Backtesting

1. Compute SMA(fastPeriod) and SMA(slowPeriod) on close prices
2. Align arrays: offset = slowPeriod - fastPeriod
3. Walk through bars starting from slowPeriod:
   • If fast SMA crosses above slow SMA and no open position: BUY at close price
   • If fast SMA crosses below slow SMA and position is open: SELL at close price, record trade PnL
4. Calculate performance metrics on all completed trades

See references/strategies.md for full pseudocode.

RSI Mean-Reversion Strategy

A mean-reversion strategy that buys oversold conditions and sells overbought conditions.

Rules

• Entry: RSI crosses above the oversold level (previous bar: RSI <= oversold, current bar: RSI > oversold)
• Exit: RSI crosses above the overbought level (previous bar: RSI <= overbought, current bar: RSI > overbought)
• Direction: Long only

Default Parameters

How It Works

1. Compute RSI(period) on close prices
2. Walk through RSI values starting from index 1:
   • If RSI crosses above oversold threshold and no open position: BUY at close price
   • If RSI crosses above overbought threshold and position is open: SELL at close price, record trade PnL
3. Calculate performance metrics on all completed trades

See references/strategies.md for full pseudocode.

Backtest Engine

Equity Calculation

Starting equity: $10,000

equity = 10000
For each completed trade:
  equity = equity * (1 + trade_pnl_pct / 100)
Total Return % = ((final_equity - 10000) / 10000) * 100

This models fully invested equity (each trade uses 100% of current equity).

Result Metrics

Every backtest produces these metrics:

Plus the full trade list with entry/exit prices, times, and PnL for each trade.

Additional Strategy Configs

DCA (Dollar-Cost Averaging)

DCA buys a fixed dollar amount at regular intervals regardless of price. Effective for reducing impact of volatility on average entry price.

Grid Trading

Grid spacing: (topPrice - bottomPrice) / gridLevels

Each grid level has a buy order (when price drops to that level) and a sell order (at the next level up). Investment per level = investmentAmount / gridLevels.