@gabriel3615/ta_analysis/test/trendline.test.ts

stock ta analysis

import { describe, it, expect } from 'vitest';
import type { Candle } from '../src/types.js';
import { Backtester } from '../src/analysis/backtest/Backtester.js';
import { TrendlineBreakoutStrategy } from '../src/analysis/backtest/strategies/TrendlineBreakoutStrategy.js';

function makeUpChannelBreakout(): Candle[] {
  const out: Candle[] = [];
  let price = 100;
  let t = new Date('2024-01-01T00:00:00Z').getTime();
  const day = 86400000; // milliseconds in a day
  for (let i = 0; i < 250; i++) {
    // mild uptrend channel
    const drift = 0.05;
    price += drift + (i % 10 === 0 ? -0.2 : 0.1);
    const open = price - 0.2;
    const close = price + 0.2;
    out.push({
      symbol: 'T',
      open,
      high: Math.max(open, close) + 0.3,
      low: Math.min(open, close) - 0.3,
      close,
      volume: 1000 + (i % 20) * 10,
      timestamp: new Date(t),
    });
    t += day;
  }
  return out;
}

describe('backtester + trendline strategy', () => {
  it('runs without errors and produces metrics', async () => {
    const data = makeUpChannelBreakout();
    const bt = new Backtester({ initialCapital: 10000, positionSizing: 0.5 });
    const strat = TrendlineBreakoutStrategy('T', 'daily');
    const res = await bt.run(data, strat);
    expect(res.metrics.tradeCount).toBeGreaterThanOrEqual(0);
    expect(Number.isFinite(res.metrics.maxDrawdown)).toBe(true);
    expect(Number.isFinite(res.metrics.sharpe)).toBe(true);
  });
});