Agent skill · research science · wshobson
backtesting-frameworks
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.
Why this skill is useful
Provides domain-specific knowledge on backtesting biases and structures that the AI wouldn't reliably generate on its own.
What it needs
About 1k tokens when loaded. Last updated 2026-08-05. 38,570 stars on the source repository.
What this skill does
Backtesting Frameworks Build robust, production-grade backtesting systems that avoid common pitfalls and produce reliable strategy performance estimates. When to Use This Skill Developing trading strategy backtests Building backtesting infrastructure Validating strategy performance Avoiding common backtesting biases Implementing walk-forward analysis Comparing strategy alternatives Core Concepts 1. Backtesting Biases Bias Description Mitigation ---------------- ------------------------- ----------------------- Look-ahead Using future information Point-in-time data Survivorship Only testing on survivors Use delisted securities Overfitting Curve-fitting to history Out-of-sample testing Selection Cherry-picking strategies Pre-registration Transaction Ignoring trading costs Realistic cost models 2. Proper Backtest Structure 3. Walk-Forward Analysis Detailed worked examples and patterns Detailed sections (starting with ## Implementation Patterns) live in references/details.md. Read that file when the navigation summary above is insufficient. Best Practices Do's Use point-in-time data - Avoid look-ahead bias Include transaction costs - Realistic estimates Test out-of-sample - Always reserve data Use walk-forward - Not just train/test Monte Carlo analysis - Understand uncertainty Don'ts Don't overfit - Limit parameters Don't ignore survivorship - Include delisted Don't use adjusted data carelessly - Understand adjustments Don't optimize on full history - Reserve test set Don't ignore capacity - Market impact matters
How to use it
Reference it in AdaL, Claude Code, Cursor or any coding agent — nothing to install:
@skills wshobson/backtesting-frameworks