backtest-expert

1# Backtest Expert
2 
3Systematic approach to backtesting trading strategies based on professional methodology that prioritizes robustness over optimistic results.
4 
5## Core Philosophy
6 
7**Goal**: Find strategies that "break the least", not strategies that "profit the most" on paper.
8 
9**Principle**: Add friction, stress test assumptions, and see what survives. If a strategy holds up under pessimistic conditions, it's more likely to work in live trading.
10 
11## When to Use This Skill
12 
13Use this skill when:
14- Developing or validating systematic trading strategies
15- Evaluating whether a trading idea is robust enough for live implementation
16- Troubleshooting why a backtest might be misleading
17- Learning proper backtesting methodology
18- Avoiding common pitfalls (curve-fitting, look-ahead bias, survivorship bias)
19- Assessing parameter sensitivity and regime dependence
20- Setting realistic expectations for slippage and execution costs
21 
22## Prerequisites
23 
24- Python 3.9+ (for evaluation script)
25- No API keys required
26- No external data dependencies — metrics are user-provided
27 
28## Workflow
29 
30### 1. State the Hypothesis
31 
32Define the edge in one sentence.
33 
34**Example**: "Stocks that gap up >3% on earnings and pull back to previous day's close within first hour provide mean-reversion opportunity."
35 
36If you can't articulate the edge clearly, don't proceed to testing.
37 
38### 2. Codify Rules with Zero Discretion
39 
40Define with complete specificity:
41- **Entry**: Exact conditions, timing, price type
42…