Backtest Polymarket Strategy: A Practical Workflow
A step-by-step workflow to backtest a Polymarket strategy using resolved markets, historical snapshots, realistic fills, and risk metrics.
To backtest a Polymarket strategy, you need historical order books, resolved outcomes, and a fill model that respects spread and depth. Price-only tests usually overstate performance.
Backtest Workflow
- Choose a market family and timeframe.
- Pull resolved markets in the sample period.
- Replay snapshots in timestamp order.
- Generate signals from price, spread, depth, or reference price movement.
- Execute buys at asks and sells at bids.
- Score PnL, drawdown, win rate, slippage, and capacity.
Data Required
- Market metadata and resolution outcome
- Full bid and ask depth
- Reference asset prices
- Snapshot timestamps with enough granularity
Common Mistakes
Most weak backtests enter at the midpoint, ignore fees and spread, use markets that were not yet known, or forget that available size changes every snapshot.