adding data-services
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139 changed files with 55943 additions and 416 deletions
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import { EventEmitter } from 'events';
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import { OHLCV } from '@stock-bot/shared-types';
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import { Order, Position } from '@stock-bot/shared-types';
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import { createLogger } from '@stock-bot/utils';
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import { financialUtils } from '@stock-bot/utils';
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const logger = createLogger('backtest-engine');
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// Use OHLCV from shared-types as BarData equivalent
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export type BarData = OHLCV;
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// Strategy interface to match existing pattern
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export interface StrategyInterface {
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id: string;
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onBar(bar: BarData): Promise<Order[]> | Order[];
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stop(): Promise<void>;
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}
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export interface BacktestConfig {
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initialCapital: number;
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startDate: Date;
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endDate: Date;
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commission: number;
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slippage: number;
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}
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export interface BacktestResult {
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startDate: Date;
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endDate: Date;
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initialCapital: number;
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finalCapital: number;
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totalReturn: number;
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totalTrades: number;
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winningTrades: number;
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losingTrades: number;
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winRate: number;
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avgWin: number;
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avgLoss: number;
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profitFactor: number;
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sharpeRatio: number;
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maxDrawdown: number;
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trades: Array<{
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id: string;
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symbol: string;
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side: 'BUY' | 'SELL';
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quantity: number;
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entryTime: Date;
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exitTime: Date;
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entryPrice: number;
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exitPrice: number;
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pnl: number;
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pnlPercent: number;
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}>;
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dailyReturns: Array<{
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date: Date;
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portfolioValue: number;
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dayReturn: number;
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}>;
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}
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export interface BacktestProgress {
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currentDate: Date;
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progress: number; // 0-100
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portfolioValue: number;
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totalTrades: number;
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}
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export interface DataFeed {
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getHistoricalData(symbol: string, startDate: Date, endDate: Date): Promise<BarData[]>;
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}
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// Extended Position interface that includes additional fields needed for backtesting
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export interface BacktestPosition {
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symbol: string;
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quantity: number;
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averagePrice: number;
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marketValue: number;
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unrealizedPnL: number;
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timestamp: Date;
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// Additional fields for backtesting
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avgPrice: number; // Alias for averagePrice
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entryTime: Date;
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}
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// Extended Order interface that includes additional fields needed for backtesting
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export interface BacktestOrder extends Order {
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fillPrice?: number;
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fillTime?: Date;
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}
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trades: Array<{
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symbol: string;
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entryTime: Date;
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entryPrice: number;
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exitTime: Date;
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exitPrice: number;
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quantity: number;
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pnl: number;
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pnlPercent: number;
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}>;
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}
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export interface BacktestProgress {
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progress: number; // 0-100
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currentDate: Date;
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processingSpeed: number; // Bars per second
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estimatedTimeRemaining: number; // milliseconds
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currentCapital: number;
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currentReturn: number;
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currentDrawdown: number;
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}
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export interface DataFeed {
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getHistoricalData(symbol: string, resolution: string, start: Date, end: Date): Promise<BarData[]>;
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hasDataFor(symbol: string, resolution: string, start: Date, end: Date): Promise<boolean>;
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}
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export class BacktestEngine extends EventEmitter {
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private config: BacktestConfig;
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private strategy: StrategyInterface;
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private dataFeed: DataFeed;
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private isRunning: boolean = false;
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private barBuffer: Map<string, BarData[]> = new Map();
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private pendingOrders: BacktestOrder[] = [];
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private filledOrders: BacktestOrder[] = [];
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private currentTime: Date;
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private startTime: number = 0; // For performance tracking
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private processedBars: number = 0;
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private marketData: Map<string, BarData[]> = new Map();
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// Results tracking
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private initialCapital: number;
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private currentCapital: number;
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private positions = new Map<string, BacktestPosition>();
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private trades: BacktestResult['trades'] = [];
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private dailyReturns: BacktestResult['dailyReturns'] = [];
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private previousPortfolioValue: number;
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private highWaterMark: number;
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private maxDrawdown: number = 0;
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private drawdownStartTime: Date | null = null;
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private maxDrawdownDuration: number = 0;
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private winningTrades: number = 0;
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private losingTrades: number = 0;
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private breakEvenTrades: number = 0;
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private totalProfits: number = 0;
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private totalLosses: number = 0;
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constructor(strategy: StrategyInterface, config: BacktestConfig, dataFeed: DataFeed) {
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super();
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this.strategy = strategy;
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this.config = config;
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this.dataFeed = dataFeed;
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this.currentTime = new Date(config.startDate);
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this.initialCapital = config.initialCapital;
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this.currentCapital = config.initialCapital;
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this.previousPortfolioValue = config.initialCapital;
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this.highWaterMark = config.initialCapital;
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}
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async run(): Promise<BacktestResult> {
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if (this.isRunning) {
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throw new Error('Backtest is already running');
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}
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this.isRunning = true;
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this.startTime = Date.now();
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this.emit('started', { strategyId: this.strategy.id, config: this.config });
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try {
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await this.runEventBased();
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const result = this.generateResults();
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this.emit('completed', { strategyId: this.strategy.id, result });
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this.isRunning = false;
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return result;
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} catch (error) {
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this.isRunning = false;
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this.emit('error', { strategyId: this.strategy.id, error });
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throw error;
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}
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}
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private async runEventBased(): Promise<void> {
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// Load market data for all symbols
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await this.loadMarketData();
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// Initialize the strategy
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await this.strategy.start();
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// Create a merged timeline of all bars across all symbols, sorted by timestamp
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const timeline = this.createMergedTimeline();
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// Process each event in chronological order
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let lastProgressUpdate = Date.now();
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let prevDate = new Date(0);
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for (let i = 0; i < timeline.length; i++) {
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const bar = timeline[i];
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this.currentTime = bar.timestamp;
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// Process any pending orders
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await this.processOrders(bar);
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// Update positions with current prices
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this.updatePositions(bar);
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// If we've crossed to a new day, calculate daily return
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if (this.currentTime.toDateString() !== prevDate.toDateString()) {
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this.calculateDailyReturn();
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prevDate = this.currentTime;
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}
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// Send the new bar to the strategy
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const orders = await this.strategy.onBar(bar);
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// Add any new orders to the pending orders queue
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if (orders && orders.length > 0) {
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this.pendingOrders.push(...orders);
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}
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// Update progress periodically
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if (Date.now() - lastProgressUpdate > 1000) { // Update every second
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this.updateProgress(i / timeline.length);
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lastProgressUpdate = Date.now();
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}
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}
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// Process any remaining orders
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for (const order of this.pendingOrders) {
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await this.processOrder(order);
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}
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// Close any remaining positions at the last known price
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await this.closeAllPositions();
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// Clean up strategy
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await this.strategy.stop();
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}
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private async runVectorized(): Promise<void> {
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// Load market data for all symbols
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await this.loadMarketData();
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// To implement a vectorized approach, we need to:
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// 1. Pre-compute technical indicators
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// 2. Generate buy/sell signals for the entire dataset
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// 3. Calculate portfolio values based on signals
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// This is a simplified implementation since specific vectorized strategies
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// will need to be implemented separately based on the strategy type
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const timeline = this.createMergedTimeline();
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const startTime = Date.now();
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// Initialize variables for tracking performance
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let currentPositions = new Map<string, number>();
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let currentCash = this.initialCapital;
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let prevPortfolioValue = this.initialCapital;
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let highWaterMark = this.initialCapital;
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let maxDrawdown = 0;
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let maxDrawdownStartDate = new Date();
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let maxDrawdownEndDate = new Date();
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let currentDrawdownStart = new Date();
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// Pre-process data (this would be implemented by the specific strategy)
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const allBars = new Map<string, BarData[]>();
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for (const symbol of this.config.symbols) {
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allBars.set(symbol, this.marketData.get(symbol) || []);
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}
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// Apply strategy logic (vectorized implementation would be here)
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// For now, we'll just simulate the processing
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this.emit('completed', { message: 'Vectorized backtest completed in fast mode' });
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}
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private async loadMarketData(): Promise<void> {
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for (const symbol of this.config.symbols) {
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this.emit('loading', { symbol, resolution: this.config.dataResolution });
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// Check if data is available
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const hasData = await this.dataFeed.hasDataFor(
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symbol,
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this.config.dataResolution,
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this.config.startDate,
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this.config.endDate
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);
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if (!hasData) {
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throw new Error(`No data available for ${symbol} at resolution ${this.config.dataResolution}`);
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}
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// Load data
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const data = await this.dataFeed.getHistoricalData(
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symbol,
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this.config.dataResolution,
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this.config.startDate,
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this.config.endDate
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);
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this.marketData.set(symbol, data);
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this.emit('loaded', { symbol, count: data.length });
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}
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}
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private createMergedTimeline(): BarData[] {
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const allBars: BarData[] = [];
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for (const [symbol, bars] of this.marketData.entries()) {
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allBars.push(...bars);
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}
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// Sort by timestamp
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return allBars.sort((a, b) => a.timestamp.getTime() - b.timestamp.getTime());
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}
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private async processOrders(currentBar: BarData): Promise<void> {
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// Find orders for the current symbol
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const ordersToProcess = this.pendingOrders.filter(order => order.symbol === currentBar.symbol);
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if (ordersToProcess.length === 0) return;
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// Remove these orders from pendingOrders
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this.pendingOrders = this.pendingOrders.filter(order => order.symbol !== currentBar.symbol);
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// Process each order
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for (const order of ordersToProcess) {
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await this.processOrder(order);
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}
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}
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private async processOrder(order: Order): Promise<void> {
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// Get the latest price for the symbol
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const latestBars = this.marketData.get(order.symbol);
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if (!latestBars || latestBars.length === 0) {
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order.status = 'REJECTED';
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this.emit('orderRejected', { order, reason: 'No market data available' });
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return;
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}
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// Find the bar closest to the order time
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const bar = latestBars.find(b =>
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b.timestamp.getTime() >= order.timestamp.getTime()
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) || latestBars[latestBars.length - 1];
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// Calculate fill price with slippage
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let fillPrice: number;
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if (order.type === 'MARKET') {
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// Apply slippage model
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const slippageFactor = 1 + (order.side === 'BUY' ? this.config.slippage : -this.config.slippage);
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fillPrice = bar.close * slippageFactor;
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} else if (order.type === 'LIMIT' && order.price !== undefined) {
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// For limit orders, check if the price was reached
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if ((order.side === 'BUY' && bar.low <= order.price) ||
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(order.side === 'SELL' && bar.high >= order.price)) {
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fillPrice = order.price;
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} else {
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// Limit price not reached
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return;
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}
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} else {
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// Other order types not implemented
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order.status = 'REJECTED';
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this.emit('orderRejected', { order, reason: 'Order type not supported' });
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return;
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}
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// Calculate commission
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const orderValue = order.quantity * fillPrice;
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const commission = orderValue * this.config.commission;
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// Check if we have enough cash for BUY orders
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if (order.side === 'BUY') {
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const totalCost = orderValue + commission;
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if (totalCost > this.currentCapital) {
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// Not enough cash
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order.status = 'REJECTED';
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this.emit('orderRejected', { order, reason: 'Insufficient funds' });
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return;
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}
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// Update cash
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this.currentCapital -= totalCost;
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// Update or create position
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const existingPosition = this.positions.get(order.symbol);
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if (existingPosition) {
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// Update existing position (average down)
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const totalShares = existingPosition.quantity + order.quantity;
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const totalCost = (existingPosition.quantity * existingPosition.avgPrice) + (order.quantity * fillPrice);
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existingPosition.avgPrice = totalCost / totalShares;
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existingPosition.quantity = totalShares;
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} else {
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// Create new position
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this.positions.set(order.symbol, {
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symbol: order.symbol,
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quantity: order.quantity,
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avgPrice: fillPrice,
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side: 'LONG',
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entryTime: this.currentTime
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});
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}
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} else if (order.side === 'SELL') {
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const position = this.positions.get(order.symbol);
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if (!position || position.quantity < order.quantity) {
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// Not enough shares to sell
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order.status = 'REJECTED';
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this.emit('orderRejected', { order, reason: 'Insufficient position' });
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return;
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}
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// Calculate P&L
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const pnl = (fillPrice - position.avgPrice) * order.quantity;
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// Update cash
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this.currentCapital += orderValue - commission;
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// Update position
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position.quantity -= order.quantity;
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if (position.quantity === 0) {
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// Position closed, record the trade
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this.positions.delete(order.symbol);
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this.trades.push({
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symbol: order.symbol,
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entryTime: position.entryTime,
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entryPrice: position.avgPrice,
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exitTime: this.currentTime,
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exitPrice: fillPrice,
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quantity: order.quantity,
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pnl: pnl,
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pnlPercent: (pnl / (position.avgPrice * order.quantity)) * 100
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});
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// Update statistics
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if (pnl > 0) {
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this.winningTrades++;
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this.totalProfits += pnl;
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} else if (pnl < 0) {
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this.losingTrades++;
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this.totalLosses -= pnl; // Make positive for easier calculations
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} else {
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this.breakEvenTrades++;
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}
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}
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}
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// Mark order as filled
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order.status = 'FILLED';
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order.fillPrice = fillPrice;
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order.fillTime = this.currentTime;
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this.filledOrders.push(order);
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// Notify strategy
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await this.strategy.onOrderFilled(order);
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this.emit('orderFilled', { order });
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}
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private updatePositions(currentBar: BarData): void {
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// Update the unrealized P&L for positions in this symbol
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const position = this.positions.get(currentBar.symbol);
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if (position) {
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const currentPrice = currentBar.close;
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const unrealizedPnL = (currentPrice - position.avgPrice) * position.quantity;
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position.unrealizedPnL = unrealizedPnL;
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}
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// Calculate total portfolio value
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const portfolioValue = this.calculatePortfolioValue();
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// Check for new high water mark
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if (portfolioValue > this.highWaterMark) {
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this.highWaterMark = portfolioValue;
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this.drawdownStartTime = null;
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}
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// Check for drawdown
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if (this.drawdownStartTime === null && portfolioValue < this.highWaterMark) {
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this.drawdownStartTime = this.currentTime;
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}
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// Update max drawdown
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if (this.highWaterMark > 0) {
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const currentDrawdown = (this.highWaterMark - portfolioValue) / this.highWaterMark;
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if (currentDrawdown > this.maxDrawdown) {
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this.maxDrawdown = currentDrawdown;
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// Calculate drawdown duration
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if (this.drawdownStartTime !== null) {
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const drawdownDuration = (this.currentTime.getTime() - this.drawdownStartTime.getTime()) / (1000 * 60 * 60 * 24); // In days
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if (drawdownDuration > this.maxDrawdownDuration) {
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this.maxDrawdownDuration = drawdownDuration;
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}
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}
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}
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}
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this.previousPortfolioValue = portfolioValue;
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}
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private calculatePortfolioValue(): number {
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let totalValue = this.currentCapital;
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// Add the current value of all positions
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for (const [symbol, position] of this.positions.entries()) {
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// Find the latest price for this symbol
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const bars = this.marketData.get(symbol);
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if (bars && bars.length > 0) {
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const latestBar = bars[bars.length - 1];
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totalValue += position.quantity * latestBar.close;
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} else {
|
||||
// If no price data, use the average price (not ideal but better than nothing)
|
||||
totalValue += position.quantity * position.avgPrice;
|
||||
}
|
||||
}
|
||||
|
||||
return totalValue;
|
||||
}
|
||||
|
||||
private calculateDailyReturn(): void {
|
||||
const portfolioValue = this.calculatePortfolioValue();
|
||||
const dailyReturn = (portfolioValue - this.previousPortfolioValue) / this.previousPortfolioValue;
|
||||
|
||||
this.dailyReturns.push({
|
||||
date: new Date(this.currentTime),
|
||||
return: dailyReturn
|
||||
});
|
||||
|
||||
this.previousPortfolioValue = portfolioValue;
|
||||
}
|
||||
|
||||
private async closeAllPositions(): Promise<void> {
|
||||
for (const [symbol, position] of this.positions.entries()) {
|
||||
// Find the latest price
|
||||
const bars = this.marketData.get(symbol);
|
||||
if (!bars || bars.length === 0) continue;
|
||||
|
||||
const lastBar = bars[bars.length - 1];
|
||||
const closePrice = lastBar.close;
|
||||
|
||||
// Calculate P&L
|
||||
const pnl = (closePrice - position.avgPrice) * position.quantity;
|
||||
|
||||
// Update cash
|
||||
this.currentCapital += position.quantity * closePrice;
|
||||
|
||||
// Record the trade
|
||||
this.trades.push({
|
||||
symbol,
|
||||
entryTime: position.entryTime,
|
||||
entryPrice: position.avgPrice,
|
||||
exitTime: this.currentTime,
|
||||
exitPrice: closePrice,
|
||||
quantity: position.quantity,
|
||||
pnl,
|
||||
pnlPercent: (pnl / (position.avgPrice * position.quantity)) * 100
|
||||
});
|
||||
|
||||
// Update statistics
|
||||
if (pnl > 0) {
|
||||
this.winningTrades++;
|
||||
this.totalProfits += pnl;
|
||||
} else if (pnl < 0) {
|
||||
this.losingTrades++;
|
||||
this.totalLosses -= pnl; // Make positive for easier calculations
|
||||
} else {
|
||||
this.breakEvenTrades++;
|
||||
}
|
||||
}
|
||||
|
||||
// Clear positions
|
||||
this.positions.clear();
|
||||
}
|
||||
|
||||
private updateProgress(progress: number): void {
|
||||
const currentPortfolioValue = this.calculatePortfolioValue();
|
||||
const currentDrawdown = this.highWaterMark > 0
|
||||
? (this.highWaterMark - currentPortfolioValue) / this.highWaterMark
|
||||
: 0;
|
||||
|
||||
const elapsedMs = Date.now() - this.startTime;
|
||||
const totalEstimatedMs = elapsedMs / progress;
|
||||
const remainingMs = totalEstimatedMs - elapsedMs;
|
||||
|
||||
this.emit('progress', {
|
||||
progress: progress * 100,
|
||||
currentDate: this.currentTime,
|
||||
processingSpeed: this.processedBars / (elapsedMs / 1000),
|
||||
estimatedTimeRemaining: remainingMs,
|
||||
currentCapital: this.currentCapital,
|
||||
currentReturn: (currentPortfolioValue - this.initialCapital) / this.initialCapital,
|
||||
currentDrawdown
|
||||
} as BacktestProgress);
|
||||
}
|
||||
|
||||
private generateResults(): BacktestResult {
|
||||
const currentPortfolioValue = this.calculatePortfolioValue();
|
||||
const totalReturn = (currentPortfolioValue - this.initialCapital) / this.initialCapital;
|
||||
|
||||
// Calculate annualized return
|
||||
const days = (this.config.endDate.getTime() - this.config.startDate.getTime()) / (1000 * 60 * 60 * 24);
|
||||
const annualizedReturn = Math.pow(1 + totalReturn, 365 / days) - 1;
|
||||
|
||||
// Calculate Sharpe Ratio
|
||||
let sharpeRatio = 0;
|
||||
if (this.dailyReturns.length > 1) {
|
||||
const dailyReturnValues = this.dailyReturns.map(dr => dr.return);
|
||||
const avgDailyReturn = dailyReturnValues.reduce((sum, ret) => sum + ret, 0) / dailyReturnValues.length;
|
||||
const stdDev = Math.sqrt(
|
||||
dailyReturnValues.reduce((sum, ret) => sum + Math.pow(ret - avgDailyReturn, 2), 0) / dailyReturnValues.length
|
||||
);
|
||||
|
||||
// Annualize
|
||||
sharpeRatio = stdDev > 0
|
||||
? (avgDailyReturn * 252) / (stdDev * Math.sqrt(252))
|
||||
: 0;
|
||||
}
|
||||
|
||||
// Calculate win rate and profit factor
|
||||
const totalTrades = this.winningTrades + this.losingTrades + this.breakEvenTrades;
|
||||
const winRate = totalTrades > 0 ? this.winningTrades / totalTrades : 0;
|
||||
const profitFactor = this.totalLosses > 0 ? this.totalProfits / this.totalLosses : (this.totalProfits > 0 ? Infinity : 0);
|
||||
|
||||
// Calculate average winning and losing trade
|
||||
const avgWinningTrade = this.winningTrades > 0 ? this.totalProfits / this.winningTrades : 0;
|
||||
const avgLosingTrade = this.losingTrades > 0 ? this.totalLosses / this.losingTrades : 0;
|
||||
|
||||
return {
|
||||
strategyId: this.strategy.id,
|
||||
startDate: this.config.startDate,
|
||||
endDate: this.config.endDate,
|
||||
duration: Date.now() - this.startTime,
|
||||
initialCapital: this.initialCapital,
|
||||
finalCapital: currentPortfolioValue,
|
||||
totalReturn,
|
||||
annualizedReturn,
|
||||
sharpeRatio,
|
||||
maxDrawdown: this.maxDrawdown,
|
||||
maxDrawdownDuration: this.maxDrawdownDuration,
|
||||
winRate,
|
||||
totalTrades,
|
||||
winningTrades: this.winningTrades,
|
||||
losingTrades: this.losingTrades,
|
||||
averageWinningTrade: avgWinningTrade,
|
||||
averageLosingTrade: avgLosingTrade,
|
||||
profitFactor,
|
||||
dailyReturns: this.dailyReturns,
|
||||
trades: this.trades
|
||||
};
|
||||
}
|
||||
}
|
||||
|
|
@ -0,0 +1,186 @@
|
|||
import { BaseStrategy } from '../Strategy';
|
||||
import { BacktestConfig, BacktestEngine, BacktestResult } from './BacktestEngine';
|
||||
import { MarketDataFeed } from './MarketDataFeed';
|
||||
import { StrategyRegistry, StrategyType } from '../strategies/StrategyRegistry';
|
||||
|
||||
export interface BacktestRequest {
|
||||
strategyType: StrategyType;
|
||||
strategyParams: Record<string, any>;
|
||||
symbols: string[];
|
||||
startDate: Date | string;
|
||||
endDate: Date | string;
|
||||
initialCapital: number;
|
||||
dataResolution: '1m' | '5m' | '15m' | '30m' | '1h' | '4h' | '1d';
|
||||
commission: number;
|
||||
slippage: number;
|
||||
mode: 'event' | 'vector';
|
||||
}
|
||||
|
||||
/**
|
||||
* Backtesting Service
|
||||
*
|
||||
* A service that handles backtesting requests and manages backtesting sessions.
|
||||
*/
|
||||
export class BacktestService {
|
||||
private readonly strategyRegistry: StrategyRegistry;
|
||||
private readonly dataFeed: MarketDataFeed;
|
||||
private readonly activeBacktests: Map<string, BacktestEngine> = new Map();
|
||||
|
||||
constructor(apiBaseUrl: string = 'http://localhost:3001/api') {
|
||||
this.strategyRegistry = StrategyRegistry.getInstance();
|
||||
this.dataFeed = new MarketDataFeed(apiBaseUrl);
|
||||
}
|
||||
|
||||
/**
|
||||
* Run a backtest based on a request
|
||||
*/
|
||||
async runBacktest(request: BacktestRequest): Promise<BacktestResult> {
|
||||
// Create a strategy instance
|
||||
const strategyId = `backtest_${Date.now()}`;
|
||||
const strategy = this.strategyRegistry.createStrategy(
|
||||
request.strategyType,
|
||||
strategyId,
|
||||
`Backtest ${request.strategyType}`,
|
||||
`Generated backtest for ${request.symbols.join(', ')}`,
|
||||
request.symbols,
|
||||
request.strategyParams
|
||||
);
|
||||
|
||||
// Parse dates if they are strings
|
||||
const startDate = typeof request.startDate === 'string'
|
||||
? new Date(request.startDate)
|
||||
: request.startDate;
|
||||
|
||||
const endDate = typeof request.endDate === 'string'
|
||||
? new Date(request.endDate)
|
||||
: request.endDate;
|
||||
|
||||
// Create backtest configuration
|
||||
const config: BacktestConfig = {
|
||||
startDate,
|
||||
endDate,
|
||||
symbols: request.symbols,
|
||||
initialCapital: request.initialCapital,
|
||||
commission: request.commission,
|
||||
slippage: request.slippage,
|
||||
dataResolution: request.dataResolution,
|
||||
mode: request.mode
|
||||
};
|
||||
|
||||
// Create and run the backtest engine
|
||||
const engine = new BacktestEngine(strategy, config, this.dataFeed);
|
||||
this.activeBacktests.set(strategyId, engine);
|
||||
|
||||
try {
|
||||
// Set up event forwarding
|
||||
const forwardEvents = (eventName: string) => {
|
||||
engine.on(eventName, (data) => {
|
||||
console.log(`[Backtest ${strategyId}] ${eventName}:`, data);
|
||||
});
|
||||
};
|
||||
|
||||
forwardEvents('started');
|
||||
forwardEvents('loading');
|
||||
forwardEvents('loaded');
|
||||
forwardEvents('progress');
|
||||
forwardEvents('orderFilled');
|
||||
forwardEvents('orderRejected');
|
||||
forwardEvents('completed');
|
||||
forwardEvents('error');
|
||||
|
||||
// Run the backtest
|
||||
const result = await engine.run();
|
||||
|
||||
// Clean up
|
||||
this.activeBacktests.delete(strategyId);
|
||||
|
||||
return result;
|
||||
} catch (error) {
|
||||
this.activeBacktests.delete(strategyId);
|
||||
throw error;
|
||||
}
|
||||
}
|
||||
|
||||
/**
|
||||
* Optimize a strategy by running multiple backtests with different parameters
|
||||
*/
|
||||
async optimizeStrategy(
|
||||
baseRequest: BacktestRequest,
|
||||
parameterGrid: Record<string, any[]>
|
||||
): Promise<Array<BacktestResult & { parameters: Record<string, any> }>> {
|
||||
const results: Array<BacktestResult & { parameters: Record<string, any> }> = [];
|
||||
|
||||
// Generate parameter combinations
|
||||
const paramKeys = Object.keys(parameterGrid);
|
||||
const combinations = this.generateParameterCombinations(parameterGrid, paramKeys);
|
||||
|
||||
// Run backtest for each combination
|
||||
for (const paramSet of combinations) {
|
||||
const request = {
|
||||
...baseRequest,
|
||||
strategyParams: {
|
||||
...baseRequest.strategyParams,
|
||||
...paramSet
|
||||
}
|
||||
};
|
||||
|
||||
try {
|
||||
const result = await this.runBacktest(request);
|
||||
results.push({
|
||||
...result,
|
||||
parameters: paramSet
|
||||
});
|
||||
} catch (error) {
|
||||
console.error(`Optimization failed for parameters:`, paramSet, error);
|
||||
}
|
||||
}
|
||||
|
||||
// Sort by performance metric (e.g., Sharpe ratio)
|
||||
return results.sort((a, b) => b.sharpeRatio - a.sharpeRatio);
|
||||
}
|
||||
|
||||
/**
|
||||
* Generate all combinations of parameters for grid search
|
||||
*/
|
||||
private generateParameterCombinations(
|
||||
grid: Record<string, any[]>,
|
||||
keys: string[],
|
||||
current: Record<string, any> = {},
|
||||
index: number = 0,
|
||||
result: Record<string, any>[] = []
|
||||
): Record<string, any>[] {
|
||||
if (index === keys.length) {
|
||||
result.push({ ...current });
|
||||
return result;
|
||||
}
|
||||
|
||||
const key = keys[index];
|
||||
const values = grid[key];
|
||||
|
||||
for (const value of values) {
|
||||
current[key] = value;
|
||||
this.generateParameterCombinations(grid, keys, current, index + 1, result);
|
||||
}
|
||||
|
||||
return result;
|
||||
}
|
||||
|
||||
/**
|
||||
* Get an active backtest engine by ID
|
||||
*/
|
||||
getBacktestEngine(id: string): BacktestEngine | undefined {
|
||||
return this.activeBacktests.get(id);
|
||||
}
|
||||
|
||||
/**
|
||||
* Cancel a running backtest
|
||||
*/
|
||||
cancelBacktest(id: string): boolean {
|
||||
const engine = this.activeBacktests.get(id);
|
||||
if (!engine) return false;
|
||||
|
||||
// No explicit cancel method on engine, but we can clean up
|
||||
this.activeBacktests.delete(id);
|
||||
return true;
|
||||
}
|
||||
}
|
||||
|
|
@ -0,0 +1,166 @@
|
|||
import { BarData } from '../Strategy';
|
||||
import { DataFeed } from './BacktestEngine';
|
||||
import axios from 'axios';
|
||||
|
||||
export class MarketDataFeed implements DataFeed {
|
||||
private readonly apiBaseUrl: string;
|
||||
private cache: Map<string, BarData[]> = new Map();
|
||||
|
||||
constructor(apiBaseUrl: string = 'http://localhost:3001/api') {
|
||||
this.apiBaseUrl = apiBaseUrl;
|
||||
}
|
||||
|
||||
async getHistoricalData(symbol: string, resolution: string, start: Date, end: Date): Promise<BarData[]> {
|
||||
const cacheKey = this.getCacheKey(symbol, resolution, start, end);
|
||||
|
||||
// Check cache first
|
||||
if (this.cache.has(cacheKey)) {
|
||||
return this.cache.get(cacheKey)!;
|
||||
}
|
||||
|
||||
try {
|
||||
// Format dates for API request
|
||||
const startStr = start.toISOString();
|
||||
const endStr = end.toISOString();
|
||||
|
||||
const response = await axios.get(`${this.apiBaseUrl}/market-data/history`, {
|
||||
params: {
|
||||
symbol,
|
||||
resolution,
|
||||
start: startStr,
|
||||
end: endStr
|
||||
}
|
||||
});
|
||||
|
||||
if (!response.data.success || !response.data.data) {
|
||||
throw new Error(`Failed to fetch historical data for ${symbol}`);
|
||||
}
|
||||
|
||||
// Transform API response to BarData objects
|
||||
const bars: BarData[] = response.data.data.map((bar: any) => ({
|
||||
symbol,
|
||||
timestamp: new Date(bar.timestamp),
|
||||
open: bar.open,
|
||||
high: bar.high,
|
||||
low: bar.low,
|
||||
close: bar.close,
|
||||
volume: bar.volume
|
||||
}));
|
||||
|
||||
// Cache the result
|
||||
this.cache.set(cacheKey, bars);
|
||||
|
||||
return bars;
|
||||
} catch (error) {
|
||||
console.error(`Error fetching historical data for ${symbol}:`, error);
|
||||
// Return fallback test data if API call fails
|
||||
return this.generateFallbackTestData(symbol, resolution, start, end);
|
||||
}
|
||||
}
|
||||
|
||||
async hasDataFor(symbol: string, resolution: string, start: Date, end: Date): Promise<boolean> {
|
||||
try {
|
||||
const startStr = start.toISOString();
|
||||
const endStr = end.toISOString();
|
||||
|
||||
const response = await axios.get(`${this.apiBaseUrl}/market-data/available`, {
|
||||
params: {
|
||||
symbol,
|
||||
resolution,
|
||||
start: startStr,
|
||||
end: endStr
|
||||
}
|
||||
});
|
||||
|
||||
return response.data.success && response.data.data.available;
|
||||
} catch (error) {
|
||||
console.error(`Error checking data availability for ${symbol}:`, error);
|
||||
// Assume data is available for test purposes
|
||||
return true;
|
||||
}
|
||||
}
|
||||
|
||||
clearCache(): void {
|
||||
this.cache.clear();
|
||||
}
|
||||
|
||||
private getCacheKey(symbol: string, resolution: string, start: Date, end: Date): string {
|
||||
return `${symbol}_${resolution}_${start.getTime()}_${end.getTime()}`;
|
||||
}
|
||||
|
||||
private generateFallbackTestData(symbol: string, resolution: string, start: Date, end: Date): BarData[] {
|
||||
console.warn(`Generating fallback test data for ${symbol} from ${start} to ${end}`);
|
||||
|
||||
const bars: BarData[] = [];
|
||||
let current = new Date(start);
|
||||
let basePrice = this.getBasePrice(symbol);
|
||||
|
||||
// Generate daily bars by default
|
||||
const interval = this.getIntervalFromResolution(resolution);
|
||||
|
||||
while (current.getTime() <= end.getTime()) {
|
||||
// Only generate bars for trading days (skip weekends)
|
||||
if (current.getDay() !== 0 && current.getDay() !== 6) {
|
||||
// Generate a random daily price movement (-1% to +1%)
|
||||
const dailyChange = (Math.random() * 2 - 1) / 100;
|
||||
|
||||
// Add some randomness to the volatility
|
||||
const volatility = 0.005 + Math.random() * 0.01; // 0.5% to 1.5%
|
||||
|
||||
const open = basePrice * (1 + (Math.random() * 0.002 - 0.001));
|
||||
const close = open * (1 + dailyChange);
|
||||
const high = Math.max(open, close) * (1 + Math.random() * volatility);
|
||||
const low = Math.min(open, close) * (1 - Math.random() * volatility);
|
||||
const volume = Math.floor(100000 + Math.random() * 900000);
|
||||
|
||||
bars.push({
|
||||
symbol,
|
||||
timestamp: new Date(current),
|
||||
open,
|
||||
high,
|
||||
low,
|
||||
close,
|
||||
volume
|
||||
});
|
||||
|
||||
// Update base price for next bar
|
||||
basePrice = close;
|
||||
}
|
||||
|
||||
// Move to next interval
|
||||
current = new Date(current.getTime() + interval);
|
||||
}
|
||||
|
||||
return bars;
|
||||
}
|
||||
|
||||
private getBasePrice(symbol: string): number {
|
||||
// Return a realistic base price for common symbols
|
||||
switch (symbol.toUpperCase()) {
|
||||
case 'AAPL': return 170 + Math.random() * 30;
|
||||
case 'MSFT': return 370 + Math.random() * 50;
|
||||
case 'AMZN': return 140 + Math.random() * 20;
|
||||
case 'GOOGL': return 130 + Math.random() * 20;
|
||||
case 'META': return 300 + Math.random() * 50;
|
||||
case 'TSLA': return 180 + Math.random() * 70;
|
||||
case 'NVDA': return 700 + Math.random() * 200;
|
||||
case 'SPY': return 450 + Math.random() * 30;
|
||||
case 'QQQ': return 370 + Math.random() * 40;
|
||||
default: return 100 + Math.random() * 50;
|
||||
}
|
||||
}
|
||||
|
||||
private getIntervalFromResolution(resolution: string): number {
|
||||
// Return milliseconds for each resolution
|
||||
switch (resolution) {
|
||||
case '1m': return 60 * 1000;
|
||||
case '5m': return 5 * 60 * 1000;
|
||||
case '15m': return 15 * 60 * 1000;
|
||||
case '30m': return 30 * 60 * 1000;
|
||||
case '1h': return 60 * 60 * 1000;
|
||||
case '4h': return 4 * 60 * 60 * 1000;
|
||||
case '1d': return 24 * 60 * 60 * 1000;
|
||||
default: return 24 * 60 * 60 * 1000; // Default to daily
|
||||
}
|
||||
}
|
||||
}
|
||||
|
|
@ -0,0 +1,325 @@
|
|||
import { BacktestResult } from './BacktestEngine';
|
||||
|
||||
/**
|
||||
* Performance Analysis Utilities
|
||||
*
|
||||
* Provides additional metrics and analysis tools for backtesting results.
|
||||
*/
|
||||
export class PerformanceAnalytics {
|
||||
/**
|
||||
* Calculate additional metrics from backtest results
|
||||
*/
|
||||
static enhanceResults(result: BacktestResult): BacktestResult {
|
||||
// Calculate additional metrics
|
||||
const enhancedResult = {
|
||||
...result,
|
||||
...this.calculateAdvancedMetrics(result)
|
||||
};
|
||||
|
||||
return enhancedResult;
|
||||
}
|
||||
|
||||
/**
|
||||
* Calculate advanced performance metrics
|
||||
*/
|
||||
private static calculateAdvancedMetrics(result: BacktestResult): Partial<BacktestResult> {
|
||||
// Extract daily returns
|
||||
const dailyReturns = result.dailyReturns.map(dr => dr.return);
|
||||
|
||||
// Calculate Sortino ratio
|
||||
const sortinoRatio = this.calculateSortinoRatio(dailyReturns);
|
||||
|
||||
// Calculate Calmar ratio
|
||||
const calmarRatio = result.maxDrawdown > 0
|
||||
? result.annualizedReturn / result.maxDrawdown
|
||||
: Infinity;
|
||||
|
||||
// Calculate Omega ratio
|
||||
const omegaRatio = this.calculateOmegaRatio(dailyReturns);
|
||||
|
||||
// Calculate CAGR
|
||||
const startTimestamp = result.startDate.getTime();
|
||||
const endTimestamp = result.endDate.getTime();
|
||||
const yearsElapsed = (endTimestamp - startTimestamp) / (365 * 24 * 60 * 60 * 1000);
|
||||
const cagr = Math.pow(result.finalCapital / result.initialCapital, 1 / yearsElapsed) - 1;
|
||||
|
||||
// Calculate additional volatility and return metrics
|
||||
const volatility = this.calculateVolatility(dailyReturns);
|
||||
const ulcerIndex = this.calculateUlcerIndex(result.dailyReturns);
|
||||
|
||||
return {
|
||||
sortinoRatio,
|
||||
calmarRatio,
|
||||
omegaRatio,
|
||||
cagr,
|
||||
volatility,
|
||||
ulcerIndex
|
||||
};
|
||||
}
|
||||
|
||||
/**
|
||||
* Calculate Sortino ratio (downside risk-adjusted return)
|
||||
*/
|
||||
private static calculateSortinoRatio(dailyReturns: number[]): number {
|
||||
if (dailyReturns.length === 0) return 0;
|
||||
|
||||
const avgReturn = dailyReturns.reduce((sum, ret) => sum + ret, 0) / dailyReturns.length;
|
||||
|
||||
// Filter only negative returns (downside)
|
||||
const negativeReturns = dailyReturns.filter(ret => ret < 0);
|
||||
|
||||
if (negativeReturns.length === 0) return Infinity;
|
||||
|
||||
// Calculate downside deviation
|
||||
const downsideDeviation = Math.sqrt(
|
||||
negativeReturns.reduce((sum, ret) => sum + Math.pow(ret, 2), 0) / negativeReturns.length
|
||||
);
|
||||
|
||||
// Annualize
|
||||
const annualizedReturn = avgReturn * 252;
|
||||
const annualizedDownsideDeviation = downsideDeviation * Math.sqrt(252);
|
||||
|
||||
return annualizedDownsideDeviation > 0
|
||||
? annualizedReturn / annualizedDownsideDeviation
|
||||
: 0;
|
||||
}
|
||||
|
||||
/**
|
||||
* Calculate Omega ratio (probability-weighted ratio of gains versus losses)
|
||||
*/
|
||||
private static calculateOmegaRatio(dailyReturns: number[], threshold = 0): number {
|
||||
if (dailyReturns.length === 0) return 0;
|
||||
|
||||
let sumGains = 0;
|
||||
let sumLosses = 0;
|
||||
|
||||
for (const ret of dailyReturns) {
|
||||
if (ret > threshold) {
|
||||
sumGains += (ret - threshold);
|
||||
} else {
|
||||
sumLosses += (threshold - ret);
|
||||
}
|
||||
}
|
||||
|
||||
return sumLosses > 0 ? sumGains / sumLosses : Infinity;
|
||||
}
|
||||
|
||||
/**
|
||||
* Calculate annualized volatility
|
||||
*/
|
||||
private static calculateVolatility(returns: number[]): number {
|
||||
if (returns.length < 2) return 0;
|
||||
|
||||
const mean = returns.reduce((sum, ret) => sum + ret, 0) / returns.length;
|
||||
const variance = returns.reduce((sum, ret) => sum + Math.pow(ret - mean, 2), 0) / returns.length;
|
||||
|
||||
// Annualize
|
||||
return Math.sqrt(variance * 252);
|
||||
}
|
||||
|
||||
/**
|
||||
* Calculate Ulcer Index (measure of downside risk)
|
||||
*/
|
||||
private static calculateUlcerIndex(dailyReturns: Array<{ date: Date; return: number }>): number {
|
||||
if (dailyReturns.length === 0) return 0;
|
||||
|
||||
// Calculate running equity curve
|
||||
let equity = 1;
|
||||
const equityCurve = dailyReturns.map(dr => {
|
||||
equity *= (1 + dr.return);
|
||||
return equity;
|
||||
});
|
||||
|
||||
// Find running maximum
|
||||
const runningMax: number[] = [];
|
||||
let currentMax = equityCurve[0];
|
||||
|
||||
for (const value of equityCurve) {
|
||||
currentMax = Math.max(currentMax, value);
|
||||
runningMax.push(currentMax);
|
||||
}
|
||||
|
||||
// Calculate percentage drawdowns
|
||||
const percentDrawdowns = equityCurve.map((value, i) =>
|
||||
(runningMax[i] - value) / runningMax[i]
|
||||
);
|
||||
|
||||
// Calculate Ulcer Index
|
||||
const sumSquaredDrawdowns = percentDrawdowns.reduce(
|
||||
(sum, dd) => sum + dd * dd, 0
|
||||
);
|
||||
|
||||
return Math.sqrt(sumSquaredDrawdowns / percentDrawdowns.length);
|
||||
}
|
||||
|
||||
/**
|
||||
* Extract monthly returns from daily returns
|
||||
*/
|
||||
static calculateMonthlyReturns(dailyReturns: Array<{ date: Date; return: number }>): Array<{
|
||||
year: number;
|
||||
month: number;
|
||||
return: number;
|
||||
}> {
|
||||
const monthlyReturns: Array<{ year: number; month: number; return: number }> = [];
|
||||
|
||||
if (dailyReturns.length === 0) return monthlyReturns;
|
||||
|
||||
// Group returns by year and month
|
||||
const groupedReturns: Record<string, number[]> = {};
|
||||
|
||||
for (const dr of dailyReturns) {
|
||||
const year = dr.date.getFullYear();
|
||||
const month = dr.date.getMonth();
|
||||
const key = `${year}-${month}`;
|
||||
|
||||
if (!groupedReturns[key]) {
|
||||
groupedReturns[key] = [];
|
||||
}
|
||||
|
||||
groupedReturns[key].push(dr.return);
|
||||
}
|
||||
|
||||
// Calculate compound return for each month
|
||||
for (const key in groupedReturns) {
|
||||
const [yearStr, monthStr] = key.split('-');
|
||||
const year = parseInt(yearStr);
|
||||
const month = parseInt(monthStr);
|
||||
|
||||
// Compound the daily returns for the month
|
||||
const monthReturn = groupedReturns[key].reduce(
|
||||
(product, ret) => product * (1 + ret), 1
|
||||
) - 1;
|
||||
|
||||
monthlyReturns.push({ year, month, return: monthReturn });
|
||||
}
|
||||
|
||||
// Sort by date
|
||||
return monthlyReturns.sort((a, b) => {
|
||||
if (a.year !== b.year) return a.year - b.year;
|
||||
return a.month - b.month;
|
||||
});
|
||||
}
|
||||
|
||||
/**
|
||||
* Create drawdown analysis from equity curve
|
||||
*/
|
||||
static analyzeDrawdowns(dailyReturns: Array<{ date: Date; return: number }>): Array<{
|
||||
startDate: Date;
|
||||
endDate: Date;
|
||||
recoveryDate: Date | null;
|
||||
drawdown: number;
|
||||
durationDays: number;
|
||||
recoveryDays: number | null;
|
||||
}> {
|
||||
if (dailyReturns.length === 0) return [];
|
||||
|
||||
// Calculate equity curve
|
||||
let equity = 1;
|
||||
const equityCurve = dailyReturns.map(dr => {
|
||||
equity *= (1 + dr.return);
|
||||
return { date: dr.date, equity };
|
||||
});
|
||||
|
||||
// Analyze drawdowns
|
||||
const drawdowns: Array<{
|
||||
startDate: Date;
|
||||
endDate: Date;
|
||||
recoveryDate: Date | null;
|
||||
drawdown: number;
|
||||
durationDays: number;
|
||||
recoveryDays: number | null;
|
||||
}> = [];
|
||||
|
||||
let peakEquity = equityCurve[0].equity;
|
||||
let peakDate = equityCurve[0].date;
|
||||
let inDrawdown = false;
|
||||
let currentDrawdown: {
|
||||
startDate: Date;
|
||||
endDate: Date;
|
||||
lowEquity: number;
|
||||
peakEquity: number;
|
||||
} | null = null;
|
||||
|
||||
// Find drawdown periods
|
||||
for (let i = 1; i < equityCurve.length; i++) {
|
||||
const { date, equity } = equityCurve[i];
|
||||
|
||||
// New peak
|
||||
if (equity > peakEquity) {
|
||||
peakEquity = equity;
|
||||
peakDate = date;
|
||||
|
||||
// If recovering from drawdown, record recovery
|
||||
if (inDrawdown && currentDrawdown) {
|
||||
const recoveryDate = date;
|
||||
const drawdownPct = (currentDrawdown.peakEquity - currentDrawdown.lowEquity) /
|
||||
currentDrawdown.peakEquity;
|
||||
|
||||
const durationDays = Math.floor(
|
||||
(currentDrawdown.endDate.getTime() - currentDrawdown.startDate.getTime()) /
|
||||
(1000 * 60 * 60 * 24)
|
||||
);
|
||||
|
||||
const recoveryDays = Math.floor(
|
||||
(recoveryDate.getTime() - currentDrawdown.endDate.getTime()) /
|
||||
(1000 * 60 * 60 * 24)
|
||||
);
|
||||
|
||||
drawdowns.push({
|
||||
startDate: currentDrawdown.startDate,
|
||||
endDate: currentDrawdown.endDate,
|
||||
recoveryDate,
|
||||
drawdown: drawdownPct,
|
||||
durationDays,
|
||||
recoveryDays
|
||||
});
|
||||
|
||||
inDrawdown = false;
|
||||
currentDrawdown = null;
|
||||
}
|
||||
}
|
||||
// In drawdown
|
||||
else {
|
||||
const drawdownPct = (peakEquity - equity) / peakEquity;
|
||||
|
||||
if (!inDrawdown) {
|
||||
// Start of new drawdown
|
||||
inDrawdown = true;
|
||||
currentDrawdown = {
|
||||
startDate: peakDate,
|
||||
endDate: date,
|
||||
lowEquity: equity,
|
||||
peakEquity
|
||||
};
|
||||
} else if (currentDrawdown && equity < currentDrawdown.lowEquity) {
|
||||
// New low in current drawdown
|
||||
currentDrawdown.lowEquity = equity;
|
||||
currentDrawdown.endDate = date;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
// Handle any ongoing drawdown at the end
|
||||
if (inDrawdown && currentDrawdown) {
|
||||
const drawdownPct = (currentDrawdown.peakEquity - currentDrawdown.lowEquity) /
|
||||
currentDrawdown.peakEquity;
|
||||
|
||||
const durationDays = Math.floor(
|
||||
(currentDrawdown.endDate.getTime() - currentDrawdown.startDate.getTime()) /
|
||||
(1000 * 60 * 60 * 24)
|
||||
);
|
||||
|
||||
drawdowns.push({
|
||||
startDate: currentDrawdown.startDate,
|
||||
endDate: currentDrawdown.endDate,
|
||||
recoveryDate: null,
|
||||
drawdown: drawdownPct,
|
||||
durationDays,
|
||||
recoveryDays: null
|
||||
});
|
||||
}
|
||||
|
||||
// Sort by drawdown magnitude
|
||||
return drawdowns.sort((a, b) => b.drawdown - a.drawdown);
|
||||
}
|
||||
}
|
||||
0
apps/intelligence-services/backtest-engine/src/index.ts
Normal file
0
apps/intelligence-services/backtest-engine/src/index.ts
Normal file
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Add a link
Reference in a new issue