/backtesting-trading-strategies

Backtesting Examples

Example 1: Basic SMA Crossover Backtest

Test a simple moving average crossover strategy on Bitcoin:

python scripts/backtest.py \
  --strategy sma_crossover \
  --symbol BTC-USD \
  --period 1y \
  --capital 10000 \
  --params '{"fast_period": 20, "slow_period": 50}'

Expected Output:

╔══════════════════════════════════════════════════════════════════════╗
║            BACKTEST RESULTS: SMA_CROSSOVER                           ║
║            BTC-USD | 2023-01-14 to 2024-01-14                        ║
╠══════════════════════════════════════════════════════════════════════╣
║ Total Return:     +47.32%         │ Max Drawdown:      -18.45%       ║
║ Sharpe Ratio:        1.87         │ Win Rate:             58.3%      ║
╚══════════════════════════════════════════════════════════════════════╝

Example 2: RSI Reversal Strategy

Test an RSI mean reversion strategy on Ethereum:

python scripts/backtest.py \
  --strategy rsi_reversal \
  --symbol ETH-USD \
  --start 2023-01-01 \
  --end 2024-01-01 \
  --capital 25000 \
  --params '{"period": 14, "overbought": 70, "oversold": 30}'

Example 3: MACD with Custom Costs

Test MACD on Solana with realistic exchange fees:

python scripts/backtest.py \
  --strategy macd \
  --symbol SOL-USD \
  --period 6m \
  --capital 5000 \
  --commission 0.002 \
  --slippage 0.001 \
  --params '{"fast": 12, "slow": 26, "signal": 9}'

Example 4: Parameter Optimization

Find optimal SMA crossover parameters:

python scripts/optimize.py \
  --strategy sma_crossover \
  --symbol BTC-USD \
  --period 2y \
  --param-grid '{"fast_period": [10, 20, 30, 50], "slow_period": [50, 100, 150, 200]}'

Expected Output:

================================================================================
PARAMETER OPTIMIZATION RESULTS
================================================================================

TOP 10 PARAMETER COMBINATIONS (by Sharpe Ratio):
--------------------------------------------------------------------------------
fast_period  slow_period    Return%     Sharpe     MaxDD%   WinRate%    Trades
--------------------------------------------------------------------------------
         20          100       52.3       2.14      -15.2       62.5        18
         30          150       48.7       1.98      -12.8       58.3        14
         ...

BEST PARAMETERS:
  fast_period: 20
  slow_period: 100
================================================================================

Example 5: Compare Multiple Strategies

Test different strategies on the same data:

# Fetch data once
python scripts/fetch_data.py --symbol BTC-USD --period 1y

# Run each strategy
for strategy in sma_crossover ema_crossover rsi_reversal macd bollinger_bands; do
  python scripts/backtest.py --strategy $strategy --symbol BTC-USD --period 1y --quiet
done

Example 6: Bollinger Bands Mean Reversion

python scripts/backtest.py \
  --strategy bollinger_bands \
  --symbol ETH-USD \
  --period 1y \
  --params '{"period": 20, "std_dev": 2.0}'

Example 7: Breakout Strategy

python scripts/backtest.py \
  --strategy breakout \
  --symbol BTC-USD \
  --period 6m \
  --params '{"lookback": 20, "threshold": 1.0}'

Example 8: List Available Strategies

python scripts/backtest.py --list

Output:

Available strategies:
  sma_crossover: Simple Moving Average Crossover Strategy.
  ema_crossover: Exponential Moving Average Crossover Strategy.
  rsi_reversal: RSI Overbought/Oversold Reversal Strategy.
  macd: MACD Signal Line Crossover Strategy.
  bollinger_bands: Bollinger Bands Mean Reversion Strategy.
  breakout: Price Breakout Strategy.
  mean_reversion: Mean Reversion Strategy.
  momentum: Rate of Change Momentum Strategy.

Example 9: Walk-Forward Analysis

Test strategy on rolling windows:

# Train on 2022, test on 2023
python scripts/backtest.py \
  --strategy sma_crossover \
  --symbol BTC-USD \
  --start 2023-01-01 \
  --end 2023-12-31 \
  --params '{"fast_period": 20, "slow_period": 100}'  # From 2022 optimization

Example 10: Multi-Asset Portfolio

Test same strategy across multiple assets:

for symbol in BTC-USD ETH-USD SOL-USD AVAX-USD; do
  echo "=== $symbol ==="
  python scripts/backtest.py \
    --strategy sma_crossover \
    --symbol $symbol \
    --period 1y \
    --quiet
done