Backtesting

Backtesting

The Backtesting pillar combines historical data access and event-driven strategy simulation. NautilusTrader is the engine (no look-ahead, real order/fill/commission accounting); ../data/SKILL.md is the historical data layer (US OHLCV bars via read-only SQL). A small framework, run in phases — not a one-off script.

This skill runs local simulations on historical data only. It never places real orders and has no brokerage connectivity.

Use ../realtime-api-data/SKILL.md instead for recent/realtime point lookups.

How an agent uses this skill

Work through the five phases in order. Each phase has a Goal, the Actions to take, and a Gate — a condition that must hold before you move on. Do not skip a gate; skipping is how look-ahead bias and frictionless-fantasy results sneak in.

Phase 1  SETUP        install + verify the engine
Phase 2  PARAMETERS   ask the user the forms below, write <run>.config.json
Phase 3  DATA         fetch bars via anyfinancial, validate coverage
Phase 4  EXECUTE      run in-sample, then out-of-sample, in NautilusTrader
Phase 5  REPORT       markdown summary + backtest bundle at /code/backtests/<slug>/

Read references/domain_knowledge.md before Phase 2. Steering the user away from look-ahead bias, overfitting, and zero-cost fills is the point of this skill — raise those trade-offs while collecting parameters, not after a run.

Phase 1 — Setup / install

Goal: a working engine venv.

Actions:

bash scripts/setup.sh                 # creates .venv-backtest, installs nautilus_trader + requests, self-verifies
source .venv-backtest/bin/activate
python scripts/run_backtest.py --help # should print help after setup

Prebuilt wheels (cp311–cp313, ~175 MB, no compiler). Data needs Rebyte API auth (AUTH_TOKEN / rebyte-auth / auth.json) — resolved automatically. Engine internals and version notes: references/nautilus_patterns.md.

Gate: setup.sh printed a nautilus_trader <version> line and OK.

If run_backtest.py reports ModuleNotFoundError: nautilus_trader, setup has not been run in the current environment. Run bash scripts/setup.sh, then activate .venv-backtest.

Phase 2 — Parameter collection (ask the user)

Goal: a complete <run>.config.json, with the user's informed choices.

Actions: Ask the two forms below with AskUserQuestion (skip any parameter the user already gave; otherwise apply the (Recommended) option). Explain the trade-off when it matters — especially costs and the OOS split. Then copy config.example.json to <run>.config.json and fill it in from the answers (mapping shown after the forms).

Form A — Strategy & scope (one AskUserQuestion call, 4 questions)

• Universe — header: Universe
  • Large-cap tech sample (Recommended) — AAPL, MSFT, NVDA, AMZN, GOOGL
  • Single ticker — AAPL only (fastest to reason about)
  • Diversified sample — AAPL, JPM, XOM, JNJ, PG (cross-sector)
  • (Other → user gives a custom ticker list)

  • Note in your ask: any hand-picked set is not survivorship-bias-free.

• Date range — header: Date range
  • 2022-01-01 → today (Recommended) — spans a bear market + recovery
  • Last 12 months — recent regime only
  • 2021-06 → today — maximum daily history available (us.eod starts 2021-06)
  • (Other → custom start/end)
• Interval — header: Interval
  • Daily (Recommended) — swing/position; cheap, long history (us.eod)
  • 1-minute intraday — us.bars_1m; large and slow, bound the window
• Strategy — header: Strategy
  • SMA crossover — built-in (Recommended) — strategies/sma_cross.py
  • EMA crossover — built-in — bundled nautilus_trader example
  • (Other → user wants a custom strategy; you'll write one, see Phase 4)

Form B — Capital & realism (one AskUserQuestion call, 3 questions)

• Capital & account — header: Capital
  • $100k, MARGIN (Recommended)
  • $100k, CASH — no shorting/leverage
  • $1M, MARGIN
  • (Other → custom balance/account)
• Costs — header: Costs
  • $1/order + slippage 0.1 (Recommended) — a reasonable retail baseline
  • Higher: $5/order + slippage 0.3 — conservative / small-account
  • Zero costs — frictionless — ⚠️ not realistic; only for a sanity check
  • (Other → custom commission/slippage)
• In-sample / out-of-sample split — header: OOS split
  • Hold out 30% (Recommended) — tune on in-sample, judge on out-of-sample
  • 50 / 50 — stricter honesty, less tuning data
  • No split — full series — exploratory only; do not report as validated

Answer → config mapping

Config schema (copy config.example.json):

{
  "run_name": "aapl_msft_sma_2024",
  "data":  { "source_table": "us.eod", "interval": "1day",
             "tickers": ["AAPL","MSFT"], "start": "2024-01-01",
             "end": "today", "cache_dir": "data_cache" },
  "venue": { "name": "XNAS", "account_type": "MARGIN", "base_currency": "USD",
             "starting_balance": 100000, "price_precision": 2,
             "commission_per_order_usd": 1.0, "slippage_prob": 0.1 },
  "strategy": { "path": "strategies.sma_cross:SMACross",
                "config_path": "strategies.sma_cross:SMACrossConfig",
                "params": { "fast_period": 10, "slow_period": 30, "trade_size": 100 } },
  "evaluation": { "oos_split": 0.3, "warmup_bars": 30, "random_seed": 42 }
}

Gate: <run>.config.json exists and every field is filled from a user answer or a stated default. strategy.params.slow_period (or the slowest indicator) ≤ evaluation.warmup_bars.

For a quick local smoke run, copy config.example.json and narrow it before fetching:

cp config.example.json smoke.config.json
# edit smoke.config.json: one ticker, a short completed date range, e.g.
# "tickers":["AAPL"], "start":"2026-07-02", "end":"2026-07-02"

Phase 3 — Data selection via anyfinancial

Goal: validated local bars for every ticker.

Actions:

python scripts/fetch_data.py --config <run>.config.json      # --force to re-pull

Pulls the config's tickers/range into data_cache/ as CSV, from the anyfinancial SQL service (1day → us.eod, 1min → us.bars_1m). To explore what's available first, use the anyfinancial workflow directly:

python3 /code/any-financial/data/scripts/anyfinancial_cli.py catalog
python3 /code/any-financial/data/scripts/anyfinancial_cli.py schema us.eod

Tables, SQL dialect, and data caveats: references/data_sources.md.

Validate the printed summary before running: each ticker returned enough bars (≥ warmup + a meaningful test), the date range matches the request, and no ticker came back near-empty (typo / delisted). If the window spans a known split, confirm adjustment (see data_sources.md — us.eod is raw OHLCV).

Gate: every ticker has a non-trivial bar count and the coverage matches the config.

Phase 4 — Backtest execution (NautilusTrader)

Goal: in-sample and out-of-sample results.

Actions:

python scripts/run_backtest.py --config <run>.config.json --split in                 # tune here
python scripts/run_backtest.py --config <run>.config.json --split out --report out.json  # judge here
python scripts/run_backtest.py --config <run>.config.json --split full               # full-series view

Or run the wired setup -> fetch -> execute path:

bash scripts/run_workflow.sh --config <run>.config.json --splits in,out,full

One runner, any strategy, any universe. It builds the engine with commission + slippage from the config, plugs in the configured strategy, runs event-driven, and prints metrics (plus optional --report JSON).

Swapping strategies is config-only — point strategy.path / strategy.config_path at any Strategy/StrategyConfig pair (a file in strategies/, or a bundled one such as nautilus_trader.examples.strategies.ema_cross:EMACross). To write a custom strategy, copy strategies/sma_cross.py — it documents the plug-in contract (first two config fields are instrument_id and bar_type, injected by the runner). Engine assembly and the pandas-3.0 wrangler trap: references/nautilus_patterns.md.

Gate: in-sample and out-of-sample runs both completed and emitted metrics.

Phase 5 — Results reporting

Goal: an honest report the user can act on.

Actions: Compare in-sample vs out-of-sample, and against buy-and-hold the same universe. ALWAYS use this template:

## Backtest: <run_name>
**Setup:** <universe> · <interval> · <start>→<end> · <strategy+params> · <capital/account> · costs <commission>/order, slippage <p>

| Metric | In-sample | Out-of-sample |
|---|---|---|
| Total return / PnL% | | |
| Sharpe (252d) | | |
| Max drawdown | | |
| Trades (orders/positions) | | |
| Final balance | | |

**Read:** <1–3 sentences: did OOS hold up vs in-sample? vs buy-and-hold?>
**Limitations:** bar-only fills (no order book); self-selected universe (survivorship);
costs modelled not exact; OOS is one pass, not a guarantee. <plus any data caveat hit>

A strong in-sample number that collapses out-of-sample is overfitting — say so plainly. Never present a return without its drawdown and trade count.

Backtest bundle delivery (rebyte.backtest.v1) — the deliverable

Every completed backtest is delivered as a bundle: a directory at the absolute path /code/backtests/<slug>/ (kebab-case slug, e.g. sma-cross-aapl-2024). The Rebyte relay scans /code/backtests/ at end-of-prompt, validates manifest.json, and renders the bundle as a first-class artifact in the product (headline-metrics card in chat, Report / Code / Files viewer). Do NOT upload the report to the Artifact Store and do NOT emit a <rebyte-artifacts> tag for the bundle — detection is automatic; an invalid manifest means the bundle is silently absent from the product, so treat the checklist below as a hard gate.

Bundle contents (all files flat in the bundle dir):

Runner-native files come from re-running the judging split with --output-dir (also computes max_drawdown_pct into metrics.json):

python scripts/run_backtest.py --config <run>.config.json --split out \
  --output-dir /code/backtests/<slug>/
# no OOS split (exploratory full-series run): use --split full

Use the out-of-sample run for the bundle when a split exists — the bundle's headline is the honest number, not the tuned in-sample one.

manifest.json spec — the relay rejects the bundle unless all of this holds: schema is exactly rebyte.backtest.v1; slug equals the directory name; metrics.total_return_pct / metrics.sharpe / metrics.max_drawdown_pct are numbers; files[] lists every file above with its role (roles report and strategy are mandatory); file names are flat (no subdirectories). Take the metric values from metrics.json _headline (pnl_pct → total_return_pct).

{
  "schema": "rebyte.backtest.v1",
  "name": "SMA Crossover — AAPL 2024",
  "slug": "sma-cross-aapl-2024",
  "strategy": { "name": "SMA Crossover", "file": "strategy.py",
                "params": { "fast_period": 10, "slow_period": 30 } },
  "tickers": ["AAPL"],
  "interval": "1day",
  "period": { "start": "2024-01-01", "end": "2024-12-31" },
  "split": "holdout-30pct, metrics are out-of-sample",
  "metrics": { "total_return_pct": 12.4, "sharpe": 1.13, "max_drawdown_pct": -8.2,
               "sortino": 1.51, "win_rate": 0.54, "profit_factor": 1.32,
               "final_balance": 112400, "trades": 42 },
  "files": [
    { "name": "index.html", "role": "report" },
    { "name": "strategy.py", "role": "strategy" },
    { "name": "config.json", "role": "config" },
    { "name": "metrics.json", "role": "metrics" },
    { "name": "trades.csv", "role": "trades" },
    { "name": "equity_curve.csv", "role": "equity_curve" },
    { "name": "data_prep.md", "role": "data_prep" }
  ]
}

index.html — SELF-CONTAINED, no exceptions. The product serves this one file from an isolation domain where sibling files are unreachable, so:

• Inline the Kami CSS: paste the contents of ../report-style/styles.css then ../report-style/report.css into a <style> block. (This overrides the usual "link, don't inline" Kami rule — bundles are the exception.) Keep the full Kami look: parchment #f5f4ed canvas, ink-blue #1B365D accent, serif-led hierarchy, .kami-table financial metrics table, .metric headline numbers.
• Inline the data: embed the equity curve and trade markers as JS const arrays — never fetch() a sibling CSV/JSON.
• Charts: TradingView Lightweight Charts, same pattern as ../financial-charts/templates/price-chart.html (CDN <script> is fine — the isolation domain allows external scripts): an equity-curve chart with trade markers (the "replay" view), plus price+signal charts if they help.
• Content: the same fields as the markdown template above — Setup line, in-sample vs out-of-sample metrics table, Read paragraph, Limitations block — plus a short "How the data was prepared" section summarizing data_prep.md.

data_prep.md — how the data was prepared, NOT the data itself: source table (us.eod / us.bars_1m), tickers, date range, bar counts per ticker, in/out split, and any caveats hit (raw OHLCV adjustment, gaps, delistings). Never put raw OHLCV bars in the bundle — derived outputs only (the relay enforces 25 MB/file, 100 MB/bundle caps).

In the chat body, keep the short markdown summary (template above); the product attaches the bundle card to the same message automatically.

Gate: /code/backtests/<slug>/ exists with every manifest-listed file; manifest.json follows the spec exactly (slug == dir name, required roles, numeric headline metrics); index.html is self-contained (inline CSS + data, no relative references) and Kami-styled; no raw bar dumps in the bundle; chat body uses the markdown template and states the limitations.

Files

SKILL.md                      — this phase playbook
config.example.json           — copy per run → <run>.config.json
evals/evals.json              — sample tasks for skill testing (Skill Creator style)
scripts/setup.sh              — Phase 1: install + verify
scripts/fetch_data.py         — Phase 3: anyfinancial → local CSV cache
scripts/run_backtest.py       — Phase 4: config-driven runner (engine + report)
scripts/run_workflow.sh       — setup → fetch → run wrapper for executable path
strategies/sma_cross.py       — example strategy + the plug-in contract
references/domain_knowledge.md — pitfalls, metrics, workflow (READ BEFORE Phase 2)
references/data_sources.md     — anyfinancial tables, SQL, data caveats
references/nautilus_patterns.md— engine assembly, wrangler trap, frictions