ADD: added first version

2026-01-14 22:44:12 +01:00
commit 2b892123e1
18 changed files with 580 additions and 0 deletions
--- a/internal/backtest/engine.go
+++ b/internal/backtest/engine.go
@@ -0,0 +1,121 @@
+package backtest
+
+import (
+	"alpaca-bot/internal/model"
+	"alpaca-bot/internal/strategy"
+	"time"
+
+	talib "github.com/markcheno/go-talib"
+)
+
+type Engine struct {
+	Strategy             strategy.Strategy
+	Cash                 float64
+	Position             int
+	Trades               []model.Trade
+	Symbol               string
+	RiskPercent          float64 // fraction of cash to risk per trade
+	ATRPeriod            int
+	ATRMultiplier        float64
+	TakeProfitMultiplier float64 // e.g., 2 for 2:1 reward/risk
+	highs, lows, closes  []float64
+	currentStop          float64
+	currentTakeProfit    float64
+	entryPrice           float64
+}
+
+func NewEngine(symbol string, strat strategy.Strategy, cash float64, risk float64, atrPeriod int, atrMult float64, tpMult float64) *Engine {
+	return &Engine{
+		Symbol:               symbol,
+		Strategy:             strat,
+		Cash:                 cash,
+		RiskPercent:          risk,
+		ATRPeriod:            atrPeriod,
+		ATRMultiplier:        atrMult,
+		TakeProfitMultiplier: tpMult,
+	}
+}
+
+// Run executes the backtest with ATR stops and take profit
+func (e *Engine) Run(bars []model.Bar) {
+	for _, bar := range bars {
+		// collect prices for ATR
+		e.highs = append(e.highs, bar.High)
+		e.lows = append(e.lows, bar.Low)
+		e.closes = append(e.closes, bar.Close)
+
+		// skip until enough bars for ATR
+		if len(e.closes) <= e.ATRPeriod {
+			continue
+		}
+
+		// calculate ATR safely
+		highsSlice := e.highs[len(e.highs)-e.ATRPeriod-1:]
+		lowsSlice := e.lows[len(e.lows)-e.ATRPeriod-1:]
+		closesSlice := e.closes[len(e.closes)-e.ATRPeriod-1:]
+
+		atrValues := talib.Atr(highsSlice, lowsSlice, closesSlice, e.ATRPeriod)
+		if len(atrValues) == 0 {
+			continue
+		}
+		atr := atrValues[len(atrValues)-1]
+		if atr <= 0 {
+			continue
+		}
+
+		stopDistance := atr * e.ATRMultiplier
+
+		// check existing position for stop loss / take profit
+		if e.Position > 0 {
+			// stop loss hit
+			if bar.Low <= e.currentStop {
+				e.Cash += float64(e.Position) * e.currentStop
+				e.record("SELL_STOP", e.currentStop, bar.Time, e.Position, e.currentStop, 0)
+				e.Position = 0
+			} else if bar.High >= e.currentTakeProfit {
+				e.Cash += float64(e.Position) * e.currentTakeProfit
+				e.record("SELL_TP", e.currentTakeProfit, bar.Time, e.Position, e.currentStop, e.currentTakeProfit)
+				e.Position = 0
+			}
+		}
+
+		// get new signal
+		signal := e.Strategy.OnBar(bar)
+		switch signal {
+		case model.Buy:
+			if e.Position == 0 { // only enter new position if flat
+				riskCash := e.Cash * e.RiskPercent
+				qty := int(riskCash / stopDistance)
+				if qty <= 0 || e.Cash < float64(qty)*bar.Close {
+					continue
+				}
+				e.Position = qty
+				e.Cash -= float64(qty) * bar.Close
+				e.entryPrice = bar.Close
+				e.currentStop = bar.Close - stopDistance
+				e.currentTakeProfit = bar.Close + stopDistance*e.TakeProfitMultiplier
+				e.record("BUY", bar.Close, bar.Time, qty, e.currentStop, e.currentTakeProfit)
+			}
+		case model.Sell:
+			if e.Position > 0 { // manual exit signal
+				e.Cash += float64(e.Position) * bar.Close
+				e.record("SELL_SIGNAL", bar.Close, bar.Time, e.Position, e.currentStop, e.currentTakeProfit)
+				e.Position = 0
+			}
+		}
+	}
+}
+
+// record logs each trade
+func (e *Engine) record(side string, price float64, t time.Time, qty int, stopPrice float64, takeProfit float64) {
+	e.Trades = append(e.Trades, model.Trade{
+		Time:       t,
+		Symbol:     e.Symbol,
+		Side:       side,
+		Price:      price,
+		Qty:        qty,
+		Cash:       e.Cash,
+		StopPrice:  stopPrice,
+		TakeProfit: takeProfit,
+	})
+}