From 15a5d7c67b90e4111bcbb5faac4dc17a62d5edf7 Mon Sep 17 00:00:00 2001
From: avraham <briansakal@gmail.com>
Date: Sun, 11 Aug 2024 17:39:34 -0400
Subject: [PATCH] use lmdbx for stockdb in backtest, and limit to calendars
 within 5% of the money

---
 server/src/backtest.ts | 47 +++++++++++++++++++++---------------------
 1 file changed, 24 insertions(+), 23 deletions(-)

diff --git a/server/src/backtest.ts b/server/src/backtest.ts
index dde5a56..98572aa 100644
--- a/server/src/backtest.ts
+++ b/server/src/backtest.ts
@@ -1,7 +1,6 @@
-import { stockDatabase } from "./stockdb/clickhouse.js";
+import { stockDatabase } from "./stockdb/lmdbx.js";
 import { calendarDatabase } from "./calendardb/optiondb-lmdbx.js";
 import type { CalendarKey } from "./calendardb/interfaces.js";
-import type { Aggregate } from "./interfaces.js";
 import { nextDate } from "./lib/utils/nextDate.js";
 
 type BacktestInput = {
@@ -38,49 +37,51 @@ export async function backtest({
     // for each minute of that day for which we have a stock candlestick:
     for (const stockAggregate of stockAggregates) {
       // console.log("Current Time:", new Date(stockAggregate.tsStart));
-      // filter-out calendars that are far-from-the-money (10%)
-      console.log("Current Date:", date, stockAggregate.tsStart);
+      // filter-out calendars that are far-from-the-money (5%)
       const calendarsNearTheMoney = calendars.filter(
         ({ strike }) =>
-          Math.abs((stockAggregate.open - strike) / stockAggregate.open) < 0.1,
+          Math.abs((stockAggregate.open - strike) / stockAggregate.open) < 0.05
+      );
+      console.log(
+        "Current Date:",
+        new Intl.DateTimeFormat("en-US", {
+          timeZone: "America/New_York",
+          dateStyle: "full",
+          timeStyle: "long",
+        }).format(new Date(stockAggregate.tsStart)),
+        ";",
+        `${calendarsNearTheMoney.length} Calendars Near The Money`
       );
       // for each relevant calendar on that day:
       for (const calendar of calendarsNearTheMoney) {
         const strikePercentageFromTheMoney = Math.abs(
-          (stockAggregate.open - calendar.strike) / stockAggregate.open,
+          (stockAggregate.open - calendar.strike) / stockAggregate.open
         );
-        /** In days. */
-        const calendarSpan =
+        /** Number of days between the back and front expiration dates. */
+        const calendarSpanInDays =
           (new Date(calendar.backExpirationDate).valueOf() -
             new Date(calendar.frontExpirationDate).valueOf()) /
           (1000 * 60 * 60 * 24);
         const targetCalendarPrice =
           await calendarDatabase.getTargetPriceByProbability({
             symbol,
-            calendarSpan,
+            calendarSpan: calendarSpanInDays,
             strikePercentageFromTheMoney,
             historicalProbabilityOfSuccess,
           });
-        const calendarAggregates = calendarDatabase.getAggregatesSync({
+        const calendarAggregateAtCurrentTime =
+          await calendarDatabase.getAggregate({
           key: {
             ...calendar,
           },
-          date,
-        });
-        // console.log(
-        //   "Calendar Aggregates:",
-        //   calendar,
-        //   calendarAggregates.length,
-        // );
-        const calendarAggregateAtCurrentTime = calendarAggregates.find(
-          ({ tsStart }) => tsStart === stockAggregate.tsStart,
-        );
+            tsStart: stockAggregate.tsStart,
+          });
         // if there exists a matching calendar candlestick for the current minute:
         if (calendarAggregateAtCurrentTime) {
           // if the current candlestick is a good price (i.e. less than the target price):
           const minCalendarPriceInCandlestick = Math.min(
             calendarAggregateAtCurrentTime.open,
-            calendarAggregateAtCurrentTime.close,
+            calendarAggregateAtCurrentTime.close
           );
           if (
             minCalendarPriceInCandlestick < targetCalendarPrice &&
@@ -99,7 +100,7 @@ export async function backtest({
                 minCalendarPriceInCandlestick * 100,
                 "...$",
                 buyingPower,
-                "left",
+                "left"
               );
               didBuyCalendar = true;
             }
@@ -131,7 +132,7 @@ export async function backtest({
           calendarClosingPrice,
           "...$",
           buyingPower,
-          "left",
+          "left"
         );
       }
     }