Backtest

1---2name: backtest3description: Quick backtest a strategy on a symbol. Creates a complete .py script with data fetch, signals, backtest, stats, and plots.4argument-hint: "[strategy] [symbol] [exchange] [interval]"5allowed-tools: Read, Write, Edit, Bash, Glob, Grep6---7 8Create a complete VectorBT backtest script for the user.9 10## Arguments11 12Parse `$ARGUMENTS` as: strategy symbol exchange interval13 14- `$0` = strategy name (e.g., ema-crossover, rsi, donchian, supertrend, macd, sda2, momentum)15- `$1` = symbol (e.g., SBIN, RELIANCE, NIFTY). Default: SBIN16- `$2` = exchange (e.g., NSE, NFO). Default: NSE17- `$3` = interval (e.g., D, 1h, 5m). Default: D18 19If no arguments, ask the user which strategy they want.20 21## Instructions22 231. Read the vectorbt-expert skill rules for reference patterns242. Create `backtesting/{strategy_name}/` directory if it doesn't exist (on-demand)253. Create a `.py` file in `backtesting/{strategy_name}/` named `{symbol}_{strategy}_backtest.py`264. Use the matching template from `rules/assets/{strategy}/backtest.py` as the starting point275. The script must:28   - Load `.env` from the project root using `find_dotenv()` (walks up from script dir automatically)29   - Fetch data via `client.history()` from OpenAlgo30   - If user provides a DuckDB path, load data directly via `duckdb.connect(path, read_only=True)` instead of OpenAlgo API. Auto-detect format: Historify (`market_data` table, epoch timestamps) vs custom (`ohlcv` table, date+time). See vectorbt-expert `rules/duckdb-data.md`.31   - If `openalgo.ta` is not importable (standalone DuckDB), use inline `exrem()` fallback.32   - **Use TA-Lib for ALL indicators** (EMA, SMA, RSI, MACD, BBands, ATR, ADX, STDDEV, MOM)33   - **Use OpenAlgo ta** for specialty indicators (Supertrend, Donchian, Ichimoku, HMA, KAMA, ALMA)34   - Use `ta.exrem()` to clean duplicate signals (always `.fillna(False)` before exrem)35   - Run `vbt.Portfolio.from_signals()` with `min_size=1, size_granularity=1`36   - **Indian delivery fees**: `fees=0.00111, fixed_fees=20` for delivery equity37   - Fetch NIFTY benchmark via OpenAlgo (`symbol="NIFTY", exchange="NSE_INDEX"`)38   - Print full `pf.stats()`39   - **Print Strategy vs Benchmark comparison table** (Total Return, Sharpe, Sortino, Max DD, Win Rate, Trades, Profit Factor)40   - **Explain the backtest report** in plain language for normal traders41   - Generate QuantStats HTML tearsheet if `quantstats` is available42   - Plot equity curve + drawdown using Plotly (`template="plotly_dark"`)43   - Export trades to CSV445. Never use icons/emojis in code or logger output456. For futures symbols (NIFTY, BANKNIFTY), use lot-size-aware sizing:46   - NIFTY: `min_size=65, size_granularity=65` (effective 31 Dec 2025)47   - BANKNIFTY: `min_size=30, size_granularity=30`48   - Use `fees=0.00018, fixed_fees=20` for F&O futures49 50## Available Strategies51 52| Strategy | Keyword | Template |53|----------|---------|----------|54| EMA Crossover | `ema-crossover` | `assets/ema_crossover/backtest.py` |55| RSI | `rsi` | `assets/rsi/backtest.py` |56| Donchian Channel | `donchian` | `assets/donchian/backtest.py` |57| Supertrend | `supertrend` | `assets/supertrend/backtest.py` |58| MACD Breakout | `macd` | `assets/macd/backtest.py` |59| SDA2 | `sda2` | `assets/sda2/backtest.py` |60| Momentum | `momentum` | `assets/momentum/backtest.py` |61| Dual Momentum | `dual-momentum` | `assets/dual_momentum/backtest.py` |62| Buy & Hold | `buy-hold` | `assets/buy_hold/backtest.py` |63| RSI Accumulation | `rsi-accumulation` | `assets/rsi_accumulation/backtest.py` |64 65## Benchmark Rules66 67- Default: NIFTY 50 via OpenAlgo (`symbol="NIFTY", exchange="NSE_INDEX"`)68- If user specifies a different benchmark, use that instead69- For yfinance: use `^NSEI` for India, `^GSPC` (S&P 500) for US markets70- Always compare: Total Return, Sharpe, Sortino, Max Drawdown71 72## Example Usage73 74`/backtest ema-crossover RELIANCE NSE D`75`/backtest rsi SBIN`76`/backtest supertrend NIFTY NFO 5m`