├── .gitignore ├── test ├── mocks │ ├── testCandlesLongStopLoss.json │ ├── testCandlesShortTakeProfit.json │ ├── signals.json │ ├── testCandlesShortStopLoss.json │ ├── testCandlesLongTakeProfit.json │ ├── testCandlesLongLimitOrder.json │ ├── getSignals.js │ └── testCandlesIndicators.js ├── asserts │ ├── rsi14.js │ ├── ema200.js │ └── ema50.js └── backtest.test.js ├── src ├── util │ ├── transformCandle.js │ └── drawChart.js ├── config.js └── index.ts ├── tsconfig.json ├── .eslintrc ├── run.js ├── strategies.js ├── package.json ├── tslint.json ├── README.md ├── signals.json └── shortSignals.json /.gitignore: -------------------------------------------------------------------------------- 1 | .DS_Store 2 | node_modules 3 | /coverage 4 | get.js 5 | strategies.js 6 | lib -------------------------------------------------------------------------------- /test/mocks/testCandlesLongStopLoss.json: -------------------------------------------------------------------------------- 1 | [ 2 | [1547179200000,3716.3,3698.6,3716.3,3691,466.53596936], 3 | [1547395200000,3692.1,3582.1,3692.1,3570,5084.72418679] 4 | ] 5 | -------------------------------------------------------------------------------- /test/mocks/testCandlesShortTakeProfit.json: -------------------------------------------------------------------------------- 1 | [ 2 | [1547179200000,3716.3,3698.6,3820.3,3691,466.53596936], 3 | [1547395200000,3692.1,3582.1,3692.1,3500,5084.72418679] 4 | ] 5 | -------------------------------------------------------------------------------- /test/mocks/signals.json: -------------------------------------------------------------------------------- 1 | [ 2 | {"date":1549584000000,"close":3437.56909222,"low":3436.2,"high":3438.5}, 3 | {"date":1547179200000,"close":3698.6,"low":3691,"high":3716.3} 4 | ] 5 | -------------------------------------------------------------------------------- /test/mocks/testCandlesShortStopLoss.json: -------------------------------------------------------------------------------- 1 | [ 2 | [1549584000000,3438.4,3437.56909222,3438.5,3436.2,189.39972783], 3 | [1549638000000,3513,3575.3,3671,3511.99047565,6119.77140919] 4 | ] 5 | -------------------------------------------------------------------------------- /test/mocks/testCandlesLongTakeProfit.json: -------------------------------------------------------------------------------- 1 | [ 2 | [1549584000000,3438.4,3437.56909222,3438.5,3436.2,189.39972783], 3 | [1549638000000,3513,3575.3,3671,3511.99047565,6119.77140919] 4 | ] 5 | -------------------------------------------------------------------------------- /src/util/transformCandle.js: -------------------------------------------------------------------------------- 1 | module.exports = function transformCandle(candle) { 2 | const [candleTimestamp, open, close, high, low, volume] = candle; 3 | return { 4 | candleTimestamp, open, close, high, low, volume, 5 | }; 6 | }; 7 | -------------------------------------------------------------------------------- /test/mocks/testCandlesLongLimitOrder.json: -------------------------------------------------------------------------------- 1 | [ 2 | [1549584000000,3438.4,3437.56909222,3438.5,3436.2,189.39972783], 3 | [1549638000000,3513,3575.3,3671,3511.99047565,6119.77140919], 4 | [1549692000000,3438.4,3437.56909222,3438.5,3400.01,189.39972783], 5 | [1549746000000,3513,3575.3,3671,3511.99047565,6119.77140919] 6 | ] 7 | -------------------------------------------------------------------------------- /src/config.js: -------------------------------------------------------------------------------- 1 | module.exports = { 2 | defaultBalance: 1000, 3 | defaultExchangeFee: 0.002, 4 | defaultStopLoss: 0.03, 5 | defaultTakeProfit: 0.05, 6 | positionTypes: { 7 | LONG: 'long', 8 | SHORT: 'short', 9 | NONE: 'none', 10 | }, 11 | orderTypes: { 12 | LIMIT: 'limit', 13 | MARKET: 'market', 14 | }, 15 | defaultIndicatorPeriod: 14, 16 | }; 17 | -------------------------------------------------------------------------------- /tsconfig.json: -------------------------------------------------------------------------------- 1 | { 2 | "compilerOptions": { 3 | "plugins": [ 4 | { 5 | "name": "typescript-tslint-plugin" 6 | } 7 | ], 8 | "module": "CommonJS", 9 | "outDir": "./lib", 10 | "target": "ES2017", 11 | "sourceMap": true 12 | }, 13 | "include": [ 14 | "./src/**/*" 15 | ] 16 | } 17 | -------------------------------------------------------------------------------- /test/mocks/getSignals.js: -------------------------------------------------------------------------------- 1 | const signals = require('./signals.json'); 2 | const {orderTypes} = require('../../src/config'); 3 | 4 | module.exports = function getSignals(positionType = 'long', orderType = orderTypes.MARKET) { 5 | const signalsMap = {}; 6 | signals.forEach((s) => { 7 | signalsMap[s.date] = { 8 | ...s, positionType, orderType, price: s.close, 9 | }; 10 | }); 11 | return signalsMap; 12 | }; 13 | -------------------------------------------------------------------------------- /src/util/drawChart.js: -------------------------------------------------------------------------------- 1 | const Chart = require('cli-chart'); 2 | 3 | module.exports = function drawChart(result) { 4 | const resultWithoutTrades = {...result, trades: undefined}; 5 | console.log('Backtest result:', resultWithoutTrades); 6 | const chart = new Chart({ 7 | xlabel: 'trades', 8 | ylabel: 'usd', 9 | direction: 'y', 10 | width: result.trades.length, 11 | height: 35, 12 | lmargin: 5, 13 | step: 1, 14 | }); 15 | result.trades.forEach((trade) => { 16 | chart.addBar(trade.amount + trade.profit, trade.profit > 0 ? 'green' : 'red'); 17 | }); 18 | 19 | chart.draw(); 20 | }; 21 | -------------------------------------------------------------------------------- /.eslintrc: -------------------------------------------------------------------------------- 1 | { 2 | "env": { 3 | "node": true, 4 | "jest": true 5 | }, 6 | "extends": ["airbnb"], 7 | "plugins": ["jest"], 8 | "parser": "babel-eslint", 9 | "rules": { 10 | "no-tabs": 0, 11 | "indent": [2, "tab", { 12 | "SwitchCase": 1 13 | }], 14 | "object-curly-spacing": [2, "never"], 15 | "class-methods-use-this": 0, 16 | "no-console": 0, 17 | "jest/no-disabled-tests": "warn", 18 | "jest/no-focused-tests": "error", 19 | "jest/no-identical-title": "error", 20 | "jest/prefer-to-have-length": "warn", 21 | "jest/valid-expect": "error" 22 | } 23 | } 24 | -------------------------------------------------------------------------------- /run.js: -------------------------------------------------------------------------------- 1 | const Backtest = require('./lib'); 2 | const candles = require('./bitfinex_BTCUSD_15m.json'); 3 | const {ema200Strategy} = require('./strategies'); 4 | const drawChart = require('./src/util/drawChart'); 5 | 6 | const indicators = [ 7 | {name: 'rsi', period: 14}, 8 | {name: 'ema', period: 9}, 9 | {name: 'ema', period: 21}, 10 | { 11 | name: 'stochasticrsi', 12 | period: 14, 13 | rsiPeriod: 14, 14 | stochasticPeriod: 14, 15 | kPeriod: 3, 16 | dPeriod: 3, 17 | }, 18 | // {name: 'adx', period: 14}, 19 | {name: 'bollingerbands', period: 14, stddev: 2}, 20 | ]; 21 | const takeProfit = 0.05; 22 | const stopLoss = 0.04; 23 | const backtesting = new Backtest({ 24 | candles, strategy: ema200Strategy, indicators, takeProfit, stopLoss, 25 | }); 26 | const result = backtesting.start(); 27 | drawChart(result); 28 | process.exit(); 29 | -------------------------------------------------------------------------------- /strategies.js: -------------------------------------------------------------------------------- 1 | module.exports.ema200Strategy = function (candleIndex, candle, positionTypes, orderTypes) { 2 | // const {close, candleTimestamp} = candle; 3 | // const {ema9 = [], ema21 = [], rsi14 = []} = this.indicators; 4 | // const lastEma50Value = ema9[candleIndex]; 5 | // const lastEma200Value = ema21[candleIndex]; 6 | // const lastRsi14Value = rsi14[candleIndex]; 7 | // const positionType = lastEma50Value > lastEma200Value 8 | // ? positionTypes.LONG : positionTypes.SHORT; 9 | // if (lastEma50Value) { 10 | // const price = lastEma50Value; 11 | // const fillOrKill = true; 12 | // this.placeOrder( 13 | // price, 14 | // positionType, 15 | // orderTypes.LIMIT, 16 | // fillOrKill, 17 | // ); 18 | // } 19 | const { 20 | ema9 = [], ema21 = [], rsi14 = [], 21 | stochasticrsi14 = [], adx14 = [], 22 | bollingerbands14 = [], 23 | } = this.indicators; 24 | 25 | const {close, candleTimestamp} = candle; 26 | const fillOrKill = true; 27 | this.placeOrder( 28 | close * 0.95, 29 | positionTypes.LONG, 30 | orderTypes.LIMIT, 31 | fillOrKill, 32 | ); 33 | }; 34 | -------------------------------------------------------------------------------- /package.json: -------------------------------------------------------------------------------- 1 | { 2 | "name": "backtest", 3 | "version": "1.0.0", 4 | "description": "", 5 | "main": "index.js", 6 | "scripts": { 7 | "pretest": "yarn lint:ts && yarn build:ts", 8 | "test": "yarn jest", 9 | "jest": "jest --coverage", 10 | "lint": "eslint ./src ./test --fix", 11 | "lint:ts": "tslint -c tslint.json -p . --fix", 12 | "build:ts": "tsc" 13 | }, 14 | "keywords": [], 15 | "author": "", 16 | "license": "ISC", 17 | "dependencies": { 18 | "cli-chart": "^0.3.1", 19 | "technicalindicators": "^2.0.7" 20 | }, 21 | "devDependencies": { 22 | "babel-eslint": "^10.0.1", 23 | "eslint": "^5.16.0", 24 | "eslint-config-airbnb": "^17.1.0", 25 | "eslint-config-last": "^0.0.5", 26 | "eslint-config-prettier": "^4.1.0", 27 | "eslint-plugin-import": "^2.17.1", 28 | "eslint-plugin-jest": "^22.4.1", 29 | "eslint-plugin-jsx-a11y": "^6.2.1", 30 | "eslint-plugin-prettier": "^3.0.1", 31 | "eslint-plugin-react": "^7.12.4", 32 | "jest": "^24.5.0", 33 | "pre-commit": "^1.2.2", 34 | "prettier": "^1.17.0", 35 | "tslint": "5.16.0", 36 | "tslint-eslint-rules": "5.4.0", 37 | "typescript-tslint-plugin": "0.5.4", 38 | "tslint-no-focused-test": "0.5.0", 39 | "typescript": "3.2.4" 40 | }, 41 | "pre-commit": [ 42 | "test" 43 | ] 44 | } 45 | -------------------------------------------------------------------------------- /tslint.json: -------------------------------------------------------------------------------- 1 | { 2 | "extends": ["tslint:latest", "tslint-eslint-rules"], 3 | "rulesDirectory": [ 4 | "tslint-no-focused-test" 5 | ], 6 | "rules": { 7 | "max-line-length": [true, 140], 8 | "no-empty": false, 9 | "no-default-export": true, 10 | "no-focused-test": true, 11 | "no-var-requires": false, 12 | "no-require-imports": true, 13 | "no-empty-interface": false, 14 | "no-submodule-imports": false, 15 | "no-object-literal-type-assertion": false, 16 | "no-implicit-dependencies": [true, "dev"], 17 | "no-namespace": [true, "allow-declarations"], 18 | "object-curly-spacing": [true, "never"], 19 | "object-literal-key-quotes": [true, "as-needed"], 20 | "object-literal-sort-keys": false, 21 | "max-classes-per-file": [true, 3], 22 | "quotemark": [true, "single", "jsx-double"], 23 | "indent": [true, "tabs", 2], 24 | "callable-types": false, 25 | "interface-name" : [true, "never-prefix"], 26 | "typedef": [true, "call-signature", "property-declaration"], 27 | "no-multi-spaces": [true, { 28 | "exceptions": {"PropertyAssignment": false, "OtherException": "true|false"} 29 | }], 30 | "ordered-imports": [ 31 | true, 32 | { 33 | "import-sources-order": "any", 34 | "named-imports-order": "case-insensitive" 35 | } 36 | ], 37 | "member-ordering": [ 38 | true, 39 | { 40 | "order": [ 41 | "public-static-field", 42 | "private-static-field", 43 | "public-instance-field", 44 | "public-constructor", 45 | "private-instance-field", 46 | "private-constructor", 47 | "public-instance-method", 48 | "protected-instance-method", 49 | "private-instance-method" 50 | ], 51 | "alphabetize": true 52 | } 53 | ] 54 | } 55 | } 56 | -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- 1 | ## Backtest 2 | 3 | The easiest way to test some strategies on historical data. 4 | 5 | ### Features 6 | 7 | - Supports historical candles data as .json (`[[timestamp, open, close, high, low, volume], ...]`) 8 | - Trades according to your strategy 9 | - Trades according to signals 10 | - Calculates indicators to be used by strategy 11 | - Supports both `long` and `short` position types 12 | - Supports both `limit` and `market` order types 13 | - Accepts `stopLoss` as option (default `3%`) 14 | - Accepts `takeProfit` as option (default `5%`) 15 | - Accepts `exchangeFee` as option (default `0.2%`) 16 | - Accepts `balanceUSD` as option (default `1000`) 17 | - Shows summary of profits/losses/trades 18 | _ _soon_ Accepts .csv as a source of candles 19 | 20 | ### Usage 21 | 22 | Construct your own `run.js` file with strategy or signals. 23 | 24 | #### Use with strategy 25 | 26 | Strategy specified by the function. Function receives next arguments: 27 | 28 | - `candleIndex` - will help to pick relevant indicator value 29 | - `candle` - object with standard `open`, `close`, `high`, `low`, `volume` properties 30 | - `positionTypes` - object with constants `LONG` and `SHORT` 31 | - `orderTypes` - object with constants `LIMIT` and `MARKET` 32 | 33 | As a result of strategy calculations, order is placed or position is opened. 34 | 35 | ``` 36 | const Backtest = require('./lib'); 37 | const candles = require('./BTC_1H_CANDLES.json'); 38 | const drawChart = require('./lib/util/drawChart'); 39 | 40 | const indicators = [ 41 | {name: 'rsi', period: 14}, 42 | {name: 'ema', period: 50}, 43 | {name: 'ema', period: 200}, 44 | ]; 45 | const takeProfit = 0.1; 46 | const stopLoss = 0.03; 47 | function ema200Strategy(candleIndex, candle, positionTypes, orderTypes) { 48 | const {close, candleTimestamp} = candle; 49 | const {ema50 = [], ema200 = []} = this.indicators; 50 | const lastEma50Value = ema50[candleIndex]; 51 | const lastEma200Value = ema200[candleIndex]; 52 | const positionType = lastEma50Value > lastEma200Value 53 | ? positionTypes.LONG : positionTypes.SHORT; 54 | if (lastEma200Value) { 55 | const price = lastEma200Value; 56 | const fillOrKill = true; 57 | this.placeOrder( 58 | price, 59 | positionType, 60 | orderTypes.LIMIT, 61 | fillOrKill, 62 | ); 63 | } 64 | }; 65 | 66 | const backtesting = new Backtest({ 67 | candles, strategy: ema200Strategy, indicators, takeProfit, stopLoss, 68 | }); 69 | const result = backtesting.start(); 70 | drawChart(result); 71 | process.exit(); 72 | ``` 73 | 74 | #### Use with signals 75 | 76 | In case you want to test some signals, which was calculated anywhere else - just format them to object with `key` equal to `candle.timestamp` (candle to execute signal on) and `value` as `{orderType: orderTypes.MARKET, positionType: positionTypes.LONG}` (position will be opened with candle.close price as an entry) or either `{orderType: orderTypes.LIMIT, price: 3458.77, positionType: positionTypes.LONG}` (limit order will be places with specified price) 77 | 78 | In case `positionType` is missed - it defaults to `positionTypes.LONG` 79 | 80 | Example of `run.js` file 81 | 82 | ``` 83 | const Backtest = require('./lib'); 84 | const candles = require('./BTC_1H_CANDLES.json'); 85 | let signals = require('./signals'); 86 | const drawChart = require('./lib/util/drawChart'); 87 | 88 | const takeProfit = 0.1; 89 | const stopLoss = 0.03; 90 | const backtesting = new Backtest({ 91 | candles, takeProfit, stopLoss, signals: signalsMap, 92 | }); 93 | const result = backtesting.start(); 94 | drawChart(result); 95 | process.exit(); 96 | ``` 97 | 98 | Example of `market signals` 99 | 100 | ``` 101 | { 102 | 1365706800000: {positionType: 'long', orderType: 'market'}, 103 | 1366099200000: {positionType: 'short', orderType: 'market'}, 104 | ... 105 | } 106 | ``` 107 | Example of `limit signals` 108 | 109 | ``` 110 | { 111 | 1365706800000: {positionType: 'long', orderType: 'limit', price: 3458.77}, 112 | 1366099200000: {positionType: 'short', orderType: 'limit', price: 4210.77}, 113 | ... 114 | } 115 | ``` 116 | 117 | #### Candles format 118 | 119 | Candles must be an array with next format: 120 | 121 | ``` 122 | [ 123 | [ 124 | 1534942800000, 125 | 6664.6, 126 | 6665, 127 | 6676.72752826, 128 | 6650.7, 129 | 470.42768294 130 | ], 131 | [ 132 | 1534946400000, 133 | 6665, 134 | 6654.1, 135 | 6669.1, 136 | 6638.4, 137 | 412.41398936 138 | ], 139 | ... 140 | ] 141 | ``` 142 | 143 | Fetch candles for crypto of your interest with [Cryptofetcher](https://github.com/ceoworks/cryptofetcher) 144 | -------------------------------------------------------------------------------- /test/asserts/rsi14.js: -------------------------------------------------------------------------------- 1 | module.exports = [0, 2 | 0, 3 | 0, 4 | 0, 5 | 0, 6 | 0, 7 | 0, 8 | 0, 9 | 0, 10 | 0, 11 | 0, 12 | 0, 13 | 0, 14 | 0, 15 | 49.54, 16 | 48.39, 17 | 45.76, 18 | 50.45, 19 | 53.55, 20 | 54.83, 21 | 56.19, 22 | 54.14, 23 | 55.78, 24 | 58.83, 25 | 60.73, 26 | 57.46, 27 | 56.28, 28 | 53.99, 29 | 55.49, 30 | 57.42, 31 | 56.18, 32 | 49.52, 33 | 47.16, 34 | 45.05, 35 | 49.18, 36 | 50.32, 37 | 49, 38 | 48.4, 39 | 49.56, 40 | 49.28, 41 | 51.16, 42 | 50.27, 43 | 49.76, 44 | 51.31, 45 | 48.49, 46 | 47.35, 47 | 50.27, 48 | 51.52, 49 | 51.97, 50 | 51.82, 51 | 51.72, 52 | 51.01, 53 | 52.37, 54 | 55.36, 55 | 58.27, 56 | 58.43, 57 | 59.23, 58 | 55.61, 59 | 54.93, 60 | 58.47, 61 | 54.97, 62 | 55.9, 63 | 56.61, 64 | 51.55, 65 | 50.86, 66 | 48.22, 67 | 49.03, 68 | 47.03, 69 | 39.57, 70 | 38.03, 71 | 31.78, 72 | 36.89, 73 | 40.55, 74 | 40.01, 75 | 36.46, 76 | 34.35, 77 | 34.92, 78 | 34.6, 79 | 36.82, 80 | 42, 81 | 43.2, 82 | 42.72, 83 | 39.23, 84 | 38.13, 85 | 38.43, 86 | 36.53, 87 | 35.32, 88 | 37.56, 89 | 34.78, 90 | 28.55, 91 | 27.74, 92 | 29.38, 93 | 24.54, 94 | 32.78, 95 | 25.43, 96 | 28.77, 97 | 22.14, 98 | 21.75, 99 | 32.93, 100 | 33.41, 101 | 34.27, 102 | 47.32, 103 | 49.16, 104 | 51.29, 105 | 52.66, 106 | 50.98, 107 | 54.9, 108 | 52.18, 109 | 52.04, 110 | 45.18, 111 | 46.71, 112 | 45.06, 113 | 46.12, 114 | 45.89, 115 | 47.87, 116 | 49.93, 117 | 52.62, 118 | 52.16, 119 | 49.05, 120 | 55.61, 121 | 56.83, 122 | 60.84, 123 | 62.83, 124 | 59.66, 125 | 58.3, 126 | 57.57, 127 | 58.93, 128 | 60.5, 129 | 61.13, 130 | 59.11, 131 | 52.66, 132 | 48.58, 133 | 51.13, 134 | 52.14, 135 | 54.93, 136 | 60.12, 137 | 61.82, 138 | 58.92, 139 | 59.34, 140 | 61.45, 141 | 60.99, 142 | 67.01, 143 | 70.44, 144 | 76.59, 145 | 72.76, 146 | 69.15, 147 | 69.68, 148 | 75.1, 149 | 73.17, 150 | 78.01, 151 | 78.25, 152 | 78.67, 153 | 83.22, 154 | 84.73, 155 | 85.99, 156 | 83.26, 157 | 82.47, 158 | 65.25, 159 | 65.69, 160 | 54.73, 161 | 58.5, 162 | 55.49, 163 | 59.89, 164 | 60.57, 165 | 65.31, 166 | 65.62, 167 | 66.22, 168 | 60.65, 169 | 61.38, 170 | 62.22, 171 | 64.17, 172 | 63.61, 173 | 57.65, 174 | 54.44, 175 | 55.76, 176 | 54.21, 177 | 53.68, 178 | 56.46, 179 | 55.55, 180 | 58.26, 181 | 61.18, 182 | 62.2, 183 | 61.4, 184 | 58.66, 185 | 62.12, 186 | 26.07, 187 | 46.06, 188 | 50.27, 189 | 49.94, 190 | 50.88, 191 | 51.99, 192 | 52.72, 193 | 54.94, 194 | 55.06, 195 | 56.06, 196 | 57.23, 197 | 63.14, 198 | 65.7, 199 | 72.88, 200 | 62.22, 201 | 67.07, 202 | 72.47, 203 | 78.2, 204 | 78.34, 205 | 82.53, 206 | 85.14, 207 | 87.34, 208 | 77.06, 209 | 71.56, 210 | 65.17, 211 | 71.16, 212 | 70.63, 213 | 73.3, 214 | 68.69, 215 | 69.98, 216 | 69.36, 217 | 70.54, 218 | 73.61, 219 | 77.21, 220 | 80.87, 221 | 84.25, 222 | 87.5, 223 | 90.69, 224 | 90.94, 225 | 83.52, 226 | 85.39, 227 | 86.32, 228 | 89.37, 229 | 90.09, 230 | 89.36, 231 | 90.58, 232 | 92.83, 233 | 96.19, 234 | 69.22, 235 | 72.6, 236 | 78.07, 237 | 80.51, 238 | 81.7, 239 | 77.67, 240 | 77.81, 241 | 81.98, 242 | 82.28, 243 | 83.68, 244 | 86.23, 245 | 84.69, 246 | 67.6, 247 | 70.77, 248 | 71.43, 249 | 74.32, 250 | 64.64, 251 | 51.72, 252 | 45.61, 253 | 50.2, 254 | 55.24, 255 | 58.57, 256 | 53.3, 257 | 52.99, 258 | 53.55, 259 | 51.67, 260 | 52.14, 261 | 43.44, 262 | 42.76, 263 | 36.43, 264 | 45.66, 265 | 42.59, 266 | 42.03, 267 | 43.18, 268 | 45.49, 269 | 45.35, 270 | 47.08, 271 | 51.72, 272 | 49.52, 273 | 49, 274 | 50.07, 275 | 50.64, 276 | 50.15, 277 | 52.01, 278 | 54.29, 279 | 55.98, 280 | 57.62, 281 | 62.8, 282 | 63.67, 283 | 50.91, 284 | 54.06, 285 | 54.15, 286 | 56.14, 287 | 59.24, 288 | 54.09, 289 | 52.51, 290 | 51.72, 291 | 54, 292 | 51.05, 293 | 49.82, 294 | 50.97, 295 | 53.99, 296 | 52.36, 297 | 52.03, 298 | 51.22, 299 | 50.29, 300 | 46.06, 301 | 49.84, 302 | 51.13, 303 | 43.06, 304 | 47.71, 305 | 48.71, 306 | 50.06, 307 | 50.35, 308 | 51.69, 309 | 51.95, 310 | 50.52, 311 | 49.92, 312 | 45.61, 313 | 43.18, 314 | 34.95, 315 | 32.6, 316 | 34.48, 317 | 34.22, 318 | 32.7, 319 | 30.08, 320 | 25.51, 321 | 38.92, 322 | 37.07, 323 | 33.75, 324 | 35.56, 325 | 35.32, 326 | 34.57, 327 | 28.27, 328 | 32.39, 329 | 38.23, 330 | 38.04, 331 | 30.5, 332 | 30.38, 333 | 39.92, 334 | 39.9, 335 | 36.43, 336 | 39.22, 337 | 38.79, 338 | 56.31, 339 | 55, 340 | 54.63, 341 | 54.37, 342 | 48.59, 343 | 46.54, 344 | 50, 345 | 48.22, 346 | 49.41, 347 | 49.8, 348 | 51.25, 349 | 48.19, 350 | 49.68, 351 | 49.18, 352 | 47.25, 353 | 45.54, 354 | 44.15, 355 | 39.72, 356 | 36.96, 357 | 35.58, 358 | 34.71, 359 | 43, 360 | 42.65, 361 | 41.05, 362 | 26.29, 363 | 33.39, 364 | 32.23, 365 | 28.78, 366 | 28.36, 367 | 34.23, 368 | 29.4, 369 | 32.01, 370 | 31.89, 371 | 36.19, 372 | 35.45, 373 | 33.71, 374 | 35.33, 375 | 33.81, 376 | 24.75, 377 | 37.78, 378 | 38.25, 379 | 37.55, 380 | 45.97, 381 | 55.12, 382 | 56.76, 383 | 51.31, 384 | 48.57, 385 | 52.35, 386 | 51.69, 387 | 50.73, 388 | 49.65, 389 | 50.12, 390 | 52.4, 391 | 45.08, 392 | 44.34, 393 | 39.54, 394 | 42.11, 395 | 43.27, 396 | 43.87, 397 | 46.38, 398 | 44.84, 399 | 42.33, 400 | 41.38, 401 | ]; 402 | -------------------------------------------------------------------------------- /test/backtest.test.js: -------------------------------------------------------------------------------- 1 | /* eslint-disable no-mixed-spaces-and-tabs */ 2 | const config = require('../src/config'); 3 | const Backtest = require('../lib'); 4 | const candles = require('./mocks/testCandlesLongTakeProfit.json'); 5 | const candlesStopLoss = require('./mocks/testCandlesLongStopLoss.json'); 6 | const candlesShort = require('./mocks/testCandlesShortTakeProfit.json'); 7 | const candlesShortStopLoss = require('./mocks/testCandlesShortStopLoss.json'); 8 | const candlesLongLimitOrder = require('./mocks/testCandlesLongLimitOrder.json'); 9 | const candlesIndicators = require('./mocks/testCandlesIndicators.js'); 10 | const signalsLong = require('./mocks/getSignals')(); 11 | const signalsShort = require('./mocks/getSignals')(config.positionTypes.SHORT); 12 | const expectedRsi14 = require('./asserts/rsi14'); 13 | const expectedEma50 = require('./asserts/ema50'); 14 | const expectedEma200 = require('./asserts/ema200'); 15 | 16 | test('long takeprofit should work fine', () => { 17 | const backtesting = new Backtest({candles, signals: signalsLong}); 18 | const result = backtesting.start(); 19 | const expectedFinalState = { 20 | balanceUSD: 1045.9, 21 | stopLoss: 0.03, 22 | takeProfit: 0.05, 23 | positionEntry: 3437.56909222, 24 | maximumBalance: 1045.9, 25 | minimumBalance: 1000, 26 | positionType: 'none', 27 | profitTrades: 1, 28 | unprofitTrades: 0, 29 | totalTrades: 1, 30 | trades: 31 | [{ 32 | type: 'long', 33 | entry: 3437.56909222, 34 | stopLoss: 0.03, 35 | takeProfit: 0.05, 36 | amount: 1000, 37 | close: 3609.447546831, 38 | fee: 4.1, 39 | profit: 45.9, 40 | }], 41 | }; 42 | expect(result).toEqual(expectedFinalState); 43 | }); 44 | test('long stoploss should work fine', () => { 45 | const backtesting = new Backtest({candles: candlesStopLoss, signals: signalsLong}); 46 | const result = backtesting.start(); 47 | const expectedFinalState = { 48 | balanceUSD: 965.94, 49 | stopLoss: 0.03, 50 | takeProfit: 0.05, 51 | maximumBalance: 1000, 52 | minimumBalance: 965.94, 53 | positionEntry: 3698.6, 54 | positionType: 'none', 55 | profitTrades: 0, 56 | unprofitTrades: 1, 57 | totalTrades: 1, 58 | trades: 59 | [{ 60 | type: 'long', 61 | entry: 3698.6, 62 | stopLoss: 0.03, 63 | takeProfit: 0.05, 64 | amount: 1000, 65 | close: 3587.642, 66 | fee: 4.0600000000000005, 67 | profit: -34.06, 68 | }], 69 | }; 70 | expect(result).toEqual(expectedFinalState); 71 | }); 72 | test('short takeprofit should work fine', () => { 73 | const backtesting = new Backtest({candles: candlesShort, signals: signalsShort}); 74 | const result = backtesting.start(); 75 | const expectedFinalState = { 76 | balanceUSD: 1045.9, 77 | stopLoss: 0.03, 78 | takeProfit: 0.05, 79 | maximumBalance: 1045.9, 80 | minimumBalance: 1000, 81 | positionEntry: 3698.6, 82 | positionType: 'none', 83 | profitTrades: 1, 84 | unprofitTrades: 0, 85 | totalTrades: 1, 86 | trades: 87 | [{ 88 | type: 'short', 89 | close: 3513.67, 90 | entry: 3698.6, 91 | stopLoss: 0.03, 92 | takeProfit: 0.05, 93 | amount: 1000, 94 | fee: 4.1, 95 | profit: 45.9, 96 | }], 97 | }; 98 | expect(result).toEqual(expectedFinalState); 99 | }); 100 | test('short stoploss should work fine', () => { 101 | const backtesting = new Backtest({candles: candlesShortStopLoss, signals: signalsShort}); 102 | const result = backtesting.start(); 103 | const expectedFinalState = { 104 | balanceUSD: 965.94, 105 | stopLoss: 0.03, 106 | takeProfit: 0.05, 107 | maximumBalance: 1000, 108 | minimumBalance: 965.94, 109 | positionEntry: 3437.56909222, 110 | positionType: 'none', 111 | profitTrades: 0, 112 | unprofitTrades: 1, 113 | totalTrades: 1, 114 | trades: 115 | [{ 116 | type: 'short', 117 | entry: 3437.56909222, 118 | stopLoss: 0.03, 119 | takeProfit: 0.05, 120 | amount: 1000, 121 | close: 3540.6961649866003, 122 | fee: 4.0600000000000005, 123 | profit: -34.06, 124 | }], 125 | }; 126 | expect(result).toEqual(expectedFinalState); 127 | }); 128 | test('indicators', () => { 129 | const indicators = [ 130 | {name: 'rsi', period: 14}, 131 | {name: 'ema', period: 50}, 132 | {name: 'ema', period: 200}, 133 | ]; 134 | const backtesting = new Backtest({candles: candlesIndicators, indicators}); 135 | backtesting.start(); 136 | const calculatedIndicators = backtesting.getIndicators(); 137 | expect(calculatedIndicators.rsi14).toEqual(expectedRsi14); 138 | expect(calculatedIndicators.ema50).toEqual(expectedEma50); 139 | expect(calculatedIndicators.ema200).toEqual(expectedEma200); 140 | }); 141 | test('startegy with limit orders', () => { 142 | const strategy = function strategyWithLimitOrders( 143 | candleIndex, candle, positionTypes, orderTypes, 144 | ) { 145 | const price = 3437.56; 146 | this.placeOrder(price, positionTypes.LONG, orderTypes.LIMIT); 147 | }; 148 | const backtesting = new Backtest({candles: candlesLongLimitOrder, strategy}); 149 | const result = backtesting.start(); 150 | const expectedBactestResult = { 151 | balanceUSD: 1045.9, 152 | stopLoss: 0.03, 153 | takeProfit: 0.05, 154 | positionEntry: 3437.56, 155 | positionType: 'none', 156 | trades: 157 | [{ 158 | type: 'long', 159 | entry: 3437.56, 160 | stopLoss: 0.03, 161 | takeProfit: 0.05, 162 | amount: 1000, 163 | close: 3609.438, 164 | fee: 4.1, 165 | profit: 45.9, 166 | }], 167 | maximumBalance: 1045.9, 168 | minimumBalance: 1000, 169 | totalTrades: 1, 170 | profitTrades: 1, 171 | unprofitTrades: 0, 172 | }; 173 | expect(result).toEqual(expectedBactestResult); 174 | }); 175 | -------------------------------------------------------------------------------- /test/asserts/ema200.js: -------------------------------------------------------------------------------- 1 | /* eslint-disable no-mixed-spaces-and-tabs */ 2 | module.exports = [0, 3 | 0, 4 | 0, 5 | 0, 6 | 0, 7 | 0, 8 | 0, 9 | 0, 10 | 0, 11 | 0, 12 | 0, 13 | 0, 14 | 0, 15 | 0, 16 | 0, 17 | 0, 18 | 0, 19 | 0, 20 | 0, 21 | 0, 22 | 0, 23 | 0, 24 | 0, 25 | 0, 26 | 0, 27 | 0, 28 | 0, 29 | 0, 30 | 0, 31 | 0, 32 | 0, 33 | 0, 34 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498.09080502847746, 402 | ]; 403 | -------------------------------------------------------------------------------- /src/index.ts: -------------------------------------------------------------------------------- 1 | import * as TechnicalIndicators from 'technicalindicators'; 2 | import { 3 | defaultBalance, defaultExchangeFee, 4 | defaultIndicatorPeriod, defaultStopLoss, 5 | defaultTakeProfit, orderTypes, 6 | positionTypes, 7 | } from '../src/config'; 8 | import * as transformCandle from '../src/util/transformCandle'; 9 | 10 | enum PositionTypesEnum { 11 | LONG = 'long', 12 | SHORT = 'short', 13 | NONE = 'none', 14 | } 15 | 16 | enum OrderTypesEnum { 17 | LIMIT = 'limit', 18 | MARKET = 'market', 19 | } 20 | 21 | interface State { 22 | balanceUSD: number; 23 | maximumBalance: number; 24 | minimumBalance: number; 25 | positionEntry?: number; 26 | positionType: PositionTypesEnum; 27 | stopLoss: number; 28 | takeProfit: number; 29 | trades: Trade[]; 30 | } 31 | 32 | interface Candle { 33 | candleTimestamp: number; 34 | close: number; 35 | high: number; 36 | low: number; 37 | open: number; 38 | volume: number; 39 | } 40 | 41 | interface Trade { 42 | amount: number; 43 | close: number; 44 | entry: number; 45 | fee: number; 46 | profit: number; 47 | stopLoss: number; 48 | takeProfit: number; 49 | type: PositionTypesEnum; 50 | } 51 | 52 | interface Order { 53 | fillOrKill?: boolean; 54 | orderType?: OrderTypesEnum; 55 | positionType: PositionTypesEnum; 56 | price: number; 57 | } 58 | 59 | interface IndicatorSettings { 60 | name: string; 61 | period: number; 62 | rsiPeriod: number; 63 | stddev: number; 64 | stochasticPeriod: number; 65 | } 66 | 67 | type Strategy = (candleIndex: number, candle: Candle, positionTypes: PositionTypesEnum, orderTypes: OrderTypesEnum) => void; 68 | 69 | class Backtest { 70 | public candles: Candle[]; 71 | public exchangeFee: number; 72 | public indicators: any; 73 | public indicatorsSettings: IndicatorSettings[]; 74 | public orders: Order[]; 75 | public signals: object; 76 | public state: State; 77 | public strategy: Strategy; 78 | 79 | constructor({ 80 | candles, signals, stopLoss, takeProfit, exchangeFee, balanceUSD, indicators, strategy, 81 | }) { 82 | const balance = balanceUSD || defaultBalance; 83 | this.state = { 84 | balanceUSD: balance, 85 | stopLoss: stopLoss || defaultStopLoss, 86 | takeProfit: takeProfit || defaultTakeProfit, 87 | positionType: positionTypes.NONE, 88 | trades: [], 89 | maximumBalance: balance, 90 | minimumBalance: balance, 91 | }; 92 | this.strategy = strategy || (() => {}); 93 | this.candles = candles.map((candle) => transformCandle(candle)); 94 | this.signals = signals || {}; 95 | this.indicators = {}; 96 | this.indicatorsSettings = indicators || []; 97 | this.exchangeFee = exchangeFee || defaultExchangeFee; 98 | this.orders = []; 99 | } 100 | 101 | public addSignal({ 102 | timestamp, price, positionType, orderType, 103 | }): void { 104 | this.signals[timestamp] = { 105 | price, positionType, orderType, 106 | }; 107 | } 108 | 109 | public calculateIndicators(): void { 110 | this.indicatorsSettings.forEach((indicator) => { 111 | const period: number = indicator.period || defaultIndicatorPeriod; 112 | const indicatorKey = indicator.name + period; 113 | if (!this.indicators[indicatorKey]) { 114 | this.indicators[indicatorKey] = this.fillBlankIndicatorValues(period); 115 | } 116 | const inputCandles = this.candles.map((candle) => candle.close); 117 | const indicatorInput: any = {values: inputCandles, period}; 118 | if (indicator.stddev) { 119 | indicatorInput.stddev = indicator.stddev; 120 | } 121 | if (indicator.rsiPeriod && indicator.stochasticPeriod) { 122 | indicatorInput.rsiPeriod = indicator.rsiPeriod; 123 | indicatorInput.stochasticPeriod = indicator.stochasticPeriod; 124 | } 125 | const calculatedIndicator = TechnicalIndicators[indicator.name](indicatorInput); 126 | this.indicators[indicatorKey] = this.indicators[indicatorKey].concat(calculatedIndicator); 127 | }); 128 | } 129 | 130 | public cancelFillOrKillOrders(): void { 131 | this.orders = this.orders.filter((order) => order.fillOrKill !== true); 132 | } 133 | 134 | public checkForSignal(candleIndex, candle): void { 135 | const {candleTimestamp} = candle; 136 | // console.log('this.signals[candleTimestamp]:', this.signals[candleTimestamp]); 137 | return this.signals[candleTimestamp]; 138 | } 139 | 140 | public checkStopLossAndTakeProfit(candle): void { 141 | let isStopLossHit = false; 142 | let isTakeProfitHit = false; 143 | if (this.state.positionType === positionTypes.LONG) { 144 | if (this.state.positionEntry > candle.low) { 145 | const difference = this.state.positionEntry - candle.low; 146 | const drawdownPercentage = difference / this.state.positionEntry; 147 | if (drawdownPercentage >= this.state.stopLoss) { 148 | isStopLossHit = true; 149 | } 150 | } 151 | if (this.state.positionEntry < candle.high) { 152 | const difference = candle.high - this.state.positionEntry; 153 | const profitPercentage = difference / this.state.positionEntry; 154 | if (profitPercentage >= this.state.takeProfit) { 155 | isTakeProfitHit = true; 156 | } 157 | } 158 | } 159 | if (this.state.positionType === positionTypes.SHORT) { 160 | if (this.state.positionEntry < candle.high) { 161 | const difference = candle.high - this.state.positionEntry; 162 | const profitPercentage = difference / this.state.positionEntry; 163 | if (profitPercentage >= this.state.stopLoss) { 164 | isStopLossHit = true; 165 | } 166 | } 167 | if (this.state.positionEntry > candle.low) { 168 | const difference = this.state.positionEntry - candle.low; 169 | const drawdownPercentage = difference / this.state.positionEntry; 170 | if (drawdownPercentage >= this.state.takeProfit) { 171 | isTakeProfitHit = true; 172 | } 173 | } 174 | } 175 | if (isStopLossHit || isTakeProfitHit) { 176 | // console.log(`SL: ${isStopLossHit}, TP: ${isTakeProfitHit}, Low: ${candle.low}, High: ${candle.high}`); 177 | this.closePosition({isStopLossHit, isTakeProfitHit}); 178 | } 179 | } 180 | 181 | public closePosition({isStopLossHit, isTakeProfitHit}): void { 182 | const trade: Trade = { 183 | type: this.state.positionType, 184 | entry: this.state.positionEntry, 185 | stopLoss: this.state.stopLoss, 186 | takeProfit: this.state.takeProfit, 187 | amount: this.state.balanceUSD < 1000 ? this.state.balanceUSD : 1000, 188 | close: 0, 189 | fee: 0, 190 | profit: 0, 191 | }; 192 | const isLongPosition = trade.type === PositionTypesEnum.LONG; 193 | let difference; 194 | if (isStopLossHit) { 195 | difference = -(trade.entry * trade.stopLoss); 196 | } else if (isTakeProfitHit) { 197 | difference = (trade.entry * trade.takeProfit); 198 | } 199 | trade.close = isLongPosition ? trade.entry + difference : trade.entry - difference; 200 | 201 | trade.fee = this.exchangeFee * (2 * trade.amount 202 | + (Math.abs(trade.close - trade.entry) / trade.entry * trade.amount)); 203 | trade.profit = trade.amount * (difference / trade.entry) - trade.fee; 204 | // console.log('new trade:', trade, {isStopLossHit, isTakeProfitHit}); 205 | this.state.positionType = positionTypes.NONE; 206 | this.state.balanceUSD += trade.profit; 207 | this.state.trades.push(trade); 208 | this.handleBalanceStats(); 209 | this.logState(); 210 | } 211 | 212 | public countTrades(): void { 213 | const totalTrades = this.state.trades.length; 214 | const profitTrades = this.state.trades.filter((t) => t.profit > 0).length; 215 | const unprofitTrades = totalTrades - profitTrades; 216 | Object.assign(this.state, {totalTrades, profitTrades, unprofitTrades}); 217 | } 218 | 219 | public fillBlankIndicatorValues(period = defaultIndicatorPeriod): number[] { 220 | return Array(period).fill(0); 221 | } 222 | 223 | public getIndicators(): any { 224 | return this.indicators; 225 | } 226 | 227 | public handleBalanceStats(): void { 228 | const {balanceUSD, maximumBalance, minimumBalance} = this.state; 229 | if (balanceUSD > maximumBalance) { 230 | this.state.maximumBalance = balanceUSD; 231 | } 232 | if (balanceUSD < minimumBalance) { 233 | this.state.minimumBalance = balanceUSD; 234 | } 235 | } 236 | 237 | public logState(): void { 238 | const logState = JSON.parse(JSON.stringify(this.state)); 239 | logState.trades = logState.trades.length; 240 | // console.log('new state:', logState); 241 | } 242 | 243 | public openPosition(price, positionType = positionTypes.LONG): void { 244 | if (this.state.positionType !== positionTypes.NONE) { 245 | return; 246 | } 247 | // console.log('new position:', price, positionType); 248 | this.state.positionEntry = price; 249 | this.state.positionType = positionType; 250 | } 251 | 252 | public placeOrder(price: number, positionType: PositionTypesEnum, orderType?: OrderTypesEnum, fillOrKill?: boolean): void { 253 | this.orders.push({ 254 | price, positionType, orderType, fillOrKill, 255 | }); 256 | } 257 | 258 | public processSignals(candle): void { 259 | const {candleTimestamp} = candle; 260 | const signal = this.signals[candleTimestamp]; 261 | if (signal) { 262 | const {positionType, price, orderType} = signal; 263 | if (orderType === orderTypes.MARKET) { 264 | this.openPosition(candle.close, positionType); 265 | } else if (orderType === orderTypes.LIMIT) { 266 | this.placeOrder(price, positionType); 267 | } 268 | } 269 | } 270 | 271 | public start(): State { 272 | this.calculateIndicators(); 273 | this.candles.forEach((candle: Candle, candleIndex: number) => { 274 | // console.log(`Candle #${candleIndex + 1} (${candle.candleTimestamp}) of ${this.candles.length}`); 275 | if (this.state.positionType !== PositionTypesEnum.NONE) { 276 | this.checkStopLossAndTakeProfit(candle); 277 | } 278 | this.tryToFillOrders(candle); 279 | this.cancelFillOrKillOrders(); 280 | this.strategy(candleIndex, candle, positionTypes, orderTypes); 281 | this.processSignals(candle); 282 | }); 283 | this.countTrades(); 284 | return this.state; 285 | } 286 | 287 | public tryToFillOrders(candle): void { 288 | this.orders = this.orders.reduce((unexecutedOrders, order) => { 289 | if (order.price >= candle.low && order.price <= candle.high) { 290 | this.openPosition(order.price, order.positionType); 291 | } 292 | return unexecutedOrders; 293 | }, []); 294 | } 295 | } 296 | 297 | module.exports = Backtest; 298 | -------------------------------------------------------------------------------- /signals.json: -------------------------------------------------------------------------------- 1 | [{"2013-04-10 22:00:00":{"date":1365706800000,"close":74.9,"low":66.43,"high":103,"rsi":27.41},"2013-04-16 06:00:00":{"date":1366099200000,"close":56.099,"low":50.15,"high":61.44,"rsi":28.78},"2013-04-25 23:00:00":{"date":1366952400000,"close":126,"low":121,"high":132,"rsi":27.35},"2013-05-01 22:00:00":{"date":1367582400000,"close":81.152,"low":81,"high":84.599,"rsi":24.33},"2013-05-15 03:00:00":{"date":1368586800000,"close":106.05,"low":105.58,"high":107.98,"rsi":20.86},"2013-06-02 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