Backtest Methodology

RegimeFlow backtests are event-driven and model execution costs explicitly. The methodology mirrors live behavior wherever possible.

Methodology Diagram

flowchart LR
  A[Historical Data] --> B[Data Source]
  B --> C[Event Loop]
  C --> D[Strategy]
  D --> E[Execution Models]
  E --> F[Portfolio + Metrics]

Key Principles

• Event-driven: bars, ticks, and order books drive strategy callbacks.
• Explicit costs: slippage, commission, impact, and latency are modeled.
• Single pipeline: the same strategy contract is used in backtest and live.

Fill Modeling

Fills are produced by the execution pipeline and update portfolio state. Costs are applied before the fill is recorded.

Risk Enforcement

Risk limits are checked before orders are accepted, and portfolio-level limits can prevent additional exposure.

Determinism

CSV-based backtests are deterministic when the same data and config are used.