Backtesting engine · TypeScript

Backtests that cannot flatter you.

An event-driven backtesting and paper-trading engine for TypeScript. No lookahead, money in fixed-point integers, and every assumption the run had to make printed above the result instead of under it.

8,760 hourly bars replay in about 50 ms, in your tab, on the same kernel the CLI runs. Nothing is uploaded.

onBar(bar, ctx) {
  const fast = fastSma.value;
  const slow = slowSma.value;
  if (fast === null || slow === null) return;

  const side = fast > slow ? 1 : fast < slow ? -1 : previous;
  if (side === previous) return;
  previous = side;

  // Order the difference to a target position.
  // Positions are the truth; flags drift.
  rebalance(ctx, side > 0 ? qty : -qty);
}