The situation
A crypto futures trading business planned to publish results for two of its flagship strategies. It wanted an independent check before the figures went public.
The challenge
The numbers had to be reproduced from the written specification alone, without access to the original source code. Any difference, however small, had to be explained and not rounded away.
What we built
- An independent backtesting engine written from the specification, not from the client’s implementation
- A trade-by-trade reconciliation against the client’s reference results
- A written report covering the method, the findings and the limitations, including the negative ones
What was delivered
- Both strategies reproduced bit for bit over billions of trades
- A one-unit floating-point difference in a total was traced to its rounding rule, so it was understood and not ignored
- A data error was found in the client’s own published figures
Stack
- Python
- Independent replication
- Reconciliation reports