JavaScript/TypeScript Backtesting Engine Development

JavaScript/TypeScript Backtesting Engine Development

JavaScript and TypeScript backtesting engines enable backtesting in the browser and Node.js environment. TradingView Pine Script is too limited for professional backtesting; custom engines in JavaScript allow full control with web-based frontends.

Architecture

interface Bar {
  timestamp: Date;
  open: number;
  high: number;
  low: number;
  close: number;
  volume: number;
}

interface Order {
  id: string;
  symbol: string;
  side: 'BUY' | 'SELL';
  type: 'MARKET' | 'LIMIT' | 'STOP';
  quantity: number;
  price?: number;
  stopPrice?: number;
  status: 'PENDING' | 'FILLED' | 'CANCELLED';
}

interface Position {
  symbol: string;
  side: 'LONG' | 'SHORT';
  quantity: number;
  avgEntryPrice: number;
  unrealizedPnL: number;
  realizedPnL: number;
}

abstract class Strategy {
  protected context: BacktestContext;

  abstract onBar(bar: Bar): void;

  buy(quantity: number, orderType: 'MARKET' | 'LIMIT' = 'MARKET', price?: number): Order {
    return this.context.submitOrder({
      id: this.context.generateId(),
      symbol: this.context.symbol,
      side: 'BUY',
      type: orderType,
      quantity,
      price,
    });
  }

  sell(quantity: number, orderType: 'MARKET' | 'LIMIT' = 'MARKET', price?: number): Order {
    return this.context.submitOrder({
      id: this.context.generateId(),
      symbol: this.context.symbol,
      side: 'SELL',
      type: orderType,
      quantity,
      price,
    });
  }

  get position(): Position | null {
    return this.context.getPosition(this.context.symbol);
  }

  get cash(): number {
    return this.context.portfolio.cash;
  }
}

JavaScript/TypeScript backtesting enables rapid iteration and web-based analysis dashboards for professional traders.