backtesting-validation

What problem does it solve?

This Skill addresses the critical need for robust validation of backtesting workflows in quantitative finance, ensuring historical simulation integrity and preventing data leakage.

Core Features & Use Cases

• Leak-Safe Feature Engineering: Builds features that align with executable decision times, preventing look-ahead bias.
• Performance Stress Testing: Evaluates strategy performance across various market regimes (volatility, liquidity, crowding).
• Diagnostic Reporting: Generates detailed diagnostics on signal monotonicity, capacity stress, and cost-adjusted performance.
• Use Case: A quantitative researcher needs to validate a new trading strategy's historical performance. This Skill will run the strategy through rigorous backtesting, identify potential biases, and provide a comprehensive report on its robustness under different market conditions before deployment.

Quick Start

Run the backtesting validation diagnostics script on input.csv and save the output to diagnostics.json.