The easiest way to test some strategies on historical data.
- 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
longandshortposition types - Supports both
limitandmarketorder types - Accepts
stopLossas option (default3%) - Accepts
takeProfitas option (default5%) - Accepts
exchangeFeeas option (default0.2%) - Accepts
balanceUSDas option (default1000) - Shows summary of profits/losses/trades _ soon Accepts .csv as a source of candles
Construct your own run.js file with strategy or signals.
Strategy specified by the function. Function receives next arguments:
candleIndex- will help to pick relevant indicator valuecandle- object with standardopen,close,high,low,volumepropertiespositionTypes- object with constantsLONGandSHORTorderTypes- object with constantsLIMITandMARKET
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();
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 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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