Backtesting Skill

Backtesting Skill

Overview

Run ziplime backtests from deterministic templates and a constrained JSON schema. Map the user strategy into schema fields, run the script, and report results in one standard format.

Workflow

1. Identify whether the user request maps to a supported template:
   • oversold_bounce_long_only
   • sma_crossover_long_only
   • trend_dip_buy_long_only
2. Build a schema JSON using references/schema.md.
3. Run the backtest script:
   • python scripts/run_backtest_from_schema.py --schema <path-to-schema.json>
4. If bundle is missing and user allows Yahoo ingestion, run with:
   • python scripts/run_backtest_from_schema.py --schema <path> --ingest-if-missing
5. If the user asks for OOS checks, enable validation_split in schema and report train/test results explicitly.
6. Return concise results using the global output standard (all templates):
   • Core metrics (total_return, sharpe, max_drawdown, alpha, beta, algo_volatility)
   • Extended performance metrics (Performance, Win Days, Sharpe, Avg. Drawdown, Beta, Avg. Drawdown Days, Alpha, Volatility, Recovery Factor, Profit Factor, Calmar)
   • Trade summary (trade_count, win_rate, avg_hold_days, avg_trade_return, expectancy_return, best_trade_return, worst_trade_return)
   • Capacity diagnostics (avg_daily_turnover, annualized_turnover, participation_vs_adv_floor, participation_risk)
   • Risk attribution (corr_with_benchmark, up/down beta, up/down capture, rolling risk endpoints)
   • Stability diagnostics for grid runs (stability_diagnostics)
   • Final equity
   • Chosen params or top grid-search params
   • Practical tradability assessment (required, brief):
     • Future-leakage check (signal timestamp vs execution semantics)
     • Slippage and commission assumptions, and likely live impact direction
     • Overfitting risk comment (grid size, parameter concentration, need for OOS/walk-forward)
     • Capacity/liquidity note (turnover sensitivity and instrument suitability)

Global Output Standard (All Runs)

• Apply this output contract to every backtest result, regardless of template or symbol.
• Always include: core metrics, extended metrics, final equity, chosen params/top grid params.
• Always include a brief practical tradability assessment with all 4 checks:
  • future leakage / execution semantics
  • slippage + commission realism
  • overfitting risk
  • capacity/liquidity constraints
• Keep grid search defaults small and fast; only run exhaustive grids when explicitly requested.

Template Mapping Rules

• If user asks for waterfall/panic-reversal mean reversion and long-only, use oversold_bounce_long_only.
• If user asks for moving-average cross long-only, use sma_crossover_long_only.
• If user asks for trend-dip long-only with MA regime filter, use trend_dip_buy_long_only.
• If request cannot map safely to supported templates, ask for a template-constrained restatement.

Execution Notes

• Keep max_leverage=1.0 and no short orders.
• Prefer existing bundles. Only ingest when explicitly requested or enabled.
• Use the same frequency for bundle load and emission_rate.
• Use out-of-sample checks by date split when user requests robustness.
• Default to quick, reasonable grid sizes; run exhaustive grids only when explicitly requested.
• Use execution schema fields when the user asks to tune slippage, commission, or fill behavior.
• Use data.symbols for multi-symbol runs on sma_crossover_long_only and trend_dip_buy_long_only.
• Use max_positions, rank_metric, and rebalance_rule for lightweight portfolio construction controls.
• Keep runtime data.source on bundle; treat other data sources as reserved interface checks unless adapter support is added.
• Use live_data fields only as reserved interface validation (for example ibkr), not for live order execution in this runner.

Commands

• Single run:
  • python scripts/run_backtest_from_schema.py --schema schema.json
• Grid search:
  • set "grid_search": {"enabled": true, ...} in schema, then run the same command.
• Optional ingestion path:
  • python scripts/run_backtest_from_schema.py --schema schema.json --ingest-if-missing
• Validation-only (no ziplime runtime required):
  • python scripts/run_backtest_from_schema.py --schema schema.json --validate-only

Common Mistakes

• Bundle frequency mismatch (5m bundle but daily emission or inverse).
• Running intraday templates against daily-only bundles.
• Expecting Yahoo minute data to cover very long history windows.
• Adding unconstrained custom logic instead of using schema parameters.