backtest

Backtest Configuration Files

This directory contains example YAML configuration files for running backtests.

Usage

Run a backtest using the CLI:

ai-trader run config/backtest/sma_example.yaml

Override parameters from command line:

ai-trader run config/backtest/bbands_example.yaml --cash 100000 --commission 0.002

Configuration Structure

Each YAML file has the following structure:

Broker Settings

broker:
  cash: 1000000          # Initial capital
  commission: 0.001425   # Commission rate per trade

Data Settings

For single stock:

data:
  file: "data/AAPL.csv"     # Path to CSV file
  start_date: "2020-01-01"  # Optional: filter start date
  end_date: "2023-12-31"    # Optional: filter end date
  date_col: "date"          # Date column name ("date" or "Date")

For portfolio (multiple stocks):

data:
  directory: "./data/tw_stock/"  # Directory with CSV files
  start_date: "2020-01-01"
  end_date: "2023-12-31"
  date_col: "date"

Strategy Settings

strategy:
  class: "SMAStrategy"    # Strategy class name
  params:                 # Strategy-specific parameters
    fast_period: 10
    slow_period: 30

Position Sizer

sizer:
  type: "percent"         # "percent" or "fixed"
  params:
    percents: 95          # For percent sizer
    # stake: 100          # For fixed sizer

Analyzers

analyzers:
  - sharpe      # Sharpe ratio
  - drawdown    # Maximum drawdown
  - returns     # Return metrics
  - trades      # Trade statistics
  - sqn         # System Quality Number

Creating Your Own Config

1. Copy an example config that matches your use case
2. Modify the data source (file or directory)
3. Choose your strategy and set parameters
4. Adjust broker settings (cash, commission)
5. Select desired analyzers
6. Run with: ai-trader run your_config.yaml

Strategy Class Names

Classic Strategies (Single Stock)

• SMAStrategy - Simple Moving Average crossover
• EMAStrategy - Exponential Moving Average crossover
• BBandsStrategy - Bollinger Bands
• RSIStrategy - Relative Strength Index
• MACDStrategy - Moving Average Convergence Divergence
• KDJStrategy - KDJ oscillator
• StochasticStrategy - Stochastic oscillator
• WilliamsRStrategy - Williams %R
• CCIStrategy - Commodity Channel Index
• ATRStrategy - Average True Range
• DMIStrategy - Directional Movement Index
• OBVStrategy - On-Balance Volume
• BuyHoldStrategy - Buy and hold benchmark

Portfolio Strategies (Multi-Stock)

• ROCRotationStrategy - Rate of Change rotation
• VolumeRotationStrategy - Volume-based rotation
• MomentumRotationStrategy - Momentum rotation
• LowVolatilityStrategy - Low volatility selection

Tips

• Always include at least 'sharpe', 'drawdown', 'returns' analyzers
• Test date ranges that include both bull and bear markets
• Compare results against BuyHoldStrategy benchmark