API Docs

version - v1 beta

Post Methods

For flexible, fast, low cost queries

[post]

Get Methods

Data done for you

[get]

/v1beta/backtest

https://api.cryptowizards.net/v1beta/backtest

Credits: 2

This is a method whereby you provide the api with any price data you wish for rapid turnaround and much lower credits used.

This endpoint is designed to provide you with key backtest metrics.

Hint: If you call the endpoint a ‘with_history’ marked as true, then you will receive spread statistics in addition to cointegration calculations and historical returns too.

This is a very useful endpoint, if you are planning on getting as much information for a pair as possible in one shot.

Gotcha: Different exchanges determine different annual trading days in sharpe calculation. If you know the exchange your data comes from and it matches the exchange list, it is best practice to provide it.

Params Input (part I)

series_1_closes (required)

Include between 50 - 1100 floating point numbers

series_2_closes (required)

Include between 50 - 1100 floating point numbers

series_1_opens (required)

Must match series_1_closes length

series_2_opens (required)

Must match series_2_closes length

strategy (required)

Spread, ZScoreRoll, Copula (copula ignores spread)

exchange

Binance, BinanceUs, ByBit, Coinbase, Dydx, Forex, Stocks. Enter if known

spread_type

Dynamic, Ou, Static - (default Dynamic)

roll_w

Default 42. Rolling window for rolling zscore

with_history

true returns results with extra historical data

Backtest Input (part II)

entry_level

Default 1.5 for ZScoreRoll, 2.0 for Spread, 0.05 for Copula

exit_level

Default 0.0 for ZScoreRoll, 0.0 for Spread, 0.50 for Copula

x_weighting

Default 0.5 (50/50 capital allocation)

slippage_rate

i.e. 0.001 for 0.1%

commission_rate

i.e. 0.001 for 0.1%

exit_n_periods

Number of periods to force an exit

stop_loss_rate

i.e. 0.1 for 10% net return loss to trigger exit

Post Data (combined parts I and II)

params

part I above - see github below for example

bt_inputs

part II above - see github below for example

GitHub Code Examples

GitHub Example

Request Body (Curl)

curl -X GET "https://api.cryptowizards.net/v1beta/backtest\
?symbol_1=BTCUSDT\
&symbol_2=ETHUSDT\
&exchange=BinanceUs\
&interval=Daily\
&period=365\
&strategy=ZScoreRoll\
&spread_type=Static\
&roll_w=42\
&with_history=false\
&entry_level=1.5\
&exit_level=0.0\
&x_weighting=0.5\
&slippage_rate=0.0005\
&commission_rate=0.0005\
&stop_loss_rate=0.10"\
-H "Content-Type: application/json" \
-H "X-api-key: REPLACE_WITH_YOUR_API_KEY"

Response

{
  "data": {
    "strat_returns": {
      "annual_return": 0.38046404302965087,
      "mean_period_return": 0.0009031393647029252,
      "total_return": 0.045156968235146255
    },
    "max_drawdown": -0.020151803905214108,
    "sharpe_ratio": 3.3335841328367573,
    "sortino_ratio": 7.180593408757123,
    "cvar": -0.010565051725682562,
    "var": -0.010565051725682562,
    "win_rate": 1.0
  },
  "history": null
}

Response (with History)


{
  "data": {
    "strat_returns": {
      "annual_return": 0.3816672731266737,
      "mean_period_return": 0.0009056342406730877,
      "total_return": 0.04528171203365439
    },
      "max_drawdown": -0.02003485497825187,
      "sharpe_ratio": 3.346531891840665,
      "sortino_ratio": 7.2383483785931775,
      "cvar": -0.010565051725682562,
      "var": -0.010565051725682562,
      "win_rate": 1.0
    },
    "history": {
      "coint_eg": {
        "p_value": 0.29710578989962677,
        "t_stat": -2.56322368880048,
        "cv": -3.5022753919999996,
        "is_coint": false,
        "inc_trend": true
      },
      "spread_stats": {
        "spread": [
          -0.1996769652098902,
          -0.1905905187801219,
          ...
          ],
        "zscore": [
          0.7823911425969057,
          -1.913415314926282,
          ...
        ],
        "zscore_roll": [
          0.0,
          ...,
          -0.8353926481570673
        ],
        "hedge_ratio": 0.6296069572572536,
        "half_life": 6.17975243617321,
        "hurst": 0.7726252452662,
        "sigma0crossings": 7,
        "sigma2crossings": 2,
        "log_used": false,
        "last_zscore": {
          "zscore": -1.0062431839275412,
          "zscore_roll": -0.8353926481570673
        }
      },
      "bt_returns": [
        1.0537806068438267,
        1.0452817120336544,
        ...
      ]
  }
}

Post Methods

backtest

cointegration

copula

correlations

spread

zscores