optimize

Create a parameter optimization script for a VectorBT strategy.

Arguments

Parse $ARGUMENTS as: strategy symbol exchange interval

• $0 = strategy name (e.g., ema-crossover, rsi, donchian). Default: ema-crossover
• $1 = symbol (e.g., SBIN, RELIANCE, NIFTY). Default: SBIN
• $2 = exchange (e.g., NSE, NFO). Default: NSE
• $3 = interval (e.g., D, 1h, 5m). Default: D

If no arguments, ask the user which strategy to optimize.

Instructions

1. Read the vectorbt-expert skill rules for reference patterns
2. Create backtesting/{strategy_name}/ directory if it doesn't exist (on-demand)
3. Create a .py file in backtesting/{strategyname}/ named {symbol}{strategy}_optimize.py
4. The script must:

- Load .env from project root using finddotenv() and fetch data via OpenAlgo client.history() - If user provides a DuckDB path, load data directly via duckdb.connect(path, readonly=True). See vectorbt-expert rules/duckdb-data.md. - If openalgo.ta is not importable (standalone DuckDB), use inline exrem() fallback. - Use OpenAlgo ta for ALL indicators by default (never VectorBT built-in). Only switch to TA-Lib if the user explicitly says "talib"/"TA-Lib" - Always use OpenAlgo ta for specialty indicators (Supertrend, Donchian, etc.) - no TA-Lib equivalent exists - Use ta.exrem() to clean signals (always .fillna(False) before exrem) - Define sensible parameter ranges for the chosen strategy - Use loop-based optimization to collect multiple metrics per combo - Track: totalreturn, sharperatio, maxdrawdown, tradecount for each combination - Use tqdm for progress bars - Indian delivery fees: fees=0.00111, fixedfees=20 for delivery equity - Find best parameters by total return AND by Sharpe ratio - Print top 10 results for both criteria - Generate Plotly heatmap of total return across parameter grid (template="plotlydark") - Generate Plotly heatmap of Sharpe ratio across parameter grid - Fetch NIFTY benchmark and compare best parameters vs benchmark - Print Strategy vs Benchmark comparison table - Explain results in plain language for normal traders - Save results to CSV

1. Never use icons/emojis in code or logger output
2. For futures symbols, use lot-size-aware sizing:

- NIFTY: minsize=65, sizegranularity=65 - BANKNIFTY: minsize=30, sizegranularity=30

Default Parameter Ranges

Example Usage

/optimize ema-crossover RELIANCE NSE D /optimize rsi SBIN