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This section explains the internal mechanics of the RealTest backtest engine. Understanding these details helps in writing strategies that behave as intended and in interpreting test results correctly.
Topics in this section
1.Backtest Loop Overview — how the daily loop processes exits and entries across three time-of-day phases, and how setups are selected and allocated across strategies
2.Asset Allocation and Position Sizing — how allocation, sizing, and exposure are managed
3.Capacity Constraints — MaxPositions, MaxExposure, and other limits
4.Compounding — how equity growth is reinvested
5.Split Handling — how stock splits affect price and volume data
6.Dividend Handling — how dividends are processed during a test
7.End-of-Data Exits — what happens to open positions when a symbol's data ends before the test does
8.Intraday Fills With Daily Bars — how limit and stop orders are filled within a daily bar
9.Intraday Fill Sequence Assumptions — why intraday entries are processed before exits
10.Bar Sizes and Multiple Timeframes — weekly, monthly, and other bar sizes
11.Calendar Alignment — how bars are aligned across different markets
12.Calculation of Trade Excursions — how MAE and MFE are computed
13.The Current Bar in Formula Evaluation — what "current bar" means in different contexts
14.Specifying a Time Stop — time-based exit patterns
15.Number of Bars Required for Functions and Indicators — minimum data requirements
16.Scaling In or Out of Positions — pyramiding and partial exits
17.Referring to Past Trades in Strategy Formulas — using trade history in entry/exit logic
18.Testing Multi-Currency Strategies — currency conversion and FX handling
19.Using CSI Futures Data — CSI-specific data considerations
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