Strategy

Strategy builds the strategy document the engine runs. Start from a template — for example Strategy.rsi_threshold_long() or Strategy.ma_crossover() — or compose one from indicators with Strategy.indicator(...). The configuration dataclasses below (Execution, Costs, Risk, Sizing) tune how a strategy is executed and are passed to Client.backtest() as keyword arguments.

`backtest360.strategy.Strategy`

Strategy definition.

Build a custom strategy using boolean expression strings and indicator references, or pick a pre-built template via the classmethods.

Expressions reference indicator output columns by their ref name. Use :meth:indicator to declare which indicators your expressions need.

.. tip:: Indicator library — names, parameter schemas, output columns: https://api.backtest360.com/docs

Or call ``client.list_indicators()`` at runtime.

**Pre-built templates** — call any ``Strategy.<name>()``
classmethod below to start from a ready-made strategy.

Parameters:

Name	Type	Description	Default
`name`	`str`	Strategy identifier string (arbitrary, used for labelling).	required
`long_entry`	`str \| None`	Boolean expression string that fires long entry. References indicator output columns by their `ref` name.	`None`
`long_exit`	`str \| None`	Boolean expression string that fires long exit.	`None`
`short_entry`	`str \| None`	Boolean expression for short entry (`None` for long-only strategies).	`None`
`short_exit`	`str \| None`	Boolean expression for short exit.	`None`
`indicators`	`list[dict[str, Any]] \| None`	List of indicator descriptor dicts produced by :meth:`indicator`.	`None`

Example::

from backtest360 import Strategy

strat = Strategy(
    name="rsi_mean_reversion",
    long_entry="rsi < 30",
    long_exit="rsi > 70",
    indicators=[Strategy.indicator("rsi", period=14)],
)

For a crossover strategy using transform indicators::

strat = Strategy(
    name="ma_crossover",
    long_entry="x_above",
    long_exit="x_below",
    indicators=[
        Strategy.indicator("sma", ref="sma_10", period=10),
        Strategy.indicator("sma", ref="sma_50", period=50),
        Strategy.indicator("cross_above", ref="x_above",
                           kind="transform", upstream=["sma_10", "sma_50"]),
        Strategy.indicator("cross_below", ref="x_below",
                           kind="transform", upstream=["sma_10", "sma_50"]),
    ],
)

`indicator(name, *, ref=None, kind='technical', upstream=None, **params)` `staticmethod`

Declare an indicator reference for use in condition expressions.

Parameters:

Name	Type	Description	Default
`name`	`str`	Indicator name — e.g. `"rsi"`, `"sma"`, `"macd"`, `"cross_above"`. See the indicator library for the full list: https://api.backtest360.com/docs	required
`ref`	`str \| None`	Column name referenced in expression strings. Defaults to `name` when only one instance of that indicator is used. Specify a unique `ref` when the same indicator appears with different params (e.g. `ref="rsi_fast"` and `ref="rsi_slow"`).	`None`
`kind`	`str`	Indicator kind. One of `"technical"` (default), `"transform"`, `"model"`, `"primitive"`.	`'technical'`
`upstream`	`list[str] \| None`	Refs of upstream indicators consumed by transform indicators (e.g. `upstream=["sma_10", "sma_50"]`).	`None`
`**params`	`Any`	Indicator parameters (e.g. `period=14`). See the indicator library for each indicator's parameter schema.	`{}`

Returns:

Type	Description
`dict[str, Any]`	Indicator descriptor dict suitable for passing in `indicators=`.

Example::

Strategy.indicator("rsi", period=14)
Strategy.indicator("rsi", ref="rsi_fast", period=5)
Strategy.indicator("sma", ref="sma_200", period=200)
Strategy.indicator(
    "cross_above", ref="x_above", kind="transform",
    upstream=["sma_10", "sma_50"],
)

`to_wire()`

Serialise to the engine's {condition_tree, indicators} wire shape.

`rsi_threshold_long()` `classmethod`

RSI threshold — long-only mean reversion (oversold entry, overbought exit).

Indicators: RSI(14). Long-only, daily bars.

Returns:

Type	Description
`Strategy`	Strategy with `long_entry="rsi_14 < 30"`, `long_exit="rsi_14 > 70"`.

Example

result = Client(api_key="...").backtest( ... Strategy.rsi_threshold_long(), df ... ) print(result.stats["sharpe"])

`rsi_mean_reversion()` `classmethod`

RSI mean reversion — enter recovery zone, exit at neutral.

Enters when RSI has bounced from oversold (30 < RSI < 50), exits when RSI returns to neutral (>= 50). Shorter hold and tighter exit than rsi_threshold_long, which holds from oversold all the way to overbought.

Indicators: RSI(14). Long-only, daily bars.

Returns:

Type	Description
`Strategy`	Strategy with `long_entry="(rsi_14 > 30) & (rsi_14 < 50)"`,
`Strategy`	`long_exit="rsi_14 >= 50"`.

Example

result = Client(api_key="...").backtest( ... Strategy.rsi_mean_reversion(), df ... ) print(result.stats["sharpe"])

`ma_crossover()` `classmethod`

SMA(10) / SMA(50) crossover — classic trend-following.

Indicators: SMA(10), SMA(50), CrossAbove, CrossBelow. Long-only, daily.

Returns:

Type	Description
`Strategy`	Strategy with `long_entry="x_above"` (SMA10 crosses above SMA50),
`Strategy`	`long_exit="x_below"` (SMA10 crosses below SMA50).

Example

result = Client(api_key="...").backtest( ... Strategy.ma_crossover(), df ... ) print(result.stats["sharpe"])

`momentum_6m_long()` `classmethod`

Absolute 6-month momentum — long when ROC(126) > 0.

Indicators: ROC(126). Long-only, daily bars.

Returns:

Type	Description
`Strategy`	Strategy with `long_entry="roc_126 > 0"`,
`Strategy`	`long_exit="roc_126 <= 0"`.

Example

result = Client(api_key="...").backtest( ... Strategy.momentum_6m_long(), df ... ) print(result.stats["sharpe"])

Execution

`backtest360.strategy.Execution` `dataclass`

Execution timing — when signals are entered and exited.

Parameters:

Name	Type	Description	Default
`entry`	`str`	Bar anchor for entry fills. One of `"open"` (fills at the next bar's open, one bar after the signal fires — avoids look-ahead bias), `"close"`, `"vwap"`. Default `"open"`.	`'open'`
`exit`	`str`	Bar anchor for exit fills. Default `"close"`.	`'close'`
`signal_frequency`	`str`	Frequency at which the strategy generates signals. Common values: `"daily"`, `"hourly"`, `"4h"`, `"weekly"`.	`'daily'`
`entry_window`	`int`	Number of bars the engine attempts to fill after the entry anchor. Default `0` (fill on the anchor bar only).	`0`
`exit_window`	`int`	Same for exits.	`0`
`entry_fill`	`str`	Fill price model for entries. One of `"exact"`, `"worst"`, `"best"`, `"random"`. Default `"exact"`.	`'exact'`
`exit_fill`	`str`	Fill price model for exits. Default `"exact"`.	`'exact'`

`to_wire()`

Serialise to the engine's flat execution dict.

Costs

`backtest360.strategy.Costs` `dataclass`

Transaction costs — slippage and fees.

Parameters:

Name	Type	Description	Default
`slippage_bps`	`float`	Slippage in basis points (10 = 0.1%). Applied adversely on every fill. Default `0.0`.	`0.0`
`fee_pct`	`float`	Round-trip fee as a fraction (0.001 = 0.1%). Deducted on entry and exit events. Default `0.0`.	`0.0`
`vol_scaled_slippage`	`bool`	Scale slippage by rolling realised volatility. Default `False`.	`False`
`vol_slippage_lookback`	`int`	Lookback bars for vol-scaled slippage. Default `20`.	`20`

Example

Costs(slippage_bps=2.5, fee_pct=0.001)

`to_wire()`

Serialise to the engine's cost dict.

Risk

`backtest360.strategy.Risk` `dataclass`

Risk management — stops and drawdown protection.

Parameters:

Name	Type	Description	Default
`stop`	`str \| None`	Stop type. One of `"fixed"` (% from entry), `"trailing"` (% trailing from peak), `"atr"` (ATR multiple from entry), `"trailing_atr"` (ATR trailing from peak). `None` disables stops.	`None`
`value`	`float \| None`	Stop distance — percent (e.g. `0.05` for 5%) or ATR multiple (e.g. `2.5` for 2.5× ATR), depending on `stop`.	`None`
`atr_period`	`int \| None`	Lookback bars for ATR-based stops. Default `None`.	`None`
`reentry`	`str`	Re-entry behaviour after a stop exit. One of `"immediate"` (re-enter next bar if signal is non-zero), `"next_signal"` (wait for signal to go flat first), `"cooldown"` (wait `cooldown_bars` bars). Default `"immediate"`.	`'immediate'`
`cooldown_bars`	`int`	Bars to suppress re-entry after a stop exit. Only used when `reentry="cooldown"`. Default `0`.	`0`
`max_drawdown`	`float \| None`	Circuit-breaker drawdown limit (e.g. `0.25` = 25%). Flattens the position when the running drawdown exceeds this value. `None` disables it.	`None`

Example

Risk(stop="trailing_atr", value=2.5, atr_period=14) Risk(stop="fixed", value=0.05, max_drawdown=0.20) Risk(stop="atr", value=2.0, reentry="cooldown", cooldown_bars=5)

`to_wire()`

Serialise to the engine's risk dict.

Sizing

`backtest360.strategy.Sizing` `dataclass`

Position sizing configuration.

Parameters:

Name	Type	Description	Default
`weight`	`float`	Fraction of capital deployed per position (1.0 = fully invested). Default `1.0`.	`1.0`
`vol_target`	`float \| None`	Annualised volatility target for vol-targeting sizing. `None` disables vol targeting. Example: `0.15` for 15%.	`None`
`vol_target_lookback`	`int`	Lookback bars for realised vol estimate. Default `20`.	`20`
`leverage_limit`	`float \| None`	Maximum leverage cap. `None` applies no cap. Default `None`.	`None`

Example

Sizing(weight=0.5) Sizing(vol_target=0.15, leverage_limit=2.0)

`to_wire()`

Serialise to the engine's sizing dict.

Strategy

backtest360.strategy.Strategy

indicator(name, *, ref=None, kind='technical', upstream=None, **params) staticmethod

to_wire()

rsi_threshold_long() classmethod

rsi_mean_reversion() classmethod

ma_crossover() classmethod

momentum_6m_long() classmethod

Execution

backtest360.strategy.Execution dataclass

to_wire()

Costs

backtest360.strategy.Costs dataclass

to_wire()

Risk

backtest360.strategy.Risk dataclass

to_wire()

Sizing

backtest360.strategy.Sizing dataclass

to_wire()

`backtest360.strategy.Strategy`

`indicator(name, *, ref=None, kind='technical', upstream=None, **params)` `staticmethod`

`to_wire()`

`rsi_threshold_long()` `classmethod`

`rsi_mean_reversion()` `classmethod`

`ma_crossover()` `classmethod`

`momentum_6m_long()` `classmethod`

`backtest360.strategy.Execution` `dataclass`

`to_wire()`

`backtest360.strategy.Costs` `dataclass`

`to_wire()`

`backtest360.strategy.Risk` `dataclass`

`to_wire()`

`backtest360.strategy.Sizing` `dataclass`

`to_wire()`