Backtesting Frameworks Agent Skill
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.
Install
one command, takes just this skill from the repositorynpx skills add https://github.com/wshobson/agents --skill backtesting-frameworksThe instruction itself
10 sections, as written by the authorBacktesting 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
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How to use it
Take wshobson/backtesting-frameworks from the repository into ~/.claude/skills for personal
use, or into .claude/skills inside a project.
The agent identifies a skill by the name field in its header. Two skills with the
same name cannot sit side by side — one of them will be ignored.