Build Production-Grade Backtesting Systems

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.

Limitations

• Use this skill only when the task clearly matches the scope described above.
• Do not treat the output as a substitute for environment-specific validation, testing, or expert review.
• Stop and ask for clarification if required inputs, permissions, safety boundaries, or success criteria are missing.