Trading Strategy Backtester

A web-based backtesting engine that runs Pine Script v5 and MQL5 Expert Advisor strategies against your own OHLCV data — or fetches data directly from MetaTrader 5.

Changelog

v3.5 — VWAP, Time Functions, Live Strategy Variables (Latest)

New Indicators & Functions

• ta.vwap() — volume-weighted average price with automatic daily reset
• hour(time, "America/New_York") — extract hour with timezone conversion
• minute(time, timezone) — extract minute with timezone conversion
• Broker UTC offset → target timezone conversion for session-based strategies

Strategy Built-in Variables (Live Per-Bar)

• strategy.netprofit — running net P&L, updated after every fill
• strategy.grossprofit / strategy.grossloss — cumulative win/loss totals
• strategy.wintrades / strategy.losstrades — win/loss trade counts
• strategy.closedtrades — total closed trade count
• strategy.closedtrades.profit(idx) — P&L of specific closed trade by index
• strategy.closedtrades.entry_price(idx) / .exit_price(idx) / .size()
• strategy.initial_capital — starting capital value

UI & Dev

• Custom dark modal system replacing all browser popups (alert/confirm/prompt)
• No-cache headers + template auto-reload for development
• Header layout and centering fixes

v3.4 — Dark Theme Redesign

UI Redesign

• Pure black theme with dark grey accents
• Courier New monospace font throughout
• "Baktest" title in Lobster cursive font
• All sharp corners — zero border-radius
• Custom dark scrollbars matching theme
• Sidebar on right side, no-scroll body at 100% zoom
• Grey tab buttons, black action buttons with hover states
• Custom logo icon

New Features

• Clickable heatmap cells showing trade list for that day/hour
• Script diff tab with side-by-side metrics comparison table
• Phase 2 funded account simulation
• Screenshot/report export (PNG via html2canvas)
• Exit reason column in trade log (tp/sl/signal/opposite/end)
• Risk % properly overrides EA internal lot sizing
• SL/TP sanity check auto-fixes inverted short trades
• Daily drawdown enforcement in funded simulation
• Deterministic slippage (reproducible results)
• 15 bug fixes from critical code review

v3.3 — Data Analysis + Funded Phases

Data Analysis

• Equity curve comparison — save multiple runs and overlay them on the same chart with dashed colored lines
• Trade heatmap — 7×24 grid showing P&L by hour of day and day of week, color-coded green/red
• Consecutive loss simulator — probability of 3/5/7/10/15/20 consecutive losses based on win rate
• Drawdown recovery chart — bar chart of each drawdown period with depth (%) and duration (bars)

Strategy Development

• Script diff tab — line-by-line comparison of your script vs the last run, with side-by-side metrics
• Screenshot export — one-click PNG capture of the full results page via html2canvas

Funded Account

• Phase 2 simulation — after phase 1 passes, auto-evaluates remaining trades with lower profit target
• Detailed pass timeline — shows exact date, trade #, trading days, and calendar days when target was hit
• Drawdown breach tracking — shows when/which trade breached the DD limit
• SL/TP sanity check — auto-detects and fixes inverted SL/TP on short trades
• Exit reason tracking — each trade shows why it closed (tp, sl, signal, opposite, end)

Cross-Pair Fixes

• Universal lot sizing — SYMBOL_TRADE_TICK_VALUE now dynamic based on profit currency (USD, JPY, CHF, CAD, etc.)
• Currency-aware P&L conversion — detects profit currency from symbol name

v3.2 — MT5 Integration + Accuracy Overhaul

• MetaTrader 5 data fetching — symbol autocomplete, date range, SMT symbol
• Risk-based position sizing — auto-calculate lots from SL distance and equity
• 23 indicator accuracy fixes (Wilder's RSI/ATR, daily Sharpe, EMA cold-start, series cap)
• Pending exits per-position, portfolio mode fixes, interpreter timeout
• Script file upload, profile system, recent files, cancel button

v3.1 — Multi-Timeframe, Walk-Forward, Features

• Multi-timeframe auto-aggregation from base data
• Walk-forward optimization with parallel execution
• Spread, slippage, per-lot commission, intra-bar SL/TP priority
• Monthly returns, R-multiples, metric tooltips, CSV export, auto-save, progress bar

v3.0 — Dual-Engine Architecture

• MQL5 EA interpreter, unified Pine + MQL5 app, Cython acceleration
• Platform SMT divergence, JPY pair auto-detection

v2.0 — Cython Engine | v1.0 — Initial Release

Features

Engines & Data

• Two interpreters — Pine Script v5 and MQL5 Expert Advisors
• MetaTrader 5 integration — fetch data directly from MT5 terminal
• CSV upload — auto-detects MetaTrader, TradingView, and standard formats
• Multi-timeframe — select base TF, auto-aggregates H1/H4/D1/W1 candles
• Cython acceleration — ~5x speedup on both engines

Execution & Risk

• Risk-based sizing — auto-calculate lot size from SL distance and equity
• Spread + slippage + commission — realistic execution modeling
• Portfolio mode — multiple simultaneous positions with per-position SL/TP
• Pending orders — limit and stop entry orders
• Exit reason tracking — shows tp/sl/signal/opposite/end for each trade

Indicators & Analysis

• Wilder's RSI/ATR — proper exponential smoothing
• 35+ built-in indicators — SMA, EMA, RSI, ATR, MACD, BB, Stochastic, VWMA, VWAP, pivots, crossover, valuewhen, barssince, momentum, percentrank, swma
• Time functions — hour(), minute() with timezone conversion for session-based strategies
• Live strategy variables — strategy.netprofit, wintrades, losstrades, closedtrades updated per-bar after fills
• Platform SMT divergence — works with any strategy
• Walk-forward optimization — parallel rolling train/test parameter sweep

Metrics & Analytics

• 45+ metrics — Sharpe, Sortino, Calmar, R-multiples, MAE/MFE, exposure, DD duration
• Monthly returns table — P&L breakdown by month with win rate
• Trade heatmap — P&L by hour and day of week
• Equity curve comparison — save and overlay multiple runs
• Consecutive loss probability — based on actual win rate
• Drawdown recovery chart — depth and duration of each DD period
• R-multiple distribution — histogram of trade results as risk multiples
• Script diff — line-by-line comparison vs last run with metrics side-by-side
• CSV export — trades, metrics, monthly returns, equity (with symbol + timestamp)
• Screenshot export — one-click PNG capture of full results page

Funded Account Simulation

• Phase 1 + Phase 2 — profit target, max DD, daily DD, min trading days
• Pass timeline — exact date, trade #, trading days, calendar days to target
• Drawdown breach tracking — when and which trade breached the limit

Usability

• Date exclusion filter — remove trades during holidays/news (post-backtest)
• Script file upload — .txt/.pine/.mq5 with auto engine detection
• Profile system — save/load all settings including symbol, dates, funded rules
• Auto-save — scripts, settings, engine choice persist in localStorage
• Progress bar — animated fill with cancel button
• Ctrl+Enter — keyboard shortcut to run backtest
• Syntax error jumping — "Go to Line X" highlights the error
• Broker UTC offset — configurable timezone for session detection
• One-click launch — start.bat builds Cython and opens browser

Quick Start

1. Install Python 3.10+

Download from python.org.

2. Clone and install

git clone https://github.com/x7-u/baktest.git
cd baktest
pip install -r requirements.txt

3. (Optional) Build Cython for ~5x speed

pip install cython setuptools
python setup.py build_ext --inplace

4. (Optional) Enable MT5 data fetching

pip install MetaTrader5

5. Run

python app.py

Or double-click start.bat on Windows.

Open http://localhost:1234 in your browser.

Supported Features

Pine Script v5

Feature	Status
strategy() config	Supported
strategy.entry/exit/close with limit/stop	Supported
input.int/float/bool/string	Supported
if/else, for, switch, ternary	Supported
User-defined functions, var/varip	Supported
ta.sma/ema/rsi/atr/macd/bb/wma/vwma	Supported (Wilder's)
ta.crossover/crossunder/highest/lowest	Supported
ta.pivothigh/pivotlow/valuewhen/barssince	Supported
ta.rising/falling/mom/percentrank/swma	Supported
ta.vwap() with daily reset	Supported
hour(time, timezone), minute()	Supported
strategy.netprofit/wintrades/closedtrades	Supported (live per-bar)
strategy.closedtrades.profit/entry_price/exit_price	Supported
request.security() (MTF + SMT)	Supported
math.*, array.*, str.*	Supported

MQL5 Expert Advisors

Feature	Status
OnInit/OnTick/OnDeinit	Supported
CTrade (Buy/Sell/Close/Modify/Limit/Stop)	Supported
iMA/iRSI/iMACD/iATR/iBands/iStoch + CopyBuffer	Supported (Wilder's)
PositionSelect/Get, SymbolInfo, AccountInfo	Supported
input, #include, #define, TimeToStruct	Supported
Multi-timeframe iHigh/iLow via MTF engine	Supported
All control flow, user functions, arrays, math, strings	Supported

Limitations

• Bar-by-bar execution — OHLCV candles, not tick-by-tick
• Pine/MQL5 subset — drawing objects are no-ops, no iCustom, no order book
• MTF approximation — aggregated from base data, weekend gaps may differ
• MT5 requirement — data fetching requires MT5 terminal on Windows
• Performance — complex strategies on 50K+ bars take 1-2 min with Cython

Roadmap

• Monte Carlo simulation — randomize trade order to show probability distributions
• Parameter heatmap — 2D heatmap for two-parameter optimization
• Rolling Sharpe chart — Sharpe ratio over a rolling window
• Trade duration histogram — holding periods, winners vs losers
• Strategy templates — pre-built strategies from dropdown
• Risk of ruin calculator — probability of account blowup
• WebSocket live mode — paper trading with live data feed

License

MIT