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Backtesting Strategies

The Backtesting section in the Hummingbot Dashboard is a powerful tool available on all controller pages, allowing users to evaluate the performance of their trading strategies using historical market data.

This feature provides crucial insights into how a strategy would have performed in the past, helping users refine and optimize their configurations before deploying them in a live trading environment.

Strategy Configuration

  • Before backtesting a strategy, you need to configure it. In this example, we'll use the PMM Simple controller with the Binance connector, trading the BTC-USDT pair.

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  • Select Connector: Choose the exchange (e.g., Binance).

  • Select Trading Pair: Specify the pair to trade (e.g., BTC-USDT).

  • Set Parameters: Configure leverage, total quote amount, position mode, and other relevant parameters.

  • Order Settings: Define buy and sell order levels, spread, and amount distribution.

Run Backtesting

  • With your configuration set, navigate to the backtesting section. Specify the Start Date and End Date for the historical data, the time interval for the Backtesting Resolution, and the Trade Cost percentage. Click the Run Backtesting button to initiate the process.

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  • The backtesting results will generate in a few seconds, providing you with a comprehensive overview. Here's an example of what you might see:

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Backtesting Metrics:

  • Net PNL (Quote): The net profit and loss in the quote currency.
  • Max Drawdown (USD): The maximum loss from the peak during the backtesting period.
  • Total Volume (Quote): The total trading volume in the quote currency.
  • Sharpe Ratio: A measure of risk-adjusted return.
  • Profit Factor: The ratio of gross profit to gross loss.
  • Total Executors with Position: Number of executors that had open positions during the backtest.

Accuracy Metrics:

  • Global Accuracy: The overall accuracy of the strategy.
  • Total Long & Short: Number of long and short positions taken.
  • Accuracy Long & Short: Accuracy percentages for long and short positions.

Close Types:

  • Metrics for different types of order closures such as TAKE PROFIT, TRAILING STOP, STOP LOSS, TIME LIMIT, and EARLY STOP.

Graphical Representation:

  • Candlestick Chart: Visualizes price movements of the trading pair over time.

  • PNL Quote Chart: Shows the profit and loss over time.

  • You can return to the configuration page to make adjustments and re-run the backtesting as needed. Once satisfied with the results, you can upload the configuration for deployment.

Upload Config to Backend API

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  • Create a name for the current config

  • The Config Tag is similar to a version number which allows you to track changes made to the strategy config later on.

  • Click the Upload button to save the configuration. This makes it available on the Deploy V2 page, where you can create instances based on the saved configuration.