Difference between forex backtesting and cryptocurrency trading backtesting

There are significant differences between forex backtesting and cryptocurrency quantitative trading backtesting, which mainly stem from the distinct market characteristics and trading mechanisms of the two.

Firstly, transaction fees are a notable distinction. Forex trading fees are generally lower, typically below 0.01%, resulting in relatively low trading costs. However, digital currency trading fees are comparatively higher, especially on platforms like OKX  and binance, where spot trading fees can reach 0.2%, and perpetual contract order placement fees are 0.02% while order matching fees are 0.05%. This difference is crucial in the backtesting process, as the level of fees directly impacts the net return of the investment portfolio. In digital currency backtesting systems like aijiebot, the system often sets backtesting transaction fee parameters based on the platform's established fee rates to more accurately simulate the actual trading environment.

Secondly, market liquidity is another significant difference. The forex market, as one of the largest financial markets globally, boasts extremely high liquidity with daily trading volumes reaching trillions of US dollars. This results in minimal slippage during trading and relatively small price fluctuations. Conversely, the digital currency market, due to its relatively small market size and complex participant structure, experiences greater volatility and higher slippage. In the backtesting process, these differences in liquidity and volatility need to be taken into account to accurately assess the performance of investment portfolios in different market environments.

Lastly, trading hours are also a crucial factor to consider. The forex market generally trades from Monday to Friday, with the market showing some discontinuity when it opens on Fridays after the weekend. In contrast, the digital currency market operates 24/7, providing higher flexibility and convenience for traders. During backtesting, the impact of these differences in trading hours on the performance of the investment portfolio needs to be considered.

In summary, there are significant differences between forex backtesting and digital currency quantitative trading backtesting in terms of transaction fees, market liquidity, and trading hours. These differences must be thoroughly considered during the backtesting process to accurately evaluate the performance of investment portfolios.

  admin   2024-5-5