lona-backtest-analysis

name	lona-backtest-analysis
description	Run backtests and analyze trading strategy performance on the Lona platform. Use when the user wants to test a strategy against historical data, check backtest results, view performance metrics like Sharpe ratio and drawdown, see trade history, or visualize trades on a chart.

Backtest Execution & Analysis

You have access to Lona's backtesting tools for testing trading strategies against historical market data and analyzing the results.

Available Tools

Running Backtests

• lona_run_backtest: Execute a strategy against historical data (async — returns report_id immediately)
• lona_get_report_status: Poll the backtest execution status

Viewing Results

• lona_list_reports: List all backtest reports with status and key metrics. Filter by strategy_id or status
• lona_get_report: Get summary metrics (total return, Sharpe ratio, max drawdown, win rate, trade count)
• lona_get_full_report: Comprehensive results with trade history, detailed metrics, and per-symbol breakdown
• lona_get_report_chart: Visualize trades on an interactive candlestick chart with buy/sell markers

Workflows

Run a backtest

Prerequisites: You need a strategy_id (from lona_list_strategies or lona_create_strategy) and one or more data_ids (from lona_list_symbols or lona_download_market_data).

1. Call lona_run_backtest with:
   • strategy_id (required)
   • data_ids array (required) — one or more symbol IDs
   • start_date and end_date in ISO format (required)
   • Optional: initial_cash (default: 100000), commission (default: 0.001), leverage (default: 1)
   • Optional: parameters object to override strategy params (e.g., {"fast_period": 5, "slow_period": 20})
2. Receive report_id immediately
3. Poll lona_get_report_status every 5-10 seconds
4. Status pipeline: PENDING -> EXECUTING -> PROCESSING -> COMPLETED/FAILED
5. When COMPLETED, view results

Analyze results

1. Call lona_get_report for a quick summary with key metrics
2. Call lona_get_full_report for the complete picture including trade-by-trade history
3. Call lona_get_report_chart to visualize entries and exits on a price chart

Compare strategies

1. Call lona_list_reports to see all completed backtests
2. Get summary metrics for multiple reports with lona_get_report
3. Compare Sharpe ratios, drawdowns, and returns side by side

Key Performance Metrics

Metric	What It Measures	Good	Excellent
Total Return (%)	Overall strategy profit/loss	> 0%	> 20% annually
Sharpe Ratio	Risk-adjusted return	> 1.0	> 2.0
Max Drawdown (%)	Largest peak-to-trough decline	< 20%	< 10%
Win Rate (%)	Percentage of profitable trades	> 50%	> 60%
Number of Trades	Statistical significance	> 30	> 100
Net P&L ($)	Absolute profit/loss	Positive	Consistent growth
Profit Factor	Gross profit / gross loss	> 1.5	> 2.0

Analysis Guidelines

Red Flags

• Max drawdown > 30% — excessive risk, consider adding stop losses
• Win rate > 90% — likely overfitting or tiny take-profits with large stop losses
• Trade count < 10 — not statistically significant, test on longer periods
• Sharpe ratio < 0.5 — poor risk-adjusted returns, rethink the strategy logic

Improvement Suggestions

• Low Sharpe: Add trend filters, tighten entry rules, or add position sizing
• High drawdown: Add stop losses, reduce position sizes, or add exit rules
• Low win rate but profitable: Normal for trend-following — ensure risk/reward ratio is favorable
• High win rate but unprofitable: Cut losses faster, the few losing trades are too large

Multi-Instrument Analysis

When backtesting with multiple symbols:

• Use lona_get_full_report for per-symbol breakdown
• Check if performance is driven by one symbol or balanced across all
• Compare correlation between symbol returns
• Evaluate if diversification improved risk-adjusted metrics

Examples

Run a basic backtest

strategy_id: "abc123"
data_ids: ["def456"]
start_date: "2024-01-01"
end_date: "2024-12-31"
initial_cash: 100000
commission: 0.001

Run with custom parameters

strategy_id: "abc123"
data_ids: ["def456", "ghi789"]
start_date: "2024-01-01"
end_date: "2024-12-31"
initial_cash: 50000
commission: 0.002
leverage: 2
parameters: {"fast_period": 5, "slow_period": 20, "stop_loss": 0.02}