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optimize

optimize

github.com/marketcallsData & databases2152.4k installsUpdated 16w ago
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About optimize

A skill for traders that generates VectorBT strategy-optimization scripts, evaluates parameter combinations, and compares results with a NIFTY benchmark.

Key features

  1. 01Creates scripts for a strategy and symbol
  2. 02Uses OpenAlgo ta for indicators and signal cleanup
  3. 03Tracks return, Sharpe, drawdown, and trade count
  4. 04Plots return and Sharpe parameter heatmaps
  5. 05Compares with NIFTY and saves CSV results

Use cases

  1. 01Find parameters with higher returns or Sharpe ratios
  2. 02Compare an optimized strategy with the NIFTY benchmark

Install

Copy the command and run it in a terminal.

$npx skills add https://github.com/marketcalls/vectorbt-backtesting-skills --skill optimize

After installing, type/optimizein Claude Code to confirm it loaded.

Details

From the project README

Create a parameter optimization script for a VectorBT strategy.

Arguments

Parse $ARGUMENTS as: strategy symbol exchange interval

  • $0 = strategy name (e.g., ema-crossover, rsi, donchian). Default: ema-crossover
  • $1 = symbol (e.g., SBIN, RELIANCE, NIFTY). Default: SBIN
  • $2 = exchange (e.g., NSE, NFO). Default: NSE
  • $3 = interval (e.g., D, 1h, 5m). Default: D

If no arguments, ask the user which strategy to optimize.

Instructions

  1. Read the vectorbt-expert skill rules for reference patterns
  2. Create backtesting/{strategy_name}/ directory if it doesn't exist (on-demand)
  3. Create a .py file in backtesting/{strategy_name}/ named {symbol}_{strategy}_optimize.py
  4. The script must:
    • Load .env from project root using find_dotenv() and fetch data via OpenAlgo client.history()
    • If user provides a DuckDB path, load data directly via duckdb.connect(path, read_only=True). See vectorbt-expert rules/duckdb-data.md.
    • If openalgo.ta is not importable (standalone DuckDB), use inline exrem() fallback.
    • Use OpenAlgo ta for ALL indicators by default (never VectorBT built-in). Only switch to TA-Lib if the user explicitly says "talib"/"TA-Lib"
    • Always use OpenAlgo ta for specialty indicators (Supertrend, Donchian, etc.) - no TA-Lib equivalent exists
    • Use ta.exrem() to clean signals (always .fillna(False) before exrem)
    • Define sensible parameter ranges for the chosen strategy
    • Use loop-based optimization to collect multiple metrics per combo
    • Track: total_return, sharpe_ratio, max_drawdown, trade_count for each combination
    • Use tqdm for progress bars
    • Indian delivery fees: fees=0.00111, fixed_fees=20 for delivery equity
    • Find best parameters by total return AND by Sharpe ratio
    • Print top 10 results for both criteria
    • Generate Plotly heatmap of total return across parameter grid (template="plotly_dark")
    • Generate Plotly heatmap of Sharpe ratio across parameter grid
    • Fetch NIFTY benchmark and compare best parameters vs benchmark
    • Print Strategy vs Benchmark comparison table
    • Explain results in plain language for normal traders
    • Save results to CSV
  5. Never use icons/emojis in code or logger output
  6. For futures symbols, use lot-size-aware sizing:
    • NIFTY: min_size=65, size_granularity=65
    • BANKNIFTY: min_size=30, size_granularity=30

Default Parameter Ranges

StrategyParameter 1Parameter 2
ema-crossoverfast EMA: 5-50slow EMA: 10-60
rsiwindow: 5-30oversold: 20-40
donchianperiod: 5-50-
supertrendperiod: 5-30multiplier: 1.0-5.0

Example Usage

/optimize ema-crossover RELIANCE NSE D /optimize rsi SBIN

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