README
Trade
Introduction
trade is a JavaScript library that executes orders on data, thereby creates a backtest and returns the resulting positions. Those can be used to generate trading reports.
Features
- 💾 Use any data source you like – CSV files, a database or a web service
- 🪙 Use almost any instruments you'd like to backtest – stocks, futures, crypto currencies
- ⏱ Use almost any interval on data you like – weekly, daily or even second by second
- 🔌 Simple to use interface – library consists of one main function
- 🧪 Tested library with with high test coverage (>95%)
- 📈 Returns results as a JSON structure for easy reportings and analysis
Documentation
See the API documentation.
Install
- Install through npm:
npm i -S backtest - Requires Node 12 (for private class fields)
Example
import { trade } from 'trade';
/**
* Get your data from any source you like – a web service, a CSV file, a database. The structure
* does not matter: if needed, you can transform it in the getData function.
*/
const data = [
[
{ date: '2020-01-01', open: 20.5, close: 20.9, symbol: 'AAPL' },
{ date: '2020-01-01', open: 10.2, close: 10.1, symbol: 'AMZN' },
], [
{ date: '2020-01-02', open: 20.4, close: 20.7, symbol: 'AAPL' },
{ date: '2020-01-02', open: 10.3, close: 10.6, symbol: 'AMZN' },
], [
{ date: '2020-01-03', open: 20.3, close: 20.6, symbol: 'AAPL' },
{ date: '2020-01-03', open: 10.4, close: 10.5, symbol: 'AMZN' },
]
];
/**
* The trade function expects an async generator as argument. Every bar (e.g. day for daily
* data) should yield and contain one object per instrument.
*/
function* getData() {
for (const barData of data) {
// The trade function expects all dates to be JavaScript dates; convert strings to
// dates
const parsedData = barData.map(item => ({ ...item, date: new Date(item.date) }));
yield parsedData;
}
}
/**
* Create orders is a callback function that will be called by the trade function. Return
* your orders for the current bar.
* In this case, we
* - buy when open is > close, sell when close < open
* - use equal position size for all instruments
*/
const createOrders = ({ data, positions, cash }) => {
// Get newest data (index 0 is current bar's data, index 1 is previous bar's data)
const [current, previous] = data;
// If there is no previous data (because we're on the first data) don't trade anything:
// return empty orders.
if (!previous) return [];
// Store the instruments that we want to have long or short positions of
const expectedPositions = [];
// Go through all current data and get data for the same instrument on previous bar
for (const instrumentData of current) {
const { symbol } = instrumentData;
// Get previous bar's data for the current symbol
const previousInstrumentData = previous.find(item => item.symbol === symbol);
// If there is no data for the previous bar, we don't take or hold a position
if (!previousInstrumentData) continue;
// Direction is -1 for short and 1 for long
const direction = instrumentData.close > previousInstrumentData.close ? 1 : -1;
expectedPositions.push({ data: instrumentData, direction });
}
// Get amount of money available (cash plus value of all all open positions)
const available = cash + positions.reduce((prev, pos) => prev + pos.value, 0);
// Divide money equally by all positions we are expected to hold
const moneyPerPosition = available / expectedPositions.length;
// Calculate position size for every symbol we hold
const orders = expectedPositions.map(position => ({
symbol: position.data.symbol,
size: Math.floor(moneyPerPosition / position.data.close) * position.direction,
}));
return orders;
};
// Start with cash of 10.000
const cash = 10 ** 4;
const result = await trade({
getData,
createOrders,
cash,
});
The result will be:
[
{
"date": "2020-01-01T00:00:00.000Z",
"orders": [],
"cash": 10000,
"cost": 0,
"positionsOnOpen": [],
"positionsAfterTrade": [],
"positionsOnClose": [],
"closedPositions": []
},
{
"date": "2020-01-02T00:00:00.000Z",
"orders": [
{
"symbol": "AAPL",
"size": -241
},
{
"symbol": "AMZN",
"size": 471
}
],
"cash": 10000,
"cost": 0,
"positionsOnOpen": [],
"positionsAfterTrade": [],
"positionsOnClose": [],
"closedPositions": []
},
{
"date": "2020-01-03T00:00:00.000Z",
"orders": [
{
"symbol": "AAPL",
"size": -242
},
{
"symbol": "AMZN",
"size": -474
}
],
"cash": 209.29999999999927,
"cost": 9790.7,
"positionsOnOpen": [],
"positionsAfterTrade": [
{
"date": "2020-01-03T00:00:00.000Z",
"symbol": "AAPL",
"type": "open",
"price": 20.3,
"exchangeRate": 1,
"size": -241,
"barsHeld": 0,
"id": 0,
"value": 4892.3,
"initialPosition": {
"date": "2020-01-03T00:00:00.000Z",
"symbol": "AAPL",
"type": "open",
"price": 20.3,
"exchangeRate": 1,
"size": -241,
"barsHeld": 0,
"id": 0,
"margin": 20.3,
"settleDifference": false,
"pointValue": 1,
"value": 4892.3
}
},
{
"date": "2020-01-03T00:00:00.000Z",
"symbol": "AMZN",
"type": "open",
"price": 10.4,
"exchangeRate": 1,
"size": 471,
"barsHeld": 0,
"id": 1,
"value": 4898.400000000001,
"initialPosition": {
"date": "2020-01-03T00:00:00.000Z",
"symbol": "AMZN",
"type": "open",
"price": 10.4,
"exchangeRate": 1,
"size": 471,
"barsHeld": 0,
"id": 1,
"margin": 10.4,
"settleDifference": false,
"pointValue": 1,
"value": 4898.400000000001
}
}
],
"positionsOnClose": [
{
"date": "2020-01-03T00:00:00.000Z",
"symbol": "AAPL",
"type": "close",
"price": 20.6,
"exchangeRate": 1,
"size": -241,
"barsHeld": 0,
"id": 0,
"value": 4820,
"initialPosition": {
"date": "2020-01-03T00:00:00.000Z",
"symbol": "AAPL",
"type": "open",
"price": 20.3,
"exchangeRate": 1,
"size": -241,
"barsHeld": 0,
"id": 0,
"margin": 20.3,
"settleDifference": false,
"pointValue": 1,
"value": 4892.3
}
},
{
"date": "2020-01-03T00:00:00.000Z",
"symbol": "AMZN",
"type": "close",
"price": 10.5,
"exchangeRate": 1,
"size": 471,
"barsHeld": 0,
"id": 1,
"value": 4945.5,
"initialPosition": {
"date": "2020-01-03T00:00:00.000Z",
"symbol": "AMZN",
"type": "open",
"price": 10.4,
"exchangeRate": 1,
"size": 471,
"barsHeld": 0,
"id": 1,
"margin": 10.4,
"settleDifference": false,
"pointValue": 1,
"value": 4898.400000000001
}
}
],
"closedPositions": []
}
]
Contribute
- Run tests:
npm test - Get test coverage:
npm run coverage - Update docs before publishing:
npm run docs