Optimize

What it does

This skill enables AI agents to optimize trading strategy parameters using VectorBT and backtesting techniques. It automatically generates Python scripts that test various parameter combinations for a given trading strategy, symbol, exchange, and interval. The skill leverages OpenAlgo for market data retrieval (or DuckDB as an alternative) and TA-Lib for indicator calculations, providing performance heatmaps and comparisons against benchmark indices like NIFTY.

When to use it

• You want to improve the performance of a VectorBT trading strategy by finding optimal parameter settings.
• You need to quickly evaluate different parameter combinations for a specific stock or index.
• You're looking for a way to compare your strategy’s performance against a market benchmark.

Key capabilities

• Automated Script Generation: Creates Python scripts for VectorBT backtesting optimization based on user input.
• Parameter Optimization: Tests parameter ranges (e.g., EMA periods) to maximize returns and Sharpe ratio.
• Data Integration: Loads market data from OpenAlgo or DuckDB.
• Indicator Calculation: Uses TA-Lib for standard indicators and openalgo.ta for specialized ones like Supertrend and Donchian.
• Performance Visualization: Generates Plotly heatmaps of total return and Sharpe ratio.
• Benchmark Comparison: Compares strategy performance against a NIFTY benchmark, providing plain-language results.
• Cost Awareness: Accounts for Indian delivery fees and futures lot sizes.

Example prompts

• "Optimize the 'ema-crossover' strategy for SBIN on NSE with a daily interval."
• "Create an optimization script for the 'rsi' strategy using RELIANCE on NFO, hourly data."
• "Generate a backtesting script to optimize a Donchian channel strategy for NIFTY."

Tips & gotchas

• Familiarity with VectorBT and Python is helpful. Refer to the vectorbt-expert skill rules for reference patterns.
• The skill relies on OpenAlgo or DuckDB for data; ensure you have appropriate configuration set up (e.g., .env file).
• TA-Lib must be installed for indicator calculations.