fix biome kvetches
This commit is contained in:
+134
-134
@@ -5,143 +5,143 @@ import type { Aggregate } from "./interfaces.js";
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import { nextDate } from "./lib/util.js";
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type BacktestInput = {
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symbol: string;
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startDate: string;
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endDate: string;
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/** Between 0 and 1. The frequency that similar calendars have historically ended (i.e. within the last hour) at a higher price than the current calendar's price. */
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historicalProbabilityOfSuccess?: number;
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initialAvailableValue?: number;
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symbol: string;
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startDate: string;
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endDate: string;
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/** Between 0 and 1. The frequency that similar calendars have historically ended (i.e. within the last hour) at a higher price than the current calendar's price. */
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historicalProbabilityOfSuccess?: number;
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initialAvailableValue?: number;
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};
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export async function backtest({
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symbol,
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startDate,
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endDate,
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historicalProbabilityOfSuccess = 0.8,
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initialAvailableValue: initialBuyingPower = 2000,
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symbol,
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startDate,
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endDate,
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historicalProbabilityOfSuccess = 0.8,
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initialAvailableValue: initialBuyingPower = 2000,
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}: BacktestInput) {
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let buyingPower = initialBuyingPower;
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const portfolio = new Set<CalendarKey>();
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// for each day:
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for (
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let date = startDate, didBuyCalendar = false;
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date <= endDate;
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date = nextDate(date), didBuyCalendar = false
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) {
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console.log("Current Date:", date);
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const calendars = await calendarDatabase.getCalendars({
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key: { symbol },
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date,
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});
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const stockAggregates = await stockDatabase.getAggregates({
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key: symbol,
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date,
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});
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const calendarsAggregates = new Map<
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CalendarKey,
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Array<Pick<Aggregate<CalendarKey>, "tsStart" | "open" | "close">>
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>();
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for (const calendar of calendars) {
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calendarsAggregates.set(
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calendar,
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await calendarDatabase.getAggregates({
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key: {
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...calendar,
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},
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date,
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}),
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);
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}
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// for each minute of that day for which we have a stock candlestick:
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for (const stockAggregate of stockAggregates) {
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// console.log("Current Time:", new Date(stockAggregate.tsStart));
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// filter-out calendars that are far-from-the-money (10%)
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const calendarsNearTheMoney = calendars.filter(
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({ strike }) =>
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Math.abs((stockAggregate.open - strike) / stockAggregate.open) < 0.1,
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);
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// for each relevant calendar on that day:
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for (const calendar of calendarsNearTheMoney) {
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const strikePercentageFromTheMoney = Math.abs(
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(stockAggregate.open - calendar.strike) / stockAggregate.open,
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);
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/** In days. */
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const calendarSpan =
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(new Date(calendar.backExpirationDate).valueOf() -
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new Date(calendar.frontExpirationDate).valueOf()) /
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(1000 * 60 * 60 * 24);
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const targetCalendarPrice =
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await calendarDatabase.getTargetPriceByProbability({
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symbol,
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calendarSpan,
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strikePercentageFromTheMoney,
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historicalProbabilityOfSuccess,
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});
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const calendarAggregates = calendarsAggregates.get(calendar);
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const calendarAggregateAtCurrentTime = calendarAggregates.find(
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({ tsStart }) => tsStart === stockAggregate.tsStart,
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);
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// if there exists a matching calendar candlestick for the current minute:
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if (calendarAggregateAtCurrentTime) {
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// if the current candlestick is a good price (i.e. less than the target price):
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const minCalendarPriceInCandlestick = Math.min(
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calendarAggregateAtCurrentTime.open,
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calendarAggregateAtCurrentTime.close,
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);
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if (
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minCalendarPriceInCandlestick < targetCalendarPrice &&
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minCalendarPriceInCandlestick >
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0.07 /* sometimes the calendar price is zero or negative, which is of course impossible; some institution got a good deal */
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) {
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// if we can afford to buy the calendar:
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if (buyingPower > minCalendarPriceInCandlestick) {
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// buy the calendar, and continue to the next day:
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portfolio.add(calendar);
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buyingPower = buyingPower - minCalendarPriceInCandlestick * 100;
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console.log(
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"Bought",
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calendar,
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"for",
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minCalendarPriceInCandlestick * 100,
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"...$",
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buyingPower,
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"left",
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);
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didBuyCalendar = true;
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}
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}
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}
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if (didBuyCalendar) {
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break;
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}
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}
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if (didBuyCalendar) {
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break;
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}
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}
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let buyingPower = initialBuyingPower;
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const portfolio = new Set<CalendarKey>();
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// for each day:
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for (
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let date = startDate, didBuyCalendar = false;
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date <= endDate;
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date = nextDate(date), didBuyCalendar = false
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) {
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console.log("Current Date:", date);
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const calendars = await calendarDatabase.getCalendars({
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key: { symbol },
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date,
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});
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const stockAggregates = await stockDatabase.getAggregates({
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key: symbol,
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date,
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});
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const calendarsAggregates = new Map<
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CalendarKey,
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Array<Pick<Aggregate<CalendarKey>, "tsStart" | "open" | "close">>
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>();
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for (const calendar of calendars) {
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calendarsAggregates.set(
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calendar,
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await calendarDatabase.getAggregates({
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key: {
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...calendar,
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},
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date,
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})
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);
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}
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// for each minute of that day for which we have a stock candlestick:
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for (const stockAggregate of stockAggregates) {
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// console.log("Current Time:", new Date(stockAggregate.tsStart));
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// filter-out calendars that are far-from-the-money (10%)
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const calendarsNearTheMoney = calendars.filter(
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({ strike }) =>
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Math.abs((stockAggregate.open - strike) / stockAggregate.open) < 0.1
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);
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// for each relevant calendar on that day:
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for (const calendar of calendarsNearTheMoney) {
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const strikePercentageFromTheMoney = Math.abs(
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(stockAggregate.open - calendar.strike) / stockAggregate.open
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);
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/** In days. */
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const calendarSpan =
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(new Date(calendar.backExpirationDate).valueOf() -
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new Date(calendar.frontExpirationDate).valueOf()) /
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(1000 * 60 * 60 * 24);
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const targetCalendarPrice =
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await calendarDatabase.getTargetPriceByProbability({
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symbol,
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calendarSpan,
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strikePercentageFromTheMoney,
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historicalProbabilityOfSuccess,
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});
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const calendarAggregates = calendarsAggregates.get(calendar);
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const calendarAggregateAtCurrentTime = calendarAggregates.find(
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({ tsStart }) => tsStart === stockAggregate.tsStart
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);
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// if there exists a matching calendar candlestick for the current minute:
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if (calendarAggregateAtCurrentTime) {
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// if the current candlestick is a good price (i.e. less than the target price):
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const minCalendarPriceInCandlestick = Math.min(
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calendarAggregateAtCurrentTime.open,
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calendarAggregateAtCurrentTime.close
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);
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if (
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minCalendarPriceInCandlestick < targetCalendarPrice &&
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minCalendarPriceInCandlestick >
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0.07 /* sometimes the calendar price is zero or negative, which is of course impossible; some institution got a good deal */
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) {
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// if we can afford to buy the calendar:
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if (buyingPower > minCalendarPriceInCandlestick) {
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// buy the calendar, and continue to the next day:
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portfolio.add(calendar);
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buyingPower = buyingPower - minCalendarPriceInCandlestick * 100;
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console.log(
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"Bought",
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calendar,
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"for",
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minCalendarPriceInCandlestick * 100,
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"...$",
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buyingPower,
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"left"
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);
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didBuyCalendar = true;
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}
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}
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}
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if (didBuyCalendar) {
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break;
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}
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}
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if (didBuyCalendar) {
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break;
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}
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}
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// for each calendar in portfolio, if today is the last day, close the position:
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for (const calendar of portfolio.values()) {
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if (calendar.frontExpirationDate === date) {
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const calendarClosingPrice = await calendarDatabase.getClosingPrice({
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key: {
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...calendar,
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},
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});
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portfolio.delete(calendar);
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buyingPower = buyingPower + calendarClosingPrice * 100;
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console.log(
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"Sold",
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calendar,
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"for",
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calendarClosingPrice,
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"...$",
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buyingPower,
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"left",
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);
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}
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}
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}
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// for each calendar in portfolio, if today is the last day, close the position:
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for (const calendar of portfolio.values()) {
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if (calendar.frontExpirationDate === date) {
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const calendarClosingPrice = await calendarDatabase.getClosingPrice({
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key: {
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...calendar,
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},
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});
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portfolio.delete(calendar);
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buyingPower = buyingPower + calendarClosingPrice * 100;
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console.log(
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"Sold",
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calendar,
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"for",
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calendarClosingPrice,
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"...$",
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buyingPower,
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"left"
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);
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}
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}
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}
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console.log("Ending Buying Power:", buyingPower);
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console.log("Portfolio:", portfolio.values());
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console.log("Ending Buying Power:", buyingPower);
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console.log("Portfolio:", portfolio.values());
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}
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@@ -5,151 +5,151 @@ import type { CalendarDatabase } from "./calendardb.interfaces.js";
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const MAXIMUM_KEY = Buffer.from([0xff]);
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function makeCalendarDatabase(): CalendarDatabase {
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const calendarDatabase: Omit<CalendarDatabase, "getCalendars"> = {
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getKeys: async ({ key: { symbol }, date }) => {
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const optionContracts = await optionContractDatabase.getOptionContracts({
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date,
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key: { symbol },
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});
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return optionContracts.flatMap(
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(frontOptionContract, i, optionContracts) =>
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optionContracts
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.filter((_, j) => i !== j)
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.map((backOptionContract) => ({
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symbol,
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frontExpirationDate: frontOptionContract.expirationDate,
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backExpirationDate: backOptionContract.expirationDate,
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strike: frontOptionContract.strike,
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type: frontOptionContract.type,
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})),
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);
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},
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getAggregates: async ({
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key: { symbol, frontExpirationDate, backExpirationDate, strike, type },
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date,
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}) => {
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const frontOptionContractAggregates =
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await optionContractDatabase.getAggregates({
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date,
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key: { symbol, expirationDate: frontExpirationDate, strike, type },
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});
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const backOptionContractAggregates =
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await optionContractDatabase.getAggregates({
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date,
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key: { symbol, expirationDate: backExpirationDate, strike, type },
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});
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const calendarAggregates = [];
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let i = 0;
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let j = 0;
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while (
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i < frontOptionContractAggregates.length &&
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j < backOptionContractAggregates.length
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) {
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if (
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frontOptionContractAggregates[i].tsStart ===
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backOptionContractAggregates[j].tsStart
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) {
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calendarAggregates.push({
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tsStart: frontOptionContractAggregates[i].tsStart,
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open:
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backOptionContractAggregates[j].open -
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frontOptionContractAggregates[i].open,
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close:
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backOptionContractAggregates[j].close -
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frontOptionContractAggregates[i].close,
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// the high and low are not exactly correct since we don't know if each contract's high and low happened ata the same moment as the other:
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high:
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backOptionContractAggregates[j].high -
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frontOptionContractAggregates[i].high,
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low:
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backOptionContractAggregates[j].low -
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frontOptionContractAggregates[i].low,
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});
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i++;
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j++;
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} else if (
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frontOptionContractAggregates[i].tsStart >
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backOptionContractAggregates[j].tsStart
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) {
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j++;
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} else {
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i++;
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}
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}
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return calendarAggregates;
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},
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insertAggregates: async (aggregates) => {
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// right now, no-op
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},
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getClosingPrice: async ({
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key: { symbol, strike, type, frontExpirationDate, backExpirationDate },
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}) => {
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const startOfLastHourUnix = new Date(
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`${frontExpirationDate}T00:00:00Z`,
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).valueOf();
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const endOfLastHourUnix = startOfLastHourUnix + 3600 * 1000;
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const frontOptionContractAggregates = (
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await optionContractDatabase.getAggregates({
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date: frontExpirationDate,
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key: { symbol, expirationDate: frontExpirationDate, strike, type },
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})
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).filter(
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({ tsStart }) =>
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tsStart >= startOfLastHourUnix && tsStart < endOfLastHourUnix,
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);
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const backOptionContractAggregates = (
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await optionContractDatabase.getAggregates({
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date: frontExpirationDate,
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key: { symbol, expirationDate: backExpirationDate, strike, type },
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})
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).filter(
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({ tsStart }) =>
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tsStart >= startOfLastHourUnix && tsStart < endOfLastHourUnix,
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);
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let i = 0;
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let j = 0;
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let minPrice = 0;
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while (
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i < frontOptionContractAggregates.length &&
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j < backOptionContractAggregates.length
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) {
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if (
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frontOptionContractAggregates[i].tsStart ===
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backOptionContractAggregates[j].tsStart
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) {
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const calendarClosePrice =
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backOptionContractAggregates[j].close -
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frontOptionContractAggregates[j].close;
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if (calendarClosePrice < minPrice || minPrice === 0) {
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minPrice = calendarClosePrice;
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}
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i++;
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j++;
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} else if (
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frontOptionContractAggregates[i].tsStart >
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backOptionContractAggregates[j].tsStart
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) {
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j++;
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} else {
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i++;
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}
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}
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return minPrice;
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},
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getTargetPriceByProbability: async ({
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symbol,
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calendarSpan,
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strikePercentageFromTheMoney,
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historicalProbabilityOfSuccess,
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}) => {
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return 0.24;
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},
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};
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const calendarDatabase: Omit<CalendarDatabase, "getCalendars"> = {
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getKeys: async ({ key: { symbol }, date }) => {
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const optionContracts = await optionContractDatabase.getOptionContracts({
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date,
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key: { symbol },
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});
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return optionContracts.flatMap(
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(frontOptionContract, i, optionContracts) =>
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optionContracts
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.filter((_, j) => i !== j)
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.map((backOptionContract) => ({
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symbol,
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frontExpirationDate: frontOptionContract.expirationDate,
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backExpirationDate: backOptionContract.expirationDate,
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strike: frontOptionContract.strike,
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type: frontOptionContract.type,
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})),
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);
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},
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getAggregates: async ({
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key: { symbol, frontExpirationDate, backExpirationDate, strike, type },
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date,
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}) => {
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const frontOptionContractAggregates =
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await optionContractDatabase.getAggregates({
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date,
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key: { symbol, expirationDate: frontExpirationDate, strike, type },
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});
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const backOptionContractAggregates =
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await optionContractDatabase.getAggregates({
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date,
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key: { symbol, expirationDate: backExpirationDate, strike, type },
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});
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const calendarAggregates = [];
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let i = 0;
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let j = 0;
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while (
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i < frontOptionContractAggregates.length &&
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j < backOptionContractAggregates.length
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) {
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if (
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frontOptionContractAggregates[i].tsStart ===
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backOptionContractAggregates[j].tsStart
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) {
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calendarAggregates.push({
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tsStart: frontOptionContractAggregates[i].tsStart,
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open:
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backOptionContractAggregates[j].open -
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frontOptionContractAggregates[i].open,
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close:
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backOptionContractAggregates[j].close -
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frontOptionContractAggregates[i].close,
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// the high and low are not exactly correct since we don't know if each contract's high and low happened at the same moment as the other:
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high:
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backOptionContractAggregates[j].high -
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frontOptionContractAggregates[i].high,
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low:
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backOptionContractAggregates[j].low -
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frontOptionContractAggregates[i].low,
|
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});
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i++;
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j++;
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} else if (
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frontOptionContractAggregates[i].tsStart >
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backOptionContractAggregates[j].tsStart
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) {
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j++;
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} else {
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i++;
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}
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}
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return calendarAggregates;
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},
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insertAggregates: async (aggregates) => {
|
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// right now, no-op
|
||||
},
|
||||
getClosingPrice: async ({
|
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key: { symbol, strike, type, frontExpirationDate, backExpirationDate },
|
||||
}) => {
|
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const startOfLastHourUnix = new Date(
|
||||
`${frontExpirationDate}T00:00:00Z`,
|
||||
).valueOf();
|
||||
const endOfLastHourUnix = startOfLastHourUnix + 3600 * 1000;
|
||||
const frontOptionContractAggregates = (
|
||||
await optionContractDatabase.getAggregates({
|
||||
date: frontExpirationDate,
|
||||
key: { symbol, expirationDate: frontExpirationDate, strike, type },
|
||||
})
|
||||
).filter(
|
||||
({ tsStart }) =>
|
||||
tsStart >= startOfLastHourUnix && tsStart < endOfLastHourUnix,
|
||||
);
|
||||
const backOptionContractAggregates = (
|
||||
await optionContractDatabase.getAggregates({
|
||||
date: frontExpirationDate,
|
||||
key: { symbol, expirationDate: backExpirationDate, strike, type },
|
||||
})
|
||||
).filter(
|
||||
({ tsStart }) =>
|
||||
tsStart >= startOfLastHourUnix && tsStart < endOfLastHourUnix,
|
||||
);
|
||||
let i = 0;
|
||||
let j = 0;
|
||||
let minPrice = 0;
|
||||
while (
|
||||
i < frontOptionContractAggregates.length &&
|
||||
j < backOptionContractAggregates.length
|
||||
) {
|
||||
if (
|
||||
frontOptionContractAggregates[i].tsStart ===
|
||||
backOptionContractAggregates[j].tsStart
|
||||
) {
|
||||
const calendarClosePrice =
|
||||
backOptionContractAggregates[j].close -
|
||||
frontOptionContractAggregates[j].close;
|
||||
if (calendarClosePrice < minPrice || minPrice === 0) {
|
||||
minPrice = calendarClosePrice;
|
||||
}
|
||||
i++;
|
||||
j++;
|
||||
} else if (
|
||||
frontOptionContractAggregates[i].tsStart >
|
||||
backOptionContractAggregates[j].tsStart
|
||||
) {
|
||||
j++;
|
||||
} else {
|
||||
i++;
|
||||
}
|
||||
}
|
||||
return minPrice;
|
||||
},
|
||||
getTargetPriceByProbability: async ({
|
||||
symbol,
|
||||
calendarSpan,
|
||||
strikePercentageFromTheMoney,
|
||||
historicalProbabilityOfSuccess,
|
||||
}) => {
|
||||
return 0.24;
|
||||
},
|
||||
};
|
||||
|
||||
return {
|
||||
...calendarDatabase,
|
||||
getCalendars: calendarDatabase.getKeys,
|
||||
};
|
||||
return {
|
||||
...calendarDatabase,
|
||||
getCalendars: calendarDatabase.getKeys,
|
||||
};
|
||||
}
|
||||
|
||||
export const calendarDatabase: CalendarDatabase = makeCalendarDatabase();
|
||||
|
||||
@@ -17,7 +17,7 @@ async function syncAggregates<T>({
|
||||
date: string;
|
||||
}) {
|
||||
const aggregatesFrom = (await fromDatabase.getAggregates({ key, date })).map(
|
||||
(aggregateWithoutKey) => ({ ...aggregateWithoutKey, key }),
|
||||
(aggregateWithoutKey) => ({ ...aggregateWithoutKey, key })
|
||||
);
|
||||
await toDatabase.insertAggregates(aggregatesFrom);
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user