back testing on a deltaSma strategy

deltaSma.js

// WARNING : FOR EDUCATIVE USE ONLY - DO NOT RUN IN PRODUCTION

const Binance = require('binance-api-node').default
const binance = Binance()

const main = async () => {
  // 1 - PRICE ACQUISITION
  const prices = await binance.candles({
    symbol: 'BTCUSDT',
    interval: '1h',
    limit: 1000, // 1000 candles = 1000 hours ~= 41.5 days (max in 1 request),
  })

  // 2 - Initialize last buy container and result array
  const gains = []
  let lastBuy = null
  
  
  // 3 - Run a simulation on all prices
  console.log(`start simulation on ${new Date(prices[50].closeTime).toUTCString()}`)
  for(
    let i = 51; // we start at 50 to skip the ones without a reliable 50h SMA
    i < prices.length;
    i ++
  ) {
    // Those are all "past" prices
    const supPrices = prices.slice(0, i+1)

    // 3 - Strategy
    
    const lastPrice = supPrices[supPrices.length - 1]

    const sma = supPrices.slice(-50).map(x => +x.close).reduce((a, b) => a + b, 0) / 50
    const prevSma = supPrices.slice(-51, -1).map(x => +x.close).reduce((a, b) => a + b, 0) / 50
    const deltaSma = sma / prevSma - 1
    const shouldBuy = deltaSma > 0
    const shouldSell = deltaSma < 0

    // 4 - Simulate actions
    if(!lastBuy && shouldBuy) {
      console.log(`\nBUY @${lastPrice.close} - ${new Date(prices[i].closeTime).toUTCString()}`)
      lastBuy = lastPrice
    } else if (lastBuy && shouldSell) {
      console.log(`SELL @${lastPrice.close} - ${new Date(prices[i].closeTime).toUTCString()}`)
      
      // compute gain
      let gain = (lastPrice.close - lastBuy.close) / lastBuy.close
      lastBuy = null
      
      // do not forget to account for trading fees - 0.075% per trade on Binance with BNB
      gain -= 0.00075*2
      console.log('- gain:', gain)

      // add to result array
      gains.push(gain)
    }
  }

  console.log(`End of simulation on ${new Date(prices[prices.length - 1].closeTime).toUTCString()}`)

  // lastly, triggers a sell on last price if we have a last buy
  if(lastBuy) {
    const lastPrice = prices[prices.length - 1]

    console.log(`\nSELL @${lastPrice.close}`)
    let gain = (lastPrice.close - lastBuy.close) / lastBuy.close - 0.00075*2
    console.log('- gain:', gain)
    gains.push(gain)
  }

  // Display some result
  const totalGain = gains.reduce((a, b) => a + b, 0)
  const averageGain = gains.reduce((a, b) => a + b, 0) / gains.length
  const elapsedTime = (prices.length - 50) / 24 // in days
  const averageDailyGain = totalGain / elapsedTime

  console.table({
    trades: gains.length,
    totalGain,
    averageGain,
    elapsedTime,
    averageDailyGain
  })
}

main()