97 lines
2.7 KiB
Go
97 lines
2.7 KiB
Go
package main
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import (
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"flag"
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"os"
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"path/filepath"
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"time"
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"alpaca-bot/internal/alpaca"
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"alpaca-bot/internal/backtest"
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"alpaca-bot/internal/config"
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"alpaca-bot/internal/logger"
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"alpaca-bot/internal/strategy"
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"github.com/joho/godotenv"
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"github.com/xuri/excelize/v2"
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)
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func main() {
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_ = godotenv.Load()
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log := logger.New("[BACKTEST]")
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cfg := config.LoadAlpaca()
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// CLI flags
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symbol := flag.String("symbol", "AAPL", "Stock symbol")
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tf := flag.String("tf", "1Day", "Timeframe")
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startStr := flag.String("start", "2023-01-01", "Start date")
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endStr := flag.String("end", "2026-01-01", "End date")
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cash := flag.Float64("cash", 10000, "Start capital")
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risk := flag.Float64("risk", 0.02, "Risk per trade (fraction)")
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atrPeriod := flag.Int("atr", 14, "ATR period")
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atrMult := flag.Float64("atrMult", 1.5, "ATR multiplier for stop")
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tpMult := flag.Float64("tpMult", 2.0, "Take profit multiplier")
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fast := flag.Int("fast", 12, "Fast EMA")
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slow := flag.Int("slow", 26, "Slow EMA")
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out := flag.String("out", "output/backtest.xlsx", "Excel output path")
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flag.Parse()
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start, err := time.Parse("2006-01-02", *startStr)
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if err != nil {
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log.Fatal("invalid start date:", err)
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}
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end, err := time.Parse("2006-01-02", *endStr)
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if err != nil {
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log.Fatal("invalid end date:", err)
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}
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// Create output folder
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if err := os.MkdirAll(filepath.Dir(*out), 0755); err != nil {
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log.Fatal(err)
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}
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// Load historical bars from Alpaca
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client := alpaca.NewClient(cfg)
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bars, err := client.GetHistoricalBars(*symbol, *tf, start, end)
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if err != nil {
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log.Fatal(err)
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}
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log.Printf("Loaded %d bars for %s", len(bars), *symbol)
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// Initialize EMA crossover strategy
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strat := strategy.NewEMACross(*fast, *slow)
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// Initialize backtest engine with ATR stops and TakeProfit
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engine := backtest.NewEngine(*symbol, strat, *cash, *risk, *atrPeriod, *atrMult, *tpMult)
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engine.Run(bars)
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log.Printf("Backtest finished | Trades: %d | End Cash: %.2f", len(engine.Trades), engine.Cash)
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// Export trades to Excel
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f := excelize.NewFile()
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sheet := "Backtest"
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f.NewSheet(sheet)
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headers := []string{"Time", "Symbol", "Side", "Price", "Qty", "Cash", "StopPrice", "TakeProfit"}
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for i, h := range headers {
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cell, _ := excelize.CoordinatesToCellName(i+1, 1)
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f.SetCellValue(sheet, cell, h)
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}
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for i, t := range engine.Trades {
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row := i + 2
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values := []interface{}{t.Time.Format("2006-01-02 15:04:05"), t.Symbol, t.Side, t.Price, t.Qty, t.Cash, t.StopPrice, t.TakeProfit}
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for colIdx, val := range values {
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cell, _ := excelize.CoordinatesToCellName(colIdx+1, row)
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f.SetCellValue(sheet, cell, val)
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}
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}
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if err := f.SaveAs(*out); err != nil {
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log.Fatal("failed to save Excel:", err)
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}
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log.Printf("Backtest Excel saved to %s", *out)
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}
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