Asset research
Crypto Backtesting
Crypto backtesting tests systematic rules on historical cryptocurrency data. Good research accounts for continuous trading, changing liquidity, exchange-specific prices, fees, spread, and the possibility that market structure changes over time.
Choose data that matches the strategy
A daily trend strategy and an intraday execution strategy need different data granularity. Confirm timestamps, quote currency, missing intervals, corporate-style token events, and the exchange represented by the dataset.
Model crypto trading frictions
Fees, bid-ask spread, slippage, and liquidity can materially change results. Funding rates, open interest, and liquidation data should be used only when the source supplies reliable historical observations.
Test across different regimes
Include rising, falling, volatile, and quiet periods where possible. A rule discovered during one market phase may not generalize to another.
Research checklist
- 24/7 market timestamps
- Exchange and quote-currency differences
- Liquidity and slippage
- Regime changes and survivorship bias
Questions and answers
How do I backtest a crypto strategy?
Define unambiguous rules, select appropriate historical data, model execution costs, run the rules without look-ahead, and validate on data not used for development.
Is crypto backtesting different from stock backtesting?
The core method is similar, but crypto trades continuously and can have exchange fragmentation, funding costs, and different liquidity conditions.