Case 01579

Skill knownasnaffy/prompthound/dataset/case_01579

Programmatic backtesting framework for trading strategies. Runs backtests with historical price data (yfinance or CSV), supports momentum/mean-reversion/factor/signal-based strategies, walk-forward optimization, out-of-sample testing, transaction cost modeling, regime-aware splits, and full performance metrics (Sharpe, Sortino, Calmar, max drawdown, CAGR, win rate, profit factor). Distinct from einstein-research-backtest (which provides methodology guidance). Use when a user wants to actually run a backtest, test a specific strategy on historical data, or generate performance metrics.From its SKILL.md

Install

npx -y skills add knownasnaffy/prompthound --skill case_01579

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SKILL.md

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Backtest Engine

This skill is the programmatic engine for running quantitative trading strategy backtests. It takes a machine-readable strategy definition (e.g., from the einstein-research-edge skill) and executes it against historical data, producing detailed performance metrics.

When to Use This Skill

User wants to run a backtest on a specific strategy.
User has a strategy.yaml file from the edge-generator skill.
User wants to generate performance metrics for a trading idea.
Triggers: "run a backtest," "test this strategy," "generate performance metrics."

This skill is for execution. For guidance on how to design a robust backtest, see the einstein-research-backtest methodology skill.

Workflow

Step 1: Provide Strategy Definition

The backtest engine requires a strategy.yaml file that defines the rules of the strategy.

strategy.yaml Format:

version: backtest-engine/v1
name: 52-Week High Momentum
universe: "sp500"
data:
  source: yfinance
  start_date: "2018-01-01"
  end_date: "2023-12-31"
entry_signal:
  - "price > high_52w"
  - "volume > 2 * avg_volume_50d"
exit_signal:
  - "hold_days == 5"
  - "pct_change >= 0.10"
  - "pct_change <= -0.05"
parameters:
  hold_days: 5
  profit_target: 0.10
  stop_loss: -0.05

Step 2: Execute the Backtest

The backtest-engine CLI runs the simulation.

backtest-engine run --strategy-file path/to/strategy.yaml

Optional Flags:

--costs 0.0005: Apply a 0.05% transaction cost per trade.
--out-of-sample-split 2022-01-01: Split data for out-of-sample testing.
--walk-forward: Enable walk-forward optimization mode.

The script performs the following actions:

Loads Data: Fetches historical price data via yfinance or from a local CSV.
Generates Signals: Iterates through the historical data day-by-day, applying the entry_signal and exit_signal logic.
Simulates Trades: Creates a trade log based on the generated signals.
Calculates Equity Curve: Builds the portfolio's equity curve over time.
Computes Metrics: Calculates a full suite of performance metrics.

Step 3: Analyze the Performance Report

The engine generates a detailed report in JSON and Markdown.

Key Performance Metrics (KPIs):

CAGR: Compound Annual Growth Rate.
Max Drawdown: The largest peak-to-trough drop.
Sharpe Ratio: Risk-adjusted return (vs. risk-free rate).
Sortino Ratio: Risk-adjusted return (vs. downside deviation only).
Calmar Ratio: Return relative to max drawdown.
Win Rate %: Percentage of trades that were profitable.
Profit Factor: Gross profits / gross losses.
Trades per Year: Frequency of the strategy.

Report Structure (backtest_report_YYYY-MM-DD.md):

Strategy Summary: The input strategy.yaml definition.
Overall Performance: A table with the key performance metrics.
Equity Curve: An ASCII or image chart of the portfolio's growth.
Drawdown Periods: Highlights the worst drawdown periods.
Trade Log: A sample of the individual trades made.
Annual Returns: A bar chart of returns by year.

Step 4: Present Findings

Synthesize the report for the user, focusing on the most important metrics that answer their original question. Always contextualize the results by referencing the methodology from the einstein-research-backtest skill (e.g., "This is an initial backtest. The next step is to test for parameter robustness.").