Claude-code-plugins-plus-skills backtesting-trading-strategies

install

source · Clone the upstream repo

git clone https://github.com/jeremylongshore/claude-code-plugins-plus-skills

Claude Code · Install into ~/.claude/skills/

T=$(mktemp -d) && git clone --depth=1 https://github.com/jeremylongshore/claude-code-plugins-plus-skills "$T" && mkdir -p ~/.claude/skills && cp -r "$T/plugins/crypto/trading-strategy-backtester/skills/backtesting-trading-strategies" ~/.claude/skills/jeremylongshore-claude-code-plugins-plus-skills-backtesting-trading-strategies && rm -rf "$T"

manifest: plugins/crypto/trading-strategy-backtester/skills/backtesting-trading-strategies/SKILL.md

Backtesting Trading Strategies

Overview

Validate trading strategies against historical data before risking real capital. This skill provides a complete backtesting framework with 8 built-in strategies, comprehensive performance metrics, and parameter optimization.

Key Features:

8 pre-built trading strategies (SMA, EMA, RSI, MACD, Bollinger, Breakout, Mean Reversion, Momentum)
Full performance metrics (Sharpe, Sortino, Calmar, VaR, max drawdown)
Parameter grid search optimization
Equity curve visualization
Trade-by-trade analysis

Prerequisites

Install required dependencies:

set -euo pipefail
pip install pandas numpy yfinance matplotlib

Optional for advanced features:

set -euo pipefail
pip install ta-lib scipy scikit-learn

Instructions

Fetch historical data (cached to

${CLAUDE_SKILL_DIR}/data/

for reuse):

python ${CLAUDE_SKILL_DIR}/scripts/fetch_data.py --symbol BTC-USD --period 2y --interval 1d

Run a backtest with default or custom parameters:

python ${CLAUDE_SKILL_DIR}/scripts/backtest.py --strategy sma_crossover --symbol BTC-USD --period 1y
python ${CLAUDE_SKILL_DIR}/scripts/backtest.py \
  --strategy rsi_reversal \
  --symbol ETH-USD \
  --period 1y \
  --capital 10000 \  # 10000: 10 seconds in ms
  --params '{"period": 14, "overbought": 70, "oversold": 30}'

Analyze results saved to
```
${CLAUDE_SKILL_DIR}/reports/
```
-- includes
```
*_summary.txt
```
(performance metrics),
```
*_trades.csv
```
(trade log),
```
*_equity.csv
```
(equity curve data), and
```
*_chart.png
```
(visual equity curve).

Optimize parameters via grid search to find the best combination:

python ${CLAUDE_SKILL_DIR}/scripts/optimize.py \
  --strategy sma_crossover \
  --symbol BTC-USD \
  --period 1y \
  --param-grid '{"fast_period": [10, 20, 30], "slow_period": [50, 100, 200]}'  # HTTP 200 OK

Output

Performance Metrics

Metric	Description
Total Return	Overall percentage gain/loss
CAGR	Compound annual growth rate
Sharpe Ratio	Risk-adjusted return (target: >1.5)
Sortino Ratio	Downside risk-adjusted return
Calmar Ratio	Return divided by max drawdown

Risk Metrics

Metric	Description
Max Drawdown	Largest peak-to-trough decline
VaR (95%)	Value at Risk at 95% confidence
CVaR (95%)	Expected loss beyond VaR
Volatility	Annualized standard deviation

Trade Statistics

Metric	Description
Total Trades	Number of round-trip trades
Win Rate	Percentage of profitable trades
Profit Factor	Gross profit divided by gross loss
Expectancy	Expected value per trade

Example Output

================================================================================
                    BACKTEST RESULTS: SMA CROSSOVER
                    BTC-USD | [start_date] to [end_date]
================================================================================
 PERFORMANCE                          | RISK
 Total Return:        +47.32%         | Max Drawdown:      -18.45%
 CAGR:                +47.32%         | VaR (95%):         -2.34%
 Sharpe Ratio:        1.87            | Volatility:        42.1%
 Sortino Ratio:       2.41            | Ulcer Index:       8.2
--------------------------------------------------------------------------------
 TRADE STATISTICS
 Total Trades:        24              | Profit Factor:     2.34
 Win Rate:            58.3%           | Expectancy:        $197.17
 Avg Win:             $892.45         | Max Consec. Losses: 3
================================================================================

Supported Strategies

Strategy	Description	Key Parameters
`sma_crossover`	Simple moving average crossover	`fast_period` , `slow_period`
`ema_crossover`	Exponential MA crossover	`fast_period` , `slow_period`
`rsi_reversal`	RSI overbought/oversold	`period` , `overbought` , `oversold`
`macd`	MACD signal line crossover	`fast` , `slow` , `signal`
`bollinger_bands`	Mean reversion on bands	`period` , `std_dev`
`breakout`	Price breakout from range	`lookback` , `threshold`
`mean_reversion`	Return to moving average	`period` , `z_threshold`
`momentum`	Rate of change momentum	`period` , `threshold`

Configuration

Create

${CLAUDE_SKILL_DIR}/config/settings.yaml

data:
  provider: yfinance
  cache_dir: ./data

backtest:
  default_capital: 10000  # 10000: 10 seconds in ms
  commission: 0.001     # 0.1% per trade
  slippage: 0.0005      # 0.05% slippage

risk:
  max_position_size: 0.95
  stop_loss: null       # Optional fixed stop loss
  take_profit: null     # Optional fixed take profit

Error Handling

See

${CLAUDE_SKILL_DIR}/references/errors.md

for common issues and solutions.

Examples

See

${CLAUDE_SKILL_DIR}/references/examples.md

for detailed usage examples including:

Multi-asset comparison
Walk-forward analysis
Parameter optimization workflows

Files

File	Purpose
`scripts/backtest.py`	Main backtesting engine
`scripts/fetch_data.py`	Historical data fetcher
`scripts/strategies.py`	Strategy definitions
`scripts/metrics.py`	Performance calculations
`scripts/optimize.py`	Parameter optimization

Resources

yfinance - Yahoo Finance data
TA-Lib - Technical analysis library
QuantStats - Portfolio analytics