Backtesting
How Deepwick backtests a strategy.
A backtest is only useful if it could have happened. These four rules are built into the broker emulator and cannot be switched off.
- 01Next-bar fills
A signal on a closed bar fills at the next bar's open, never at a price you could not trade.
- 02A real path inside the bar
Stops and targets are checked from the open to the nearer extreme, then the other, then the close.
- 03Gaps fill at the open
If price gaps through your stop, you get the open, as you would in the market.
- 04Costs on every fill
Saved backtests pay half the live spread on every market and stop fill; slippage and commission are charged on every entry and exit whenever your strategy() sets them.
Deepwick vs a typical backtester
| Deepwick | Typical | |
|---|---|---|
| Order fills | Next bar's open | Same bar's close |
| Stops inside a bar | Path: open → nearer extreme → other → close | Checked against close only |
| Gaps through a stop | Filled at the open | Filled at the stop price |
| Spread, slippage, commission | Live spread on saved backtests, plus the slippage and commission you set | Often optional or ignored |
| Script variables per bar | Inspector shows them all | Not visible |
Summary reports net profit, profit factor, win rate, max drawdown, Sharpe and Sortino, buy & hold and exposure. The other tabs go further: Robustness (Monte Carlo, walk-forward, parameter sensitivity), Optimization (sweeps) and Risk (loss distribution, reconciliation against live fills).
Test your ideas before the market does.
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