backtesting-trading-strategies

Original skill document

Rendered from the source repository. Headings, examples, code, tables, links, and referenced images are preserved.

Backtesting Trading Strategies

Overview

Validate trading strategies against historical data before risking real capital. This skill provides a complete backtesting framework with 8 built-in strategies, comprehensive performance metrics, and parameter optimization.

Key Features:

8 pre-built trading strategies (SMA, EMA, RSI, MACD, Bollinger, Breakout, Mean Reversion, Momentum)
Full performance metrics (Sharpe, Sortino, Calmar, VaR, max drawdown)
Parameter grid search optimization
Equity curve visualization
Trade-by-trade analysis

Prerequisites

Install required dependencies:

bash

set -euo pipefail
pip install pandas numpy yfinance matplotlib

Optional for advanced features:

bash

set -euo pipefail
pip install ta-lib scipy scikit-learn

Instructions

Fetch historical data (cached to ${CLAUDE_SKILL_DIR}/data/ for reuse):

bash

   python ${CLAUDE_SKILL_DIR}/scripts/fetch_data.py --symbol BTC-USD --period 2y --interval 1d

Run a backtest with default or custom parameters:

bash

   python ${CLAUDE_SKILL_DIR}/scripts/backtest.py --strategy sma_crossover --symbol BTC-USD --period 1y
   python ${CLAUDE_SKILL_DIR}/scripts/backtest.py \
     --strategy rsi_reversal \
     --symbol ETH-USD \
     --period 1y \
     --capital 10000 \  # 10000: 10 seconds in ms
     --params '{"period": 14, "overbought": 70, "oversold": 30}'

Analyze results saved to ${CLAUDE_SKILL_DIR}/reports/ -- includes *_summary.txt (performance metrics), *_trades.csv (trade log), *_equity.csv (equity curve data), and *_chart.png (visual equity curve).
Optimize parameters via grid search to find the best combination:

bash

   python ${CLAUDE_SKILL_DIR}/scripts/optimize.py \
     --strategy sma_crossover \
     --symbol BTC-USD \
     --period 1y \
     --param-grid '{"fast_period": [10, 20, 30], "slow_period": [50, 100, 200]}'  # HTTP 200 OK

Output

Performance Metrics

Metric	Description
Total Return	Overall percentage gain/loss
CAGR	Compound annual growth rate
Sharpe Ratio	Risk-adjusted return (target: >1.5)
Sortino Ratio	Downside risk-adjusted return
Calmar Ratio	Return divided by max drawdown

Risk Metrics

Metric	Description
Max Drawdown	Largest peak-to-trough decline
VaR (95%)	Value at Risk at 95% confidence
CVaR (95%)	Expected loss beyond VaR
Volatility	Annualized standard deviation

Trade Statistics

Metric	Description
Total Trades	Number of round-trip trades
Win Rate	Percentage of profitable trades
Profit Factor	Gross profit divided by gross loss
Expectancy	Expected value per trade

Example Output

================================================================================
                    BACKTEST RESULTS: SMA CROSSOVER
                    BTC-USD | [start_date] to [end_date]
================================================================================
 PERFORMANCE                          | RISK
 Total Return:        +47.32%         | Max Drawdown:      -18.45%
 CAGR:                +47.32%         | VaR (95%):         -2.34%
 Sharpe Ratio:        1.87            | Volatility:        42.1%
 Sortino Ratio:       2.41            | Ulcer Index:       8.2
--------------------------------------------------------------------------------
 TRADE STATISTICS
 Total Trades:        24              | Profit Factor:     2.34
 Win Rate:            58.3%           | Expectancy:        $197.17
 Avg Win:             $892.45         | Max Consec. Losses: 3
================================================================================

Supported Strategies

Strategy	Description	Key Parameters
`sma_crossover`	Simple moving average crossover	`fast_period`, `slow_period`
`ema_crossover`	Exponential MA crossover	`fast_period`, `slow_period`
`rsi_reversal`	RSI overbought/oversold	`period`, `overbought`, `oversold`
`macd`	MACD signal line crossover	`fast`, `slow`, `signal`
`bollinger_bands`	Mean reversion on bands	`period`, `std_dev`
`breakout`	Price breakout from range	`lookback`, `threshold`
`mean_reversion`	Return to moving average	`period`, `z_threshold`
`momentum`	Rate of change momentum	`period`, `threshold`

Configuration

Create ${CLAUDE_SKILL_DIR}/config/settings.yaml:

yaml

data:
  provider: yfinance
  cache_dir: ./data

backtest:
  default_capital: 10000  # 10000: 10 seconds in ms
  commission: 0.001     # 0.1% per trade
  slippage: 0.0005      # 0.05% slippage

risk:
  max_position_size: 0.95
  stop_loss: null       # Optional fixed stop loss
  take_profit: null     # Optional fixed take profit

Error Handling

See ${CLAUDE_SKILL_DIR}/references/errors.md for common issues and solutions.

Examples

See ${CLAUDE_SKILL_DIR}/references/examples.md for detailed usage examples including:

Multi-asset comparison
Walk-forward analysis
Parameter optimization workflows

Files

File	Purpose
`scripts/backtest.py`	Main backtesting engine
`scripts/fetch_data.py`	Historical data fetcher
`scripts/strategies.py`	Strategy definitions
`scripts/metrics.py`	Performance calculations
`scripts/optimize.py`	Parameter optimization

Resources

yfinance - Yahoo Finance data
TA-Lib - Technical analysis library
QuantStats - Portfolio analytics