Design backtests that evaluate trading strategies against historical data. Account for trading costs, avoid using future information or excluding delisted securities, and compare strategies using separate development and evaluation periods.
Build robust backtesting systems for trading strategies with proper handling of look-ahead bias, survivorship bias, and transaction costs. Use when developing trading algorithms, validating strategies, or building backtesting infrastructure.
Review the instructions the agent will receive before you install.
Build robust, production-grade backtesting systems that avoid common pitfalls and produce reliable strategy performance estimates.
| Bias | Description | Mitigation |
|---|---|---|
| Look-ahead | Using future information | Point-in-time data |
| Survivorship | Only testing on survivors | Use delisted securities |
| Overfitting | Curve-fitting to history | Out-of-sample testing |
| Selection | Cherry-picking strategies | Pre-registration |
| Transaction | Ignoring trading costs | Realistic cost models |
Historical Data
│
▼
┌─────────────────────────────────────────┐
│ Training Set │
│ (Strategy Development & Optimization) │
└─────────────────────────────────────────┘
│
▼
┌─────────────────────────────────────────┐
│ Validation Set │
│ (Parameter Selection, No Peeking) │
└─────────────────────────────────────────┘
│
▼
┌─────────────────────────────────────────┐
│ Test Set │
│ (Final Performance Evaluation) │
└─────────────────────────────────────────┘
Window 1: [Train──────][Test]
Window 2: [Train──────][Test]
Window 3: [Train──────][Test]
Window 4: [Train──────][Test]
─────▶ Time
Detailed sections (starting with ## Implementation Patterns) live in references/details.md. Read that file when the navigation summary above is insufficient.
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