@gabriel3615/ta_analysis/dist/analysis/backtest/GridSearch.js

stock ta analysis

import { Backtester, } from './Backtester.js';
function cartesianProduct(arrays) {
    return arrays.reduce((acc, arr) => {
        const next = [];
        for (const a of acc) {
            for (const b of arr) {
                next.push([...a, b]);
            }
        }
        return next;
    }, [[]]);
}
function buildParamCombos(grid) {
    const keys = Object.keys(grid);
    if (keys.length === 0)
        return [{}];
    const values = keys.map(k => grid[k]);
    const combos = cartesianProduct(values);
    return combos.map(vals => {
        const obj = {};
        vals.forEach((v, idx) => (obj[keys[idx]] = v));
        return obj;
    });
}
export async function runGridSearch(candles, grid, strategyFactory, backtesterInstance // Allow passing a pre-configured backtester
) {
    const paramCombos = buildParamCombos(grid);
    const runs = [];
    for (const params of paramCombos) {
        const strategy = strategyFactory(params);
        const backtester = backtesterInstance ?? new Backtester(); // Use provided instance or create a default one
        const result = await backtester.run(candles, strategy);
        runs.push({ params, result });
    }
    const bestByTotalPnL = runs.length
        ? runs.reduce((a, b) => (a.result.totalPnL > b.result.totalPnL ? a : b))
        : null;
    const bestBySharpe = runs.length
        ? runs.reduce((a, b) => a.result.metrics.sharpe > b.result.metrics.sharpe ? a : b)
        : null;
    const bestByMaxDrawdown = runs.length
        ? runs.reduce((a, b) => a.result.metrics.maxDrawdown < b.result.metrics.maxDrawdown ? a : b)
        : null;
    return { runs, summary: { bestByTotalPnL, bestBySharpe, bestByMaxDrawdown } };
}
export function formatMetricsPanel(run) {
    const m = run.result.metrics;
    return [
        `PnL: ${run.result.totalPnL.toFixed(2)}`,
        `WinRate: ${(m.winRate * 100).toFixed(2)}%`,
        `AvgWin: ${m.avgWin.toFixed(2)}`,
        `AvgLoss: ${m.avgLoss.toFixed(2)}`,
        `MaxDD: ${(m.maxDrawdown * 100).toFixed(2)}%`,
        `Sharpe: ${m.sharpe.toFixed(2)}`,
        `Trades: ${m.tradeCount}`,
    ].join(' | ');
}