nephyr-backtest 0.1.0

Prediction market strategy validation — weather signals and copy trading backtesting

Nephyr Backtest

Prediction market strategy validation — weather signals and copy trading.

Extracts backtesting capability from Momentai and MoonMirror into a standalone package.

Install

pip install -e ".[dev]"

Quick start

import asyncio
from nephyr_backtest import run_backtest, BacktestConfig, generate_report

config = BacktestConfig(
    start_date="2025-10-01",
    end_date="2026-03-29",
    starting_bankroll=1000.0,
    platform="polymarket",
    strategy="weather_signals",
)

result = asyncio.run(run_backtest(config))
outputs = generate_report(result, output_format="terminal")
print(outputs["terminal"])

Strategies

weather_signals

Replay the Momentai signal pipeline against historical data. Uses GFS ensemble forecasts vs real Polymarket CLOB prices.

copy_trading

Replay historical on-chain trades from top Polymarket wallets. Strategies: baseline, top3, consensus, category-filtered.

custom (Python package only)

Plug in any signal function and backtest it against real Polymarket market data. Your function receives a market_data dict and returns a signal dict (or None to skip).

import asyncio
from nephyr_backtest import run_backtest, BacktestConfig

def mean_reversion_signal(market_data: dict) -> dict | None:
    """Buy when price drops significantly from yesterday."""
    if market_data.get("price_24h_ago") is None:
        return None

    price_change = market_data["market_price"] - market_data["price_24h_ago"]

    # If price dropped >10%, bet it rebounds
    if price_change < -0.10:
        return {"probability": 0.65}

    return None

result = asyncio.run(run_backtest(BacktestConfig(
    start_date="2026-01-01",
    end_date="2026-03-28",
    starting_bankroll=1000.0,
    platform="polymarket",
    strategy="custom",
    signal_fn=mean_reversion_signal,
)))

print(f"Trades: {result.total_trades} | Return: {result.total_return:+.1f}%")

Signal function contract

Your function receives a market_data dict with these keys:

Key	Type	Description
market_id	str	Unique market identifier
platform	str	"polymarket" or "kalshi"
category	str	"weather", "crypto", "politics", "sports", "other"
market_price	float	Current YES price in [0, 1]
volume	float	Total USDC volume traded
date	str	ISO date "YYYY-MM-DD"
city	str | None	City name for weather markets (e.g. "NYC")
threshold_f	float | None	Temperature threshold for weather markets
direction	str | None	"above" or "below" for weather markets
price_1h_ago	float | None	YES price 1 hour ago
price_24h_ago	float | None	YES price 24 hours ago

Return a dict {"probability": float} to place a trade, or None to skip. Optional return keys: "direction" ("YES" / "NO", default "YES"), "confidence" (float, for logging).

The probability must be in (0, 1). Kelly sizing, risk management, and settlement are handled automatically by the engine — identical to the built-in strategies.

MCP server and REST API

Custom strategies require passing a Python callable, which cannot be serialized over MCP or HTTP. The MCP server (nephyr-backtest-mcp) and REST API support weather_signals and copy_trading only. Use the Python package directly for custom strategies.

MCP Server

{
  "mcpServers": {
    "nephyr-backtest": {
      "command": "nephyr-backtest-mcp"
    }
  }
}

Tools: run_weather_backtest, run_copy_backtest, get_available_data

REST API

uvicorn api.app:app --reload

• POST /v1/backtest/weather
• POST /v1/backtest/copy
• GET /v1/data/available
• GET /v1/health

Tests

pytest tests/ -v

Pricing

Tier	Details
Free	1 backtest/month (1 month of data, 1 city)
Paid	$49/month — unlimited backtests, all data, all cities, CSV export
Per-run	$5/backtest for one-off users
Agent-to-agent	$0.05/backtest

License

MIT