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

Rule backtest — every trade, the equity curve and the drawdown

A trading rule is replayed bar by bar over daily bars. Output: each trade, the equity curve, win rate, average R (average win ÷ average loss), profit factor and maximum drawdown. The rule shown is a 20-day moving-average crossover (long when the close is above its 20-day average, exit when it closes below, 8% stop). Fills happen at the bar close, so there is no look-ahead, replayed on daily history covering 2021-10-11 → 2026-10-12 (1256 daily bars). Results are gross of costs — no commission, spread or slippage is deducted.

AAPL20-day moving-average crossover, long-only, 8% stopprice history · 2021-10-11 → 2026-10-12 (1256 bars)

trades

+40.7%

win rate

3.16R

avg R (win/loss)

2.24

profit factor

-22.78%

max drawdown

+116.22%

total return

Measured over 2021-10-11 → 2026-10-12 (1256 daily bars) · one symbol, one rule, 54 trades. A dash marks a figure this sample cannot measure.

Assumptions & limitations

Period: 2021-10-11 – 2026-10-12
Out-of-sample from: none — whole period in sample
Trades: 54
Costs charged: 0 bps per side 0 bps commission + 0 bps slippage, charged on every position change

Hypothetical, backtested results — not the record of a traded account. Past results do not predict future returns; the strategy set was chosen with knowledge of the history it is measured on, and no financing, borrow, tax or capacity constraints are modelled. One name’s result does not generalise. There is no out-of-sample split: every bar behind these figures was already available when the rule was chosen.

Equity curve — the rule's running NAV

strategy NAV (starts 1.00×)x = bar index · 1256 bars · 2021-10-11 → 2026-10-12 · exposure +57%

Sharpe	0.93	Sortino	1.36
Calmar	0.74	Annualized (extrapolated from 1256 bars)	+16.75%
Avg win	+7.26%	Avg loss	-2.30%

Fills at the close of the signal bar (no look-ahead). Profit factor = gross gains ÷ gross losses; average R = average win ÷ average loss; maximum drawdown = deepest peak-to-trough decline of the equity curve. A dash marks a figure this sample cannot measure: with no losing trade there is no profit factor, and with no drawdown there is no Calmar.

The rule under test

sidelong · size 1 · +8% stop

enter whenclose > sma20

exit whenclose < sma20

promotion resultOBSERVE4 of 6 gates passed · total return -71.27% under the 2x downside stress scenario

This rule on AAPL over 2021-10-11 → 2026-10-12 (1256 daily bars) returned +116.22% with a +22.78% worst drawdown and Sharpe 0.93; under a 2x downside shock it returns -71.27%. 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 is replayed on real daily price history over 2021-10-11 → 2026-10-12 (1256 daily bars), gross of trading costs — your decisions, your risk.

What a backtest actually proves (and does not)

We replayed your rule bar-by-bar over AAPL over 2021-10-11 → 2026-10-12 (1256 daily bars) and it made a total return of +116.22% across 54 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 is also gross of costs — no commission, spread or slippage is deducted.

→ It was profitable in this sample — keep validating.

Risk-adjusted return — Sharpe, Sortino, Calmar

Sharpe 0.93, Sortino 1.36, Calmar 0.74.

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 +22.78%.

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 tolerable (≤ 25%).

Edge quality — hit-rate & profit factor

Hit-rate +40.74%, profit factor 2.24 (avg win +7.26% vs avg loss -2.3%).

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 -71.27% (vs +116.22% 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.

→ Falls apart under stress — do not promote.

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.

Trade ledger — 54 trades


1	19 @ 151.28	22 @ 147.92	3 bars	-2.22%	rule
2	24 @ 149.99	60 @ 174.92	36 bars	+16.62%	rule
3	76 @ 170.33	86 @ 168.64	10 bars	-0.99%	rule
4	87 @ 168.88	90 @ 168.88	3 bars	+0.00%	rule
5	110 @ 163.98	126 @ 165.75	16 bars	+1.08%	rule
6	142 @ 166.02	143 @ 156.77	1 bars	-5.57%	rule
7	159 @ 149.64	163 @ 145.38	4 bars	-2.85%	rule
8	164 @ 146.14	167 @ 142.64	3 bars	-2.39%	rule
9	177 @ 141.66	179 @ 137.44	2 bars	-2.98%	rule
10	182 @ 138.93	221 @ 163.62	39 bars	+17.77%	rule
11	260 @ 147.27	268 @ 145.03	8 bars	-1.52%	rule
12	274 @ 146.87	285 @ 144.22	11 bars	-1.80%	rule
13	287 @ 148.03	291 @ 142.91	4 bars	-3.46%	rule
14	315 @ 133.49	342 @ 148.48	27 bars	+11.23%	rule
15	350 @ 151.03	355 @ 148.50	5 bars	-1.68%	rule
16	356 @ 150.47	377 @ 160.10	21 bars	+6.40%	rule
17	378 @ 165.56	386 @ 163.77	8 bars	-1.08%	rule
18	388 @ 168.41	454 @ 192.58	66 bars	+14.35%	rule
19	473 @ 184.12	479 @ 177.56	6 bars	-3.56%	rule
20	499 @ 174.91	509 @ 175.46	10 bars	+0.31%	rule
21	519 @ 177.57	554 @ 193.60	35 bars	+9.03%	rule
22	570 @ 188.63	579 @ 184.40	9 bars	-2.24%	rule
23	583 @ 189.30	585 @ 188.32	2 bars	-0.52%	rule
24	612 @ 176.08	614 @ 171.37	2 bars	-2.67%	rule
25	618 @ 173.31	619 @ 171.48	1 bars	-1.06%	rule
26	628 @ 175.04	631 @ 169.38	3 bars	-3.23%	rule
27	638 @ 169.89	639 @ 169.30	1 bars	-0.35%	rule
28	640 @ 173.50	642 @ 169.30	2 bars	-2.42%	rule
29	643 @ 173.03	699 @ 218.54	56 bars	+26.30%	rule
30	713 @ 221.27	728 @ 220.85	15 bars	-0.19%	rule
31	739 @ 228.87	751 @ 221.69	12 bars	-3.14%	rule
32	752 @ 225.77	768 @ 230.10	16 bars	+1.92%	rule
33	781 @ 228.02	811 @ 243.85	30 bars	+6.94%	rule
34	827 @ 238.26	831 @ 228.01	4 bars	-4.30%	rule
35	834 @ 233.22	835 @ 227.63	1 bars	-2.40%	rule
36	837 @ 232.62	848 @ 237.30	11 bars	+2.01%	rule
37	849 @ 241.84	850 @ 238.03	1 bars	-1.58%	rule
38	870 @ 222.13	873 @ 204.36	3 bars	-8.00%	stop
39	886 @ 204.60	894 @ 198.89	8 bars	-2.79%	rule
40	899 @ 210.79	905 @ 206.86	6 bars	-1.86%	rule
41	926 @ 201.00	952 @ 211.27	26 bars	+5.11%	rule
42	958 @ 213.25	982 @ 226.79	24 bars	+6.35%	rule
43	984 @ 234.07	1004 @ 245.27	20 bars	+4.78%	rule
44	1010 @ 262.24	1030 @ 267.46	20 bars	+1.99%	rule
45	1034 @ 271.49	1049 @ 274.11	15 bars	+0.97%	rule
46	1079 @ 258.28	1089 @ 261.73	10 bars	+1.34%	rule
47	1091 @ 263.88	1093 @ 260.58	2 bars	-1.25%	rule
48	1095 @ 266.18	1099 @ 264.18	4 bars	-0.75%	rule
49	1122 @ 255.63	1168 @ 301.54	46 bars	+17.96%	rule
50	1185 @ 308.63	1205 @ 308.91	20 bars	+0.09%	rule
51	1218 @ 316.83	1219 @ 311.30	1 bars	-1.75%	rule
52	1223 @ 313.45	1246 @ 329.40	23 bars	+5.09%	rule
53	1247 @ 333.02	1248 @ 330.32	1 bars	-0.81%	rule
54	1249 @ 333.69	1255 @ 340.97	6 bars	+2.18%	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.