ite-workflows/workflows/backtest-strategy/CONTEXT.md

Workspace Context: Strategy Backtest

Routing

Given a strategy to backtest, the workflow proceeds through stages:

1. 00_clarify_strategy - Freeze the strategy rules with the operator into a declarative spec (structure, entries, exits, session, sizing, costs).
2. 01_verify_data - Enumerate the contract universe, then verify historical depth (minute-bar range per contract leg, quote-history lookback) with small test pulls. Produce a data manifest with honest date ranges and gaps.
3. 02_fetch_cache - Single-pass bulk pull of bars/quotes into the shared SQLite cache, keyed by (contract, timespan, window). Cache-first: existing rows are never re-pulled.
4. 03_run_backtest - Author/run the stdlib-only engine over cached data. No look-ahead. Costs from risk-params. Output trades.csv + metrics.json.
5. 04_report - Human-readable report: win rate, expectancy, drawdown, per-hour breakdowns. Small-sample results flagged as small-sample.

Shared Resources

• _config/: strategy spec template + risk parameters (stable reference).
• shared/data/: SQLite cache of fetched bars/quotes (built during runs).
• shared/scripts/: engine + helper scripts (stdlib only, authored at stage exec).

Data rules (verified 2026-08-27)

• Options per-contract OHLC bars: minute→month timespans, history back to 2014-06-02, max 50,000 bars per pull. Daily summaries + previous-day also exist.
• Options quote history + tick trade history exist per contract; quote-history lookback depth is UNVERIFIED until stage 01 measures it.
• Equity bars: custom OHLC (minute-level), daily summaries, grouped-daily (all tickers), previous-day.
• No historical greeks/IV series anywhere in the catalog: backtests are price/levels-driven. IV-rank conditions are not testable.
• Live chain snapshots (greeks/IV) are current-tape only — never a backtest source.

Engine rules

• Pure Python 3.12 stdlib (json, csv, sqlite3, statistics, math, datetime, urllib). NO pip installs — the operator manages packaging with uv; pyproject.toml declares zero dependencies.
• A credit spread is two leg pulls stitched: credit = short-leg price − long-leg price at entry; P&L tracked per bar on the leg diff.
• Costs: conservative slippage default (mid ± half-spread per fill), from _config/risk-params.md.
• Exits modeled per house style: stop, T1/T2/T3 partials, hard 15:45 ET time exit, optional breakeven-after-T1.
• RTH is the default session; extended only if the spec says so explicitly.

Honesty rules

• Never present a backtest result without N (trade count) and the tested window.
• Low-N results (<30 trades) must be labeled low-N in the report.
• If data has gaps (no bars for an era/strike), say so in the manifest and report — never silently interpolate through them.