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中文 | English

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Stock Quant Assistant

stock-indicator-backtest

A-share periodic rotation backtester: edit strategy.js, run D/W/M/Q cycle trading, get an HTML report (equity curve, drawdown, win rate, etc.).

TL;DR

  • You can run it without writing any strategy code: strategy.js already contains a working example.
  • Default behavior is simple: run backtest and output 量化分析结果+YYYY_MM_DD_HH_mm_ss.html (Beijing time).
  • Execution is idealized: no limit-up/limit-down halt simulation, no lot-size restriction.

Report Preview

Backtest report preview

Quick Start (3 minutes)

  1. Put CSV files under stock/ in repo root.
    Data release (0.1.0): https://github.com/Loveyless/stock-indicator-backtest/releases/tag/0.1.0

  2. Install dependencies:

pnpm i (or npm i)

  1. Run backtest:

pnpm start (or npm start)

  1. Success criteria:
  • terminal prints 已生成报告：...
  • a new file appears in project root: 量化分析结果+YYYY_MM_DD_HH_mm_ss.html

Project Layout

stock-indicator-backtest-node/
├─ stock/                      # your CSV data
├─ strategy.js                 # example strategy (editable)
├─ src/main.js                 # entry point
├─ STRATEGY.md                 # strategy docs entry
├─ STRATEGY_API.md             # strategy(ctx) contract
└─ STRATEGY_INDICATORS.md      # indicator API and semantics

Common Commands

  • Quick run: pnpm run backtest:quick
  • Time range: pnpm start -- --start=20211115 --end=20241231 --quiet
  • Frequency: pnpm start -- --freq=D (D overnight) / --freq=W|M|Q
  • Sample limit: pnpm start -- --limit=100 --quiet
  • Custom strategy file: pnpm start -- --strategy-file=./my_strategy.js --quiet
  • Custom strategy params JSON: pnpm start -- --strategy-params='{"minAmount":80000000}' --quiet

Strategy Basics

  • Default strategy file is strategy.js in repo root.
  • It must export strategy(ctx).
  • Return value must be picked CSV file names (e.g. sh600000.csv), not raw stock codes.
  • Use ctx.asOfYmd as signal date to avoid look-ahead bias.

Read details:

  • STRATEGY.md
  • STRATEGY_API.md
  • STRATEGY_INDICATORS.md

Trading Semantics

  • Long-only; buy at cycle start, sell at cycle end (--freq=D|W|M|Q).
  • Missing buy/sell adjusted close price means skip that stock for the whole cycle.
  • Fees are off by default; enable via --fee-bps and --stamp-bps.

FAQ

  • “Cannot find data directory”: ensure stock/ exists and has *.csv.
  • “Missing required columns”: CSV must include 股票名称, 交易日期, 收盘价_复权.
  • Garbled column names: try --encoding=auto or --encoding=utf8.
  • No trades: strategy probably returned wrong keys (code vs file name).
  • Too few results: remove --limit and widen --start/--end.

More Docs

  • Workflow: docs/workflow.md
  • Data contract: docs/data-contract.md
  • Data download & checksum: docs/data.md
  • Report fields: docs/report.md