Backtesting Framework

5.2.1 Implementation Details

The backtesting engine was designed to simulate trading conditions with high fidelity, incorporating multiple market frictions and operational constraints:

  1. Funding Rate Integration:

  • 8-hour funding rate payments using historical Binance data

  • Funding payments calculated as:

  1. Transaction Costs:

  • Base taker fee rate: 5 basis points (0.05%)

  • Additional execution costs tested: 25 basis points (0.25%)

  • Total transaction cost per trade:

  1. Execution Mechanics:

  • Next-bar execution to prevent look-ahead bias

  • Price impact simulation through fixed cost addition

  • Variable execution delays: 1, 5, 15 and 30 minutes

  • Binance minimum volume constraints in both BTC and USD terms

  1. Margin Requirements:

  • Margin requirement monitoring through time

  • Liquidation price tracking and execution

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