Hōrōshi バガボンド
@katanaquant.bsky.social
Systematic Trader | Retail | OpSec | Vagabond | No Financial Advice
blog.katanaquant.com
blog.katanaquant.com
Here's a quick little python script to scrape historical orderbook data from Bybit.
Nothing fancy but gets the job done
Link 👇
Nothing fancy but gets the job done
Link 👇
September 25, 2025 at 11:29 AM
Here's a quick little python script to scrape historical orderbook data from Bybit.
Nothing fancy but gets the job done
Link 👇
Nothing fancy but gets the job done
Link 👇
Link to the article mentioned: blog.katanaquant.com/p/refactorin...
Refactoring - Part VI
Backtester Interfaces: Slippage
blog.katanaquant.com
September 18, 2025 at 1:45 PM
Link to the article mentioned: blog.katanaquant.com/p/refactorin...
Another StrategyPattern in action!
I refactored my F2P backtester's slippage logic, moving from a fixed percentage to a quick and dirty rolling, volatility based estimate.
Code & details in the article.
Link in replies
I refactored my F2P backtester's slippage logic, moving from a fixed percentage to a quick and dirty rolling, volatility based estimate.
Code & details in the article.
Link in replies
September 18, 2025 at 1:45 PM
Another StrategyPattern in action!
I refactored my F2P backtester's slippage logic, moving from a fixed percentage to a quick and dirty rolling, volatility based estimate.
Code & details in the article.
Link in replies
I refactored my F2P backtester's slippage logic, moving from a fixed percentage to a quick and dirty rolling, volatility based estimate.
Code & details in the article.
Link in replies
Link to the article: blog.katanaquant.com/p/refactorin...
Refactoring - Part V
Backtester Interfaces: Commission & Funding
blog.katanaquant.com
July 18, 2025 at 12:51 PM
Link to the article: blog.katanaquant.com/p/refactorin...
To build robust, realistic backtests, you must account for all trading costs like commissions, holding costs, slippage, etc.
We migrated our fees and funding logic to a more interface-based backtester, designing it with modular, swappable components.
Link in replies 👇
We migrated our fees and funding logic to a more interface-based backtester, designing it with modular, swappable components.
Link in replies 👇
July 18, 2025 at 12:51 PM
To build robust, realistic backtests, you must account for all trading costs like commissions, holding costs, slippage, etc.
We migrated our fees and funding logic to a more interface-based backtester, designing it with modular, swappable components.
Link in replies 👇
We migrated our fees and funding logic to a more interface-based backtester, designing it with modular, swappable components.
Link in replies 👇
Link to the article: blog.katanaquant.com/p/refactorin...
Refactoring - Part IV
Finishing the pre-cost SR calculation
blog.katanaquant.com
June 19, 2025 at 8:45 AM
Link to the article: blog.katanaquant.com/p/refactorin...
While migrating our pre-cost SR calculations to our new backtester we decoupled instruments, trading rules, features, signals, PNL & SR into reusable components and caught a critical parameter bug by using proper testing techniques.
Link in replies 👇
Link in replies 👇
June 19, 2025 at 8:45 AM
While migrating our pre-cost SR calculations to our new backtester we decoupled instruments, trading rules, features, signals, PNL & SR into reusable components and caught a critical parameter bug by using proper testing techniques.
Link in replies 👇
Link in replies 👇
Your home IP address is like a permanent ID tag on everything you do online. While VPNs aren't perfect, here's why they're still essential for basic privacy in 2025 - and how to choose one that actually protects your data.
Read more👇
Read more👇
June 6, 2025 at 12:46 PM
Your home IP address is like a permanent ID tag on everything you do online. While VPNs aren't perfect, here's why they're still essential for basic privacy in 2025 - and how to choose one that actually protects your data.
Read more👇
Read more👇
Link to the article mentioned: blog.katanaquant.com/p/backtester...
Backtester Interfaces - Part I
Position Sizing & Rebalancing
blog.katanaquant.com
May 21, 2025 at 9:15 AM
Link to the article mentioned: blog.katanaquant.com/p/backtester...
This post discusses improving the design of our backtesters position rebalancing logic by introducing proper interfaces, breaking down complex functions and implementing assert tests while decoupling components like instruments, trading rules, features, and signals.
Link 👇
Link 👇
May 21, 2025 at 9:15 AM
This post discusses improving the design of our backtesters position rebalancing logic by introducing proper interfaces, breaking down complex functions and implementing assert tests while decoupling components like instruments, trading rules, features, and signals.
Link 👇
Link 👇
Link to the mentioned article: blog.katanaquant.com/p/refactorin...
Refactoring - Part III
Composition Over Inheritance
blog.katanaquant.com
May 9, 2025 at 10:13 AM
Link to the mentioned article: blog.katanaquant.com/p/refactorin...
This week we're exploring common OOP buzzwords like Inheritance, Composition & SOLID Principles while refactoring our backtesters data sources.
Turns out it's not really that hard to decouple components, build clean interfaces & make code more maintainable
Link in replies 👇
Turns out it's not really that hard to decouple components, build clean interfaces & make code more maintainable
Link in replies 👇
May 9, 2025 at 10:13 AM
This week we're exploring common OOP buzzwords like Inheritance, Composition & SOLID Principles while refactoring our backtesters data sources.
Turns out it's not really that hard to decouple components, build clean interfaces & make code more maintainable
Link in replies 👇
Turns out it's not really that hard to decouple components, build clean interfaces & make code more maintainable
Link in replies 👇
Link to the article: blog.katanaquant.com/p/refactorin...
Refactoring - Part II
Porting Over Backtester Logic
blog.katanaquant.com
April 30, 2025 at 2:05 PM
Link to the article: blog.katanaquant.com/p/refactorin...
Duplicated code is a developers nightmare. Software requirements change and searching for the same implementation in multiple components slows you down unnecessarily.
This weeks article illustrates how to tackle it using refactoring on our current backtester.
Link in replies 👇
This weeks article illustrates how to tackle it using refactoring on our current backtester.
Link in replies 👇
Refactoring - Part II
Porting Over Backtester Logic
blog.katanaquant.com
April 30, 2025 at 2:05 PM
Duplicated code is a developers nightmare. Software requirements change and searching for the same implementation in multiple components slows you down unnecessarily.
This weeks article illustrates how to tackle it using refactoring on our current backtester.
Link in replies 👇
This weeks article illustrates how to tackle it using refactoring on our current backtester.
Link in replies 👇
Link to the article: blog.katanaquant.com/p/refactorin...
Refactoring - Part I
Improving The Design Of Our Backtest
blog.katanaquant.com
April 25, 2025 at 10:02 AM
Link to the article: blog.katanaquant.com/p/refactorin...
Working with code can be a pain. You change some things and nothing's working anymore. All of a sudden u'r wasting time on an hours long witch-hunt for bugs.
This article gives a high level introto refactoring and what it's all about using our current backtester as example.
Link in the replies 👇
This article gives a high level introto refactoring and what it's all about using our current backtester as example.
Link in the replies 👇
April 25, 2025 at 10:02 AM
Working with code can be a pain. You change some things and nothing's working anymore. All of a sudden u'r wasting time on an hours long witch-hunt for bugs.
This article gives a high level introto refactoring and what it's all about using our current backtester as example.
Link in the replies 👇
This article gives a high level introto refactoring and what it's all about using our current backtester as example.
Link in the replies 👇
A common error when backtesting is expecting to get filled exactly at the close price without accounting for slippage.
This article shows how to account for slippage during execution and PNL calculations.
(Link in reply)
This article shows how to account for slippage during execution and PNL calculations.
(Link in reply)
April 11, 2025 at 9:25 AM
A common error when backtesting is expecting to get filled exactly at the close price without accounting for slippage.
This article shows how to account for slippage during execution and PNL calculations.
(Link in reply)
This article shows how to account for slippage during execution and PNL calculations.
(Link in reply)
How to bring transaction costs of a continuous signal down with a rebalancing error threshold.
Link in replies 👇
Link in replies 👇
March 24, 2025 at 12:03 PM
How to bring transaction costs of a continuous signal down with a rebalancing error threshold.
Link in replies 👇
Link in replies 👇
Link to the article mentioned above: blog.katanaquant.com/p/improving-...
Improving Our Backtest
Fetching & Incorporating Funding
blog.katanaquant.com
March 17, 2025 at 8:47 AM
Link to the article mentioned above: blog.katanaquant.com/p/improving-...
We've upgraded the backtest and added very simple turnover and funding calculations.
We'll improve these in the future after we've worked our way through all concepts mentioned in the original article.
Link to article is in the comments 👇
We'll improve these in the future after we've worked our way through all concepts mentioned in the original article.
Link to article is in the comments 👇
March 17, 2025 at 8:47 AM
We've upgraded the backtest and added very simple turnover and funding calculations.
We'll improve these in the future after we've worked our way through all concepts mentioned in the original article.
Link to article is in the comments 👇
We'll improve these in the future after we've worked our way through all concepts mentioned in the original article.
Link to article is in the comments 👇
yeah, getting there.. I'll update this with more features in the future: more trading rules, more instruments, more accurate cost assumptions, etc.
February 24, 2025 at 7:09 PM
yeah, getting there.. I'll update this with more features in the future: more trading rules, more instruments, more accurate cost assumptions, etc.