Create a strategy comparison script.
Arguments
Parse $ARGUMENTS as: symbol followed by strategy names
$0= symbol (e.g., SBIN, RELIANCE, NIFTY)- Remaining args = strategies to compare (e.g., ema-crossover rsi donchian)
If only a symbol is given with no strategies, compare: ema-crossover, rsi, donchian, supertrend. If "long-vs-short" is one of the strategies, compare longonly vs shortonly vs both for the first real strategy.
Instructions
- Read the vectorbt-expert skill rules for reference patterns
- Create
backtesting/strategy_comparison/directory if it doesn't exist (on-demand) - Create a
.pyfile inbacktesting/strategy_comparison/named{symbol}_strategy_comparison.py - The script must:
- Fetch data once via OpenAlgo
- 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 TA-Lib for ALL indicators (never VectorBT built-in)
- Use OpenAlgo ta for specialty indicators (Supertrend, Donchian, etc.)
- Clean signals with
ta.exrem()(always.fillna(False)before exrem) - Run each strategy on the same data
- Indian delivery fees:
fees=0.00111, fixed_fees=20for delivery equity - Collect key metrics from each into a side-by-side DataFrame
- Include NIFTY benchmark in the comparison table (via OpenAlgo
NSE_INDEX) - Print Strategy vs Benchmark comparison table: Total Return, Sharpe, Sortino, Max DD, Win Rate, Trades, Profit Factor
- Explain results in plain language - which strategy performed best and why
- Plot overlaid equity curves for all strategies using Plotly (
template="plotly_dark") - Save comparison to CSV
- Never use icons/emojis in code or logger output
Example Usage
/strategy-compare RELIANCE ema-crossover rsi donchian /strategy-compare SBIN long-vs-short ema-crossover
