Backtest engine

Backtest (F5) and Run strategy use the same engine. It walks through the candles one by one, decides at each candle close, and books the trades into a simulated account in USDT. A Trade Setup and a WickScript strategy are simulated with the same rules; WickScript only adds more ways to enter and manage a trade.

#Candles

• A backtest runs on the candles of the chart's timeframe. They are built from 1-minute candles on a UTC grid.
• Fills are decided from each candle's open, high, low and close. Ticks and the order book are not used for fills.
• Backtest uses the candles loaded on the chart; scrolling further back loads more history and recalculates. Run strategy loads the candles of each run's period – the Range or one date window.
• Indicators are calculated on the run's own candles, starting at the first candle of its period. An indicator needs some candles before it has values (a 50-period EMA needs 50); until then triggers and exits don't fire and filters let entries through. Short windows therefore lose a few candles at their start.
• On a live chart the last candle is still forming. No decision is taken on it until it has closed.

#Order of events in a candle

For every candle the engine does this, in this order:

1. The open position, from the candle after its entry on: first the stop, then partial targets (nearest to the entry first), then the target.
2. A pending limit or stop order: it expires, fills, or – a limit order – is dropped because the target was reached first.
3. At the close: exits (exit gates, exit … when), then stop adjustments (breakeven, trailing), then new triggers.

Everything a decision uses comes from candles up to and including the current one.

#Signals

• A trigger fires on the candle where its rule becomes true – true at this close, false at the one before. It does not fire again while the rule stays true.
• Filters are checked at the trigger candle.
• If long and short trigger on the same candle, there is no entry.
• A trigger is skipped while a position or order is open, or during the cooldown. The Last F5 line of the Trade Setup counts every skipped trigger with its reason.

In WickScript, an enter inside a when … end block follows the same rule; an enter that runs on every candle (for example inside a plain if) acts on every candle where it runs.

#Entries

• A long limit must lie below the close of the trigger candle and a long stop entry above it (mirrored for shorts); otherwise the trigger is skipped.
• Fills are exactly at the order price, also when a candle opens beyond it.
• An order that hasn't filled after Valid bars candles (default 10; WickScript valid N bars) expires.
• A limit order is dropped if the price reaches the target before the order fills.
• Filters are not checked again when the order fills.
• On the candle in which a limit or stop order fills, its stop already counts – the trade can be stopped out in its fill candle – but its target does not, because the order of prices inside the candle is unknown.

#Stop and target inside a candle

• A long is stopped when the low reaches the stop and reaches its target when the high reaches the target; shorts are mirrored. Touching the level is enough.
• If a candle reaches both the stop and the target, the engine assumes the stop came first. This is the cautious assumption: when a candle can't tell which level came first, the trade counts as stopped.
• Stops and targets fill exactly at their price, so a loss is at most 1 R before fees, even if the candle gapped beyond the stop (unless the position is liquidated – see below).
• Checks start on the candle after a market entry.

#Exits

• Stop and target as above. The stop is required for every trade; the target is optional when an exit gate (or a WickScript exit) covers that side.
• Exit gates and exit … when close the position at the close of the candle where their rule becomes true for the position's side – never on the entry candle.
• Cooldown blocks new triggers for that many candles after an exit. With a cooldown of 0, a new trade can open at the close of the exit candle.
• A position still open at the end of the data is closed at the last close (shown as open at end).

#Managing a trade (WickScript)

WickScript strategies can also manage an open trade. The Trade Setup has none of these.

• Partial exits – exit half at 1R, exit 30% at …: a share of the original size is closed when the price reaches the level, inside the candle, after the stop check and before the target. exit half when … scales out at the close.
• Breakeven – move stop to entry after 1R: once the best price since entry has reached 1 R, the stop moves to the entry price at that candle's close and counts from the next candle. The fee is not covered, so a breakeven exit is a small loss after fees.
• Trailing stop – trail stop by … [after nR]: at each close the stop follows the best high (long) or low (short) since entry at a fixed distance.
• A stop only ever moves in the direction of profit, and only while it stays on the right side of the close.

#One position at a time

A strategy holds at most one position per market: no adding to a position, no long and short at the same time, and no reversal on an opposite signal – the opposite trigger waits until the position is closed.

#Position size and risk

Every trade risks a fixed share of the current account between entry and stop:

• Trade Setup: 1 % per trade.
• WickScript: risk N% in the strategy line, 1 % by default.

The size is risk amount ÷ distance from entry to stop. Because the risk is a share of the current account, results compound: after a winning streak trades get larger, after losses smaller. Results in R (the MAE / MFE tab) are per trade and don't depend on the size.

Leverage caps the size. It comes from, in this order: the Leverage step of the run; WickScript leverage N; the leverage set in the trading panel for the chart's market (Run strategy uses it for every market of the watchlist); otherwise the smallest leverage that allows the risk. The position value can't exceed account × leverage, and margin plus fee can't exceed 95 % of the account. When the cap applies, the trade risks less than the nominal risk. If no position fits at all, the trigger is skipped (stop too tight for the leverage (no position size)).

#Liquidation

The simulated account has a liquidation price at entry minus 1 ÷ leverage of the entry price for a long (plus for a short) – 10 % away at 10x, 4 % at 25x. If any candle between entry and exit reaches it – including the candle in which the stop is hit – the position is liquidated and the run's whole capital drops to zero. Keep the liquidation price well beyond your stop: a lower leverage, or a stop that is much closer than 1 ÷ leverage.

#Fees

A taker fee of 0.11 % of the position value is charged when a position opens; it stands for the entry and the exit together. A position closed at the end of the data pays an extra exit fee. The fee is fixed and shown as Taker fee in the Key metrics. In the R statistics of the Strategy Lab, the fee in R is 0.11 % × entry ÷ distance to stop, so tight stops cost more R; the NET values subtract it.

Slippage, spread and funding are not part of backtests. (Paper trading simulates them – see Paper trading.)

#No lookahead

• Decisions at a candle use only that candle and earlier ones.
• Indicator lines used by gates, stops, targets and limits take the last value whose candle has closed. An indicator on a higher timeframe counts only once its higher-timeframe candle has closed.
• In WickScript, … on 4h and … of BTCUSDT read the last candle of that timeframe or market that closed at or before the current candle's close – never the running one.
• Some indicators redraw their past values when later candles arrive (they "repaint"). The Trade Setup marks such lines with ⚠ repaints: a backtest on them looks into the future and is too optimistic.

#Several markets, windows and steps

Every market × step combination × date window is its own run with its own account of 10,000 USDT and freshly calculated indicators. Runs don't share capital and don't influence each other; the Strategy Lab combines them afterwards (see Metrics).

#Trade Setup and WickScript compared

Backtest results describe how a strategy would have traded on past candles under these assumptions. They are not a forecast and not investment advice.