backtest-datetime-visualization

name	backtest-datetime-visualization
description	Converting backtest visualizations from bar indices/timesteps to actual datetime axes for clearer time context
author	Claude Code
date	"2025-12-13T00:00:00.000Z"

backtest-datetime-visualization - Research Notes

Experiment Overview

Item	Details
Date	2025-12-13
Goal	Convert backtest result visualizations from using bar indices (0, 1, 2...) to actual datetime values for equity curves, drawdowns, and trade distributions
Environment	Python 3.10, matplotlib, pandas, Jupyter notebooks
Status	Success

Context

Backtest visualizations often use bar indices or timestep numbers on the x-axis, which makes it difficult to correlate results with actual market periods. Converting to datetime axes provides:

• Clear understanding of when drawdowns occurred
• Correlation with known market events
• Proper time-proportional spacing

Verified Workflow

1. Equity Curve with DateTime Index

When equity_curve is a pandas Series with DatetimeIndex:

# equity_series is pd.Series with DatetimeIndex
ax.plot(equity_series.index, equity_series.values, 'b-', label='Strategy')
ax.set_xlabel('Date')
ax.tick_params(axis='x', rotation=45)  # Rotate for readability

2. Drawdown Plot with Timestamps

# Extract timestamps from equity series
equity = equity_series.values
timestamps = equity_series.index  # DatetimeIndex
running_max = np.maximum.accumulate(equity)
drawdown = (running_max - equity) / running_max * 100

# Use timestamps for x-axis
ax.fill_between(timestamps, 0, drawdown, color='red', alpha=0.5)
ax.set_xlabel('Date')
ax.tick_params(axis='x', rotation=45)
ax.invert_yaxis()  # Drawdown goes down

3. Trade P&L with Entry Times

For trade distributions, use entry_time from TradeRecord:

if len(result.trades) > 0:
    trade_pnls = [t.pnl for t in result.trades]
    trade_times = [t.entry_time for t in result.trades]

    # Use stem plot for datetime x-axis (more robust than bar)
    markerline, stemlines, baseline = ax.stem(trade_times, trade_pnls, basefmt='k-')

    # Color stems based on profit/loss
    for stem, pnl in zip(stemlines, trade_pnls):
        stem.set_color('green' if pnl > 0 else 'red')
        stem.set_alpha(0.7)

    ax.set_xlabel('Date')
    ax.tick_params(axis='x', rotation=45)

4. Bar Charts with DateTime (Alternative)

If you must use bar charts with datetime:

import matplotlib.dates as mdates

# Convert datetime to matplotlib date numbers
trade_dates = mdates.date2num(trade_times)
width = 0.5  # Width in days

ax.bar(trade_dates, trade_pnls, width=width, color=colors)
ax.xaxis.set_major_formatter(mdates.DateFormatter('%Y-%m-%d'))
ax.xaxis.set_major_locator(mdates.AutoDateLocator())

Failed Attempts (Critical)

Attempt	Why it Failed	Lesson Learned
ax.bar(trade_times, trade_pnls) directly	Width parameter issues with datetime objects	Use stem plot or convert to matplotlib date numbers
range(len(drawdown)) for x-axis	Loses all time context	Always use equity_series.index
Not rotating x-axis labels	Dates overlap and become unreadable	Add ax.tick_params(axis='x', rotation=45)
Using plt.xticks(rotation=45)	Affects all subplots	Use ax.tick_params() for specific axis

Final Parameters

# Standard pattern for backtest visualization
fig, axes = plt.subplots(2, 2, figsize=(14, 10))

# Equity curve
ax = axes[0, 0]
ax.plot(equity_series.index, equity_series.values)
ax.set_xlabel('Date')
ax.tick_params(axis='x', rotation=45)

# Drawdown
ax = axes[0, 1]
ax.fill_between(equity_series.index, 0, drawdown)
ax.set_xlabel('Date')
ax.tick_params(axis='x', rotation=45)

# Trade P&L (use stem for datetime compatibility)
ax = axes[1, 0]
ax.stem(trade_times, trade_pnls, basefmt='k-')
ax.set_xlabel('Date')
ax.tick_params(axis='x', rotation=45)

plt.tight_layout()  # Prevent label overlap

Key Insights

• plt.stem() handles datetime x-values better than plt.bar() without conversion
• Always call plt.tight_layout() after rotating labels to prevent clipping
• Backtest DataFrames should use DatetimeIndex, not integer index
• TradeRecord objects should store entry_time as datetime, not bar index
• For long time ranges, consider using mdates.MonthLocator() or YearLocator()
• The observation window plots (100-step windows) should keep "Time Step" labels since they represent relative position, not calendar time

Data Requirements

Ensure your backtest engine stores proper timestamps:

@dataclass
class TradeRecord:
    symbol: str
    entry_time: datetime  # Not int!
    exit_time: Optional[datetime]
    entry_price: float
    exit_price: Optional[float]
    pnl: float

References

• alpaca_trading/backtest/engine.py - TradeRecord with entry_time
• notebooks/develop_branch_testing.ipynb - Visualization examples
• matplotlib.dates documentation for advanced date formatting