Maximum Drawdown in Python: Calculate Loss and Recovery Time
Calculate maximum drawdown in Python with pandas. Find peak, trough and recovery dates, handle unrecovered losses, and analyze historical market data.
Tag · backtesting
backtesting
16 posts on backtesting from the SiftingIO market data blog, spanning real-time and historical coverage across stocks, forex, crypto, commodities, and on-chain venues.
Posts tagged backtesting
Stop-loss and take-profit in the same candle: OHLC backtests
Detect same-candle stop-loss and take-profit ambiguity in Python, compare fill assumptions, and see when finer OHLCV data can resolve the sequence.
Align stock and crypto returns in Python: use the same closing time
Compare stock and crypto close-to-close returns on one session calendar. A tested pandas example handles DST, early closes and missing observations.
Cursor pagination for market data APIs: pull years of 1-minute OHLCV bars without gaps
How cursor pagination works on a market data API, with request math, a Python loop, and a gap check for multi-year pulls of 1-minute OHLCV bars.
When does the weekly candle open and close? Weekly bar boundaries by asset class
Weekly candle open and close times for forex, crypto, and US stocks, and how to rebuild either week convention from timestamped SiftingIO bars in pandas.
How to get historical stock price data from a REST API (daily and intraday OHLCV)
How to pull daily and intraday OHLCV stock bars from a REST API: request format, response fields, intervals, cursor pagination, history depth, and pitfalls.
CPI consensus vs actual: why an in-line inflation print barely moves markets
July 2026 CPI matched consensus exactly and markets barely moved. Why consensus, actual, revisions, and exact timestamps are the calendar fields that matter.
1-minute OHLCV data: how to resample minute bars into 5m, 15m, and 1h
1-minute OHLCV bars are the base timeframe. The exact rules for resampling minute bars into 5m, 15m, and 1h bars, with the alignment and gap traps to avoid.
Daily candle open and close times: forex, crypto and US stocks
Compare daily candle open and close times for forex, crypto and US stocks, including UTC vs New York cutoffs, daylight saving and regular trading sessions.
Commodities market data API: backfill historical bars, then stream live prices
Pull historical OHLCV bars for gold, crude, and other commodities over REST, stream live prices over WebSocket, and handle the seam where they meet.
Why two backtests of the same strategy disagree: the historical price data faults to check first
Five ways historical price data silently corrupts a backtest: adjustment method, venue-dependent highs and lows, gap policy, session cuts, and restated bars.
Forex OHLCV data: how FX candles are built
Forex OHLCV data explained: how FX candles are built from aggregated quotes, why daily bars depend on the day boundary you pick, and how to pull them by API.
Adjusted vs unadjusted stock prices: total return vs price return in a backtest
Build a total-return series from as-traded prices, split factors, and cash dividends with reinvestment math, and see where the adjusted-close shortcut misleads a backtest.
Aligning economic calendar events with your backtest's bar timeline
How to pull scheduled US economic events from one endpoint and align them with OHLCV bars so a backtest knows when CPI, NFP, and FOMC actually hit.
What is OHLCV data? Bars, candles, and how providers build them
What OHLCV data is, how bars are built from ticks, why two providers disagree on the same candle, adjusted vs unadjusted bars, and how to pull bars via API.
Aligning economic calendar events with your backtest's bar timeline
How to pull scheduled US economic events from one endpoint and align them with OHLCV bars so a backtest knows when CPI, NFP, and FOMC actually hit.