Add Strategy

add-strategy Skill

Create a new trading strategy for the ai-trader backtesting framework with automatic file generation, registration, and validation.

Overview

This skill automates the creation of trading strategies following established patterns in the ai-trader project. It handles:

• File creation with proper naming conventions (PascalCase class → snake_case filename)
• Comprehensive docstrings (module and class level)
• Parameter validation and defaults
• Automatic registration in __init__.py files
• Standalone backtest scaffolding
• Pre-flight validation for name conflicts and custom indicators

Two strategy types are supported:

• Classic: Single-stock strategies (e.g., DoubleTopStrategy, BBandsStrategy)
• Portfolio: Multi-asset rotation strategies (e.g., ROCRotationStrategy, MultiBBandsRotationStrategy)

Interactive Workflow

The skill guides you through the following steps:

Step 1: Strategy Type

Confirm whether this is a classic (single-stock) or portfolio (multi-asset) strategy.

Step 2: Name & Description

• Provide the strategy name in PascalCase (e.g., "MACDBBands")
• Provide a 1-2 sentence description
• The skill automatically converts to snake_case for the filename (macd_bbands.py)

Step 3: Parameters

Define parameters as comma-separated name=value pairs:

• Example: fast=12, slow=26, signal=9, bb_period=20
• All parameters must have default values
• Parameter names must be valid Python identifiers

Step 4: Entry & Exit Logic

• Describe the entry condition (buy signal)
• Describe the exit condition (sell signal)
• For portfolio strategies, describe rotation/rebalancing logic

Step 5: Custom Indicators (Optional)

If your strategy uses custom indicators from indicators.py, list them:

• Available: DoubleTop, RSRS, NormRSRS, RecentHigh, TripleRSI, etc.
• The skill verifies they exist and generates the import statement

Step 6: Preview & Confirmation

Review the generated file structure before creation:

• Target file path
• Class name and type
• Parameters
• Files to be modified (init.py imports and all)

Step 7: Creation & Verification

The skill creates:

• Strategy file with complete structure
• Updates imports and all list in init.py
• Validates syntax by attempting import
• Shows git status for verification

Usage Examples

Creating a Classic Strategy

$ /add-strategy classic

Creating a classic single-stock strategy.

What should we name this strategy? (e.g., "BollingerBreakout")
> MACDBBands

Brief description (1-2 sentences)?
> Combines MACD for trend and Bollinger Bands for entry timing

Parameters with defaults? (e.g., "fast=12, slow=26, signal=9, bb_period=20")
> fast=12, slow=26, signal=9, bb_period=20, bb_dev=2

Entry condition (buy signal)?
> MACD crosses above signal line AND price below lower Bollinger Band

Exit condition (sell signal)?
> MACD crosses below signal line OR price above upper Bollinger Band

Any custom indicators from indicators.py? (e.g., DoubleTop, RSRS)
> No

[Preview shown]

Proceed with creation? (yes/no)
> yes

✓ Created macd_bbands.py
✓ Updated classic/__init__.py (added import)
✓ Updated classic/__init__.py (added to __all__)
✓ Verified file is importable

Next steps:
1. Test standalone: python ai_trader/backtesting/strategies/classic/macd_bbands.py
2. Review generated code and refine logic
3. Test via CLI: ai-trader quick MACDBBandsStrategy your_data.csv
4. Check changes: git diff
5. Commit when ready

Creating a Portfolio Strategy

$ /add-strategy portfolio

Creating a portfolio multi-asset strategy.

What should we name this strategy? (e.g., "MomentumRotation")
> TripleEMARotation

Brief description?
> Rotates portfolio to assets with strongest triple EMA alignment

Parameters?
> short_ema=10, med_ema=20, long_ema=50, top_k=5

Rotation/Rebalancing logic?
> Rotate monthly to top-5 assets where all three EMAs are bullishly aligned

Custom indicators?
> No

[Preview shown]

Proceed with creation? (yes/no)
> yes

✓ Created triple_ema_rotation.py
✓ Updated portfolio/__init__.py (added import)
✓ Updated portfolio/__init__.py (added to __all__)
✓ Verified file is importable

File Templates

Classic Strategy Template

"""
[Strategy Name]

[1-2 sentence description of what the strategy does and the market conditions it targets.]
"""

import backtrader as bt

from ai_trader.backtesting.strategies.base import BaseStrategy
# [Add custom indicator imports if needed]
# from ai_trader.backtesting.strategies.indicators import CustomIndicator


class [StrategyName]Strategy(BaseStrategy):
    """
    [Strategy Name] - [One-line tagline describing the core approach].

    [Detailed description paragraph explaining the trading logic, market conditions,
    and why this strategy works in those conditions.]

    Entry Logic (Buy):
    - Condition 1
    - Condition 2

    Exit Logic (Sell):
    - Condition 1
    - Condition 2

    Parameters:
    - param_name (type): Description [default: value]

    Notes:
    - Insight 1
    - Insight 2
    """

    params = dict(param1=value1, param2=value2)

    def __init__(self):
        """Initialize indicators and signals."""
        super().__init__()
        # Initialize indicators here
        # self.indicator = bt.indicators.SMA(self.data)

    def next(self):
        """Execute trading logic each bar."""
        if self.position.size == 0:
            # Check buy signal and enter
            pass
        else:
            # Check exit signal and close
            pass


if __name__ == "__main__":
    from ai_trader.utils.backtest import run_backtest

    # Run backtest with [StrategyName]Strategy
    results = run_backtest(
        strategy=[StrategyName]Strategy,
        data_source=None,  # Use example data
        cash=1000000,
        commission=0.001425,
    )

    print("Backtest completed! Use cerebro.plot() to visualize results.")

Portfolio Strategy Template

"""
[Strategy Name]

[1-2 sentence description of the portfolio rotation strategy.]
"""

import backtrader as bt

from ai_trader.backtesting.strategies.base import BaseStrategy
# [Add custom indicator imports if needed]


class [StrategyName]Strategy(BaseStrategy):
    """
    [Strategy Name] - [One-line tagline].

    [Detailed description of the rotation/rebalancing logic.]

    Entry Logic (Buy):
    - Condition 1 (applies to each asset in the portfolio)
    - Condition 2

    Exit Logic (Sell):
    - Condition 1
    - Asset no longer in top-k performers

    Parameters:
    - param_name (type): Description [default: value]

    Notes:
    - Rotates portfolio based on selection criteria
    - Equal-weight or custom allocation across selected assets
    - Rebalances when conditions change
    """

    params = dict(param1=value1, top_k=5)

    def __init__(self):
        """Initialize indicators for all assets."""
        super().__init__()
        self.indicators = {
            data: bt.ind.SMA(data) for data in self.datas
        }
        self.top_k = self.params.top_k

    def next(self):
        """Execute portfolio rebalancing logic."""
        # Get current holdings
        holding = [d for d, pos in self.getpositions().items() if pos]

        # Identify candidates and exits
        to_buy = [data for data in self.datas if self._is_buy_signal(data)]
        to_close = [data for data in self.datas if self._is_exit_signal(data)]

        # Close positions in assets with exit signals
        for data in to_close:
            if data in holding:
                self.order_target_percent(data=data, target=0.0)
                self.log(f"Exit {data._name}")

        # Select top-k by performance
        portfolio = list(set(to_buy + holding))
        if not portfolio:
            return

        if len(portfolio) > self.top_k:
            # Rank by indicator and select top-k
            ranked = sorted(
                [(d, self.indicators[d][0]) for d in portfolio],
                key=lambda x: x[1],
                reverse=True,
            )
            portfolio = [d for d, _ in ranked[:self.top_k]]

        # Equal-weight allocation
        weight = 1 / len(portfolio)
        for data in portfolio:
            self.order_target_percent(data, target=weight * 0.95)

    def _is_buy_signal(self, data):
        """Check if data meets buy criteria."""
        # Implement your entry logic
        return False

    def _is_exit_signal(self, data):
        """Check if data meets exit criteria."""
        # Implement your exit logic
        return False


if __name__ == "__main__":
    from ai_trader.utils.backtest import run_backtest

    # Run backtest with [StrategyName]Strategy
    results = run_backtest(
        strategy=[StrategyName]Strategy,
        data_source=None,  # Use example data
        cash=1000000,
        commission=0.001425,
    )

    print("Backtest completed! Use cerebro.plot() to visualize results.")

Registration Logic

When creating a strategy, the skill updates the appropriate __init__.py file:

Example for classic/macd_bbands.py:

# Before
from ai_trader.backtesting.strategies.classic.bbands import BBandsStrategy
from ai_trader.backtesting.strategies.classic.double_top import DoubleTopStrategy

__all__ = [
    "BBandsStrategy",
    "DoubleTopStrategy",
    # ...
]

# After
from ai_trader.backtesting.strategies.classic.bbands import BBandsStrategy
from ai_trader.backtesting.strategies.classic.double_top import DoubleTopStrategy
from ai_trader.backtesting.strategies.classic.macd_bbands import MACDBBandsStrategy

__all__ = [
    "BBandsStrategy",
    "DoubleTopStrategy",
    "MACDBBandsStrategy",
    # ...
]

Key points:

• Imports are added in alphabetical order by filename
• __all__ list is maintained in alphabetical order
• Existing structure and formatting are preserved

Validation

Pre-Creation Checks

1. Name Validation:

   • Class name must be PascalCase (e.g., MACDBBands)
   • Converts to snake_case for filename (macd_bbands.py)
   • No file exists at target path
   • Class name not already in __all__

2. Type Validation:

   • Strategy type is "classic" or "portfolio"
   • Target directory exists

3. Parameter Validation:

   • All parameters have default values
   • Parameter names are valid Python identifiers
   • No reserved Python keywords as parameter names

4. Indicator Validation:

   • If custom indicators mentioned, verify they exist in indicators.py
   • Generate correct import statements

Post-Creation Verification

1. File created successfully
2. Imports added to __init__.py
3. Name added to __all__ list in correct position
4. File is syntactically valid (test import)
5. Git recognizes new/modified files

Next Steps After Creation

1. Review Generated Code:

   • The generated template provides the structure; you'll add the specific trading logic
   • Implement next() method with your trading signals
   • For portfolio strategies, implement _is_buy_signal() and _is_exit_signal()

2. Test Standalone:

   python ai_trader/backtesting/strategies/classic/your_strategy.py
   

3. Refine Parameters:

   • Update default values based on backtesting results
   • Add parameter optimization later if needed

4. Integration Testing:

   ai-trader quick YourStrategyName your_data.csv
   

5. Commit Changes:

   git add ai_trader/backtesting/strategies/classic/your_strategy.py
   git add ai_trader/backtesting/strategies/classic/__init__.py
   git commit -m "Add YourStrategyName strategy"
   

Related Documentation

• PATTERNS.md - Complete examples of implemented strategies with annotations
• CONVENTIONS.md - Naming rules, import ordering, parameter format, docstring structure
• VALIDATION.md - Detailed validation rules and error handling

Tips & Best Practices

• Inherit from BaseStrategy: Always inherit from BaseStrategy, not directly from bt.Strategy

  • Provides automatic parameter logging via __init__()
  • Provides self.log() for consistent date-formatted logging
  • Provides notify_order() and notify_trade() implementations

• Use Backtrader Indicators: Use bt.ind.* for standard indicators (SMA, EMA, Bollinger Bands, MACD, RSI, etc.)

• Custom Indicators: Only create custom indicators if they're not available in backtrader

  • Check indicators.py first
  • Custom indicators should be reusable across multiple strategies

• Parameter Naming: Use descriptive, lowercase names with underscores

  • Good: sma_short, bb_period, rsi_threshold
  • Avoid: x, n, val

• Docstrings: Comprehensive docstrings help future maintenance

  • Module level: Brief purpose and what the strategy does
  • Class level: Entry/Exit/Parameters/Notes sections
  • Helps other developers understand your strategy at a glance

• Testing: Always test with the __main__ block before committing

  • Ensures the strategy initializes correctly
  • Catches syntax errors early

• Portfolio Strategies: Use self.datas to iterate over all assets

  • Use self.getpositions() to check current holdings
  • Use self.order_target_percent() for position sizing
  • Rebalance systematically (monthly, when signals change, etc.)

Error Messages & Troubleshooting

Generated with Claude Code