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@fugle/backtest

Table of Contents

Class: Backtest

This class represents a backtesting task that backtest a custom strategy on input data.

Constructor: new Backtest(data, Strategy[, options])

  • data {Object | Array} The historical candles data.
  • Strategy {Strategy} A custom trading strategy class, which inherits from Strategy.
  • options {Object}
    • cash {number} The initial cash. Default: 10000.
    • commission {number} The commission ratio. Default: 0.
    • margin {number} The margin ratio required for a leveraged account. Default: 1.
    • tradeOnClose {boolean} true if market orders will be filled based on the current bar's closing price instead of the next bar's open. Default: false.
    • hedging {boolean} Whether or not to allow trading in both long and short positions concurrently. false if the opposite-facing orders first close existing trades in a FIFO manner. Default: false.
    • exclusiveOrders {boolean} true if each new order automatically closes the previous trade or position, making at most a single trade (long or short) in effect at each time. Default: false.

Create a new Backtest instance.

backtest.run(options)

  • options {Object}
    • params {Record<string, number>} The parameters for the trading strategy.
  • Returns: {Promise} Fulfills with Stats results upon success.

Run the backtest for the strategy.

backtest.optimize(options)

  • options {Object}
    • params {Record<string, number[]>} The combination of parameters for the trading strategy.
  • Returns: {Promise} Fulfills with Stats results upon success.

Optimize strategy parameters.

backtest.print()

  • Returns: {this}

Print the results of the backtest run.

backtest.plot()

  • Returns: {this}

Plot the equity curve of the backtest run.

Class: Strategy

Abstract class for implementing a trading strategy.

strategy.init()

Initialize the strategy to declare indicators and signals.

strategy.next(context)

  • context {Object} The context of the current bar.
    • index {number} The index of the current bar.
    • data {Object} The OHLCV data of the current bar.
      • date {string} The ISO 8601 date string.
      • open {number} The open price of the bar period.
      • high {number} The highest price of the bar period.
      • low {number} The lowest price of the bar period.
      • close {number} The close price of the bar period.
      • volume {number} The volume of the bar period.
    • indicators {Map} To access the values of the custom indicators for the current bar.
    • signals {Map} To access the custom trading signals for the current bar.
    • prev {Object} The context of the previous bar.

strategy.buy(options)

  • options {Object}
    • size {number} The size of the order.
    • limitPrice {number} The limit price of the order.
    • stopPrice {number} The stop price of the order.
    • slPrice {number} The stop-loss price of the order.
    • tpPrice {number} The take-profit price of the order.
    • price {number} The price at which the trade is executed.

Place a new long order.

strategy.sell(options)

  • options {Object}
    • size {number} The size of the order.
    • limitPrice {number} The limit price of the order.
    • stopPrice {number} The stop price of the order.
    • slPrice {number} The stop-loss price of the order.
    • tpPrice {number} The take-profit price of the order.
    • price {number} The price at which the trade is executed.

Place a new short order.

strategy.addIndicator(name, values)

  • name {string} The indicator name.
  • values {number[] | Record<string, number>[]} The values of the indicator.

Add an indicator.

strategy.getIndicator(name)

  • name {string} The indicator name.

Get indicator by name.

strategy.addSignal(name, values)

  • name {string} The signal name.
  • values {boolean[]} The values of the signal.

Add a signal.

strategy.getSignal(name)

  • name {string} The signal name.

Get signal by name.

strategy.data

  • {danfo.DataFrame}

Get the DataFrame of the historical candles data.

strategy.equity

  • {number}

Get current account equity.

strategy.position

  • {Position}

Get current position.

strategy.orders

  • {Order[]}

Get a list of orders waiting to be executed.

strategy.trades

  • {Trade[]}

Get a list of active trades.

strategy.closedTrades

  • {Trade[]}

Get a list of settled trades.

Class: Position

Currently held asset position.

position.size

  • {number}

Position size in units of asset. Negative if position is short.

position.pl

  • {number}

Profit (positive) or loss (negative) of the current position in cash units.

position.plPct

  • {number}

Profit (positive) or loss (negative) of the current position in percent.

position.isLong

  • {boolean}

true if the position is long (position size is positive).

position.isShort

  • {boolean}

true if the position is short (position size is negative).

position.close(portion)

  • portion {number} The portion of the position.

Close portion of position by closing portion of each active trade.

Class: Order

order.size

  • {number}

Order size (negative for short orders).

order.limit

  • {number}

Order limit price for limit orders, or undefined for market orders, which are filled at next available price.

order.stop

  • {number}

Order stop price for stop-limit/stop-market order, otherwise undefined if no stop was set, or the stop price has already been hit.

order.sl

  • {number}

A stop-loss price at which, if set, a new contingent stop-market order will be placed upon the Trade following this order's execution.

order.tp

  • {number}

A take-profit price at which, if set, a new contingent limit order will be placed upon the Trade following this order's execution.

order.isLong

  • {boolean}

true if the order is long (order size is positive).

order.isShort

  • {boolean}

true if the order is short (order size is negative).

order.isContingent

  • {boolean}

true for contingent orders, i.e. OCO stop-loss and take-profit bracket orders placed upon an active trade. Remaining contingent orders are canceled when their parent Trade is closed.

order.cancel()

Cancel the order.

Class: Trade

trade.size

  • {number}

Trade size (volume; negative for short trades).

trade.entryPrice

  • {number}

Trade entry price.

trade.exitPrice

  • {number}

Trade exit price (or undefined if the trade is still active).

trade.entryBar

  • {number}

Candlestick bar index of when the trade was entered.

trade.exitBar

  • {number}

Candlestick bar index of when the trade was exited (or undefined if the trade is still active).

trade.slOrder

  • {Order}

Get stop-loss order.

trade.tpOrder

  • {Order}

Get take-profit order.

trade.entryTime

  • {string}

Datetime of when the trade was entered.

trade.exitTime

  • {string}

Datetime of when the trade was exited.

trade.isLong

  • {boolean}

true if the trade is long (trade size is positive).

trade.isShort

  • {boolean}

true if the trade is short (trade size is negative).

trade.pl

  • {number}

Trade profit (positive) or loss (negative) in cash units.

trade.plPct

  • {number}

Trade profit (positive) or loss (negative) in percent.

trade.value

  • {number}

Trade total value in cash (volume * price).

trade.sl

  • {number}

Stop-loss price at which to close the trade.

trade.tp

  • {number}

Take-profit price at which to close the trade.

trade.close()

Place new Order to close portion of the trade at next market price.