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backtesting-frameworks

backtesting-frameworks

github.com/wshobsonData & databases41.9k17.0k installsUpdated 2w ago
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About backtesting-frameworks

A skill for designing and evaluating trading strategy backtests. It guides developers through bias controls, out-of-sample validation, and walk-forward analysis to produce more reliable performance estimates.

Key features

  1. 01Identifies common backtesting biases
  2. 02Uses point-in-time historical data
  3. 03Includes transaction costs
  4. 04Applies out-of-sample testing
  5. 05Guides walk-forward analysis
  6. 06Recommends Monte Carlo analysis

Use cases

  1. 01Developing trading strategy backtests
  2. 02Validating strategy performance
  3. 03Comparing strategy alternatives
  4. 04Building backtesting infrastructure

Install

Copy the command and run it in a terminal.

$npx skills add https://github.com/wshobson/agents --skill backtesting-frameworks

After installing, type/backtesting-frameworksin Claude Code to confirm it loaded.

Bundled filesreferences/details.md

Details

From the project README

Backtesting 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
BiasDescriptionMitigation
Look-aheadUsing future informationPoint-in-time data
SurvivorshipOnly testing on survivorsUse delisted securities
OverfittingCurve-fitting to historyOut-of-sample testing
SelectionCherry-picking strategiesPre-registration
TransactionIgnoring trading costsRealistic 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

Comments

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