backtesting-trading-strategies
Backtest crypto and traditional trading strategies against historical market data.
- Includes 8 pre-built strategies (SMA, EMA, RSI, MACD, Bollinger Bands, Breakout, Mean Reversion, Momentum) with customizable parameters
- Calculates comprehensive performance metrics: Sharpe, Sortino, Calmar ratios, max drawdown, VaR, volatility, win rate, and profit factor
- Supports parameter grid search optimization to find best-performing configurations across strategy parameters
- Generates trade-by-trade analysis, equity curves, and visual charts saved to reports directory
- Fetches and caches historical data from yfinance; configurable commission, slippage, and position sizing
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:
pip install pandas numpy yfinance matplotlib
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