initial backtests

This commit is contained in:
Boki 2025-07-03 09:07:45 -04:00
parent fa70ada2bb
commit 5a3a23a2ba
6 changed files with 400 additions and 129 deletions

View file

@ -24,26 +24,43 @@ export interface BacktestJob {
}
export interface BacktestResult {
// Identification
backtestId: string;
status: 'completed' | 'failed' | 'cancelled';
completedAt: string;
// Configuration
config: {
name: string;
strategy: string;
symbols: string[];
startDate: string;
endDate: string;
initialCapital: number;
commission: number;
slippage: number;
dataFrequency: string;
};
// Performance metrics
metrics: {
totalReturn: number;
sharpeRatio: number;
maxDrawdown: number;
winRate: number;
totalTrades: number;
profitFactor?: number;
profitFactor: number;
profitableTrades: number;
avgWin: number;
avgLoss: number;
expectancy: number;
calmarRatio: number;
sortinoRatio: number;
};
// Chart data
equity: Array<{ date: string; value: number }>;
trades?: Array<{
symbol: string;
entryDate: string;
exitDate: string;
entryPrice: number;
exitPrice: number;
quantity: number;
pnl: number;
}>;
ohlcData?: Record<string, Array<{
ohlcData: Record<string, Array<{
time: number;
open: number;
high: number;
@ -51,6 +68,41 @@ export interface BacktestResult {
close: number;
volume?: number;
}>>;
// Trade history
trades: Array<{
id: string;
symbol: string;
entryDate: string;
exitDate: string | null;
entryPrice: number;
exitPrice: number;
quantity: number;
side: string;
pnl: number;
pnlPercent: number;
commission: number;
duration: number;
}>;
// Positions
positions: Array<{
symbol: string;
quantity: number;
averagePrice: number;
currentPrice: number;
unrealizedPnl: number;
realizedPnl: number;
}>;
// Analytics
analytics: {
drawdownSeries: Array<{ timestamp: number; value: number }>;
dailyReturns: number[];
monthlyReturns: Record<string, number>;
exposureTime: number;
riskMetrics: Record<string, number>;
};
}
export const backtestApi = {