Backtesting Engine Loop

The engine loop is the causality contract of the framework. It decides what data the strategy can see, when a signal exists, when an order can be filled, and how the exit is resolved.

Daily replay shape

For intraday options strategies, a clear loop usually looks like this:

bash

for day in trading_days:
    session = load_underlying_session(ticker, day)
    daily_context = load_daily_context(ticker, day)
    option_context = load_contract_context(ticker, day)

    setup = strategy.find_setup(session, daily_context)
    if setup is None:
        record_skip(day, "no_setup")
        continue

    exit_plan = strategy.resolve_exit(session, setup)
    trade = option_engine.try_express_setup(
        ticker=ticker,
        day=day,
        setup=setup,
        exit_plan=exit_plan,
        option_context=option_context,
    )
    record_trade_or_rejection(trade)

The exact implementation can be more complex, but the direction should stay the same: load the causal state, find a setup, choose an instrument, simulate execution, then log the result.

Signal time and entry time

The most important rule is that a completed bar can create a signal, but it cannot also give the strategy an intrabar fill before the signal existed. If a signal is generated on bar t, the conservative default is entry on the next observable bar or quote after t.

For example, an opening-range breakout can:

Build the opening range from completed bars.
Detect a breakout after the range is known.
Set signal_ts to the completed signal bar.
Set entry_ts to the next bar open or the next quote that passes the execution policy.

This rule is not cosmetic. Same-bar entry is one of the easiest ways to overstate a momentum strategy.

Engine boundaries

Keep these records separate in the code:

Record	Should contain
Config	Strategy parameters, option filters, risk limits, and fill rules.
Session state	Underlying bars and context available for the day.
Setup	Direction, signal timestamp, entry timestamp, underlying entry price, and feature metadata.
Exit plan	Exit timestamp, stop/target result, and reason.
Option attempt	Selected or rejected contract, structure, quote evidence, and rejection counters.
Trade	Final quantity, entry price, exit price, PnL, return, and audit metadata.

When a skip happens, log it. No-trade days are part of the result set because they explain coverage, density, and feasibility.

Strategy families

The public cutebacktests runtime can support different signal families as long as they share the same replay contract:

opening-range breakout and continuation
VWAP and z-score mean reversion
relative-strength or proxy-relative logic
daily forecast profiles expressed through options

The strategy family changes the setup. It should not change the framework's causal discipline.

Failure modes to test

Engine tests should cover:

no bars for a day
setup exists but no eligible contract exists
contract exists but no quote window exists near entry
signal timestamp after allowed entry cutoff
entry timestamp at or after exit timestamp
exit target observable only after the relevant timestamp
multiple symbols trading on the same calendar day

Backtesting Framework

Docs