GET /v1/backtest/:asset

Returns VaR backtesting results for a given asset. Uses the Kupiec Proportion of Failures (POF) test to validate whether the VaR model's predicted breach rates match actual observed breaches.

Request

GET https://api.canonprotocol.org/v1/backtest/BTC

Headers

Header	Required	Value
Authorization	Yes	Bearer YOUR_API_KEY

Path Parameters

Parameter	Type	Description
asset	string	Asset ticker (e.g. BTC, ETH)

Response

{
  "asset": "BTC",
  "returns_count": 720,
  "var_95": {
    "confidence": 0.95,
    "expected_breach_rate": 0.05,
    "actual_breach_rate": 0.047,
    "observations": 720,
    "breaches": 34,
    "kupiec_p_value": 0.72,
    "status": "pass"
  },
  "var_99": {
    "confidence": 0.99,
    "expected_breach_rate": 0.01,
    "observations": 720,
    "actual_breach_rate": 0.011,
    "breaches": 8,
    "kupiec_p_value": 0.65,
    "status": "pass"
  }
}

Fields

Field	Type	Description
asset	string	Asset ticker
returns_count	number	Number of hourly return observations used
var_95	object	Backtest results at 95% confidence
var_99	object	Backtest results at 99% confidence

VaR Backtest Object

Field	Type	Description
confidence	number	Confidence level (0.95 or 0.99)
expected_breach_rate	number	Expected proportion of VaR breaches
actual_breach_rate	number	Observed proportion of VaR breaches
observations	number	Total number of observations tested
breaches	number	Number of times actual loss exceeded VaR
kupiec_p_value	number	P-value from the Kupiec POF test. Higher values indicate the model is well-calibrated
status	string	One of "pass", "too_many_breaches", "too_few_breaches", or "insufficient_data"

Error Response

If no volatility data is available for the asset:

{
  "error": "no_volatility_data",
  "asset": "UNKNOWN"
}

Returns HTTP 404 Not Found.