52 lines
2.8 KiB
Markdown
52 lines
2.8 KiB
Markdown
# Workspace Context: Strategy Backtest
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## Routing
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Given a strategy to backtest, the workflow proceeds through stages:
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1. **00_clarify_strategy** - Freeze the strategy rules with the operator into a
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declarative spec (structure, entries, exits, session, sizing, costs).
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2. **01_verify_data** - Enumerate the contract universe, then verify historical
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depth (minute-bar range per contract leg, quote-history lookback) with small
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test pulls. Produce a data manifest with honest date ranges and gaps.
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3. **02_fetch_cache** - Single-pass bulk pull of bars/quotes into the shared
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SQLite cache, keyed by (contract, timespan, window). Cache-first: existing
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rows are never re-pulled.
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4. **03_run_backtest** - Author/run the stdlib-only engine over cached data.
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No look-ahead. Costs from risk-params. Output trades.csv + metrics.json.
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5. **04_report** - Human-readable report: win rate, expectancy, drawdown,
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per-hour breakdowns. Small-sample results flagged as small-sample.
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## Shared Resources
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- _config/: strategy spec template + risk parameters (stable reference).
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- shared/data/: SQLite cache of fetched bars/quotes (built during runs).
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- shared/scripts/: engine + helper scripts (stdlib only, authored at stage exec).
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## Data rules (verified 2026-08-27)
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- Options per-contract OHLC bars: minute→month timespans, history back to
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2014-06-02, max 50,000 bars per pull. Daily summaries + previous-day also exist.
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- Options quote history + tick trade history exist per contract; quote-history
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lookback depth is UNVERIFIED until stage 01 measures it.
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- Equity bars: custom OHLC (minute-level), daily summaries, grouped-daily
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(all tickers), previous-day.
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- No historical greeks/IV series anywhere in the catalog: backtests are
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price/levels-driven. IV-rank conditions are not testable.
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- Live chain snapshots (greeks/IV) are current-tape only — never a backtest source.
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## Engine rules
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- Pure Python 3.12 stdlib (json, csv, sqlite3, statistics, math, datetime, urllib).
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NO pip installs — the operator manages packaging with uv; pyproject.toml
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declares zero dependencies.
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- A credit spread is two leg pulls stitched: credit = short-leg price − long-leg
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price at entry; P&L tracked per bar on the leg diff.
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- Costs: conservative slippage default (mid ± half-spread per fill), from
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_config/risk-params.md.
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- Exits modeled per house style: stop, T1/T2/T3 partials, hard 15:45 ET time exit,
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optional breakeven-after-T1.
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- RTH is the default session; extended only if the spec says so explicitly.
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## Honesty rules
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- Never present a backtest result without N (trade count) and the tested window.
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- Low-N results (<30 trades) must be labeled low-N in the report.
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- If data has gaps (no bars for an era/strike), say so in the manifest and report —
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never silently interpolate through them.
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