sefgit / backtest

Backtesting trading strategies in Javascript

Backtest

The easiest way to test some strategies on historical data.

Features

• Supports historical candles data as .json ([[timestamp, open, close, high, low, volume], ...])
• Trades according to your strategy
• Trades according to signals
• Calculates indicators to be used by strategy
• Supports both long and short position types
• Supports both limit and market order types
• Accepts stopLoss as option (default 3%)
• Accepts takeProfit as option (default 5%)
• Accepts exchangeFee as option (default 0.2%)
• Accepts balanceUSD as option (default 1000)
• Shows summary of profits/losses/trades _ soon Accepts .csv as a source of candles

Usage

Construct your own run.js file with strategy or signals.

Use with strategy

Strategy specified by the function. Function receives next arguments:

• candleIndex - will help to pick relevant indicator value
• candle - object with standard open, close, high, low, volume properties
• positionTypes - object with constants LONG and SHORT
• orderTypes - object with constants LIMIT and MARKET

As a result of strategy calculations, order is placed or position is opened.

const Backtest = require('./lib');
const candles = require('./BTC_1H_CANDLES.json');
const drawChart = require('./lib/util/drawChart');

const indicators = [
	{name: 'rsi', period: 14},
	{name: 'ema', period: 50},
	{name: 'ema', period: 200},
];
const takeProfit = 0.1;
const stopLoss = 0.03;
function ema200Strategy(candleIndex, candle, positionTypes, orderTypes) {
	const {close, candleTimestamp} = candle;
	const {ema50 = [], ema200 = []} = this.indicators;
	const lastEma50Value = ema50[candleIndex];
	const lastEma200Value = ema200[candleIndex];
	const positionType = lastEma50Value > lastEma200Value
		? positionTypes.LONG : positionTypes.SHORT;
	if (lastEma200Value) {
		const price = lastEma200Value;
		const fillOrKill = true;
		this.placeOrder(
			price,
			positionType,
			orderTypes.LIMIT,
			fillOrKill,
		);
	}
};

const backtesting = new Backtest({
	candles, strategy: ema200Strategy, indicators, takeProfit, stopLoss,
});
const result = backtesting.start();
drawChart(result);
process.exit();

Use with signals

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)

In case positionType is missed - it defaults to positionTypes.LONG

Example of run.js file

const Backtest = require('./lib');
const candles = require('./BTC_1H_CANDLES.json');
let signals = require('./signals');
const drawChart = require('./lib/util/drawChart');

const takeProfit = 0.1;
const stopLoss = 0.03;
const backtesting = new Backtest({
	candles, takeProfit, stopLoss, signals: signalsMap,
});
const result = backtesting.start();
drawChart(result);
process.exit();

Example of market signals

{
	1365706800000: {positionType: 'long', orderType: 'market'},
	1366099200000: {positionType: 'short', orderType: 'market'},
	...
}

Example of limit signals

{
	1365706800000: {positionType: 'long', orderType: 'limit', price: 3458.77},
	1366099200000: {positionType: 'short', orderType: 'limit', price: 4210.77},
	...
}

Candles format

Candles must be an array with next format:

[
  [
    1534942800000,
    6664.6,
    6665,
    6676.72752826,
    6650.7,
    470.42768294
  ],
  [
    1534946400000,
    6665,
    6654.1,
    6669.1,
    6638.4,
    412.41398936
  ],
	...
]

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