MOVE Project: Backtesting Suite
MOVE Project V2 has arrived.
To view all the features we’ve implemented in V1, click here (Historic Data + Analytics).
Now the platform includes a brand new “Backtesting Suite”.
Parameters
With V2 you can backtest and refine strategies right from MOVEProject.io, a myriad of parameters are at your disposal to choose from:
- Side of the Market: Long or Short
- Position Size (represented as % of account equity)
- Start & End Date
- Take Profit (%)
- Stop Loss (%)
- Maker & Taker Fee (%)
- Time of Position Opening (by hour)
- Slippage (%) — Applicable to the SL
The SL field can be left empty, in which case the position can be liquidated if the maintenance margin gets too low and the equity drops to $0.
This is also applicable to the TP field (left empty), in which case the position is held until expiration or until a stop/liquidation is triggered.
Assumptions: The backtesting suite assumes a trade enters with a market order, TP with a limit order (or expiration — no fee or slippage) and a SL is triggered as a market order.
Results
The results are intricately explained and include:
- Number of Trades
- # of wins & # of losses
- Strike Rate
- Start & End Account Balances
- Final P&L
- Equity Curve
Backtest Examples
Long
According to historic data, November has previously favored long bets. Here is an example backtest for November 2020 with the following parameters:
- Position Size (%): 30
- Start/End Date: 11/01/2020–11/30/2020
- Take Profit (%): 100
- Stop Loss (%): 40
- Maker Fee (%): 0
- Taker Fee (%): 0.0006 (0.06%)
- Time of Position Opening: 00:00UTC — Open as MOVE Contract (day of strike price determination)
- Slippage (%): 1
Short
- Position Size (%): 30
- Start/End Date: 12/01/2019–12/01/2020
- Take Profit (%): N/A — Till expiration or stop/liquidation
- Stop Loss (%): 20
- Maker Fee (%): 0
- Taker Fee (%): 0.0006 (0.06%)
- Time of Position Opening: 00:00UTC — Open as MOVE Contract (day of strike price determination)
- Slippage (%): 1
Looking at the data analytics, you’d often find a positive correlation between daily MOVE contracts that barely have any upside and those that expire the closest to 0. This played out here.
Disclaimer: Not Financial Advice.
