backtesting-frameworks

构建稳健的交易策略回测系统，妥善应对前瞻偏差、幸存者偏差以及交易成本等问题。在开发交易算法、验证策略时使用。

SKILL.md

--- frontmatter

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 strateg..."
risk: unknown
source: community

Backtesting Frameworks

Build robust, production-grade backtesting systems that avoid common pitfalls and produce reliable strategy performance estimates.

Use this skill when

•Developing trading strategy backtests
•Building backtesting infrastructure
•Validating strategy performance and robustness
•Avoiding common backtesting biases
•Implementing walk-forward analysis

Do not use this skill when

•You need live trading execution or investment advice
•Historical data quality is unknown or incomplete
•The task is only a quick performance summary

Instructions

•Define hypothesis, universe, timeframe, and evaluation criteria.
•Build point-in-time data pipelines and realistic cost models.
•Implement event-driven simulation and execution logic.
•Use train/validation/test splits and walk-forward testing.
•If detailed examples are required, open resources/implementation-playbook.md.

Safety

•Do not present backtests as guarantees of future performance.
•Avoid providing financial or investment advice.

Resources

•resources/implementation-playbook.md for detailed patterns and examples.