tradeblocks-optimize
Parameter exploration for trading backtests. Analyzes trade data to find patterns across parameters like time of day, DTE, delta ranges, and market conditions. Use when exploring which parameters performed differently or understanding strategy behavior across conditions.
安装与使用
请根据来源仓库和你的 AI 工具说明安装此技能。先阅读技能文件和依赖要求,再添加到工作流。
查看来源 ↗使用指南技能说明
Parameter Exploration
Explore trade data to understand how performance varies across different parameters.
What This Skill Does
Uses the Report Builder tools to analyze trade data and answer questions like:
- "How does performance vary by time of day?"
- "What do the numbers look like across DTE ranges?"
- "Is there a delta range that stands out?"
- "How does VIX level correlate with results?"
Important: This skill helps surface patterns in historical data. Past patterns may not persist. See references/optimization.md for overfitting context.
Prerequisites
- TradeBlocks MCP server running
- Block with enriched trade data (includes fields like hourOfDay, dte, delta, etc.)
- Sufficient trade count for meaningful analysis (50+ trades for better signal)
Process
Step 1: Identify Exploration Goal
Ask what the user wants to explore:
| Goal | Fields to Analyze |
|---|---|
| Entry timing | hourOfDay, dayOfWeek |
| DTE patterns | dte (days to expiration) |
| Delta behavior | delta |
| Market conditions | vix, spyLevel |
| Entry pricing | entryCredit, entryDebit |
Ask: "What aspect of your strategy would you like to explore?"
Use list_blocks to identify the target block.
Step 2: Explore Available Fields
Use list_available_fields to show what data exists for analysis.
Key parameters:
-
blockId: Block folder name -
strategy: Optional filter to specific strategy
Tool returns:
- Available fields grouped by category
- Field types (numeric, string, date)
- Sample values and coverage
Present available fields:
- Timing: hourOfDay, dayOfWeek, dateOpened
- Position: dte, delta, strike, underlying
- Price: entryCredit, entryDebit
- Market: vix, spyLevel (if available)
- Outcome: pl, plPct, result
Step 3: Understand Distribution
Use get_field_statistics on the target field to understand the data shape.
Key parameters:
-
blockId: Block folder name -
field: Field name to analyze -
strategy: Optional filter
Tool returns:
- Range (min/max values)
- Distribution statistics (mean, median, std dev)
- Value counts or histogram buckets
- Missing value count
This reveals:
- Where the data concentrates
- Whether there are outliers
- How trades spread across values
Step 4: Aggregate Analysis
Use aggregate_by_field to bucket trades and compare performance across parameter values.
Key parameters:
-
blockId: Block folder name -
field: Field to group by -
strategy: Optional filter -
buckets: For continuous fields, define ranges (e.g.,[0, 7, 14, 21, 30]for DTE) -
metrics: Which statistics to calculate
For continuous fields (DTE, delta):
- Define meaningful buckets based on the distribution
- Example DTE buckets: [0-7, 7-14, 14-21, 21-30, 30+]
For discrete fields (hourOfDay, dayOfWeek):
- Each unique value becomes a bucket automatically
Tool returns per bucket:
-
count: Number of trades (sample size) -
winRate: Percentage of winners -
avgPl: Average P&L per trade -
totalPl: Sum of P&L -
profitFactor: Gross wins / gross losses
Present results:
| Bucket | Count | Win Rate | Avg P&L | Total P&L | Profit Factor |
|---|---|---|---|---|---|
| ... | ... | ... | ... | ... | ... |
Step 5: Consider Sample Size
Critical context for any pattern:
| Trades per Bucket | Interpretation |
|---|---|
| < 10 | Very high variance - likely noise |
| 10-30 | Wide confidence intervals |
| 30-50 | Moderate reliability |
| 50+ | More meaningful comparison |
Multiple testing note: When exploring many parameters, some will appear significant by chance. Testing 10 buckets at 5% significance = ~40% chance of one false positive. See references/optimization.md.
Step 6: Present Findings
Synthesize what the data shows:
Exploration Results:
- Field analyzed: [field name]
- Total trades: [count]
- Buckets examined: [number]
Distribution Overview:
- [How trades spread across buckets]
- [Any concentration or gaps]
Performance by Bucket: | Best performing | [bucket] | [key metrics] | [sample size] | | Worst performing | [bucket] | [key metrics] | [sample size] |
Sample Size Context:
- [Note which buckets have sufficient data]
- [Flag any with <30 trades]
What the data shows:
- [Observable pattern 1]
- [Observable pattern 2]
- [Any caveats about the data]
For further validation:
- Run walk-forward analysis to test if pattern persists on unseen data
- Collect more trades to increase sample sizes
- Check if pattern aligns with strategy thesis
Present these as patterns in the historical data. The user can decide what weight to give these observations.
Interpretation Reference
For detailed guidance on interpreting optimization results and avoiding overfitting, see references/optimization.md.
Related Skills
After parameter exploration:
-
/tradeblocks-wfa- Test if patterns hold on out-of-sample data -
/tradeblocks-health-check- Full metrics review -
/tradeblocks-compare- Compare different parameter settings
Common Scenarios
"How does performance vary by entry time?"
- Check hourOfDay distribution with
get_field_statistics - Aggregate P&L by hour with
aggregate_by_field - Note sample size per hour
- Present hours with notably different metrics
"What do DTE ranges look like?"
- Get DTE statistics to see range and distribution
- Create meaningful buckets (e.g., 0-14, 14-30, 30-45, 45+)
- Aggregate by bucket
- Note any bucket with few trades
"Is there a delta pattern?"
- Check delta distribution
- Create buckets (e.g., 10-15, 15-20, 20-25, etc.)
- Aggregate by bucket
- Consider whether differences exceed noise
Data Quality Notes
- Historical patterns may not persist - markets and conditions change
- Small sample sizes are noisy - 30+ trades per bucket for meaningful comparison
- Multiple testing inflates apparent significance - be skeptical of "best" findings
-
Validate with walk-forward - use
/tradeblocks-wfafor out-of-sample testing - Consider why - patterns with logical explanations are more likely to persist
Notes
- Exploration surfaces patterns; it doesn't prove causation
- The "best" parameter from historical data often regresses toward average
- Robustness across parameters often matters more than optimization to one value
- Consider the trading thesis - does the pattern make sense?
使用示例
查看来源仓库中的使用示例与配置说明。
查看来源 ↗来源历史
- 收录时间
- 2026-01-20
- 索引更新时间
- 2026-01-31
- Branch
- main
收录与同步日期属于本站记录。源码修改历史请查看来源仓库。
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