Class BacktestBalancer

Class for running a backtest. See below for usage example.

Example

// 1. First create the backtester options 
let ops = { 
   base_asset : "ETH",
   quote_asset : "BUSD",
   data : [ {p :1450 , t : "ISO_DATE" }...], 
   initial_portfolio : { 
     base_balance : 20 , 
     quote_balance : 0 , 
   } , 
  logger_id : "ETHUSDC" , 
  fee : 0.001 , 
  slippage : 0.01,
  target_precision  : 0.05,
  target_ratio : 0.6,
} 

// 2. Then create the backtester 
let backtester = new BacktestBalancer(ops) ;

// 3. Then run the backtest 
await backtester.backtest() ; 

// 4. Then extract the backtest metrics and use them in a graph, analysis, etc... 
let  {
 hodl_porfolio_series, 
 balance_portfolio_series, 
 rebalances 
} = backtester  ;

Hierarchy (view full)

common.trading.portfolio_balancer_lib.PortfolioBalancer
- BacktestBalancer

Constructors

constructor

new BacktestBalancer(p): common.trading.backtest_balancer.BacktestBalancer
Parameters
- p: common.trading.backtest_balancer.BacktestBalancerParams
Returns common.trading.backtest_balancer.BacktestBalancer
Overrides PortfolioBalancer.constructor
- Defined in packages/ts_common/src/trading/backtester.ts:78

Properties

Logger

Logger: any

Params

Params: common.trading.portfolio_balancer_lib.BalanceParams

balance_portfolio_series

balance_portfolio_series: common.trading.backtest_balancer.Portfolio[]

current_index

current_index: number

data

data: common.trading.backtest_balancer.BacktestData

fee

fee: number

hodl_portfolio_series

hodl_portfolio_series: common.trading.backtest_balancer.Portfolio[]

initial_portfolio

initial_portfolio: common.trading.backtest_balancer.Portfolio

last_balance_data

last_balance_data: any

log_mode

log_mode: string

portfolio

portfolio: common.trading.backtest_balancer.Portfolio

ratio_series

ratio_series: number[]

rebalances

rebalances: any[]

slippage

slippage: number

state

state: any

transactions_costs

transactions_costs: any

Methods

backtest

backtest(): Promise<void>
Returns Promise<void>
- Defined in packages/ts_common/src/trading/backtester.ts:232

balance_portfolio

balance_portfolio(): Promise<{
    balance_needed: boolean;
    balanced: boolean;
    info: any;
}>
Performs a portfolio re-balance using the supplied parameters

Returns Promise<{
    balance_needed: boolean;
    balanced: boolean;
    info: any;
}>
Inherited from PortfolioBalancer.balance_portfolio
- Defined in packages/ts_common/src/trading/portfolio_balancer_lib.ts:70

do_market_trade

do_market_trade(trade_type, base_amt): Promise<{
error: boolean;
info: null;
}>
Parameters
- trade_type: common.trading.portfolio_balancer_lib.MarketTradeType
- base_amt: number
Returns Promise<{
error: boolean;
info: null;
}>
Overrides PortfolioBalancer.do_market_trade
- Defined in packages/ts_common/src/trading/backtester.ts:112

get_balance_data

get_balance_data(): Promise<{
    base_amt: number;
    base_delta: number;
    base_market_amt: number;
    base_price: number;
    current_ratio: number;
    portfolio_value: number;
    quote_amt: number;
    ratio_error: number;
    target_achieved: boolean;
    target_base_amt: number;
    target_precision: number;
    target_ratio: number;
    trade_type: common.trading.portfolio_balancer_lib.MarketTradeType;
}>
Retrieve data about a potential rebalancing

Returns Promise<{
    base_amt: number;
    base_delta: number;
    base_market_amt: number;
    base_price: number;
    current_ratio: number;
    portfolio_value: number;
    quote_amt: number;
    ratio_error: number;
    target_achieved: boolean;
    target_base_amt: number;
    target_precision: number;
    target_ratio: number;
    trade_type: common.trading.portfolio_balancer_lib.MarketTradeType;
}>
Inherited from PortfolioBalancer.get_balance_data
- Defined in packages/ts_common/src/trading/portfolio_balancer_lib.ts:126

get_base_balance

get_base_balance(ba): Promise<number>
Parameters
- ba: string
Returns Promise<number>
Overrides PortfolioBalancer.get_base_balance
- Defined in packages/ts_common/src/trading/backtester.ts:106

get_base_price

get_base_price(ba, qa): Promise<number>
Parameters
- ba: string
- qa: string
Returns Promise<number>
Overrides PortfolioBalancer.get_base_price
- Defined in packages/ts_common/src/trading/backtester.ts:109

get_portfolio_value_and_time

get_portfolio_value_and_time(portfolio, p, t): {
    base_balance: number;
    p: number;
    quote_balance: number;
    t: string;
    value: number;
}
Parameters
- portfolio: common.trading.backtest_balancer.Portfolio
- p: number
- t: string
Returns {
    base_balance: number;
    p: number;
    quote_balance: number;
    t: string;
    value: number;
}
- base_balance: number
- p: number
- quote_balance: number
- t: string
- value: number
- Defined in packages/ts_common/src/trading/backtester.ts:208

get_quote_balance

get_quote_balance(qa): Promise<number>
Parameters
- qa: string
Returns Promise<number>
Overrides PortfolioBalancer.get_quote_balance
- Defined in packages/ts_common/src/trading/backtester.ts:103

get_transactions_costs_values

get_transactions_costs_values(tc, p): {
    fee_cost: any;
    slippage_cost: any;
    total: any;
}
Parameters
- tc: any
- p: number
Returns {
    fee_cost: any;
    slippage_cost: any;
    total: any;
}
- fee_cost: any
- slippage_cost: any
- total: any
- Defined in packages/ts_common/src/trading/backtester.ts:219

log

log(v): void
Logs data via std method
Parameters
- v: any
Returns void
Inherited from PortfolioBalancer.log
- Defined in packages/ts_common/src/trading/portfolio_balancer_lib.ts:65

process_data

process_data(): Promise<void>
Returns Promise<void>
- Defined in packages/ts_common/src/trading/backtester.ts:194

set_log_mode

set_log_mode(s): void
Parameters
- s: string
Returns void
Inherited from PortfolioBalancer.set_log_mode
- Defined in packages/ts_common/src/trading/portfolio_balancer_lib.ts:157

symbol_generator

symbol_generator(ba, qa): string
Parameters
- ba: string
- qa: string
Returns string
Overrides PortfolioBalancer.symbol_generator
- Defined in packages/ts_common/src/trading/backtester.ts:192

Class BacktestBalancer

Example

Hierarchy (view full)

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

Returns common.trading.backtest_balancer.BacktestBalancer

Properties

Logger

Params

balance_portfolio_series

current_index

data

fee

hodl_portfolio_series

initial_portfolio

last_balance_data

log_mode

portfolio

ratio_series

rebalances

slippage

state

transactions_costs

Methods

backtest

Returns Promise<void>

balance_portfolio

Returns Promise<{ balance_needed: boolean; balanced: boolean; info: any; }>

do_market_trade

Parameters

Returns Promise<{ error: boolean; info: null; }>

get_balance_data

get_base_balance

Parameters

Returns Promise<number>

get_base_price

Parameters

Returns Promise<number>

get_portfolio_value_and_time

Parameters

Returns { base_balance: number; p: number; quote_balance: number; t: string; value: number; }

base_balance: number

p: number

quote_balance: number

t: string

value: number

get_quote_balance

Parameters

Returns Promise<number>

get_transactions_costs_values

Parameters

Returns { fee_cost: any; slippage_cost: any; total: any; }

fee_cost: any

slippage_cost: any

total: any

log

Parameters

Returns void

process_data

Returns Promise<void>

set_log_mode

Parameters

Returns void

symbol_generator

Parameters

Returns string

Settings

On This Page

Returns Promise<{
balance_needed: boolean;
balanced: boolean;
info: any;
}>

Returns Promise<{
error: boolean;
info: null;
}>

Returns {
base_balance: number;
p: number;
quote_balance: number;
t: string;
value: number;
}

Returns {
fee_cost: any;
slippage_cost: any;
total: any;
}