Backtesting Configurations
Asset universe, timeframes, cost assumptions, and how Atlas computes and refreshes strategy metrics.
Strategy search and the weekly batch database currently support AlgoAlpha SSA and AlgoAlpha ILPAC signals.
Coverage (Instruments and Time)
| Setting | Value |
|---|---|
| Asset universe | 85 liquid symbols across stocks, ETFs, crypto, forex, commodities, and futures |
| Bar timeframes | 5m, 15m, 1h |
| Indicators | SSA and ILPAC only |
| Strategy shape | 1 trigger + 0–2 state filters; each combo tested in long, short, and both directions |
Triggers are binary signals like trend changes, while states/filters are persistent conditions like "is bullish" or "is ranging."
History Length and Data Window
| Setting | Value |
|---|---|
| Bars per test | 20,000 bars of OHLCV history on the chosen timeframe |
| End of window | Aligns with the most recent data available when results were produced or refreshed |
A "20,000 bar" test on 1h covers a longer wall-clock span than on 5m, but the number of bars is the same.
Costs and Capital (Standardized)
| Setting | Value |
|---|---|
| Commission | 0.1% of trade value per fill, applied on entries and exits |
| Starting capital | $100,000 notional account for standardized metrics |
Slippage and margin are not simulated for simplicity.
How Metrics Are Scaled
Sharpe ratio and similar risk metrics use timeframe-appropriate annualization (shorter bars imply more periods per trading year). 5m, 15m, and 1h numbers are scaled consistently within each timeframe.
Refresh Cadence
- Cadence: Weekly full refresh so rankings track updated history
- Typical schedule: Monday 00:00 UTC (the exact window can move for maintenance or holidays)
- Effect: Metrics and rankings can change week to week as new data is ingested. A top-ranked strategy is not guaranteed to hold its ranking after the next refresh.
Between refreshes, results are stable for that build of the database.
Execution Model
Each tested strategy follows a simple position model: at most one direction at a time, entries and exits driven by the trigger and state rules, evaluated on the same close-based bar sequence used for all peers. Entry/exit conditions for all strategies are mirrored for the opposite direction.
Asset List
Cryptocurrencies
BTCUSDT, ETHUSDT, BNBUSDT
Stocks (NYSE)
BABA, BA, BAC, C, CVX, DIS, GE, GM, GME, GS, HD, IBM, JNJ, JPM, KO, LMT, MA, MCD, MMM, MRK, NKE, ORCL, PFE, PG, SNOW, T, UBER, UNH, UPS, V, VZ, WMT, XOM
ETFs (AMEX / ARCA)
ARKK, DIA, EEM, EFA, GDX, GDXJ, GLD, HYG, IWM, QQQ, SLV, SPY, TLT, USO, VTI, XLE, XLF, XLK, XLV
Forex
AUDJPY, AUDUSD, EURAUD, EURGBP, EURUSD, EURJPY, GBPAUD, GBPJPY, GBPUSD, NZDUSD, USDCAD, USDCHF, USDJPY
Commodities
XAUUSD, XAGUSD, UKOIL
Futures
NQ, ES, RTY, YM, ZC, ZW, ZS, GC, SI, CL, NG, PL, 6E, 6J