What's configurable
- Instrument, strategy, timeframe and historical period
- Starting capital and position-sizing rules
- Brokerage and transaction fees, as a percentage per trade
- A slippage percentage applied to every fill
- Market or limit entry orders, and Intraday or Delivery product
- Stop-loss, take-profit and trailing-stop exits, in %, points or ATR multiples — or up to three staged targets that sell in parts
- Multi-level entries for swing strategies, with the average entry price and holding limit modelled
Coming soon
- Taxes and exchange levies
- Spread assumptions
- Margin/leverage rules where applicable
Why it matters
A backtest that ignores fees, slippage and realistic fills will overstate performance. MyAlgoAgent's backtesting engine applies the same cost assumptions a live strategy would face, so results are a more honest estimate of what actually happened.
Bias prevention
- No look-ahead bias — a strategy can only act on data available at that point in time
- No future-data leakage into indicator calculations
- Correct handling of indicator warm-up periods
- Trading-session awareness: intraday strategies respect IST entry and exit times, "no new entries after" and the square-off time, and never carry a position overnight
- Limit orders only fill if price actually reaches the limit during the day
Coming soon
- Exchange holiday calendar awareness
- Explicit handling of missing or invalid market data
Metrics reported
- Total return and CAGR
- Win rate, profit factor and expectancy
- Maximum drawdown and Sharpe ratio
- Trade count and average holding period
- Equity curve, drawdown curve and a trade-by-trade history
- Trading days, win and loss days, streaks, best and worst day and trade
- A day-by-day calendar and a table of monthly and yearly returns
- Several strategies backtested together, with one combined account value
Coming soon
- Average drawdown and recovery factor
- Sortino and Calmar ratios, volatility
- Performance by instrument
Reproducibility
Every backtest stores its exact configuration alongside its results, so results can be reproduced and audited later — an important property when a strategy moves on to forward testing or live trading.
Important disclosure
A backtest describes how a strategy would have performed on historical data under the modeled assumptions. It is not a guarantee of future performance. Markets change, and live execution can differ from hypothetical fills.