Backtesting Frameworks
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Build robust backtesting systems for trading strategies with proper handling of look-ahead bias, survivorship bias, and transaction costs. Use when developing trading algorithms, validating strategies, or building backtesting infrastructure.
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| name | backtesting-frameworks |
|---|---|
| description | Build robust backtesting systems for trading strategies with proper handling of look-ahead bias, survivorship bias, and transaction costs. Use when developing trading algorithms, validating strategies, or building backtesting infrastructure. |
| 1 | --- |
| 2 | name: backtesting-frameworks |
| 3 | description: Build robust backtesting systems for trading strategies with proper handling of look-ahead bias, survivorship bias, and transaction costs. Use when developing trading algorithms, validating strategies, or building backtesting infrastructure. |
| 4 | ---A5 — No allowed-tools declared — no way to tell what this skill may touch |
| 5 | |
| 6 | # Backtesting Frameworks |
| 7 | |
| 8 | Build robust, production-grade backtesting systems that avoid common pitfalls and produce reliable strategy performance estimates. |
| 9 | |
| 10 | ## When to Use This Skill |
| 11 | |
| 12 | - Developing trading strategy backtests |
| 13 | - Building backtesting infrastructure |
| 14 | - Validating strategy performance |
| 15 | - Avoiding common backtesting biases |
| 16 | - Implementing walk-forward analysis |
| 17 | - Comparing strategy alternatives |
| 18 | |
| 19 | ## Core Concepts |
| 20 | |
| 21 | ### 1. Backtesting Biases |
| 22 | |
| 23 | | Bias | Description | Mitigation | |
| 24 | | ---------------- | ------------------------- | ----------------------- | |
| 25 | | **Look-ahead** | Using future information | Point-in-time data | |
| 26 | | **Survivorship** | Only testing on survivors | Use delisted securities | |
| 27 | | **Overfitting** | Curve-fitting to history | Out-of-sample testing | |
| 28 | | **Selection** | Cherry-picking strategies | Pre-registration | |
| 29 | | **Transaction** | Ignoring trading costs | Realistic cost models | |
| 30 | |
| 31 | ### 2. Proper Backtest Structure |
| 32 | |
| 33 | ``` |
| 34 | Historical Data |
| 35 | │ |
| 36 | ▼ |
| 37 | ┌─────────────────────────────────────────┐ |
| 38 | │ Training Set │ |
| 39 | │ (Strategy Development & Optimization) │ |
| 40 | └─────────────────────────────────────────┘ |
| 41 | │ |
| 42 | ▼ |
| 43 | ┌─────────────────────────────────────────┐ |
| 44 | │ Validation Set │ |
| 45 | │ (Parameter Selection, No Peeking) │ |
| 46 | └─────────────────────────────────────────┘ |
| 47 | │ |
| 48 | ▼ |
| 49 | ┌─────────────────────────────────────────┐ |
| 50 | │ Test Set │ |
| 51 | │ (Final Performance Evaluation) │ |
| 52 | └─────────────────────────────────────────┘ |
| 53 | ``` |
| 54 | |
| 55 | ### 3. Walk-Forward Analysis |
| 56 | |
| 57 | ``` |
| 58 | Window 1: [Train──────][Test] |
| 59 | Window 2: [Train──────][Test] |
| 60 | Window 3: [Train──────][Test] |
| 61 | Window 4: [Train──────][Test] |
| 62 | ─────▶ Time |
| 63 | ``` |
| 64 | |
| 65 | ## Detailed worked examples and patterns |
| 66 | |
| 67 | Detailed sections (starting with `## Implementation Patterns`) live in `references/details.md`. Read that file when the navigation summary above is insufficient. |
| 68 | |
| 69 | ## Best Practices |
| 70 | |
| 71 | ### Do's |
| 72 | |
| 73 | - **Use point-in-time data** - Avoid look-ahead bias |
| 74 | - **Include transaction costs** - Realistic estimates |
| 75 | - **Test out-of-sample** - Always reserve data |
| 76 | - **Use walk-forward** - Not just train/test |
| 77 | - **Monte Carlo analysis** - Understand uncertainty |
| 78 | |
| 79 | ### Don'ts |
| 80 | |
| 81 | - **Don't overfit** - Limit parameters |
| 82 | - **Don't ignore survivorship** - Include delisted |
| 83 | - **Don't use adjusted data carelessly** - Understand adjustments |
| 84 | - **Don't optimize on full history** - Reserve test set |
| 85 | - **Don't ignore capacity** - Market impact matters |
| 86 |
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