Add backtesting entry point for offline strategy testing
Introduces a BacktestClient that replays historical 1-min bars against the existing strategy code, plus a CLI entry point (npm run backtest) that fetches bars from Alpaca and runs the bot over a date range. Makes wait() pluggable so the backtest resolves delays instantly while advancing simulated time. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
@@ -16,7 +16,8 @@
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"dev": "nodemon --exec ts-node src/index.ts",
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"test": "vitest run",
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"test:watch": "vitest",
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"lint": "eslint src/"
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"lint": "eslint src/",
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"backtest": "ts-node src/backtest.ts"
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},
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"dependencies": {
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"@alpacahq/alpaca-trade-api": "^3.1.3",
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160
src/backtest-client.test.ts
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160
src/backtest-client.test.ts
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@@ -0,0 +1,160 @@
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import { describe, it, expect, beforeEach } from 'vitest';
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import { BacktestClient, Bar } from './backtest-client';
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function makeBars(symbol: string, prices: number[], startTime: number): Bar[] {
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return prices.map((price, i) => ({
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Timestamp: new Date(startTime + i * 60_000).toISOString(),
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OpenPrice: price,
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HighPrice: price + 0.1,
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LowPrice: price - 0.1,
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ClosePrice: price,
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Volume: 1000,
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}));
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}
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describe('BacktestClient', () => {
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const startTime = new Date('2025-01-06T09:30:00-05:00').getTime();
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let bars: Map<string, Bar[]>;
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let client: BacktestClient;
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beforeEach(() => {
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bars = new Map();
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bars.set('QQQ', makeBars('QQQ', [500, 501, 502, 503, 504], startTime));
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bars.set('TQQQ', makeBars('TQQQ', [80, 81, 82, 83, 84], startTime));
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bars.set('SQQQ', makeBars('SQQQ', [10, 9.9, 9.8, 9.7, 9.6], startTime));
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client = new BacktestClient(bars, 100_000, startTime);
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});
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describe('getSimulatedTime / advanceTime', () => {
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it('returns initial time', () => {
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expect(client.getSimulatedTime()).toBe(startTime);
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});
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it('advances time', () => {
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client.advanceTime(60_000);
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expect(client.getSimulatedTime()).toBe(startTime + 60_000);
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});
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});
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describe('getLatestQuote', () => {
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it('returns quote derived from bar at cursor', async () => {
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const quote = await client.getLatestQuote('QQQ');
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expect(quote.AskPrice).toBe(500);
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expect(quote.BidPrice).toBeCloseTo(500 * 0.999, 2);
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});
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it('advances cursor when time moves forward', async () => {
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client.advanceTime(120_000); // 2 minutes forward
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const quote = await client.getLatestQuote('QQQ');
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expect(quote.AskPrice).toBe(502);
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});
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it('throws for unknown symbol', async () => {
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await expect(client.getLatestQuote('AAPL')).rejects.toThrow('No bar data for AAPL');
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});
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});
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describe('getClock', () => {
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it('always returns is_open true', async () => {
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const clock = await client.getClock();
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expect(clock.is_open).toBe(true);
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});
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});
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describe('createOrder - buy', () => {
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it('fills at close price and reduces cash', async () => {
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const order = await client.createOrder({
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symbol: 'TQQQ',
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notional: 8000,
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side: 'buy',
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type: 'market',
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time_in_force: 'day',
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});
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expect(order.status).toBe('filled');
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expect(parseFloat(order.filled_avg_price)).toBe(80);
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expect(parseFloat(order.filled_qty)).toBe(100);
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const account = await client.getAccount();
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expect(parseFloat(account.cash)).toBe(92_000);
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});
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it('records fill in trade log', async () => {
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await client.createOrder({
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symbol: 'TQQQ',
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notional: 8000,
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side: 'buy',
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type: 'market',
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time_in_force: 'day',
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});
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expect(client.fills).toHaveLength(1);
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expect(client.fills[0].symbol).toBe('TQQQ');
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expect(client.fills[0].side).toBe('buy');
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});
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});
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describe('createOrder - sell', () => {
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it('fills at close price and increases cash', async () => {
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await client.createOrder({ symbol: 'TQQQ', notional: 8000, side: 'buy', type: 'market', time_in_force: 'day' });
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client.advanceTime(120_000); // price goes to 82
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await client.createOrder({ symbol: 'TQQQ', notional: 8200, side: 'sell', type: 'market', time_in_force: 'day' });
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const account = await client.getAccount();
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expect(parseFloat(account.cash)).toBeCloseTo(100_200, 0);
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});
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});
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describe('getTotalValue', () => {
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it('equals cash when no positions', () => {
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expect(client.getTotalValue()).toBe(100_000);
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});
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it('includes position mark-to-market', async () => {
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await client.createOrder({ symbol: 'TQQQ', notional: 8000, side: 'buy', type: 'market', time_in_force: 'day' });
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// cash = 92000, position = 100 shares @ 80 = 8000 mtm
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expect(client.getTotalValue()).toBeCloseTo(100_000, 0);
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client.advanceTime(120_000); // TQQQ now 82
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// cash = 92000, position = 100 shares @ 82 = 8200 mtm
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expect(client.getTotalValue()).toBeCloseTo(100_200, 0);
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});
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});
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describe('resetCursorsForDay', () => {
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it('repositions cursors to the given day start', async () => {
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client.advanceTime(240_000); // move to end
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const quote1 = await client.getLatestQuote('QQQ');
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expect(quote1.AskPrice).toBe(504);
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// Reset to beginning
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client.resetCursorsForDay(startTime);
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const quote2 = await client.getLatestQuote('QQQ');
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expect(quote2.AskPrice).toBe(500);
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});
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});
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describe('getLatestTrades', () => {
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it('returns trades for requested symbols', async () => {
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const trades = await client.getLatestTrades(['QQQ', 'TQQQ']);
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expect(trades.size).toBe(2);
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expect(trades.get('QQQ')?.p).toBe(500);
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expect(trades.get('TQQQ')?.p).toBe(80);
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});
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});
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describe('getAccount', () => {
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it('returns cash as string with 2 decimal places', async () => {
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const account = await client.getAccount();
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expect(account.cash).toBe('100000.00');
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});
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});
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describe('getAsset', () => {
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it('returns asset info', async () => {
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const asset = await client.getAsset('TQQQ');
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expect(asset.symbol).toBe('TQQQ');
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expect(asset.fractionable).toBe(true);
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});
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});
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});
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221
src/backtest-client.ts
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221
src/backtest-client.ts
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@@ -0,0 +1,221 @@
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import {
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AlpacaClient,
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AlpacaAccount,
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AlpacaAsset,
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AlpacaClock,
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AlpacaQuote,
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AlpacaOrder,
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AlpacaTrade,
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} from "./alpaca";
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export interface Bar {
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Timestamp: string;
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OpenPrice: number;
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HighPrice: number;
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LowPrice: number;
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ClosePrice: number;
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Volume: number;
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}
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export interface Fill {
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time: string;
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symbol: string;
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side: 'buy' | 'sell';
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price: number;
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notional: number;
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qty: number;
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}
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interface Position {
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qty: number;
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avgCost: number;
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}
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export class BacktestClient implements AlpacaClient {
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private bars: Map<string, Bar[]>;
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private cursors: Map<string, number> = new Map();
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private simulatedTime: number;
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private cash: number;
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private positions: Map<string, Position> = new Map();
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private _fills: Fill[] = [];
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private nextOrderId = 1;
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constructor(bars: Map<string, Bar[]>, capital: number, startTime: number) {
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this.bars = bars;
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this.cash = capital;
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this.simulatedTime = startTime;
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for (const symbol of bars.keys()) {
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this.cursors.set(symbol, 0);
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}
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}
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get fills(): readonly Fill[] {
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return this._fills;
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}
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getSimulatedTime(): number {
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return this.simulatedTime;
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}
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advanceTime(ms: number): void {
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this.simulatedTime += ms;
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this.syncCursors();
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}
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resetCursorsForDay(dayStart: number): void {
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this.simulatedTime = dayStart;
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for (const [symbol, bars] of this.bars.entries()) {
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let idx = 0;
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for (let i = 0; i < bars.length; i++) {
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if (new Date(bars[i].Timestamp).getTime() <= dayStart) {
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idx = i;
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} else {
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break;
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}
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}
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this.cursors.set(symbol, idx);
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}
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}
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private syncCursors(): void {
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for (const [symbol, bars] of this.bars.entries()) {
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const cursor = this.cursors.get(symbol) ?? 0;
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let idx = cursor;
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while (idx + 1 < bars.length && new Date(bars[idx + 1].Timestamp).getTime() <= this.simulatedTime) {
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idx++;
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}
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this.cursors.set(symbol, idx);
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}
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}
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private getBarAtCursor(symbol: string): Bar | undefined {
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const bars = this.bars.get(symbol);
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if (!bars || bars.length === 0) return undefined;
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const cursor = this.cursors.get(symbol) ?? 0;
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return bars[cursor];
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}
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async getAccount(): Promise<AlpacaAccount> {
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return { cash: this.cash.toFixed(2) };
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}
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async getAssets(params: { status: string; asset_class: string }): Promise<AlpacaAsset[]> {
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return [...this.bars.keys()].map((symbol) => ({
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symbol,
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fractionable: true,
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status: params.status,
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asset_class: params.asset_class,
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}));
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}
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async getAsset(symbol: string): Promise<AlpacaAsset> {
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return {
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symbol,
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fractionable: true,
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status: "active",
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asset_class: "us_equity",
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};
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}
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async getClock(): Promise<AlpacaClock> {
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const t = new Date(this.simulatedTime);
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const nextClose = new Date(t);
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nextClose.setHours(16, 0, 0, 0);
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return {
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is_open: true,
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next_open: t.toISOString(),
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next_close: nextClose.toISOString(),
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};
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}
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async getLatestQuote(symbol: string): Promise<AlpacaQuote> {
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const bar = this.getBarAtCursor(symbol);
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if (!bar) {
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throw new Error(`No bar data for ${symbol}`);
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}
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return {
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AskPrice: bar.ClosePrice,
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BidPrice: bar.ClosePrice * 0.999,
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};
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}
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async getLatestTrades(symbols: string[]): Promise<Map<string, AlpacaTrade>> {
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const result = new Map<string, AlpacaTrade>();
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for (const symbol of symbols) {
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const bar = this.getBarAtCursor(symbol);
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if (bar) {
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result.set(symbol, {
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p: bar.ClosePrice,
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s: bar.Volume,
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t: bar.Timestamp,
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});
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}
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}
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return result;
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}
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async createOrder(order: {
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symbol: string;
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notional: number;
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side: "buy" | "sell";
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type: string;
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time_in_force: string;
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}): Promise<AlpacaOrder> {
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const bar = this.getBarAtCursor(order.symbol);
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if (!bar) {
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throw new Error(`No bar data for ${order.symbol}`);
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}
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const price = bar.ClosePrice;
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const qty = order.notional / price;
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const id = String(this.nextOrderId++);
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if (order.side === "buy") {
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this.cash -= order.notional;
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const pos = this.positions.get(order.symbol) ?? { qty: 0, avgCost: 0 };
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const totalCost = pos.avgCost * pos.qty + price * qty;
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pos.qty += qty;
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pos.avgCost = pos.qty > 0 ? totalCost / pos.qty : 0;
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this.positions.set(order.symbol, pos);
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} else {
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this.cash += order.notional;
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const pos = this.positions.get(order.symbol);
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if (pos) {
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pos.qty -= qty;
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if (pos.qty <= 0.0001) {
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this.positions.delete(order.symbol);
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}
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}
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}
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this._fills.push({
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time: new Date(this.simulatedTime).toISOString(),
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symbol: order.symbol,
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side: order.side,
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price,
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notional: order.notional,
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qty,
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});
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return {
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id,
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symbol: order.symbol,
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filled_avg_price: price.toFixed(4),
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filled_qty: qty.toFixed(6),
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side: order.side,
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status: "filled",
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};
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}
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getTotalValue(): number {
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let value = this.cash;
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for (const [symbol, pos] of this.positions.entries()) {
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const bar = this.getBarAtCursor(symbol);
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if (bar) {
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value += pos.qty * bar.ClosePrice;
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}
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}
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return value;
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}
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}
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169
src/backtest.ts
Normal file
169
src/backtest.ts
Normal file
@@ -0,0 +1,169 @@
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import dotenv from 'dotenv';
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dotenv.config();
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import { Alpaca } from './alpaca';
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import { Bot } from './bot';
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import { MomentumStrategy } from './momentum-strategy';
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import { BacktestClient, Bar } from './backtest-client';
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import { setWaitFn, resetWaitFn } from './trading';
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import { logger } from './logger';
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// eslint-disable-next-line @typescript-eslint/no-require-imports
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const AlpacaJS = require('@alpacahq/alpaca-trade-api');
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interface Args {
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start: string;
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end: string;
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capital: number;
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}
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function parseArgs(): Args {
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const args = process.argv.slice(2);
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let start = '';
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let end = '';
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let capital = 100_000;
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for (let i = 0; i < args.length; i++) {
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if (args[i] === '--start' && args[i + 1]) start = args[++i];
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else if (args[i] === '--end' && args[i + 1]) end = args[++i];
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else if (args[i] === '--capital' && args[i + 1]) capital = parseFloat(args[++i]);
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}
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if (!start || !end) {
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console.error('Usage: npm run backtest -- --start YYYY-MM-DD --end YYYY-MM-DD [--capital N]');
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process.exit(1);
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}
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return { start, end, capital };
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}
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async function fetchBars(symbols: string[], start: string, end: string): Promise<Map<string, Bar[]>> {
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const client = new AlpacaJS({
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keyId: process.env.ALPACA_KEY_ID,
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secretKey: process.env.ALPACA_SECRET_KEY,
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paper: true,
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});
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const allBars = new Map<string, Bar[]>();
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for (const symbol of symbols) {
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logger.info(`fetching bars for ${symbol} from ${start} to ${end}`);
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const bars: Bar[] = [];
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const resp = client.getBarsV2(symbol, {
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start,
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end,
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timeframe: '1Min',
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limit: 10000,
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feed: 'sip',
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});
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for await (const bar of resp) {
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bars.push({
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Timestamp: bar.Timestamp,
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OpenPrice: bar.OpenPrice,
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HighPrice: bar.HighPrice,
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LowPrice: bar.LowPrice,
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ClosePrice: bar.ClosePrice,
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Volume: bar.Volume,
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});
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}
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bars.sort((a, b) => new Date(a.Timestamp).getTime() - new Date(b.Timestamp).getTime());
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allBars.set(symbol, bars);
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logger.info(`${symbol}: ${bars.length} bars loaded`);
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}
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return allBars;
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}
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function getTradingDays(bars: Map<string, Bar[]>): Date[] {
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const daySet = new Set<string>();
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for (const symbolBars of bars.values()) {
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for (const bar of symbolBars) {
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const d = new Date(bar.Timestamp);
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const dateStr = `${d.getFullYear()}-${String(d.getMonth() + 1).padStart(2, '0')}-${String(d.getDate()).padStart(2, '0')}`;
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daySet.add(dateStr);
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}
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}
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return [...daySet].sort().map((d) => {
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const date = new Date(d + 'T09:30:00-05:00');
|
||||
return date;
|
||||
});
|
||||
}
|
||||
|
||||
async function main() {
|
||||
const { start, end, capital } = parseArgs();
|
||||
|
||||
const symbols = ['QQQ', 'TQQQ', 'SQQQ'];
|
||||
const bars = await fetchBars(symbols, start, end);
|
||||
|
||||
const startTime = new Date(start + 'T09:30:00-05:00').getTime();
|
||||
const backtestClient = new BacktestClient(bars, capital, startTime);
|
||||
const alpaca = new Alpaca(false, backtestClient);
|
||||
|
||||
setWaitFn(async (ms: number) => {
|
||||
backtestClient.advanceTime(ms);
|
||||
});
|
||||
|
||||
const originalDateNow = Date.now;
|
||||
Date.now = () => backtestClient.getSimulatedTime();
|
||||
|
||||
try {
|
||||
const tradingDays = getTradingDays(bars);
|
||||
logger.info(`backtest: ${tradingDays.length} trading days from ${start} to ${end}`);
|
||||
|
||||
const momentum = new MomentumStrategy();
|
||||
const bot = new Bot(alpaca, [{ strategy: momentum, capitalAllocation: 1.0 }]);
|
||||
|
||||
for (const day of tradingDays) {
|
||||
const dayStr = day.toISOString().split('T')[0];
|
||||
logger.info(`--- day: ${dayStr} ---`);
|
||||
backtestClient.resetCursorsForDay(day.getTime());
|
||||
await bot.runDay();
|
||||
}
|
||||
|
||||
printResults(backtestClient, capital);
|
||||
} finally {
|
||||
Date.now = originalDateNow;
|
||||
resetWaitFn();
|
||||
}
|
||||
}
|
||||
|
||||
function printResults(client: BacktestClient, startingCapital: number) {
|
||||
const fills = client.fills;
|
||||
const finalValue = client.getTotalValue();
|
||||
const pnl = finalValue - startingCapital;
|
||||
const pnlPct = (pnl / startingCapital) * 100;
|
||||
|
||||
console.log('\n=== BACKTEST RESULTS ===\n');
|
||||
console.log(`Starting capital: $${startingCapital.toFixed(2)}`);
|
||||
console.log(`Final value: $${finalValue.toFixed(2)}`);
|
||||
console.log(`P&L: $${pnl.toFixed(2)} (${pnlPct.toFixed(2)}%)`);
|
||||
console.log(`Total fills: ${fills.length}`);
|
||||
|
||||
let wins = 0;
|
||||
let losses = 0;
|
||||
for (let i = 0; i < fills.length - 1; i += 2) {
|
||||
const buy = fills[i];
|
||||
const sell = fills[i + 1];
|
||||
if (buy && sell && buy.side === 'buy' && sell.side === 'sell') {
|
||||
if (sell.price > buy.price) wins++;
|
||||
else losses++;
|
||||
}
|
||||
}
|
||||
|
||||
if (wins + losses > 0) {
|
||||
console.log(`Win/Loss: ${wins}W / ${losses}L (${((wins / (wins + losses)) * 100).toFixed(1)}%)`);
|
||||
}
|
||||
|
||||
console.log('\n--- Trade Log ---');
|
||||
for (const fill of fills) {
|
||||
console.log(` ${fill.time} ${fill.side.toUpperCase().padEnd(4)} ${fill.symbol.padEnd(5)} ${fill.qty.toFixed(4)} @ $${fill.price.toFixed(4)} ($${fill.notional.toFixed(2)})`);
|
||||
}
|
||||
console.log();
|
||||
}
|
||||
|
||||
main().catch((e) => {
|
||||
console.error('Backtest error:', e);
|
||||
process.exit(1);
|
||||
});
|
||||
@@ -1,5 +1,5 @@
|
||||
import { describe, it, expect, vi, beforeEach, afterEach } from 'vitest';
|
||||
import { printAsset, accountBalance, waitForNextOpen } from './trading';
|
||||
import { printAsset, accountBalance, waitForNextOpen, wait, setWaitFn, resetWaitFn } from './trading';
|
||||
import type { Alpaca } from './alpaca';
|
||||
|
||||
function mockAlpaca(overrides: Partial<Alpaca> = {}): Alpaca {
|
||||
@@ -25,6 +25,7 @@ beforeEach(() => {
|
||||
afterEach(() => {
|
||||
vi.useRealTimers();
|
||||
vi.restoreAllMocks();
|
||||
resetWaitFn();
|
||||
});
|
||||
|
||||
describe('printAsset', () => {
|
||||
@@ -82,3 +83,26 @@ describe('waitForNextOpen', () => {
|
||||
});
|
||||
});
|
||||
|
||||
describe('setWaitFn / resetWaitFn', () => {
|
||||
it('uses custom wait function when set', async () => {
|
||||
const calls: number[] = [];
|
||||
setWaitFn(async (ms) => { calls.push(ms); });
|
||||
|
||||
await wait(5000);
|
||||
await wait(3000);
|
||||
|
||||
expect(calls).toEqual([5000, 3000]);
|
||||
});
|
||||
|
||||
it('restores default wait after resetWaitFn', async () => {
|
||||
setWaitFn(async () => {});
|
||||
resetWaitFn();
|
||||
|
||||
// After reset, wait should use real setTimeout again
|
||||
const promise = wait(1000);
|
||||
await vi.advanceTimersByTimeAsync(1000);
|
||||
await promise;
|
||||
// If we got here without hanging, default wait is restored
|
||||
});
|
||||
});
|
||||
|
||||
|
||||
@@ -1,10 +1,22 @@
|
||||
import { Alpaca } from "./alpaca";
|
||||
import { logger } from "./logger";
|
||||
|
||||
export function wait(ms: number) {
|
||||
return new Promise((resolve) => {
|
||||
setTimeout(resolve, ms);
|
||||
});
|
||||
type WaitFn = (ms: number) => Promise<void>;
|
||||
|
||||
const defaultWait: WaitFn = (ms) => new Promise((resolve) => setTimeout(resolve, ms));
|
||||
|
||||
let currentWait: WaitFn = defaultWait;
|
||||
|
||||
export function wait(ms: number): Promise<void> {
|
||||
return currentWait(ms);
|
||||
}
|
||||
|
||||
export function setWaitFn(fn: WaitFn): void {
|
||||
currentWait = fn;
|
||||
}
|
||||
|
||||
export function resetWaitFn(): void {
|
||||
currentWait = defaultWait;
|
||||
}
|
||||
|
||||
export async function printAsset(alpaca: Alpaca, symbol: string) {
|
||||
|
||||
Reference in New Issue
Block a user