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Update deps
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@pegaltier
pegaltier committed Dec 15, 2024
1 parent 65f1d14 commit 5ff1513
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1,129 changes: 440 additions & 689 deletions package-lock.json
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18 changes: 13 additions & 5 deletions package.json
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Expand Up @@ -3,7 +3,15 @@
"version": "1.0.0",
"description": "Free and easy way to write backtest trading strategies in TS / JS with built in candle data retrieval",
"main": "dist/main.js",
"keywords": ["backtest", "finance", "trading", "download historical candle data", "indicators", "multi value", "multi symbol"],
"keywords": [
"backtest",
"finance",
"trading",
"download historical candle data",
"indicators",
"multi value",
"multi symbol"
],
"scripts": {
"start": "npx ts-node src/main.ts",
"dev": "npx ts-node src/main.ts",
Expand All @@ -30,17 +38,17 @@
"license": "Apache-2.0",
"dependencies": {
"@prisma/client": "^5.0.0",
"axios": "^1.4.0",
"axios": "^1.7.9",
"chalk": "^4.1.0",
"cli-progress": "^3.12.0",
"csvtojson": "^2.0.10",
"express": "^4.18.2",
"express": "^4.21.2",
"fuzzy": "^0.1.3",
"indicatorts": "^2.2.1",
"inquirer": "^8.2.5",
"inquirer-autocomplete-prompt": "^2.0.0",
"inquirer-date-prompt": "^2.0.1",
"lightweight-charts": "^4.0.1",
"tulind": "^0.8.20"
"lightweight-charts": "^4.2.2"
},
"devDependencies": {
"@types/cli-progress": "^3.11.5",
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42 changes: 9 additions & 33 deletions src/indicators/moving-averages.ts
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@@ -1,41 +1,17 @@
// ----------------------------------------------------
// | MOVING AVERAGE INDICATORS |
// ----------------------------------------------------

// ----------------------------------------------------
// | GLOBALS |
// ----------------------------------------------------

const tulind = require('tulind')

// ----------------------------------------------------
// | FUNCTIONS |
// ----------------------------------------------------
import { simpleMovingAverage, exponentialMovingAverage } from 'indicatorts';

// Get SMA
export async function indicatorSMA(candles: number[], length: number, limit?: number) {
// Call SMA function from tulind with the candles and desired sma length
const tulindReturn = await tulind.indicators.sma.indicator([candles], [length])

// Tulind can return a few things, in this case the SMA data is in the first item in its return
const sma = tulindReturn[0]
if (limit === undefined) limit = 1

// If you requested more SMA's then were generated return all that you have
export function indicatorSMA(candles: number[], length: number, limit: number = 1): number[] {
const sma = simpleMovingAverage(candles, { period: length });
if (limit >= sma.length) return sma
// Return the most recent SMA
if (limit === 1) return sma[sma.length - 1]
// Return only a specific amount of SMA's
if (limit === 1) return [sma[sma.length - 1]]
else return sma.slice(sma.length - limit)
}

// Get EMA
export async function indicatorEMA(candles: number[], length: number, limit?: number) {
const ema = (await tulind.indicators.ema.indicator([candles], [length]))[0]
if (limit !== undefined) {
if (limit >= ema.length) return ema
if (limit === 1) return ema[ema.length - 1]
else return ema.slice(ema.length - limit)
}
return ema
export function indicatorEMA(candles: number[], length: number, limit: number = 1): number[] {
const ema = exponentialMovingAverage(candles, { period: length });
if (limit >= ema.length) return ema
if (limit === 1) return [ema[ema.length - 1]]
else return ema.slice(ema.length - limit)
}
6 changes: 3 additions & 3 deletions src/strategies/ex1SMA.ts
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Expand Up @@ -15,11 +15,11 @@ export async function ex1SMA(bth: BTH) {
const highSMACandles = await bth.getCandles('close', 0, highSMAInput) // If there are not highSMA candles back will return array of 0's and block buy / sell until can return highSMA candles

// Get low and high SMA
const lowSMA = await indicatorSMA(lowSMACandles, lowSMAInput)
const highSMA = await indicatorSMA(highSMACandles, highSMAInput)
const lowSMA = indicatorSMA(lowSMACandles, lowSMAInput)
const highSMA = indicatorSMA(highSMACandles, highSMAInput)

// Buy if lowSMA crosses over the highSMA
if (lowSMA > highSMA) {
if (lowSMA[0] > highSMA[0]) {
await bth.buy()
}

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6 changes: 3 additions & 3 deletions src/strategies/ex2SMAStopLoss.ts
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Expand Up @@ -16,11 +16,11 @@ export async function ex2SMAStopLoss(bth: BTH) {
const highSMACandles = await bth.getCandles('close', 0, highSMAInput)

// Get low and high SMA
const lowSMA = await indicatorSMA(lowSMACandles, lowSMAInput)
const highSMA = await indicatorSMA(highSMACandles, highSMAInput)
const lowSMA = indicatorSMA(lowSMACandles, lowSMAInput)
const highSMA = indicatorSMA(highSMACandles, highSMAInput)

// Buy if lowSMA crosses over the highSMA
if (lowSMA > highSMA) {
if (lowSMA[0] > highSMA[0]) {
// Buy with a stop loss
await bth.buy({ stopLoss: bth.currentCandle.close * (1 - (stopLoss / 100)) })
}
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6 changes: 3 additions & 3 deletions src/strategies/ex3SMAShort.ts
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Expand Up @@ -16,11 +16,11 @@ export async function ex3SMAShort(bth: BTH) {
const highSMACandles = await bth.getCandles('close', 0, highSMAInput)

// Get low and high SMA
const lowSMA = await indicatorSMA(lowSMACandles, lowSMAInput)
const highSMA = await indicatorSMA(highSMACandles, highSMAInput)
const lowSMA = indicatorSMA(lowSMACandles, lowSMAInput)
const highSMA = indicatorSMA(highSMACandles, highSMAInput)

// Buy long if lowSMA crosses over the highSMA
if (lowSMA > highSMA) {
if (lowSMA[0] > highSMA[0]) {
// Sell if bought into a short
if (bth.orderBook.boughtShort) await bth.sell()

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30 changes: 15 additions & 15 deletions src/strategies/ex4TripleSMA.ts
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Expand Up @@ -22,74 +22,74 @@ export async function ex4TripleSMA(bth: BTH) {
const highSMACandles = await bth.getCandles('close', 0, highSMAInput)

// Get low, mid and high SMA
const lowSMA = await indicatorSMA(lowSMACandles, lowSMAInput, 1)
const midSMA = await indicatorSMA(midSMACandles, midSMAInput, 1)
const highSMA = await indicatorSMA(highSMACandles, highSMAInput, 1)
const lowSMA = indicatorSMA(lowSMACandles, lowSMAInput, 1)
const midSMA = indicatorSMA(midSMACandles, midSMAInput, 1)
const highSMA = indicatorSMA(highSMACandles, highSMAInput, 1)

// Function to perfrom sell and define position
async function sellLongShort() {
await bth.sell()
timesBought = 0
bonusBuy = false
position = lowSMA > midSMA && lowSMA > highSMA ? 'high' : lowSMA < midSMA && lowSMA < highSMA ? 'low' : 'mid'
position = lowSMA[0] > midSMA[0] && lowSMA[0] > highSMA[0] ? 'high' : lowSMA[0] < midSMA[0] && lowSMA[0] < highSMA[0] ? 'low' : 'mid'
}

// Sell Long Scenario
if (bth.orderBook.boughtLong && (lowSMA < midSMA || lowSMA < highSMA)) {
if (timesBought === 1 && lowSMA < midSMA && lowSMA < highSMA) await sellLongShort()
if (bth.orderBook.boughtLong && (lowSMA[0] < midSMA[0] || lowSMA[0] < highSMA[0])) {
if (timesBought === 1 && lowSMA[0] < midSMA[0] && lowSMA[0] < highSMA[0]) await sellLongShort()
if (timesBought === 2) await sellLongShort()
}

// Sell Short Scenario
else if (bth.orderBook.boughtShort && (lowSMA > midSMA || lowSMA > highSMA)) {
if (timesBought === 1 && lowSMA > midSMA && lowSMA > highSMA) await sellLongShort()
else if (bth.orderBook.boughtShort && (lowSMA[0] > midSMA[0] || lowSMA[0] > highSMA[0])) {
if (timesBought === 1 && lowSMA[0] > midSMA[0] && lowSMA[0] > highSMA[0]) await sellLongShort()
if (timesBought === 2) await sellLongShort()
}

// Buy Long Scenarios
if (position === 'low' && (lowSMA > midSMA || lowSMA > highSMA)) {
if (position === 'low' && (lowSMA[0] > midSMA[0] || lowSMA[0] > highSMA[0])) {
// Buy with 30% if low sma crosses mid or high sma from low position
if (timesBought === 0) {
await bth.buy({ amount: '30%' })
timesBought++
}

// Buy with 25% if low sma crosses mid and high sma
if (timesBought === 1 && lowSMA > midSMA && lowSMA > highSMA) {
if (timesBought === 1 && lowSMA[0] > midSMA[0] && lowSMA[0] > highSMA[0]) {
await bth.buy({ amount: bth.orderBook.preBoughtQuoteAmount * .25 })
timesBought++
}

// Buy with 15% if mid sma crosses high sma
if (!bonusBuy && midSMA > highSMA) {
if (!bonusBuy && midSMA[0] > highSMA[0]) {
await bth.buy({ amount: bth.orderBook.preBoughtQuoteAmount * .15 })
bonusBuy = true
}
}

// Buy Short Scenarios
else if (position === 'high' && (lowSMA < midSMA || lowSMA < highSMA)) {
else if (position === 'high' && (lowSMA[0] < midSMA[0] || lowSMA[0] < highSMA[0])) {
// Buy with 30% if low sma crosses mid or high sma from high position
if (timesBought === 0) {
await bth.buy({ position: 'short', amount: '30%' })
timesBought++
}

// Buy with 25% if low sma crosses mid and high sma
if (timesBought === 1 && lowSMA < midSMA && lowSMA < highSMA) {
if (timesBought === 1 && lowSMA[0] < midSMA[0] && lowSMA[0] < highSMA[0]) {
await bth.buy({ position: 'short', amount: bth.orderBook.preBoughtQuoteAmount * .25 })
timesBought++
}

// Buy with 15% if mid sma crosses high sma
if (!bonusBuy && midSMA < highSMA) {
if (!bonusBuy && midSMA[0] < highSMA[0]) {
await bth.buy({ position: 'short', amount: bth.orderBook.preBoughtQuoteAmount * .15 })
bonusBuy = true
}
}

// Update the position if not bought in
if (!bth.orderBook.bought) {
position = lowSMA > midSMA && lowSMA > highSMA ? 'high' : lowSMA < midSMA && lowSMA < highSMA ? 'low' : 'mid'
position = lowSMA[0] > midSMA[0] && lowSMA[0] > highSMA[0] ? 'high' : lowSMA[0] < midSMA[0] && lowSMA[0] < highSMA[0] ? 'low' : 'mid'
}
}

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