acceptable, good, and exceptional) are operational labels rather than a universal market standard. The calculation accepts alternative bands for mandates that require them.

Benchmark choice remains part of the research hypothesis. CDI can be suitable for Brazilian cash-like and low-duration fixed-income strategies, but it is not an automatic default for inflation-linked, longer-duration, or credit-risk mandates. CDI ingestion and its canonical identifier require a separate market data design; do not substitute a static annual CDI rate for periodic benchmark observations.

Common misreadings¶

• Zero executions may mean missing data, insufficient warmup, or unreachable conditions.
• Intraday history is often shorter, so a long requested range may be unavailable.
• Leveraged results cannot be extrapolated without funding and liquidation risk.
• Tokenized equities, exchange equity perpetuals, and broker securities are different execution products.
• Historical data availability does not imply live support.

Continue safely¶

Save the strategy version, parameters, data range, and result. Create a stopped deployment and then use signal mode. Complete the live-trading safety checklist before real capital. See the Strategy API V2 guide for the programming contract and errors.