VectorBT Backtesting Expert Skill

Environment

• Python with vectorbt, pandas, numpy, plotly
• Data sources: OpenAlgo (Indian markets), DuckDB (direct database), yfinance (US/Global), CCXT (Crypto), custom providers
• DuckDB support: supports both custom DuckDB and OpenAlgo Historify format
• API keys loaded from single root

  .env

  via

  python-dotenv

  +

  find_dotenv()

  — never hardcode keys
• Technical indicators: TA-Lib (ALWAYS - never use VectorBT built-in indicators)
• Specialty indicators:

  openalgo.ta

  for Supertrend, Donchian, Ichimoku, HMA, KAMA, ALMA, ZLEMA, VWMA
• Signal cleaning:

  openalgo.ta

  for exrem, crossover, crossunder, flip
• Fee model: Indian market standard (STT + statutory charges + Rs 20/order)
• Benchmark: NIFTY 50 via OpenAlgo (

  NSE_INDEX

  ) by default
• Charts: Plotly with

  template="plotly_dark"

• Environment variables loaded from single

  .env

  at project root via

  find_dotenv()

  (walks up from script dir)
• Scripts go in

  backtesting/{strategy_name}/

  directories (created on-demand, not pre-created)
• Never use icons/emojis in code or logger output

Critical Rules

1. ALWAYS use TA-Lib for ALL technical indicators (EMA, SMA, RSI, MACD, BBANDS, ATR, ADX, STDDEV, MOM). NEVER use

   vbt.MA.run()

   ,

   vbt.RSI.run()

   , or any VectorBT built-in indicator.
2. Use OpenAlgo ta for indicators NOT in TA-Lib: Supertrend, Donchian, Ichimoku, HMA, KAMA, ALMA, ZLEMA, VWMA.
3. Use OpenAlgo ta for signal utilities:

   ta.exrem()

   ,

   ta.crossover()

   ,

   ta.crossunder()

   ,

   ta.flip()

   . If

   openalgo.ta

   is not importable (standalone DuckDB), use inline

   exrem()

   fallback. See duckdb-data.
4. Always clean signals with

   ta.exrem()

   after generating raw buy/sell signals. Always

   .fillna(False)

   before exrem.
5. Market-specific fees: India (indian-market-costs), US (us-market-costs), Crypto (crypto-market-costs). Auto-select based on user's market.
6. Default benchmarks: India=NIFTY via OpenAlgo, US=S&P 500 (

   ^GSPC

   ), Crypto=Bitcoin (

   BTC-USD

   ). See data-fetching Market Selection Guide.
7. Always produce a Strategy vs Benchmark comparison table after every backtest.
8. Always explain the backtest report in plain language so even normal traders understand risk and strength.
9. Plotly candlestick charts must use

   xaxis type="category"

   to avoid weekend gaps.
10. Whole shares: Always set

    min_size=1, size_granularity=1

    for equities.
11. DuckDB data loading: When user provides a DuckDB path, load data directly using

    duckdb.connect()

    with

    read_only=True

    . Auto-detect format: OpenAlgo Historify (table

    market_data

    , epoch timestamps) vs custom (table

    ohlcv

    , date+time columns). See duckdb-data.

Modular Rule Files

Detailed reference for each topic is in

rules/

Strategy Templates (in rules/assets/)

Production-ready scripts with realistic fees, NIFTY benchmark, comparison table, and plain-language report:

assets/ema_crossover/backtest.py

assets/rsi/backtest.py

assets/donchian/backtest.py

assets/supertrend/backtest.py

assets/macd/backtest.py

assets/sda2/backtest.py

assets/momentum/backtest.py

assets/dual_momentum/backtest.py

assets/buy_hold/backtest.py

assets/rsi_accumulation/backtest.py

assets/walk_forward/template.py

assets/realistic_costs/template.py

Quick Template: Standard Backtest Script

import os
from datetime import datetime, timedelta
from pathlib import Path

import numpy as np
import pandas as pd
import talib as tl
import vectorbt as vbt
from dotenv import find_dotenv, load_dotenv
from openalgo import api, ta

# --- Config ---
script_dir = Path(__file__).resolve().parent
load_dotenv(find_dotenv(), override=False)

SYMBOL = "SBIN"
EXCHANGE = "NSE"
INTERVAL = "D"
INIT_CASH = 1_000_000
FEES = 0.00111              # Indian delivery equity (STT + statutory)
FIXED_FEES = 20             # Rs 20 per order
ALLOCATION = 0.75
BENCHMARK_SYMBOL = "NIFTY"
BENCHMARK_EXCHANGE = "NSE_INDEX"

# --- Fetch Data ---
client = api(
    api_key=os.getenv("OPENALGO_API_KEY"),
    host=os.getenv("OPENALGO_HOST", "http://127.0.0.1:5000"),
)

end_date = datetime.now().date()
start_date = end_date - timedelta(days=365 * 3)

df = client.history(
    symbol=SYMBOL, exchange=EXCHANGE, interval=INTERVAL,
    start_date=start_date.strftime("%Y-%m-%d"),
    end_date=end_date.strftime("%Y-%m-%d"),
)
if "timestamp" in df.columns:
    df["timestamp"] = pd.to_datetime(df["timestamp"])
    df = df.set_index("timestamp")
else:
    df.index = pd.to_datetime(df.index)
df = df.sort_index()
if df.index.tz is not None:
    df.index = df.index.tz_convert(None)

close = df["close"]

# --- Strategy: EMA Crossover (TA-Lib) ---
ema_fast = pd.Series(tl.EMA(close.values, timeperiod=10), index=close.index)
ema_slow = pd.Series(tl.EMA(close.values, timeperiod=20), index=close.index)

buy_raw = (ema_fast > ema_slow) & (ema_fast.shift(1) <= ema_slow.shift(1))
sell_raw = (ema_fast < ema_slow) & (ema_fast.shift(1) >= ema_slow.shift(1))

entries = ta.exrem(buy_raw.fillna(False), sell_raw.fillna(False))
exits = ta.exrem(sell_raw.fillna(False), buy_raw.fillna(False))

# --- Backtest ---
pf = vbt.Portfolio.from_signals(
    close, entries, exits,
    init_cash=INIT_CASH, size=ALLOCATION, size_type="percent",
    fees=FEES, fixed_fees=FIXED_FEES, direction="longonly",
    min_size=1, size_granularity=1, freq="1D",
)

# --- Benchmark ---
df_bench = client.history(
    symbol=BENCHMARK_SYMBOL, exchange=BENCHMARK_EXCHANGE, interval=INTERVAL,
    start_date=start_date.strftime("%Y-%m-%d"),
    end_date=end_date.strftime("%Y-%m-%d"),
)
if "timestamp" in df_bench.columns:
    df_bench["timestamp"] = pd.to_datetime(df_bench["timestamp"])
    df_bench = df_bench.set_index("timestamp")
else:
    df_bench.index = pd.to_datetime(df_bench.index)
df_bench = df_bench.sort_index()
if df_bench.index.tz is not None:
    df_bench.index = df_bench.index.tz_convert(None)
bench_close = df_bench["close"].reindex(close.index).ffill().bfill()
pf_bench = vbt.Portfolio.from_holding(bench_close, init_cash=INIT_CASH, fees=FEES, freq="1D")

# --- Results ---
print(pf.stats())

# --- Strategy vs Benchmark ---
comparison = pd.DataFrame({
    "Strategy": [
        f"{pf.total_return() * 100:.2f}%", f"{pf.sharpe_ratio():.2f}",
        f"{pf.sortino_ratio():.2f}", f"{pf.max_drawdown() * 100:.2f}%",
        f"{pf.trades.win_rate() * 100:.1f}%", f"{pf.trades.count()}",
        f"{pf.trades.profit_factor():.2f}",
    ],
    f"Benchmark ({BENCHMARK_SYMBOL})": [
        f"{pf_bench.total_return() * 100:.2f}%", f"{pf_bench.sharpe_ratio():.2f}",
        f"{pf_bench.sortino_ratio():.2f}", f"{pf_bench.max_drawdown() * 100:.2f}%",
        "-", "-", "-",
    ],
}, index=["Total Return", "Sharpe Ratio", "Sortino Ratio", "Max Drawdown",
          "Win Rate", "Total Trades", "Profit Factor"])
print(comparison.to_string())

# --- Explain ---
print(f"* Total Return: {pf.total_return() * 100:.2f}% vs NIFTY {pf_bench.total_return() * 100:.2f}%")
print(f"* Max Drawdown: {pf.max_drawdown() * 100:.2f}%")
print(f"  -> On Rs {INIT_CASH:,}, worst temporary loss = Rs {abs(pf.max_drawdown()) * INIT_CASH:,.0f}")

# --- Plot ---
fig = pf.plot(subplots=['value', 'underwater', 'cum_returns'], template="plotly_dark")
fig.show()

# --- Export ---
pf.positions.records_readable.to_csv(script_dir / f"{SYMBOL}_trades.csv", index=False)

Quick Template: DuckDB Backtest Script

import datetime as dt
from pathlib import Path

import duckdb
import numpy as np
import pandas as pd
import talib as tl
import vectorbt as vbt

try:
    from openalgo import ta
    exrem = ta.exrem
except ImportError:
    def exrem(signal1, signal2):
        result = signal1.copy()
        active = False
        for i in range(len(signal1)):
            if active:
                result.iloc[i] = False
            if signal1.iloc[i] and not active:
                active = True
            if signal2.iloc[i]:
                active = False
        return result

# --- Config ---
SYMBOL = "SBIN"
DB_PATH = r"path/to/market_data.duckdb"
INIT_CASH = 1_000_000
FEES = 0.000225              # Intraday equity
FIXED_FEES = 20

# --- Load from DuckDB ---
con = duckdb.connect(DB_PATH, read_only=True)
df = con.execute("""
    SELECT date, time, open, high, low, close, volume
    FROM ohlcv WHERE symbol = ? ORDER BY date, time
""", [SYMBOL]).fetchdf()
con.close()

df["datetime"] = pd.to_datetime(df["date"].astype(str) + " " + df["time"].astype(str))
df = df.set_index("datetime").sort_index()
df = df.drop(columns=["date", "time"])

# --- Resample to 5min ---
df_5m = df.resample("5min", origin="start_day", offset="9h15min",
                     label="right", closed="right").agg({
    "open": "first", "high": "max", "low": "min", "close": "last", "volume": "sum"
}).dropna()
close = df_5m["close"]

# --- Strategy + Backtest (same as OpenAlgo template) ---