bitmex-recipe-testnet-strategy-backtest

name	bitmex-recipe-testnet-strategy-backtest
description	Validate a strategy across multiple testnet sessions before going live.

Testnet Strategy Validation

Run your strategy on the BitMEX testnet for multiple independent sessions, track performance statistics, and only promote to live after passing consistency criteria.

Prerequisites

• jq and bc installed.
• No real API credentials needed — testnet uses separate keys from testnet.bitmex.com.
• Set BITMEX_API_KEY and BITMEX_API_SECRET to your testnet credentials.

Steps

1. Run one strategy session on testnet

Execute your strategy with the --testnet flag throughout:

# Example: place entry order
bitmex --testnet order buy XBTUSD 100 --order-type Limit \
  --price <entry_price> --yes -o json | jq '{orderID, price, ordStatus}'

# Monitor fills
bitmex --testnet ws --auth execution -o json | jq -c '.data[]? | {side, price, orderQty, ordStatus}'

2. Record session results

After each session, extract the trade history:

SESSION_DATE=$(date -u +%Y%m%dT%H%M%SZ)

bitmex --testnet execution trade-history --count 100 -o json \
  > /tmp/session_${SESSION_DATE}.json

jq '{
  trades: length,
  realisedPnl: ([.[].realisedPnl] | add // 0),
  totalFees: ([.[].commission] | add // 0),
  symbols: ([.[].symbol] | unique)
}' /tmp/session_${SESSION_DATE}.json

3. Calculate session statistics

jq '
  . as $trades |
  ($trades | length) as $n |
  ([.[] | select(.realisedPnl > 0)] | length) as $wins |
  {
    totalTrades: $n,
    winRate: (if $n > 0 then ($wins / $n * 100) else 0 end),
    avgPnl: ([.[].realisedPnl] | add // 0 | . / (if $n > 0 then $n else 1 end)),
    maxLoss: ([.[].realisedPnl] | min // 0)
  }
' /tmp/session_${SESSION_DATE}.json

4. Aggregate across sessions (after 5+ sessions)

cat /tmp/session_*.json | jq -s '
  flatten |
  {
    totalTrades: length,
    totalPnl: ([.[].realisedPnl] | add // 0),
    totalFees: ([.[].commission] | add // 0),
    winCount: ([.[] | select(.realisedPnl > 0)] | length)
  } |
  . + {winRate: (.winCount / .totalTrades * 100),
       netPnl: (.totalPnl - .totalFees)}
'

5. Promotion checklist

Promote to live only if all criteria pass:

• At least 5 independent sessions completed
• Win rate > 50%
• Average trade PnL positive after fees
• No single session loss exceeds 10% of starting balance
• Maximum drawdown within acceptable range

6. Promote to live

Remove --testnet flag and use your live API credentials. Start at 10% of testnet position sizes for the first week.

Notes

• Testnet prices mirror live prices but fills may differ due to different liquidity.
• Re-validate on testnet after any significant strategy parameter change.