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Improve your backtest

Stop backtesting fantasy fills. Price in slippage, impact and funding with point-in-time metrics.

Featured notebook

Backtesting with realistic microstructure cost

A price-only backtest quietly assumes you can trade at the mid-price for free. Real fills pay the half-spread, move the book, and miss when liquidity thins out. This notebook builds a microstructure transaction-cost model — half-spread plus market impact — from Aperiodic's L1 price, impact, and slippage metrics, checks it against measured slippage, and shows how different cost assumptions reshape the same simple momentum backtest.

Pre-executed results — free to run on preview data, or use the CLI with DEMO-KEY.

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From notebook to production

  1. 01

    Pick the metrics

    Browse the catalog and pull point-in-time microstructure metrics — no L2 reconstruction, no tick archive to maintain.

  2. 02

    Run the notebook

    Every notebook runs end to end on preview data with a free account, in the browser or through the CLI.

  3. 03

    Plug it into your stack

    Swap the preview key for your own and the same code pulls the full history through the Python package or the API.

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Also featured

Funding-aware perpetual backtests

Improve your backtest

A perpetual-futures position does not only earn the price move — it also pays or receives funding at discrete settlement prints. A price-only backtest ignores those cash flows and can misattribute carry to trading alpha, most of all for a persistently long strategy in a rising, positive-funding market. This notebook isolates realised funding and shows exactly where it binds: it is a first-order cost for a directional (long-biased) position and nets out for a direction-neutral one.

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Improve your backtest

Stop backtesting fantasy fills. Price in slippage, impact and funding with point-in-time metrics.

Run on preview data
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Aperiodic

Crypto microstructure, liquidity & flow metrics — built from hundreds of terabytes of raw data, distilled into point-in-time metrics you can pull as parquet files.

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