Backtesting

tradectl backtests replay historical market data through your strategy with a simulated exchange that handles order fills, TP/SL, slippage, and fees.

Data Model

Backtests use two data sources:

• bookTicker — best bid/ask snapshots (20ms max-bid windowed)
• aggTrades — aggregated trade events

Raw data is prepared into optimized formats using the CLI:

tradectl prepare \
  --ticker-data data/raw/bookTicker.log \
  --trade-data data/raw/aggTrades.log \
  -o data/prepared.bin

Output formats:

• Parquet (.parquet, ZSTD compressed) — ~360ms load time
• Zero-copy binary (.bin, mmap) — ~18µs load time

Use tradectl convert to switch between formats:

tradectl convert -i data/prepared.parquet -o data/prepared.bin

Prepare Options

Flag	Description
--ticker-data <PATH>	Path to bookTicker data (.log, .csv, or .parquet)
--trade-data <PATH>	Path to aggTrades data
--trades-only	Synthesize tickers from trades when bookTicker unavailable
--ticker-bucket-ms <N>	Ticker synthesis bucket (default: 100)
--buffer-ms <N>	Ticker windowing buffer (default: 20, 0 = no windowing)
-o, --output <PATH>	Output path (.bin or .parquet)

Running a Backtest

Via CLI

tradectl backtest \
  -d data/prepared.bin \
  --leverage 5 \
  --taker-fee 0.0004 \
  --maker-fee 0.0002 \
  --slippage 0.0001 \
  --balance 10000 \
  -p order_size=0.1 \
  -v

Flag	Description	Default
-d, --data <PATH>	Path to prepared data file	(required)
--balance <FLOAT>	Initial balance in USD	10000
--leverage <FLOAT>	Leverage multiplier	1.0
--taker-fee <FLOAT>	Taker fee rate	0.0004
--maker-fee <FLOAT>	Maker fee rate	0.0002
--slippage <FLOAT>	Slippage percentage	0.0001
-p, --param <KEY=VALUE>	Strategy parameters (repeatable)	—
-v, --verbose	Print individual trades	false

Via Dashboard

1. Go to Backtests > New Backtest
2. Select a strategy
3. Configure symbols, date range, fees, leverage
4. Click Run

Results stream in real-time via WebSocket.

Results

Each backtest produces:

Metric	Description
Total PnL	Net profit/loss percentage
Win Rate	Percentage of winning trades
Max Drawdown	Largest peak-to-trough decline
Sharpe Ratio	Risk-adjusted return
Profit Factor	Gross profit / gross loss
Trade Count	Total number of round-trip trades
Score	pnl% / (1 + max_dd%) * trade_factor

Plus an equity curve, drawdown curve, and full trade log.

Simulated Exchange

The InMemoryExchange simulates real exchange behavior:

• Market and limit orders
• Take-profit and stop-loss execution
• Configurable slippage (in ticks)
• Configurable maker/taker fees
• Leverage and margin
• Partial fills