VectorBT Backtesting Expert Skill

Environment

• Python with vectorbt, pandas, numpy, plotly
• Data sources: OpenAlgo (Indian markets), DuckDB (direct database), yfinance (US/Global), CCXT (Crypto), custom providers
• DuckDB support: supports both custom DuckDB and OpenAlgo Historify format
• API keys loaded from single root .env via python-dotenv + find_dotenv() — never hardcode keys
• Technical indicators: OpenAlgo ta (DEFAULT - from openalgo import ta, 100+ indicators covering trend/momentum/volatility/volume/oscillators/statistical/hybrid). Use TA-Lib only if the user explicitly asks for TA-Lib/talib. NEVER use VectorBT built-in indicators either way.
• Specialty indicators (no TA-Lib equivalent, always openalgo.ta): Supertrend, Donchian, Ichimoku, HMA, KAMA, ALMA, ZLEMA, VWMA
• Signal cleaning: openalgo.ta for exrem, crossover, crossunder, flip (always, regardless of indicator library)
• Fee model: Indian market standard (STT + statutory charges + Rs 20/order)
• Benchmark: NIFTY 50 via OpenAlgo (NSE_INDEX) by default
• Charts: Plotly with template="plotly_dark"
• Environment variables loaded from single .env at project root via find_dotenv() (walks up from script dir)
• Scripts go in backtesting/{strategy_name}/ directories (created on-demand, not pre-created)
• Never use icons/emojis in code or logger output

Critical Rules

1. Default to OpenAlgo ta (from openalgo import ta) for ALL technical indicators (EMA, SMA, RSI, MACD, BBANDS, ATR, ADX, STDDEV, MOM, and 90+ more). Only use TA-Lib if the user explicitly requests "talib"/"TA-Lib" in their prompt. NEVER use vbt.MA.run(), vbt.RSI.run(), or any VectorBT built-in indicator with either library.
2. Always use OpenAlgo ta for indicators not in TA-Lib at all: Supertrend, Donchian, Ichimoku, HMA, KAMA, ALMA, ZLEMA, VWMA - these have no TA-Lib equivalent, so they're openalgo.ta even in a TA-Lib-opt-in script.
3. Use OpenAlgo ta for signal utilities: ta.exrem(), ta.crossover(), ta.crossunder(), ta.flip(). If openalgo.ta is not importable (standalone DuckDB), use inline exrem() fallback. See [duckdb-data](rules/duckdb-data.md).
4. Always clean signals with ta.exrem() after generating raw buy/sell signals. Always .fillna(False) before exrem.
5. Market-specific fees: India ([indian-market-costs](rules/indian-market-costs.md)), US ([us-market-costs](rules/us-market-costs.md)), Crypto ([crypto-market-costs](rules/crypto-market-costs.md)). Auto-select based on user's market.
6. Default benchmarks: India=NIFTY via OpenAlgo, US=S&P 500 (^GSPC), Crypto=Bitcoin (BTC-USD). See [data-fetching](rules/data-fetching.md) Market Selection Guide.
7. Always produce a Strategy vs Benchmark comparison table after every backtest.
8. Always explain the backtest report in plain language so even normal traders understand risk and strength.
9. Plotly candlestick charts must use xaxis type="category" to avoid weekend gaps.
10. Whole shares: Always set minsize=1, sizegranularity=1 for equities.
11. DuckDB data loading: When user provides a DuckDB path, load data directly using duckdb.connect() with readonly=True. Auto-detect format: OpenAlgo Historify (table marketdata, epoch timestamps) vs custom (table ohlcv, date+time columns). See [duckdb-data](rules/duckdb-data.md).

Modular Rule Files

Detailed reference for each topic is in rules/:

Strategy Templates (in rules/assets/)

Production-ready scripts with realistic fees, NIFTY benchmark, comparison table, and plain-language report:

Quick Template: Standard Backtest Script

import os
from datetime import datetime, timedelta
from pathlib import Path

import numpy as np
import pandas as pd
import vectorbt as vbt
from dotenv import find_dotenv, load_dotenv
from openalgo import api, ta

# --- Config ---
script_dir = Path(__file__).resolve().parent
load_dotenv(find_dotenv(), override=False)

SYMBOL = "SBIN"
EXCHANGE = "NSE"
INTERVAL = "D"
INIT_CASH = 1_000_000
FEES = 0.00111              # Indian delivery equity (STT + statutory)
FIXED_FEES = 20             # Rs 20 per order
ALLOCATION = 0.75
BENCHMARK_SYMBOL = "NIFTY"
BENCHMARK_EXCHANGE = "NSE_INDEX"

# --- Fetch Data ---
client = api(
    api_key=os.getenv("OPENALGO_API_KEY"),
    host=os.getenv("OPENALGO_HOST", "http://127.0.0.1:5000"),
)

end_date = datetime.now().date()
start_date = end_date - timedelta(days=365 * 3)

df = client.history(
    symbol=SYMBOL, exchange=EXCHANGE, interval=INTERVAL,
    start_date=start_date.strftime("%Y-%m-%d"),
    end_date=end_date.strftime("%Y-%m-%d"),
)
if "timestamp" in df.columns:
    df["timestamp"] = pd.to_datetime(df["timestamp"])
    df = df.set_index("timestamp")
else:
    df.index = pd.to_datetime(df.index)
df = df.sort_index()
if df.index.tz is not None:
    df.index = df.index.tz_convert(None)

close = df["close"]

# --- Strategy: EMA Crossover (OpenAlgo ta - default indicator library) ---
ema_fast = ta.ema(close, 10)
ema_slow = ta.ema(close, 20)

buy_raw = (ema_fast > ema_slow) & (ema_fast.shift(1) <= ema_slow.shift(1))
sell_raw = (ema_fast < ema_slow) & (ema_fast.shift(1) >= ema_slow.shift(1))

entries = ta.exrem(buy_raw.fillna(False), sell_raw.fillna(False))
exits = ta.exrem(sell_raw.fillna(False), buy_raw.fillna(False))

# --- Backtest ---
pf = vbt.Portfolio.from_signals(
    close, entries, exits,
    init_cash=INIT_CASH, size=ALLOCATION, size_type="percent",
    fees=FEES, fixed_fees=FIXED_FEES, direction="longonly",
    min_size=1, size_granularity=1, freq="1D",
)

# --- Benchmark ---
df_bench = client.history(
    symbol=BENCHMARK_SYMBOL, exchange=BENCHMARK_EXCHANGE, interval=INTERVAL,
    start_date=start_date.strftime("%Y-%m-%d"),
    end_date=end_date.strftime("%Y-%m-%d"),
)
if "timestamp" in df_bench.columns:
    df_bench["timestamp"] = pd.to_datetime(df_bench["timestamp"])
    df_bench = df_bench.set_index("timestamp")
else:
    df_bench.index = pd.to_datetime(df_bench.index)
df_bench = df_bench.sort_index()
if df_bench.index.tz is not None:
    df_bench.index = df_bench.index.tz_convert(None)
bench_close = df_bench["close"].reindex(close.index).ffill().bfill()
pf_bench = vbt.Portfolio.from_holding(bench_close, init_cash=INIT_CASH, fees=FEES, freq="1D")

# --- Results ---
print(pf.stats())

# --- Strategy vs Benchmark ---
comparison = pd.DataFrame({
    "Strategy": [
        f"{pf.total_return() * 100:.2f}%", f"{pf.sharpe_ratio():.2f}",
        f"{pf.sortino_ratio():.2f}", f"{pf.max_drawdown() * 100:.2f}%",
        f"{pf.trades.win_rate() * 100:.1f}%", f"{pf.trades.count()}",
        f"{pf.trades.profit_factor():.2f}",
    ],
    f"Benchmark ({BENCHMARK_SYMBOL})": [
        f"{pf_bench.total_return() * 100:.2f}%", f"{pf_bench.sharpe_ratio():.2f}",
        f"{pf_bench.sortino_ratio():.2f}", f"{pf_bench.max_drawdown() * 100:.2f}%",
        "-", "-", "-",
    ],
}, index=["Total Return", "Sharpe Ratio", "Sortino Ratio", "Max Drawdown",
          "Win Rate", "Total Trades", "Profit Factor"])
print(comparison.to_string())

# --- Explain ---
print(f"* Total Return: {pf.total_return() * 100:.2f}% vs NIFTY {pf_bench.total_return() * 100:.2f}%")
print(f"* Max Drawdown: {pf.max_drawdown() * 100:.2f}%")
print(f"  -> On Rs {INIT_CASH:,}, worst temporary loss = Rs {abs(pf.max_drawdown()) * INIT_CASH:,.0f}")

# --- Plot ---
fig = pf.plot(subplots=['value', 'underwater', 'cum_returns'], template="plotly_dark")
fig.show()

# --- Export ---
pf.positions.records_readable.to_csv(script_dir / f"{SYMBOL}_trades.csv", index=False)

Quick Template: DuckDB Backtest Script

import datetime as dt
from pathlib import Path

import duckdb
import numpy as np
import pandas as pd
import vectorbt as vbt

try:
    # Default: OpenAlgo ta for both indicators and signal cleaning
    from openalgo import ta
    exrem = ta.exrem
    ema = ta.ema
except ImportError:
    # Fallback ONLY when the openalgo package itself is not installed
    # (standalone DuckDB with no OpenAlgo). Use TA-Lib for indicators
    # and this inline exrem() replacement for signal cleaning.
    import talib as tl

    def ema(data, period):
        return pd.Series(tl.EMA(data.values, timeperiod=period), index=data.index)

    def exrem(signal1, signal2):
        result = signal1.copy()
        active = False
        for i in range(len(signal1)):
            if active:
                result.iloc[i] = False
            if signal1.iloc[i] and not active:
                active = True
            if signal2.iloc[i]:
                active = False
        return result

# --- Config ---
SYMBOL = "SBIN"
DB_PATH = r"path/to/market_data.duckdb"
INIT_CASH = 1_000_000
FEES = 0.000225              # Intraday equity
FIXED_FEES = 20

# --- Load from DuckDB ---
con = duckdb.connect(DB_PATH, read_only=True)
df = con.execute("""
    SELECT date, time, open, high, low, close, volume
    FROM ohlcv WHERE symbol = ? ORDER BY date, time
""", [SYMBOL]).fetchdf()
con.close()

df["datetime"] = pd.to_datetime(df["date"].astype(str) + " " + df["time"].astype(str))
df = df.set_index("datetime").sort_index()
df = df.drop(columns=["date", "time"])

# --- Resample to 5min ---
df_5m = df.resample("5min", origin="start_day", offset="9h15min",
                     label="right", closed="right").agg({
    "open": "first", "high": "max", "low": "min", "close": "last", "volume": "sum"
}).dropna()
close = df_5m["close"]

# --- Strategy + Backtest (same as OpenAlgo template, but use the ema()/exrem() resolved above) ---

If the user explicitly asks for TA-Lib, skip the try/except above and import talib as tl directly instead - the exrem fallback is only for when openalgo itself is unavailable.