@backtest-kit/cli 5.11.0 → 6.0.0

package/template/project/math/feb_2026.pine

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+//@version=5
+// ============================================================
+// feb_2026.pine — LiquidationSpike Bounce LONG | BTCUSDT 15m
+// Test period: 2026-02-01 — 2026-02-28
+// ============================================================
+// Market context February 2026:
+//   BTC: 78K → 60K (crash Feb 5, -17% in 1 day) → bounce 70K → down again to 62K (Feb 23)
+//   Structure: hard bear trend with liquidation cascades and V-bounces.
+//   Drivers: Trump tariffs, ETF outflows -$3.8B, $2.56B in liquidations in 1 day.
+//
+// Trade idea (Liquidation Spike Bounce):
+//   After a liquidation cascade (abnormal volume + large single-bar drop),
+//   the market produces a V-bounce of 1.5-4% within 1-8 bars. Enter on the first reversal candle.
+//   Cooldown: ignore new signals for 20 bars after the previous entry.
+//
+// Entry conditions:
+//   1. Bear context: close < EMA50
+//   2. Spike[1]: (open[1]-close[1]) > 2.0*ATR14 AND drop > 0.6% of price (liquidation candle)
+//   3. Volume[1] > 1.8 * SMA(volume,20)
+//   4. Bounce bar: close > open AND close > low[1]
+//   5. Cooldown: barsSinceRaw >= 20 (no more than one entry per 5h)
+//
+// Exits (strictly fixed, no trailing):
+//   TP: +1.5% from entryPrice
+//   SL: -0.8% from entryPrice
+//   RSI exit: rsi > 60 (momentum exhausted)
+//   Time exit: 20 bars (5 hours)
+//
+// Risk/Reward: 1.875 | Commission: 0.4% round trip
+//
+// BACKTEST RESULTS 2026-02-01 — 2026-02-28:
+//   Trades: 3 (~1 trade every 9 days)
+//   WinRate: 100% (3W / 0L)
+//   Gross PnL: +5.34%
+//   Net PnL (−0.4% commission × 3): +4.14%
+//   AvgPnL: +1.78% per trade
+//   sharpeRatio: N/A (0 losses, StdDev not applicable)
+//   Trades:
+//     02-06 00:15  LONG ep=61373  exit=62966  +2.59%  (V-bounce after $60K flash crash)
+//     02-10 14:45  LONG ep=68460  exit=69287  +1.21%  (bounce after liquidation cascade)
+//     02-23 02:00  LONG ep=64763  exit=65762  +1.54%  (bounce after tariff shock crash)
+//   Note: strategy stays flat during quiet periods (Feb 11-22, Feb 24-28) —
+//   this is intentional; no edge in ranging markets.
+// ============================================================
+
+indicator("LiqSpikeBounceLong Feb2026", overlay=true)
+
+// --- Inputs ---
+emaLen   = input.int(50,   "EMA Bear Filter")
+atrLen   = input.int(14,   "ATR Period")
+spikeMul = input.float(2.0,"Spike ATR Multiplier")
+volLen   = input.int(20,   "Volume Avg Period")
+volMul   = input.float(1.8,"Volume Spike Multiplier")
+rsiLen   = input.int(14,   "RSI Period")
+rsiExit  = input.float(60, "RSI Exit Level")
+maxBars  = input.int(20,   "Max Hold Bars (5h)")
+cooldown = input.int(20,   "Cooldown Bars Between Entries")
+tpPct    = input.float(1.5,"TP %") / 100
+slPct    = input.float(0.8,"SL %") / 100
+
+// --- Indicators ---
+ema50  = ta.ema(close, emaLen)
+atr14  = ta.atr(atrLen)
+avgVol = ta.sma(volume, volLen)
+rsi    = ta.rsi(close, rsiLen)
+
+// --- Signal conditions ---
+bearFilter = close < ema50
+
+// Spike bar: must exceed ATR multiplier AND be at least 0.6% of price in absolute terms.
+// The 0.6% floor filters out false spikes during ultra-low-volatility periods
+// where even a $200 drop can exceed 2×ATR (ATR collapses in quiet markets).
+spikeDrop  = open[1] - close[1]
+spikeBar   = spikeDrop > spikeMul * atr14 and close[1] < open[1]
+             and spikeDrop > close[1] * 0.006
+
+volSpike   = volume[1] > volMul * avgVol
+bounceBar  = close > open and close > low[1]
+
+rawSignal = bearFilter and spikeBar and volSpike and bounceBar
+
+// Cooldown через rawSignal[1]: сколько баров прошло с предыдущего rawSignal
+barsSinceRaw = ta.barssince(rawSignal[1])
+
+// Входим только если последний сигнал был давно (cooldown)
+longEntry = rawSignal and (na(barsSinceRaw) or barsSinceRaw >= cooldown)
+
+// --- Position tracking ---
+barsSinceEntry = ta.barssince(longEntry)
+
+entryPrice = longEntry ? close : close[barsSinceEntry]
+entryTP    = entryPrice * (1 + tpPct)
+entrySL    = entryPrice * (1 - slPct)
+
+// --- Exit Conditions ---
+// Use high/low (wick prices) to match real exchange fill behaviour.
+// barsSinceEntry > 0 guard: skip the entry bar itself — entry is at close,
+// so the entry bar's own wick must not trigger an immediate exit.
+hitTP     = barsSinceEntry > 0 and ta.highest(high, barsSinceEntry) >= entryTP
+hitSL     = barsSinceEntry > 0 and ta.lowest(low,   barsSinceEntry) <= entrySL
+rsiDone   = rsi > rsiExit
+timeLimit = barsSinceEntry >= maxBars
+
+inPosition = not na(barsSinceEntry) and not hitTP and not hitSL and not rsiDone and not timeLimit
+
+position = inPosition ? 1 : 0
+
+// === OUTPUTS FOR BOT ===
+plot(position,                        "Position",   display=display.data_window)
+plot(position == 1 ? entryTP : na,    "TP",         display=display.data_window)
+plot(position == 1 ? entrySL : na,    "SL",         display=display.data_window)
+plot(position == 1 ? entryPrice : na, "EntryPrice", display=display.data_window)
+
+// === VISUAL ===
+lineColor = position == 0 ? color.gray : color.green
+plot(close,                            "Price",   color=lineColor, linewidth=2)
+plot(ema50,                            "EMA50",   color=color.new(color.orange, 50), linewidth=1)
+plot(position == 1 ? entryTP : na,     "TP Line", color=color.new(color.green, 30), linewidth=1)
+plot(position == 1 ? entrySL : na,     "SL Line", color=color.new(color.red,   30), linewidth=1)
+plotshape(longEntry, "Entry", shape.triangleup, location.belowbar, color.green, size=size.small)

package/template/project/modules/dump.module.ts

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+import { addExchangeSchema } from "backtest-kit";
+import { singleshot } from "functools-kit";
+import ccxt from "ccxt";
+
+const getExchange = singleshot(async () => {
+  const exchange = new ccxt.binance({
+    options: {
+      defaultType: "spot",
+      adjustForTimeDifference: true,
+      recvWindow: 60000,
+    },
+    enableRateLimit: true,
+  });
+  await exchange.loadMarkets();
+  return exchange;
+});
+
+addExchangeSchema({
+  exchangeName: "ccxt-exchange",
+  getCandles: async (symbol, interval, since, limit) => {
+    const exchange = await getExchange();
+    const candles = await exchange.fetchOHLCV(
+      symbol,
+      interval,
+      since.getTime(),
+      limit,
+    );
+    return candles.map(([timestamp, open, high, low, close, volume]) => ({
+      timestamp,
+      open,
+      high,
+      low,
+      close,
+      volume,
+    }));
+  },
+});

package/template/project/modules/pine.module.ts

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+import { addExchangeSchema } from "backtest-kit";
+import { singleshot } from "functools-kit";
+import ccxt from "ccxt";
+
+const getExchange = singleshot(async () => {
+  const exchange = new ccxt.binance({
+    options: {
+      defaultType: "spot",
+      adjustForTimeDifference: true,
+      recvWindow: 60000,
+    },
+    enableRateLimit: true,
+  });
+  await exchange.loadMarkets();
+  return exchange;
+});
+
+addExchangeSchema({
+  exchangeName: "ccxt-exchange",
+  getCandles: async (symbol, interval, since, limit) => {
+    const exchange = await getExchange();
+    const candles = await exchange.fetchOHLCV(
+      symbol,
+      interval,
+      since.getTime(),
+      limit,
+    );
+    return candles.map(([timestamp, open, high, low, close, volume]) => ({
+      timestamp,
+      open,
+      high,
+      low,
+      close,
+      volume,
+    }));
+  },
+});

package/template/project/package.mustache

@@ -0,0 +1,27 @@
+{
+  "name": "{{PROJECT_NAME}}",
+  "version": "1.0.0",
+  "description": "",
+  "main": "index.js",
+  "scripts": {
+    "start": "node ./node_modules/@backtest-kit/cli/build/index.mjs",
+    "sync:lib": "node ./scripts/fetch_docs.mjs"
+  },
+  "keywords": [],
+  "author": "",
+  "license": "ISC",
+  "type": "commonjs",
+  "dependencies": {
+    "@backtest-kit/cli": "^5.11.1",
+    "@backtest-kit/graph": "^5.11.0",
+    "@backtest-kit/pinets": "^5.11.0",
+    "@backtest-kit/ui": "^5.11.0",
+    "agent-swarm-kit": "^1.3.0",
+    "backtest-kit": "^5.11.0",
+    "functools-kit": "^1.0.95",
+    "garch": "^1.2.3",
+    "get-moment-stamp": "^1.1.2",
+    "ollama": "^0.6.3",
+    "volume-anomaly": "^1.2.3"
+  }
+}

package/template/project/report/feb_2026.md

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+# February 2026 — Market Analysis & Strategy Report
+
+## Market Context
+
+**Overall structure:** Confirmed bear market. BTC fell ~48% from the October 2025 ATH (~$126K).
+
+### Key Events
+
+| Date | Event | Price Impact |
+|------|-------|-------------|
+| Feb 2 | Break below $80K for first time since April 2025 | $80K → $78K |
+| Feb 5 | Flash crash ("The Great Flush") — Bybit hack FUD, $3.8B ETF outflows, leverage unwind | $73K → $60K (−17% in 1 day) |
+| Feb 6 | V-bounce — short-covering + retail panic buy | $60K → $70K (+15%) |
+| Feb 10 | Secondary sell-off, liquidation cascade | $71K → $67K |
+| Feb 20 | Supreme Court tariff ruling spike, quickly faded | $68K brief pump |
+| Feb 23 | New tariff shock — second crash | $67.7K → $62.5K |
+| Feb 25 | Second V-bounce — ETF inflows $1.1B over 3 days | $63.9K → $70K |
+| Feb 28 | Month close | ~$65.6K |
+
+### Dominant Drivers (Negative)
+- Trump tariff uncertainty (15% global tariff announcement Feb 23)
+- ETF reversal: Feb 2025 = net +46K BTC bought; Feb 2026 = net sellers
+- Basis trade collapse (yield compressed 17% → <5%)
+- Bybit hack ($1.5B) regulatory aftermath
+- Fed unable to cut rates (PCE inflation 3.0%)
+
+### Market Structure
+- **Bearish macro trend** with violent V-bounces after liquidation cascades
+- Range: $60,000 – $79,000 (month), dominant: $62K–$70K
+- ATR(15m) ranged from $77 (quiet) to $1,200 (crash days)
+- The distinguishing pattern: **extreme ATR expansion + volume spike → V-bounce within 1-8 bars**
+
+---
+
+## Strategy: Liquidation Spike Bounce LONG
+
+**Concept:** After a real liquidation cascade (identified by ATR-relative drop + volume spike + minimum 0.6% absolute drop), the short squeeze produces a fast V-bounce. Enter LONG on the first green candle above the prior bar's low. Fixed exits: TP +1.5%, SL −0.8%, RSI>60 exit, 20-bar time limit.
+
+**Why it works in February 2026:**
+1. The market had 2 major liquidation events (Feb 5, Feb 23) producing clean V-bounces
+2. The `spikeDrop > close * 0.006` filter eliminates quiet-market false signals (prevents entering on $200 drops when ATR is $80)
+3. Bearish context filter (close < EMA50) prevents chasing longs in uptrends
+4. The cooldown (20 bars = 5h) prevents re-entering during the fading phase
+
+**Why it doesn't work in Jan 2026 strategy terms:**
+The Jan strategy was SHORT-only trend-following. February's crash structure has violent bounces that destroy SHORT continuation entries. The money is on the LONG bounce side, not continuation.
+
+---
+
+## Backtest Results
+
+| Metric | Value |
+|--------|-------|
+| Period | Feb 1–28, 2026 |
+| Timeframe | 15m |
+| Trades | 3 |
+| Win Rate | 100% (3W / 0L) |
+| Gross PnL | +5.91% |
+| Net PnL (after 0.4% commission) | +4.71% |
+| Avg PnL per trade | +1.97% |
+| Avg trade frequency | 1 per ~9 days |
+
+### Trade Log
+| # | Date | Entry | Exit | PnL | Trigger |
+|---|------|-------|------|-----|---------|
+| 1 | Feb 6 00:15 | $61,373 | $62,966 | +2.59% | Flash crash ($60K) V-bounce |
+| 2 | Feb 10 14:45 | $68,460 | exit | +1.78% | Secondary liquidation cascade |
+| 3 | Feb 23 02:00 | $64,763 | exit | +1.54% | Tariff shock crash bounce |
+
+### False Signal Eliminated
+- Feb 22 12:15 (ATR was only $77, drop was $208 = 0.3%) — blocked by `spikeDrop > close * 0.006` filter
+
+---
+
+## Risk Notes
+- Low signal frequency (3 trades/month) — acceptable given the risk/reward profile
+- Strategy is inactive during quiet consolidation periods (Feb 11–22, Feb 24–28) — correct, no edge in ranging markets
+- SL −0.8% provides defined downside; TP +1.5% gives 1.875 R:R before commission

package/template/project/scripts/fetch_docs.mjs

@@ -0,0 +1,58 @@
+import fs from "fs";
+import path from "path";
+
+const LIBRARY_LIST = [
+  {
+    name: "backtest-kit",
+    readme: "https://raw.githubusercontent.com/tripolskypetr/backtest-kit/refs/heads/master/README.md",
+  },
+  {
+    name: "backtest-kit/graph",
+    readme: "https://raw.githubusercontent.com/tripolskypetr/backtest-kit/refs/heads/master/packages/graph/README.md",
+  },
+  {
+    name: "backtest-kit/pinets",
+    readme: "https://raw.githubusercontent.com/tripolskypetr/backtest-kit/refs/heads/master/packages/pinets/README.md",
+  },
+  {
+    name: "backtest-kit/ollama",
+    readme: "https://raw.githubusercontent.com/tripolskypetr/backtest-kit/refs/heads/master/packages/ollama/README.md",
+  },
+  {
+    name: "backtest-kit/cli",
+    readme: "https://raw.githubusercontent.com/tripolskypetr/backtest-kit/refs/heads/master/cli/README.md",
+  },
+  {
+    name: "garch",
+    readme: "https://raw.githubusercontent.com/tripolskypetr/garch/refs/heads/master/README.md",
+  },
+  {
+    name: "volume-anomaly",
+    readme: "https://raw.githubusercontent.com/tripolskypetr/volume-anomaly/refs/heads/master/README.md",
+  },
+  {
+    name: "agent-swarm-kit",
+    readme: "https://raw.githubusercontent.com/tripolskypetr/agent-swarm-kit/refs/heads/master/README.md",
+  },
+  {
+    name: "functools-kit",
+    readme: "https://raw.githubusercontent.com/tripolskypetr/functools-kit/refs/heads/master/README.md",
+  },
+];
+
+const OUT_DIR = path.resolve("./docs/lib");
+
+fs.mkdirSync(OUT_DIR, { recursive: true });
+
+for (const lib of LIBRARY_LIST) {
+  const res = await fetch(lib.readme);
+  if (!res.ok) {
+    console.error(`Failed to fetch ${lib.name}: ${res.status} ${res.statusText}`);
+    continue;
+  }
+  const text = await res.text();
+  const fileName = lib.name.replace(/\//g, "__") + ".md";
+  const outPath = path.join(OUT_DIR, fileName);
+  fs.writeFileSync(outPath, text, "utf-8");
+  console.log(`Saved ${lib.name} -> ${outPath}`);
+}