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.