import { BacktestEngine } from './src/backtest/BacktestEngine'; import { StrategyManager } from './src/strategies/StrategyManager'; import { StorageService } from './src/services/StorageService'; import { ModeManager } from './src/core/ModeManager'; import { MarketDataService } from './src/services/MarketDataService'; import { ExecutionService } from './src/services/ExecutionService'; import { IServiceContainer } from '@stock-bot/di'; async function testCommissionSlippage() { console.log('Testing Commission and Slippage...\n'); // Create service container const container: IServiceContainer = { logger: { info: (msg: string, ...args: any[]) => console.log('[INFO]', msg, ...args), error: (msg: string, ...args: any[]) => console.error('[ERROR]', msg, ...args), warn: (msg: string, ...args: any[]) => console.warn('[WARN]', msg, ...args), debug: (msg: string, ...args: any[]) => console.log('[DEBUG]', msg, ...args), } as any, custom: {} }; // Initialize services const storageService = new StorageService(); const marketDataService = new MarketDataService(container); const executionService = new ExecutionService(container); const modeManager = new ModeManager(container, marketDataService, executionService, storageService); const strategyManager = new StrategyManager(container); // Set services in container container.custom = { MarketDataService: marketDataService, ExecutionService: executionService, ModeManager: modeManager, StorageService: storageService }; // Test with high commission and slippage const config = { mode: 'backtest', name: 'Commission Test', strategy: 'sma-crossover', symbols: ['AAPL'], startDate: '2023-01-01T00:00:00Z', endDate: '2023-01-31T00:00:00Z', initialCapital: 10000, commission: 0.01, // 1% commission (very high for testing) slippage: 0.005, // 0.5% slippage (very high for testing) dataFrequency: '1d', speed: 'max' }; // Initialize backtest mode await modeManager.initializeMode(config); // Create backtest engine const backtestEngine = new BacktestEngine(container, storageService, strategyManager); console.log('Running backtest with:'); console.log(` Initial Capital: $${config.initialCapital}`); console.log(` Commission: ${(config.commission * 100).toFixed(1)}%`); console.log(` Slippage: ${(config.slippage * 100).toFixed(1)}%`); try { const result = await backtestEngine.runBacktest(config); console.log('\n=== RESULTS ==='); console.log(`Initial Capital: $${config.initialCapital}`); console.log(`Final Value: $${result.equity[result.equity.length - 1].value.toFixed(2)}`); console.log(`Total Return: ${result.metrics.totalReturn.toFixed(2)}%`); console.log(`Total Trades: ${result.metrics.totalTrades}`); // Check trades for commission if (result.trades.length > 0) { console.log('\nFirst 3 trades with commission:'); result.trades.slice(0, 3).forEach((t, idx) => { const tradeValue = t.quantity * t.entryPrice; const expectedCommission = tradeValue * config.commission; const totalCost = tradeValue + expectedCommission; console.log(`\n${idx + 1}. ${t.symbol} ${t.side} ${t.quantity} shares`); console.log(` Entry Price: $${t.entryPrice.toFixed(2)}`); console.log(` Exit Price: $${t.exitPrice.toFixed(2)}`); console.log(` Trade Value: $${tradeValue.toFixed(2)}`); console.log(` Commission: $${t.commission.toFixed(2)} (expected: $${expectedCommission.toFixed(2)})`); console.log(` P&L: $${t.pnl.toFixed(2)}`); }); } // Compare with zero commission/slippage const zeroConfig = { ...config, commission: 0, slippage: 0 }; await modeManager.initializeMode(zeroConfig); const zeroResult = await backtestEngine.runBacktest(zeroConfig); console.log('\n=== COMPARISON ==='); console.log('With commission/slippage:'); console.log(` Final Value: $${result.equity[result.equity.length - 1].value.toFixed(2)}`); console.log(` Total Return: ${result.metrics.totalReturn.toFixed(2)}%`); console.log('\nWithout commission/slippage:'); console.log(` Final Value: $${zeroResult.equity[zeroResult.equity.length - 1].value.toFixed(2)}`); console.log(` Total Return: ${zeroResult.metrics.totalReturn.toFixed(2)}%`); const difference = zeroResult.equity[zeroResult.equity.length - 1].value - result.equity[result.equity.length - 1].value; console.log(`\nCost of commission/slippage: $${difference.toFixed(2)}`); } catch (error) { console.error('Backtest failed:', error); } console.log('\n=== TEST COMPLETE ==='); process.exit(0); } testCommissionSlippage().catch(error => { console.error('Test failed:', error); process.exit(1); });