optimize
Optimize strategy parameters using VectorBT. Tests parameter combinations and generates heatmaps.
How do I install this agent skill?
npx skills add https://github.com/marketcalls/vectorbt-backtesting-skills --skill optimizeIs this agent skill safe to install?
- Gen Agent Trust Hubpass
The skill generates Python scripts for financial strategy optimization using standard industry libraries. It retrieves market data via the OpenAlgo API and manages local backtesting files. No malicious code, exfiltration, or obfuscation patterns were detected.
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No alerts
- Snykpass
Risk: LOW · No issues
- Runlayerpass
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- ZeroLeakspass
Score: 93/100 · 2 sections analyzed
What does this agent skill do?
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
- Read the vectorbt-expert skill rules for reference patterns
- Create
backtesting/{strategy_name}/directory if it doesn't exist (on-demand) - Create a
.pyfile inbacktesting/{strategy_name}/named{symbol}_{strategy}_optimize.py - The script must:
- Load
.envfrom project root usingfind_dotenv()and fetch data via OpenAlgoclient.history() - If user provides a DuckDB path, load data directly via
duckdb.connect(path, read_only=True). See vectorbt-expertrules/duckdb-data.md. - If
openalgo.tais not importable (standalone DuckDB), use inlineexrem()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: total_return, sharpe_ratio, max_drawdown, trade_count for each combination
- Use
tqdmfor progress bars - Indian delivery fees:
fees=0.00111, fixed_fees=20for 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="plotly_dark") - 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
- Load
- Never use icons/emojis in code or logger output
- For futures symbols, use lot-size-aware sizing:
- NIFTY:
min_size=65, size_granularity=65 - BANKNIFTY:
min_size=30, size_granularity=30
- NIFTY:
Default Parameter Ranges
| Strategy | Parameter 1 | Parameter 2 |
|---|---|---|
| ema-crossover | fast EMA: 5-50 | slow EMA: 10-60 |
| rsi | window: 5-30 | oversold: 20-40 |
| donchian | period: 5-50 | - |
| supertrend | period: 5-30 | multiplier: 1.0-5.0 |
Example Usage
/optimize ema-crossover RELIANCE NSE D
/optimize rsi SBIN
How can the creator link this skill?
Add the canonical catalog link to the repository README so users can inspect current installs and available audits. The publishing guide covers the complete discovery path.
<a href="https://skillzs.dev/skills/marketcalls/vectorbt-backtesting-skills/optimize">View optimize on skillZs</a>