bfx-hf-backtest

HF Backtesting Tools

This repo provides an interface for executing backtests using either offline data, or a bfx-hf-data-server instance for historical Bitfinex market data.

Offline Backtests

To execute a backtest of a trading strategy using historical data, the execOffline method is provided which will run the strategy against each trade & candle in-order by timestamp:

const HFS = require('bfx-hf-strategy')
const HFBT = require('../')

const EMAStrategy = require('bfx-hf-strategy/examples/ema_cross')
const { Candle } = require('bfx-api-node-models')
const { SYMBOLS, TIME_FRAMES } = require('bfx-hf-util')
const rawCandleData = require('./btc_candle_data.json')

// During real execution, candles can arrive from any market/at any time (if
// sub'ed to multiple time frames); hence, each candle must include its origin
// symbol/time frame pair.
const market = {
  symbol: SYMBOLS.BTC_USD,
  tf: TIME_FRAMES.ONE_HOUR
}

const candleKey = HFS.candleMarketDataKey(market)
const strat = EMAStrategy(market)
const candles = rawCandleData
  .sort((a, b) => a[0] - b[0])
  .map(c => ({
    ...(new Candle(c).toJS()),
    ...market // attach market data
  }))

const run = async () => {
  await HFBT.execOffline(strat, {
    trades: {},
    candles: {
      [candleKey]: candles,
    }
  })
}

try {
  run()
} catch (e) {
  console.error(e)
}

Online Backtests

Online backtests are executed a running bfx-hf-data-server instance, which will automatically synchronize historical data as needed and pass it to the backtesting logic:

const HFBT = require('../')
const EMAStrategy = require('bfx-hf-strategy/examples/ema_cross')
const { SYMBOLS, TIME_FRAMES } = require('bfx-hf-util')

const now = Date.now()
const market = {
  symbol: SYMBOLS.XMR_USD,
  tf: TIME_FRAMES.ONE_MINUTE
}

const strat = EMAStrategy(market)
const run = async () => {
  await HFBT.execOnline([strat], {
    from: now - (2 * 24 * 60 * 60 * 1000),
    to: now,
    trades: true,
    candles: true,
    ...market
  })
}

try {
  run()
} catch (e) {
  console.error(e)
}