quantitative-trading
Quantitative analysis, algorithmic trading strategies, financial modeling, portfolio risk management, and backtesting
View on GitHubTable of content
Quantitative analysis, algorithmic trading strategies, financial modeling, portfolio risk management, and backtesting
Installation
npx claude-plugins install @wshobson/claude-code-workflows/quantitative-trading
Contents
Folders: agents, skills
Included Skills
This plugin includes 2 skill definitions:
backtesting-frameworks
Build robust backtesting systems for trading strategies with proper handling of look-ahead bias, survivorship bias, and transaction costs. Use when developing trading algorithms, validating strategies, or building backtesting infrastructure.
View skill definition
Backtesting Frameworks
Build robust, production-grade backtesting systems that avoid common pitfalls and produce reliable strategy performance estimates.
When to Use This Skill
- Developing trading strategy backtests
- Building backtesting infrastructure
- Validating strategy performance
- Avoiding common backtesting biases
- Implementing walk-forward analysis
- Comparing strategy alternatives
Core Concepts
1. Backtesting Biases
| Bias | Description | Mitigation |
|---|---|---|
| Look-ahead | Using future information | Point-in-time data |
| Survivorship | Only testing on survivors | Use delisted securities |
| Overfitting | Curve-fitting to history | Out-of-sample testing |
| Selection | Cherry-picking strategies | Pre-registration |
| Transaction | Ignoring trading costs | Realistic cost models |
2. Proper Backtest Structure
Historical Data
│
▼
┌─────────────────────────────────────────┐
│ Training Set │
│ (Strategy Development & Optimization) │
└─────────────────────────────────────────┘
│
▼
┌─────────────────────────────────────────┐
│ Validation Set │
│ (Parameter Selection, No Peeking) │
└─────────────────────────────────────────┘
│
▼
┌─────────────────────────────────────────┐
│ Test Set
...(truncated)
</details>
### risk-metrics-calculation
> Calculate portfolio risk metrics including VaR, CVaR, Sharpe, Sortino, and drawdown analysis. Use when measuring portfolio risk, implementing risk limits, or building risk monitoring systems.
<details>
<summary>View skill definition</summary>
# Risk Metrics Calculation
Comprehensive risk measurement toolkit for portfolio management, including Value at Risk, Expected Shortfall, and drawdown analysis.
## When to Use This Skill
- Measuring portfolio risk
- Implementing risk limits
- Building risk dashboards
- Calculating risk-adjusted returns
- Setting position sizes
- Regulatory reporting
## Core Concepts
### 1. Risk Metric Categories
| Category | Metrics | Use Case |
| ----------------- | --------------- | -------------------- |
| **Volatility** | Std Dev, Beta | General risk |
| **Tail Risk** | VaR, CVaR | Extreme losses |
| **Drawdown** | Max DD, Calmar | Capital preservation |
| **Risk-Adjusted** | Sharpe, Sortino | Performance |
### 2. Time Horizons
Intraday: Minute/hourly VaR for day traders Daily: Standard risk reporting Weekly: Rebalancing decisions Monthly: Performance attribution Annual: Strategic allocation
## Implementation
### Pattern 1: Core Risk Metrics
```python
import numpy as np
import pandas as pd
from scipy import stats
from typing import Dict, Optional, Tuple
class RiskMetrics:
"""Core risk metric calculations."""
def __init__(self, returns: pd.Series, rf_rate: float = 0.02):
"""
Args:
returns: Series of periodic returns
rf_rate: Annual risk-free rate
"""
self.returns = returns
self.rf_rate = rf_rate
self.a
...(truncated)
</details>
## Source
[View on GitHub](https://github.com/wshobson/agents)