Backtest engine for forex: test seasonal, lead-lag and spread strategies before you trade
Drift Engine's backtest engine tests four kinds of forex strategies on daily prices since 2013 — seasonal patterns walk-forward, lead-lag between markets, spread mean reversion and their combination — with your own prop firm rules and a Monte Carlo view of the results.
What the backtest engine does
Most backtests answer one question: would this rule have made money? The backtest engine answers four, each with its own method and without looking into the future.
Seasonal — would a system that trades the calendar patterns of previous years have made money this year? Patterns for each year are derived only from the years before it (walk-forward), entries at the open, stops checked bar by bar, position size from risk and stop distance.
Lead-lag — does market A move before market B? The engine sweeps lags, picks the strongest one and trades B in the direction A moved. It says openly that the lag is chosen on the same period it is tested on.
Spread — are two markets tied together? A hedge ratio from past data only, a z-score over a rolling window, entries and exits at z-bands, plus a stationarity test and the half-life of the spread.
Combined — a seasonal entry that may only trade when the lead-lag filter points the same way.
Every result, presented the same way
Total return, CAGR, hit rate, Sharpe, Sortino, profit factor, expectancy, maximum drawdown, Calmar ratio and the longest recovery — next to buy-and-hold with the difference shown as alpha.
An equity curve against buy-and-hold, the drawdown chart, the distribution of daily returns and a full trade log. Seasonal results list the patterns used in each year.
From backtest to Monte Carlo and prop firm rules
One click sends the trades into Monte Carlo: the same trades reshuffled thousands of times show how widely the result could have spread, the drawdown you should expect and the risk of ruin.
Another click checks them against prop firm rules you set yourself — profit target per phase, minimum trading days, time limit, daily loss, maximum loss (static or trailing) and a consistency rule.
Where to find it
The backtest engine lives inside Monte Carlo in the full Drift Engine terminal and is also part of the small Journal × Monte Carlo plan for 5 € a year — together with the trading journal and the Monte Carlo simulation.
FAQ
Is a positive backtest a prediction?
No. It shows how a fixed rule would have performed on past prices. Costs, slippage and changing markets can make real results worse.
Which markets can I test?
All 28 major currency pairs on daily data since 2013; lead-lag and spread can also use indices, commodities and other markets with about one year of history.
Do I need to code?
No. You choose markets and settings; the engine does the rest and shows every trade.