Backtest

Create a complete VectorBT backtest script for the user.

Arguments

Parse $ARGUMENTS as: strategy symbol exchange interval

• $0 = strategy name (e.g., ema-crossover, rsi, donchian, supertrend, macd, sda2, momentum)
• $1 = symbol (e.g., SBIN, RELIANCE, NIFTY). Default: SBIN
• $2 = exchange (e.g., NSE, NFO). Default: NSE
• $3 = interval (e.g., D, 1h, 5m). Default: D

If no arguments, ask the user which strategy they want.

Instructions

1. Read the vectorbt-expert skill rules for reference patterns 2. Create backtesting/{strategy_name}/ directory if it doesn't exist (on-demand) 3. Create a .py file in backtesting/{strategy_name}/ named {symbol}_{strategy}_backtest.py 4. Use the matching template from rules/assets/{strategy}/backtest.py as the starting point 5. The script must:

• Load .env from the project root using find_dotenv() (walks up from script dir automatically)
• Fetch data via client.history() from OpenAlgo
• 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.
• If openalgo.ta is not importable (standalone DuckDB), use inline exrem() fallback.
• Use TA-Lib for ALL indicators (EMA, SMA, RSI, MACD, BBands, ATR, ADX, STDDEV, MOM)
• Use OpenAlgo ta for specialty indicators (Supertrend, Donchian, Ichimoku, HMA, KAMA, ALMA)
• Use ta.exrem() to clean duplicate signals (always .fillna(False) before exrem)
• Run vbt.Portfolio.from_signals() with min_size=1, size_granularity=1
• Indian delivery fees: fees=0.00111, fixed_fees=20 for delivery equity
• Fetch NIFTY benchmark via OpenAlgo (symbol="NIFTY", exchange="NSE_INDEX")
• Print full pf.stats()
• Print Strategy vs Benchmark comparison table (Total Return, Sharpe, Sortino, Max DD, Win Rate, Trades, Profit Factor)
• Explain the backtest report in plain language for normal traders
• Generate QuantStats HTML tearsheet if quantstats is available
• Plot equity curve + drawdown using Plotly (template="plotly_dark")
• Export trades to CSV

5. Never use icons/emojis in code or logger output 6. For futures symbols (NIFTY, BANKNIFTY), use lot-size-aware sizing:

• NIFTY: min_size=65, size_granularity=65 (effective 31 Dec 2025)
• BANKNIFTY: min_size=30, size_granularity=30
• Use fees=0.00018, fixed_fees=20 for F&O futures

Available Strategies

Benchmark Rules

• Default: NIFTY 50 via OpenAlgo (symbol="NIFTY", exchange="NSE_INDEX")
• If user specifies a different benchmark, use that instead
• For yfinance: use ^NSEI for India, ^GSPC (S&P 500) for US markets
• Always compare: Total Return, Sharpe, Sortino, Max Drawdown

Example Usage

/backtest ema-crossover RELIANCE NSE D /backtest rsi SBIN /backtest supertrend NIFTY NFO 5m