--- id: sm-backtesting-trading-strategies name: "backtesting-trading-strategies" url: https://skills.yangsir.net/skill/sm-backtesting-trading-strategies author: jeremylongshore domain: investment tags: ["algorithmic-trading", "quantitative-finance", "backtesting", "financial-modeling", "python"] install_count: 3700 rating: 4.40 (20 reviews) github: https://github.com/jeremylongshore/claude-code-plugins-plus-skills --- # backtesting-trading-strategies > 该技能用于回测交易策略，帮助用户评估和优化其交易模型在历史数据上的表现。 **Stats**: 3,700 installs · 4.4/5 (20 reviews) ## Before / After 对比 ### 高效回测与优化交易策略 ## Readme # backtesting-trading-strategies # 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: ``` set -euo pipefail pip install pandas numpy yfinance matplotlib ``` Optional for advanced features: ``` set -euo pipefail pip install ta-lib scipy scikit-learn ``` ## Instructions - Fetch historical data (cached to `${CLAUDE_SKILL_DIR}/data/` for reuse): ``` python ${CLAUDE_SKILL_DIR}/scripts/fetch_data.py --symbol BTC-USD --period 2y --interval 1d ``` - Run a backtest with default or custom parameters: ``` 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: ``` 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`: ``` 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](https://github.com/ranaroussi/yfinance) - Yahoo Finance data - [TA-Lib](https://ta-lib.org/) - Technical analysis library - [QuantStats](https://github.com/ranaroussi/quantstats) - Portfolio analytics Weekly Installs2.3KRepository[jeremylongshore…s-skills](https://github.com/jeremylongshore/claude-code-plugins-plus-skills)GitHub Stars1.6KFirst SeenJan 26, 2026Security Audits[Gen Agent Trust HubPass](/jeremylongshore/claude-code-plugins-plus-skills/backtesting-trading-strategies/security/agent-trust-hub)[SocketPass](/jeremylongshore/claude-code-plugins-plus-skills/backtesting-trading-strategies/security/socket)[SnykPass](/jeremylongshore/claude-code-plugins-plus-skills/backtesting-trading-strategies/security/snyk)Installed onopencode2.0Kgemini-cli2.0Kcodex2.0Kgithub-copilot1.9Kkimi-cli1.9Kamp1.9K --- *Source: https://skills.yangsir.net/skill/sm-backtesting-trading-strategies* *Markdown mirror: https://skills.yangsir.net/api/skill/sm-backtesting-trading-strategies/markdown*