boki/stock-bot
1
0
Fork 0
Code Issues 1 Pull requests Projects Releases Packages Wiki Activity Actions

work on backtest engine

Browse source
This commit is contained in:
Boki 2025-07-04 07:45:56 -04:00
parent 3a7557c8f4
commit b8cefdb8cd
11 changed files with 1525 additions and 318 deletions
Download patch file Download diff file Expand all files Collapse all files

27
apps/stock/orchestrator/test-mean-reversion.ts
View file

@ -150,20 +150,27 @@ async function testMeanReversionBacktest() {
// Show first few trades
console.log(` - First 3 trades:`);
trades.slice(0, 3).forEach((trade, idx) => {
console.log(` ${idx + 1}. ${trade.side} - Price: $${trade.price.toFixed(2)}, Quantity: ${trade.quantity}${trade.pnl ? `, PnL: $${trade.pnl.toFixed(2)}` : ''}`);
console.log(` ${idx + 1}. Trade:`, JSON.stringify(trade, null, 2));
});
});
// Check position distribution
const allDurations = result.trades.map(t => t.duration / 86400); // Convert to days
const avgDuration = allDurations.reduce((a, b) => a + b, 0) / allDurations.length;
const minDuration = Math.min(...allDurations);
const maxDuration = Math.max(...allDurations);
// Analyze trade pairing
console.log('\n=== Trade Pairing Analysis ===');
console.log(`Total fills: ${result.trades.length}`);
console.log(`Expected pairs: ${result.trades.length / 2}`);
console.log('\n=== Duration Analysis ===');
console.log(`Average trade duration: ${avgDuration.toFixed(1)} days`);
console.log(`Min duration: ${minDuration.toFixed(1)} days`);
console.log(`Max duration: ${maxDuration.toFixed(1)} days`);
// Look for patterns that show instant buy/sell
let instantPairs = 0;
for (let i = 1; i < result.trades.length; i++) {
const prev = result.trades[i-1];
const curr = result.trades[i];
if (prev.symbol === curr.symbol &&
prev.side === 'buy' && curr.side === 'sell' &&
new Date(curr.timestamp).getTime() - new Date(prev.timestamp).getTime() < 86400000) {
instantPairs++;
}
}
console.log(`Instant buy/sell pairs (< 1 day): ${instantPairs}`);
// Final positions
console.log('\n=== Final Positions ===');