honest-bt

Intra-bar-fidelity crypto backtester with overfit gates built in.

pip install honest-bt

Why this exists

In May 2026 I caught 9 separate bugs in my own backtester that were inflating reported Sharpe by up to +5.0. After fixing them, my mean-reversion strategy went from Sharpe -2.12 to Sharpe +1.04 on the same 14 entries — same data, no overfitting, just an honest fee + slippage + exit model.

The tools that caused those bugs (and the ones that caught them) are in this library.

If you've been backtesting against close-to-close prices with flat percentage fees, your Sharpe is wrong. This library fixes the four things that matter most:

1. Intra-bar SL/TP fidelity — bar-path inference (bullish: low-then-high; bearish: high-then-low) so the simulator never uses a future extreme's information to tighten SL before checking the prior extreme.
2. Realistic fee model — per-fill maker (limit) vs taker (market) distinction × leverage. Ladder TPs charged at maker (0.02%); SL/trailing/market exits at taker (0.055%).
3. Funding accrual — 8-hour marks, sign-aware (longs pay positive funding, shorts receive). Plus a funding-drain exit that closes rotten longs.
4. Overfit gates — CPCV (combinatorial purged cross-validation) + PBO (probability of backtest overfit) + Probabilistic / Deflated Sharpe per Bailey & López de Prado 2014.

No live trading. No exchange connectors. No strategy templates. This is a library, not a framework.

3-minute quickstart

from datetime import datetime, timedelta, timezone
from honest_bt import Position, simulate_exit

start = datetime(2026, 5, 1, tzinfo=timezone.utc)

position = Position(
    symbol="BTCUSDT", side="long", entry_price=100.0, entry_ts=start,
    qty=1.0, leverage=5,
    stop_loss_pct=4.0, take_profit_pct=8.0,
    vol_regime="medium",
)

# Each candle: dict with timestamp, open, high, low, close, (optional) volume.
# Must be ASCENDING by timestamp, AT or AFTER position.entry_ts.
candles = [
    {"timestamp": start + timedelta(minutes=i), "open": 100, "high": 105,
     "low": 99, "close": 103, "volume": 100.0}
    for i in range(60)
]

outcome = simulate_exit(position, candles)

print(f"Exit reason: {outcome.final_reason}")
print(f"Net PnL: {outcome.realized_pnl_pct:+.2f}%")
print(f"Hold:    {outcome.hold_minutes} min")
print(f"Fees:    {outcome.fees_paid_pct:.4f}%  Funding: {outcome.funding_paid_pct:.4f}%")
for fill in outcome.fills:
    print(f"  fill {fill.reason} @ {fill.price:.2f}  (portion {fill.portion:.2f})")

What honest-bt does that Backtrader / VectorBT don't

This is a crypto-first library. Spot / margin trading works fine, but the differentiator is in perpetual futures.

API surface

Core

from honest_bt import (
    Position,          # input dataclass
    FundingPoint,      # optional funding rate history
    FillEvent,         # output: each partial fill
    ExitOutcome,       # output: full per-position result
    simulate_exit,     # the main function
)

Metrics & validation

from honest_bt import (
    BacktestMetrics, compute_metrics,
    deflated_sharpe, expected_max_sharpe,
    beats_baseline, beats_baseline_deflated,
    walk_forward_gate,
    split_outcomes_at, split_outcomes_into_folds,
)

CPCV

from honest_bt import (
    CPCVSplit, cpcv_split,
    compute_pbo, aggregate_cpcv_metrics,
)

The 9 bugs we caught (May 2026)

Long-form post coming. Short list:

1. Sharpe double-flip bug — metrics aggregator was negating short-side returns twice (sign error). Variants ranked best on training Sharpe were actually the worst on test.
2. DCA simulator MTM bug — accumulation strategy was reporting realized-only PnL, hiding mid-cycle drawdowns that hit -30%. Honest MTM Sharpe collapsed from inflated +16 → -0.13.
3. Limit-timeout fee blend — maker entries were never charged taker fees on the ~7% of orders that timed out, systematically under-counting costs.
4. HTF cursor per-timeframe bug — the higher-timeframe indicator cache was silently skipping 5-15% of evaluations when the cursor advanced across two timeframes simultaneously.
5. MR clock-source mismatch — backtest cooldown gate used time.monotonic() while live used wall-clock; cooldowns effectively disabled in backtest, fired in live.
6. Funding-arb paper-mode signal swallow — paper-mode emitted NOTIFICATION events instead of SignalEvents; "0 trades dormant" verdict was a harness bug, not a strategy result.
7. Variant-yaml params no-op — evolution loop's params: wrapper silently dropped overrides; "promising" variant results were just baseline noise.
8. Graveyard dead-code on live — AssetGraveyard.refresh_for_asset() was never called in production; backtest enforced it strictly. Live looked better than it should have, backtest worse.
9. K8 magnitude scaling inverted — liquidation-cascade reversion strategy's signal size was inversely correlated with cascade magnitude. Smaller cascades → larger positions.

Lesson: a backtest that doesn't reproduce live behavior to within sub-1% PnL is lying. honest-bt is the de-couple-and-port of the harness that found these.

Roadmap

• v0.2 (Q2 2026): live data adapters for Binance / Bybit / Hyperliquid (CSV ingestion only in v0.1)
• v0.3 (Q3 2026): stocks / options examples (exit model is asset-agnostic once SL/TP/trailing semantics are defined)
• v0.4 (Q4 2026): hosted backtest API (paid tier — see honest-bt-cloud)

Contributing

PRs welcome. Please include a regression test for any bug fix. Style: ruff check src/ tests/ must pass.

License

MIT. Use it freely, sell paid services around it, fork it. If it saves you from a Sharpe-inflation bug, open an issue and tell us — we'd love to add it to the case-studies list.

Related work

• López de Prado, M. (2018). Advances in Financial Machine Learning. Wiley. (CPCV chapter)
• Bailey, D. & López de Prado, M. (2014). The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting, and Non-Normality. Journal of Portfolio Management.
• Stoic.ai / QuantPedia blog posts on slippage modeling for crypto perps.