crypto-backtest/lib/BacktestBase.js

Backtesting on market data imported from crypto exchange

"use strict";
Object.defineProperty(exports, "__esModule", { value: true });
exports.BacktestBase = void 0;
class BacktestBase {
    constructor(options) {
        this.candles = [];
        this.initialBalance = 0;
        this.stoplossLevel = 0; // доля от цены открытия, на которую рыночная цена может упасть
        this.fee = 0; // доля
        this.trades = [];
        this.roundtrips = [];
        this.maxLosingSeriesLength = 0;
        this.maxDrawDown = 0;
        this.currencyBalance = 0;
        this.assetBalance = 0;
        this.stoplossPrice = 0;
        Object.assign(this, options);
    }
    calculateRountrips() {
        let roundtrip = null;
        let peak = this.initialBalance;
        let losingLength = 0;
        this.trades.forEach((trade) => {
            // если открытого нет, тогда сначала создать
            // предполагается что трейды чередуются, открывающий и закрывающий
            if (!roundtrip) {
                roundtrip = {
                    begin: trade.time,
                    openPrice: trade.price,
                    openAmount: trade.amount + trade.fee,
                    fee: trade.fee,
                };
            }
            else {
                roundtrip.end = trade.time;
                roundtrip.closePrice = trade.price;
                roundtrip.closeAmount = trade.amount - trade.fee;
                roundtrip.fee = roundtrip.fee + trade.fee;
                roundtrip.profit = roundtrip.closeAmount - roundtrip.openAmount;
                peak = Math.max(peak, roundtrip.closeAmount);
                if (roundtrip.profit > 0) {
                    losingLength = 0;
                }
                else {
                    this.maxLosingSeriesLength = Math.max(this.maxLosingSeriesLength, ++losingLength);
                    this.maxDrawDown = Math.max(this.maxDrawDown, 1 - roundtrip.closeAmount / peak);
                }
                this.roundtrips.push(roundtrip);
                roundtrip = null;
            }
        });
    }
    candleHandler(candle, index, candles) {
        const { time, close: price } = candle;
        // всегда закрывается трейдом или стоп-лосс
        if ((index === candles.length - 1 || price < this.stoplossPrice) &&
            this.assetBalance > 0) {
            this.sell(time, price);
        }
        else {
            const advice = this.advices.find((a) => a.time === time);
            if (advice) {
                const { side } = advice;
                if (side === "buy" && this.currencyBalance > 0) {
                    this.buy(time, price);
                }
                else if (side === "sell" && this.assetBalance > 0) {
                    this.sell(time, price);
                }
            }
        }
    }
    buy(time, price) {
        this.stoplossPrice = price * this.stoplossLevel;
        const fee = this.currencyBalance * this.fee;
        const amount = this.currencyBalance - fee;
        const quantity = amount / price;
        const trade = {
            time,
            side: "buy",
            quantity,
            price,
            amount,
            fee,
        };
        this.currencyBalance = 0;
        this.assetBalance = quantity;
        this.trades.push(trade);
    }
    sell(time, price) {
        const quantity = this.assetBalance;
        const amount = quantity * price;
        const fee = amount * this.fee;
        const trade = {
            time,
            side: "sell",
            quantity,
            price,
            amount,
            fee,
        };
        this.assetBalance = 0;
        this.currencyBalance = amount - fee;
        this.trades.push(trade);
    }
}
exports.BacktestBase = BacktestBase;
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