Initial commit: A-share stock analysis project with screening, backtesting, and multi-factor analysis tools

2026-07-01 06:39:40 +00:00
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+---
+name: stock-backtest
+description: Design, run, and interpret strategy backtests for A-share stocks
+---
+
+## What I Do
+
+Guide the agent through backtesting trading strategies:
+1. Help design strategy rules from user descriptions
+2. Run backtests on historical data
+3. Interpret results and identify potential issues
+4. Suggest improvements
+
+## Capital Context (CRITICAL)
+
+**The user has ~5万 RMB capital.** Backtest interpretation must be capital-aware:
+
+- When presenting metrics, translate key numbers to the user's context:
+  - "Annualized return 15% = ¥7,500 on 5万"
+  - "Max drawdown 12% = ¥6,000 worst-case loss"
+  - "Average win ¥800, average loss ¥1,200 per trade"
+- Assess whether a strategy is **practically usable** with 5万 considering position sizing constraints
+- Flag if a strategy requires more positions than 5万 can support
+
+## Key Backtest Metrics
+
+- **Cumulative return**: total return over the period
+- **Annualized return**: normalized yearly return (translate to ¥ on 5万)
+- **Win rate**: percentage of profitable trades
+- **Max drawdown**: worst peak-to-trough decline (translate to ¥)
+- **Sharpe ratio**: risk-adjusted return
+- **Benchmark comparison**: vs CSI 300 index
+
+## Strategy Parameters
+
+Common strategy elements to help users define:
+- Entry conditions (e.g., MA crossover, breakout, pullback)
+- Exit conditions (e.g., stop loss %, take profit %, trailing stop, time-based)
+- Position sizing (e.g., fixed %, Kelly fraction)
+- Test period and stock universe
+
+## When to Use Me
+
+Use when the user asks to:
+- Backtest a trading strategy
+- Verify a strategy's historical performance
+- Compare multiple strategies
+- Evaluate whether a strategy is worth using
+
+## Workflow
+
+1. Clarify strategy rules with user
+2. Translate rules into testable parameters
+3. Run backtest via `stock-backtest` tools
+4. Present results with interpretation:
+
+### Output Format
+
+1. **Strategy Summary**: rules in plain language
+2. **Performance Metrics**: all key metrics in table form
+3. **Capital Context Translation**:
+   | Metric | Value | On 5万 Capital |
+   |--------|-------|----------------|
+   | Annualized Return | 18% | ¥9,000/year |
+   | Max Drawdown | 15% | ¥7,500 worst case |
+   | Avg Win per Trade | ¥450 | — |
+   | Avg Loss per Trade | ¥600 | — |
+4. **Equity Curve Description**: shape, drawdown periods, recovery time
+5. **Benchmark Comparison**: outperformance/underperformance vs CSI 300
+6. **Practicality Assessment for 5万**: 
+   - Can the user afford the position sizes?
+   - Does the strategy require too many concurrent positions?
+   - Is the max drawdown psychologically tolerable?
+7. **Potential Concerns**: overfitting, look-ahead bias, survivorship bias, regime dependence
+
+## Risk Disclaimer
+
+Always remind: backtest results reflect historical data. Live performance will differ. Strategies can fail in new market regimes. The user bears all trading risk.