● rule backtest — trades, equity curve & drawdown, no look-ahead

Backtest a rule — see exactly how it would have traded.

We replay a trading rule bar-by-bar over the price path and show the full record: every trade, the equity curve, your win rate, average R, profit factor and max drawdown — plus notes on what each number means. The demo rule is a 20-day moving-average crossover (long when price closes above its 20-day average, exit when it closes below, with an 8% stop). Fills happen at the bar close, so there is no look-ahead, replayed on real multi-year daily history (1256 bars).

NVDA20-day moving-average crossover, long-only, 8% stopreal price history (1256 bars)

trades

+30.8%

win rate

4.83R

avg R (win/loss)

2.15

profit factor

-63.92%

max drawdown

+272.77%

total return

Equity curve — the rule's running NAV

strategy NAV (starts 1.00×)x = bar index · 1256 bars · exposure +58%

Sharpe	0.87	Sortino	1.27
Calmar	0.47	Annualized	+30.24%
Avg win	+17.33%	Avg loss	-3.59%

Fills execute at the bar CLOSE on the signal bar — no look-ahead. Profit factor = gross gains ÷ gross losses; avg R = average win ÷ average loss; max drawdown = the deepest peak-to-trough fall in this curve.

The rule under test

sidelong · size 1 · +8% stop

enter whenclose > sma20

exit whenclose < sma20

promotion verdictOBSERVEcleared 4/6 gates · +0.00% under 2x downside

Trade ledger — every fill the rule made

#	Entry bar	Exit bar	Held	Return	Why exit
1	21 @ 199.50	22 @ 194.58	1 bars	-2.47%	rule
2	24 @ 197.98	44 @ 219.00	20 bars	+10.62%	rule
3	48 @ 224.82	49 @ 220.81	1 bars	-1.78%	rule
4	63 @ 217.46	98 @ 306.93	35 bars	+41.14%	rule
5	100 @ 324.27	102 @ 304.90	2 bars	-5.97%	rule
6	113 @ 309.45	116 @ 295.86	3 bars	-4.39%	rule
7	118 @ 301.21	119 @ 292.90	1 bars	-2.76%	rule
8	143 @ 251.08	146 @ 239.49	3 bars	-4.62%	rule
9	147 @ 242.67	151 @ 236.42	4 bars	-2.58%	rule
10	168 @ 244.96	183 @ 244.07	15 bars	-0.36%	rule
11	218 @ 178.51	228 @ 169.74	10 bars	-4.91%	rule
12	251 @ 157.62	268 @ 170.86	17 bars	+8.40%	rule
13	269 @ 180.97	276 @ 178.49	7 bars	-1.37%	rule
14	307 @ 131.67	310 @ 121.14	3 bars	-8.00%	stop
15	320 @ 124.66	359 @ 165.71	39 bars	+32.93%	rule
16	374 @ 159.09	402 @ 206.55	28 bars	+29.83%	rule
17	404 @ 236.64	437 @ 264.95	33 bars	+11.96%	rule
18	440 @ 270.02	443 @ 271.04	3 bars	+0.38%	rule
19	448 @ 272.26	491 @ 408.22	43 bars	+49.94%	rule
20	492 @ 423.02	514 @ 442.69	22 bars	+4.65%	rule
21	527 @ 469.67	540 @ 455.72	13 bars	-2.97%	rule
22	556 @ 447.82	557 @ 435.17	1 bars	-2.82%	rule
23	558 @ 440.41	567 @ 439.38	9 bars	-0.23%	rule
24	579 @ 435.06	598 @ 467.70	19 bars	+7.50%	rule
25	607 @ 480.88	620 @ 475.69	13 bars	-1.08%	rule
26	622 @ 490.97	653 @ 674.72	31 bars	+37.43%	rule
27	654 @ 785.38	681 @ 894.52	27 bars	+13.90%	rule
28	688 @ 906.16	689 @ 881.86	1 bars	-2.68%	rule
29	699 @ 877.35	702 @ 830.41	3 bars	-5.35%	rule
30	703 @ 858.17	729 @ 789.52	26 bars	-8.00%	stop
31	748 @ 131.38	750 @ 127.40	2 bars	-3.03%	rule
32	751 @ 129.24	753 @ 126.36	2 bars	-2.23%	rule
33	773 @ 116.14	787 @ 108.00	14 bars	-7.01%	rule
34	794 @ 119.14	796 @ 116.78	2 bars	-1.98%	rule
35	799 @ 117.87	800 @ 116.00	1 bars	-1.59%	rule
36	801 @ 116.26	829 @ 132.76	28 bars	+14.19%	rule
37	832 @ 139.91	840 @ 141.98	8 bars	+1.48%	rule
38	842 @ 147.01	845 @ 141.95	3 bars	-3.44%	rule
39	852 @ 145.14	854 @ 142.44	2 bars	-1.86%	rule
40	865 @ 139.67	868 @ 137.01	3 bars	-1.90%	rule
41	869 @ 137.49	870 @ 134.29	1 bars	-2.33%	rule
42	871 @ 138.31	876 @ 135.91	5 bars	-1.74%	rule
43	881 @ 137.71	886 @ 126.69	5 bars	-8.00%	stop
44	896 @ 133.57	906 @ 126.63	10 bars	-5.20%	rule
45	907 @ 131.28	908 @ 120.78	1 bars	-8.00%	stop
46	925 @ 121.41	927 @ 113.76	2 bars	-6.30%	rule
47	937 @ 114.33	938 @ 105.18	1 bars	-8.00%	stop
48	939 @ 110.93	942 @ 102.06	3 bars	-8.00%	stop
49	947 @ 106.43	1027 @ 175.64	80 bars	+65.03%	rule
50	1031 @ 179.81	1035 @ 174.18	4 bars	-3.13%	rule
51	1042 @ 177.33	1046 @ 174.88	4 bars	-1.38%	rule
52	1048 @ 176.24	1066 @ 180.03	18 bars	+2.15%	rule
53	1074 @ 186.26	1083 @ 188.08	9 bars	+0.98%	rule
54	1085 @ 199.05	1088 @ 186.86	3 bars	-6.12%	rule
55	1104 @ 185.55	1107 @ 180.93	3 bars	-2.49%	rule
56	1113 @ 180.99	1129 @ 183.14	16 bars	+1.19%	rule
57	1130 @ 187.05	1132 @ 178.07	2 bars	-4.80%	rule
58	1135 @ 187.67	1141 @ 185.61	6 bars	-1.10%	rule
59	1145 @ 185.41	1150 @ 182.81	5 bars	-1.40%	rule
60	1152 @ 187.98	1158 @ 184.89	6 bars	-1.64%	rule
61	1167 @ 186.03	1168 @ 183.14	1 bars	-1.55%	rule
62	1184 @ 177.64	1205 @ 196.50	21 bars	+10.62%	rule
63	1206 @ 207.83	1220 @ 212.60	14 bars	+2.30%	rule
64	1223 @ 224.36	1225 @ 214.75	2 bars	-4.28%	rule
65	1248 @ 204.12	1255 @ 202.81	7 bars	-0.64%	eod

Exit reasons: rule = the exit predicate fired; stop = the protective stop was hit; target = the take-profit was hit; eod = closed at the last bar. Bar index = position in the price path, not a calendar date.

This rule on NVDA returned +272.77% with a +63.92% worst drawdown and Sharpe 0.87; under a 2x downside shock it returns +0%. Verdict: observe.

Below, the agent explains each metric — what it measures, why it matters, and what your number suggests — so you can judge a strategy yourself before risking real money. This runs on synthetic/illustrative prices — your decisions, your risk.

What a backtest actually proves (and does not)

We replayed your rule bar-by-bar over NVDA and it made a total return of +272.77% across 65 trade(s).

A backtest replays your exact entry/exit rules over historical bars to see how they WOULD have done. It is a sanity check, not a promise: the future is not the past, and a rule that fits old data can fail live. That is why we also stress it and slice it by market regime before trusting it.

→ It was profitable in this sample — keep validating.

Risk-adjusted return — Sharpe, Sortino, Calmar

Sharpe 0.87, Sortino 1.27, Calmar 0.47.

Return alone is misleading — a strategy that doubles then halves is not "good." Sharpe divides return by total volatility (reward per unit of wiggle). Sortino is the same but only penalises DOWNSIDE wiggle (you do not mind upside surprises). Calmar divides annual return by the worst peak-to-trough drop. Higher is better; Sharpe ≥ 1 is the usual "worth a look" line.

→ Risk-adjusted return is below the usual bar — returns came with a lot of volatility.

The worst it got — max drawdown

The deepest peak-to-trough fall was +63.92%.

Max drawdown is the largest drop from a high-water mark to a later low. It is the question "how much pain would I have had to sit through?" — the number that actually makes people abandon a strategy at the worst moment. A high Sharpe with a 60% drawdown is usually un-tradeable in real life.

→ Drawdown was deep — could be hard to hold through.

Edge quality — hit-rate & profit factor

Hit-rate +30.77%, profit factor 2.15 (avg win +17.33% vs avg loss -3.59%).

Hit-rate is the share of trades that won. But winning often is not the same as making money — profit factor (gross profit ÷ gross loss) tells you whether your winners outweigh your losers. A 40% hit-rate with big wins and small losses beats a 70% hit-rate that gives it all back. Profit factor > 1 means the edge is net positive.

→ Winners comfortably outweigh losers.

Stress test — what 2x downside does

Under a 2x downside shock the same rule returns +0% (vs +272.77% unshocked).

We amplify every down-bar move and re-run the rule. It answers "if the bad days were twice as bad, does this strategy still survive?" A rule that only works in calm markets is a trap. Promotion sim→live requires surviving the shock, not just the base case.

→ Holds up under stress.

Promotion verdict: OBSERVE

Cleared 4/6 gates (score 0.67).

Sim-to-live promotion is the whole point: only rules that pass return, risk, drawdown, profit-factor, stress and across-regime checks get handed to the model foundry as a candidate. "Promote" = ship to live paper/real; "observe" = keep collecting data; "reject" = back to the drawing board.

→ Promising but not proven — keep it in sim.

Backtest glossary

Backtest: Replaying a fixed set of trading rules over historical prices to estimate how they would have performed.
Sharpe ratio: Annualised return divided by the volatility of returns — reward per unit of total risk.
Sortino ratio: Like Sharpe but only counts downside volatility in the denominator.
Calmar ratio: Annualised return divided by the maximum drawdown — reward per unit of worst-case pain.
Max drawdown: The largest drop from a peak in the equity curve to a subsequent trough.
Profit factor: Gross profit divided by gross loss; above 1 means the strategy is net profitable.
Exposure: The fraction of bars the strategy was actually in a position (capital at work).
Stress test: Re-running the strategy on a deliberately worse price path to see if it survives bad conditions.
Sim-to-live promotion: The gate that decides whether a paper-traded rule-set is trustworthy enough to run with real consequences.