backtesting-frameworks
Установка
npx skills add https://github.com/wshobson/agents/tree/156b7a5e7a8b93642628a339ee4039c925b34c7f/plugins/quantitative-trading/skills/backtesting-frameworksСтавит скилл в текущий проект - CLI спросит, для каких агентов. С флагом -g - в домашнюю папку, для всех проектов.
Установи скилл «backtesting-frameworks» из https://github.com/wshobson/agents/tree/156b7a5e7a8b93642628a339ee4039c925b34c7f/plugins/quantitative-trading/skills/backtesting-frameworks: скопируй эту папку целиком в .claude/skills/backtesting-frameworks (для Codex - в .agents/skills/backtesting-frameworks). Потом прочитай SKILL.md и коротко скажи, в каких задачах будешь его применять.
Вставьте в Claude Code или Codex, открытый в папке проекта.
Библиотека - Скиллы - найдите «backtesting-frameworks» - «Установить».
Скачать ВайбКод · Windows и macOS
Описание
Build robust backtesting systems for trading strategies with proper handling of look-ahead bias, survivorship bias, and transaction costs. Use when developing trading algorithms, validating strategies, or building backtesting infrastructure.
SKILL.md
Исходник на GitHubBacktesting Frameworks
Build robust, production-grade backtesting systems that avoid common pitfalls and produce reliable strategy performance estimates.
When to Use This Skill
- Developing trading strategy backtests
- Building backtesting infrastructure
- Validating strategy performance
- Avoiding common backtesting biases
- Implementing walk-forward analysis
- Comparing strategy alternatives
Core Concepts
1. Backtesting Biases
| Bias | Description | Mitigation |
|---|---|---|
| Look-ahead | Using future information | Point-in-time data |
| Survivorship | Only testing on survivors | Use delisted securities |
| Overfitting | Curve-fitting to history | Out-of-sample testing |
| Selection | Cherry-picking strategies | Pre-registration |
| Transaction | Ignoring trading costs | Realistic cost models |
2. Proper Backtest Structure
Historical Data
│
▼
┌─────────────────────────────────────────┐
│ Training Set │
│ (Strategy Development & Optimization) │
└─────────────────────────────────────────┘
│
▼
┌─────────────────────────────────────────┐
│ Validation Set │
│ (Parameter Selection, No Peeking) │
└─────────────────────────────────────────┘
│
▼
┌─────────────────────────────────────────┐
│ Test Set │
│ (Final Performance Evaluation) │
└─────────────────────────────────────────┘
3. Walk-Forward Analysis
Window 1: [Train──────][Test]
Window 2: [Train──────][Test]
Window 3: [Train──────][Test]
Window 4: [Train──────][Test]
─────▶ Time
Detailed worked examples and patterns
Detailed sections (starting with ## Implementation Patterns) live in references/details.md. Read that file when the navigation summary above is insufficient.
Best Practices
Do's
- Use point-in-time data - Avoid look-ahead bias
- Include transaction costs - Realistic estimates
- Test out-of-sample - Always reserve data
- Use walk-forward - Not just train/test
- Monte Carlo analysis - Understand uncertainty
Don'ts
- Don't overfit - Limit parameters
- Don't ignore survivorship - Include delisted
- Don't use adjusted data carelessly - Understand adjustments
- Don't optimize on full history - Reserve test set
- Don't ignore capacity - Market impact matters