Optimize

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

• Read the vectorbt-expert skill rules for reference patterns
• Create backtesting/{strategy_name}/ directory if it doesn't exist (on-demand)
• Create a .py file in backtesting/{strategy_name}/ named {symbol}_{strategy}_optimize.py
• 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
• Never use icons/emojis in code or logger output
• 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

| Strategy | Parameter 1 | Parameter 2 |

|----------|------------|-------------|

| ema-crossover | fast EMA: 5-50 | slow EMA: 10-60 |

| rsi | window: 5-30 | oversold: 20-40 |

| donchian | period: 5-50 | - |

| supertrend | period: 5-30 | multiplier: 1.0-5.0 |

Example Usage

/optimize ema-crossover RELIANCE NSE D

/optimize rsi SBIN