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grademark

0.1.8 • Public • Published

grademark

API for backtesting financial trading strategies in JavaScript and TypeScript.

WORK IN PROGRESS: The API is fairly stable, but there are features yet to be implemented.

This API builds on Data-Forge and is best used from Data-Forge Notebook (making it easy to plot charts and visualize).

For news and updates see my blog The Data Wrangler.

BREAKING CHANGES

v0.0.1

Arguments to functions for strategy rules have changed. Instead of having individual arguments to each function, arguments are now bundled in objects for future expandability and better auto-competion.

Please see what this looks like in the Grademark first example and the unit tests in this repo.

First example

From the Grademark first example here's some example output. Click to see the first example as a notebook.

Analysis of a sequence of trades looks like this:

Analysis of trades screenshot

Here's a chart that visualizes the equity curve for the example strategy:

Equity curve

Here's another chart, this one is a visualization of the drawdown for the example strategy:

Drawdown

Pre-requisites

  • Make sure your data is sorted in forward chronological order.

Features

  • Define a trading strategy with entry and exit rules.
  • Backtest a trading strategy on a single financial instrument.
  • Apply custom indicators to your input data series.
  • Specify lookback period.
  • Built-in intrabar stop loss.
  • Compute and plot equity curve and drawdown charts.
  • Throughly covered by automated tests.

Latest features

Not yet documented sorry. Blog posts, examples and videos coming soon!

  • Calculation of risk and rmultiples.
  • Intrabar profit target.
  • Intrabar trailing stop loss.
  • Conditional buy on price level (intrabar).
  • Monte carlo simulation.
  • Optimization based on permutations of parameters.
  • Walk forward optimization and backtesting.
  • Plot a chart of trailing stop loss.

If you need help with new features please reach out!

Coming soon

  • Plot a chart of risk over time.

Maybe coming later

  • Support for precise decimal numbers.
  • Fees.
  • Slippage.
  • Position sizing.
  • Testing multiple instruments / portfolio simulation / ranking instruments.
  • Short selling.
  • Market filters.

Complete examples

For a ready to go example please see the repo grademark-first-example.

Usage

Instructions here are for JavaScript, but this library is written in TypeScript and so it can also be used from TypeScript.

Installation

npm install --save grademark

Import modules

const dataForge = require('data-forge');
require('data-forge-fs'); // For file loading capability.
require('data-forge-indicators'); // For the moving average indicator.
require('data-forge-plot'); // For rendering charts.
const { backtest, analyze, computeEquityCurve, computeDrawdown } = require('grademark');

Load your data

Use Data-Forge to load and prep your data, make sure your data is sorted in forward chronological order.

This example loads a CSV file, but feel free to load your data from REST API, database or wherever you want!

let inputSeries = dataForge.readFileSync("STW.csv")
    .parseCSV()
    .parseDates("date", "D/MM/YYYY")
    .parseFloats(["open", "high", "low", "close", "volume"])
    .setIndex("date") // Index so we can later merge on date.
    .renameSeries({ date: "time" });

The example data file is available in the example repo.

Add indicators

Add whatever indicators and signals you want to your data.

const movingAverage = inputSeries
    .deflate(bar => bar.close)          // Extract closing price series.
    .sma(30);                           // 30 day moving average.
 
inputSeries = inputSeries
    .withSeries("sma", movingAverage)   // Integrate moving average into data, indexed on date.
    .skip(30)                           // Skip blank sma entries.

Create a strategy

This is a very simple and very naive mean reversion strategy:

const strategy = {
    entryRule: (enterPosition, args) => {
        if (args.bar.close < args.bar.sma) { // Buy when price is below average.
            enterPosition();
        }
    },
 
    exitRule: (exitPosition, args) => {
        if (args.bar.close > args.bar.sma) {
            exitPosition(); // Sell when price is above average.
        }
    },
 
    stopLoss: args => { // Optional intrabar stop loss.
        return args.entryPrice * (5/100); // Stop out on 5% loss from entry price.
    },
};

Running a backtest

Backtest your strategy, then compute and print metrics:

const trades = backtest(strategy, inputSeries)
console.log("Made " + trades.count() + " trades!");
 
const startingCapital = 10000;
const analysis = analyze(startingCapital, trades);
console.log(analysis);

Visualizing the results

Use Data-Forge Plot to visualize the equity curve and drawdown chart from your trading strategy:

computeEquityCurve(trades)
    .plot()
    .renderImage("output/my-equity-curve.png");
 
computeDrawdown(trades)
    .plot()
    .renderImage("output/my-drawdown.png");

Advanced backtesting

We are only just getting started in this example to learn more please follow my blog and YouTube channel.

Resources

install

npm i grademark

Downloadsweekly downloads

145

version

0.1.8

license

MIT

homepage

github.com

repository

Gitgithub

last publish

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