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Merge pull request #12 from second-state/feat/backtest
feat: add backtest CLI for historical price simulation
2 parents a078129 + 1886e37 commit 4e61ca6

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‎Cargo.toml‎

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@@ -35,6 +35,10 @@ path = "src/bin/polymarket.rs"
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name = "okx"
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path = "src/bin/okx.rs"
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[[bin]]
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name = "backtest"
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path = "src/bin/backtest.rs"
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[dependencies]
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clap = { version = "4", features = ["derive"] }
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reqwest = { version = "0.12", default-features = false, features = ["json", "rustls-tls"] }

‎README.md‎

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‎examples/backtest/covid_crash_hedge.sh‎

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#!/usr/bin/env bash
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#
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# COVID-19 Crash — Flight-to-Safety Hedge
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# ========================================
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#
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# Date: February 21, 2020 (Friday before the crash accelerated)
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#
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# Thesis: By late February 2020, COVID-19 had spread to Italy and South
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# Korea. The S&P 500 hit its all-time high on Feb 19. A pandemic-driven
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# selloff was imminent. The classic hedge: go long gold (safe haven) and
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# short equities. This is a dollar-neutral pair: ~$5,000 each side.
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#
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# Legs:
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# 1. Long GOLD — 3 oz at ~$1,645/oz ($4,934 notional)
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# 2. Short SP500 — 1.5 units at ~$3,337 ($5,006 notional)
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#
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# What happened: The S&P 500 fell ~12% over the next 7 trading days
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# (the fastest correction from ATH in history). Gold initially held
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# steady, then pulled back as margin calls hit.
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#
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# Result: The short equity leg dominates — this hedge captured the
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# crash while the gold leg acts as a stabilizer.
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#
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# Usage: ./examples/backtest/covid_crash_hedge.sh
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#
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set -uo pipefail
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SCRIPT_DIR="$(cd "$(dirname "$0")" && pwd)"
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BT="${BACKTEST:-$SCRIPT_DIR/../../target/release/backtest}"
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echo ""
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echo "══════════════════════════════════════════════════════════════"
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echo " COVID-19 Crash Hedge — February 21, 2020"
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echo " Long GOLD + Short S&P 500 (dollar-neutral pair)"
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echo "══════════════════════════════════════════════════════════════"
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echo ""
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# ── Reset portfolio ────────────────────────────────────────────────
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$BT --at 2020-02-21 reset 2>/dev/null
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# ── Scout: get prices on Feb 21, 2020 ─────────────────────────────
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echo "── Scouting prices on 2020-02-21 ──"
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echo ""
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GOLD_PRICE=$($BT --at 2020-02-21 --json '{"command":"quote","symbol":"GOLD"}' 2>/dev/null | jq -r '.price')
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SP_PRICE=$($BT --at 2020-02-21 --json '{"command":"quote","symbol":"SP500"}' 2>/dev/null | jq -r '.price')
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echo " GOLD: \$$GOLD_PRICE / oz"
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echo " SP500: \$$SP_PRICE"
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echo ""
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# ── Leg 1: Long gold — safe-haven bid ─────────────────────────────
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echo "── Leg 1: Long GOLD (flight to safety) ──"
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$BT --at 2020-02-21 buy GOLD --amount 3 --price "$GOLD_PRICE"
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# ── Leg 2: Short S&P 500 — pandemic selloff ───────────────────────
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echo "── Leg 2: Short S&P 500 (equity crash) ──"
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$BT --at 2020-02-21 sell SP500 --amount 1.5 --price "$SP_PRICE"
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# ── Portfolio snapshot ─────────────────────────────────────────────
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echo "══════════════════════════════════════════════════════════════"
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echo " Portfolio Summary"
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echo "══════════════════════════════════════════════════════════════"
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$BT --at 2020-02-21 balance
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$BT --at 2020-02-21 positions
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# ── Cleanup ────────────────────────────────────────────────────────
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$BT --at 2020-02-21 reset > /dev/null 2>&1

‎examples/backtest/ftx_crypto_contagion.sh‎

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#!/usr/bin/env bash
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#
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# FTX Collapse — Crypto Contagion Hedge
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# ========================================
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#
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# Date: November 8, 2022 (Binance announced it would sell its FTT holdings)
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#
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# Thesis: On Nov 6, CoinDesk reported Alameda's balance sheet was full
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# of FTT tokens. On Nov 8, Binance announced it would liquidate its
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# ~$530M in FTT, triggering a bank run on FTX. Crypto was about to
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# enter a contagion spiral — but it wasn't clear how far traditional
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# markets would follow. The trade: short crypto (BTC + ETH) and go
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# long gold as a safe-haven hedge in case the contagion spread.
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#
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# Legs:
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# 1. Short BTC — 0.15 BTC at ~$18,500 ($2,775 notional)
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# 2. Short ETH — 2.0 ETH at ~$1,340 ($2,680 notional)
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# 3. Long GOLD — 3 oz at ~$1,712/oz ($5,136 notional)
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#
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# Gold is the anchor — roughly sized to match the combined crypto short.
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# If crypto crashes and gold holds or rises, both sides win. If crypto
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# recovers, the gold leg limits the damage.
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#
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# What happened: BTC dropped from $18.5k to $15.7k (-15%) in 7 days.
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# ETH fell from $1,340 to $1,100 (-18%). Gold was roughly flat,
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# providing stability. The crypto short was the main profit driver.
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#
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# Usage: ./examples/backtest/ftx_crypto_contagion.sh
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#
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set -uo pipefail
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SCRIPT_DIR="$(cd "$(dirname "$0")" && pwd)"
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BT="${BACKTEST:-$SCRIPT_DIR/../../target/release/backtest}"
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echo ""
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echo "══════════════════════════════════════════════════════════════"
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echo " FTX Collapse — November 8, 2022"
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echo " Short BTC + Short ETH + Long GOLD (contagion hedge)"
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echo "══════════════════════════════════════════════════════════════"
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echo ""
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# ── Reset portfolio ────────────────────────────────────────────────
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$BT --at 2022-11-08 reset 2>/dev/null
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# ── Scout: get prices on Nov 8, 2022 ──────────────────────────────
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echo "── Scouting prices on 2022-11-08 ──"
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echo ""
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BTC_PRICE=$($BT --at 2022-11-08 --json '{"command":"quote","symbol":"BTC"}' 2>/dev/null | jq -r '.price')
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ETH_PRICE=$($BT --at 2022-11-08 --json '{"command":"quote","symbol":"ETH"}' 2>/dev/null | jq -r '.price')
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GOLD_PRICE=$($BT --at 2022-11-08 --json '{"command":"quote","symbol":"GOLD"}' 2>/dev/null | jq -r '.price')
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echo " BTC: \$$BTC_PRICE"
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echo " ETH: \$$ETH_PRICE"
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echo " GOLD: \$$GOLD_PRICE"
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echo ""
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# ── Leg 1: Short BTC — exchange contagion ─────────────────────────
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echo "── Leg 1: Short BTC (FTX contagion, forced selling) ──"
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$BT --at 2022-11-08 sell BTC --amount 0.15 --price "$BTC_PRICE"
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# ── Leg 2: Short ETH — crypto-wide selloff ────────────────────────
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echo "── Leg 2: Short ETH (correlated crypto drawdown) ──"
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$BT --at 2022-11-08 sell ETH --amount 2.0 --price "$ETH_PRICE"
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# ── Leg 3: Long gold — safe-haven anchor ──────────────────────────
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echo "── Leg 3: Long GOLD (safe haven, hedge against reversal) ──"
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$BT --at 2022-11-08 buy GOLD --amount 3 --price "$GOLD_PRICE"
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# ── Portfolio snapshot ─────────────────────────────────────────────
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echo "══════════════════════════════════════════════════════════════"
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echo " Portfolio Summary"
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echo "══════════════════════════════════════════════════════════════"
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$BT --at 2022-11-08 balance
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$BT --at 2022-11-08 positions
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# ── Cleanup ────────────────────────────────────────────────────────
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$BT --at 2022-11-08 reset > /dev/null 2>&1

‎examples/backtest/nvda_earnings_alpha.sh‎

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#!/usr/bin/env bash
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#
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# NVIDIA Earnings Blowout — AI Sector Alpha
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# ============================================
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#
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# Date: May 25, 2023 (day after NVDA's historic Q1 FY24 earnings)
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#
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# Thesis: On May 24, 2023, NVIDIA reported revenue of $7.19B (vs
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# $6.52B expected) and guided Q2 to $11B — 50% above consensus.
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# The stock surged 25% after hours. This was the moment the market
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# realized AI infrastructure demand was real. The play: capture
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# NVDA's alpha while hedging broad market risk.
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#
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# Legs:
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# 1. Long NVDA — 13 shares at ~$379/share ($4,930 notional)
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# 2. Short SP500 — 1.2 units at ~$4,151 ($4,981 notional)
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#
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# This is a classic long/short equity pair: long the winner, short
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# the index. If the market rallies, NVDA should rally more. If the
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# market drops, NVDA's AI tailwind should cushion the loss.
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#
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# What happened: NVDA continued climbing from $379 to $400+ over
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# the next week as analysts rushed to upgrade. The S&P 500 was
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# roughly flat. Pure alpha.
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#
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# Usage: ./examples/backtest/nvda_earnings_alpha.sh
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#
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set -uo pipefail
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SCRIPT_DIR="$(cd "$(dirname "$0")" && pwd)"
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BT="${BACKTEST:-$SCRIPT_DIR/../../target/release/backtest}"
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echo ""
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echo "══════════════════════════════════════════════════════════════"
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echo " NVIDIA AI Earnings — May 25, 2023"
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echo " Long NVDA + Short S&P 500 (sector alpha pair)"
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echo "══════════════════════════════════════════════════════════════"
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echo ""
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# ── Reset portfolio ────────────────────────────────────────────────
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$BT --at 2023-05-25 reset 2>/dev/null
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# ── Scout: get prices on May 25, 2023 ─────────────────────────────
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echo "── Scouting prices on 2023-05-25 ──"
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echo ""
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NVDA_PRICE=$($BT --at 2023-05-25 --json '{"command":"quote","symbol":"NVDA"}' 2>/dev/null | jq -r '.price')
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SP_PRICE=$($BT --at 2023-05-25 --json '{"command":"quote","symbol":"SP500"}' 2>/dev/null | jq -r '.price')
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echo " NVDA: \$$NVDA_PRICE"
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echo " SP500: \$$SP_PRICE"
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echo ""
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# ── Leg 1: Long NVDA — AI momentum ───────────────────────────────
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echo "── Leg 1: Long NVDA (AI infrastructure demand) ──"
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$BT --at 2023-05-25 buy NVDA --amount 13 --price "$NVDA_PRICE"
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# ── Leg 2: Short S&P 500 — market-neutral hedge ──────────────────
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echo "── Leg 2: Short S&P 500 (hedge broad market risk) ──"
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$BT --at 2023-05-25 sell SP500 --amount 1.2 --price "$SP_PRICE"
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# ── Portfolio snapshot ─────────────────────────────────────────────
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echo "══════════════════════════════════════════════════════════════"
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echo " Portfolio Summary"
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echo "══════════════════════════════════════════════════════════════"
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$BT --at 2023-05-25 balance
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$BT --at 2023-05-25 positions
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# ── Cleanup ────────────────────────────────────────────────────────
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$BT --at 2023-05-25 reset > /dev/null 2>&1

‎examples/backtest/ukraine_oil_shock.sh‎

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#!/usr/bin/env bash
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#
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# Russia-Ukraine Invasion — Commodity Supply Shock
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# ==================================================
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#
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# Date: February 24, 2022 (the day Russia invaded Ukraine)
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#
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# Thesis: Russia is a top-3 global oil producer. A full-scale invasion
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# means sanctions, supply disruption, and an energy price spike. At the
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# same time, risk assets sell off on geopolitical uncertainty. This is
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# a classic macro shock trade: long commodities, short equities.
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#
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# Legs:
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# 1. Long OIL — 35 bbl at ~$92/bbl ($3,220 notional)
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# 2. Long GOLD — 2 oz at ~$1,909/oz ($3,818 notional) — war safe haven
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# 3. Short SP500 — 1.5 units at ~$4,225 ($6,338 notional)
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#
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# The short leg is sized larger to roughly balance the two long legs.
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# Oil is the directional bet; gold is the defensive anchor.
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#
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# What happened: Oil surged to $115+ within 2 weeks (eventually $130
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# in March). Gold rallied to $2,050. The S&P 500 dropped ~3% in the
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# first week before stabilizing.
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#
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# Result: Both commodity legs profit on the supply shock, while the
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# equity short captures the initial risk-off move.
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#
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# Usage: ./examples/backtest/ukraine_oil_shock.sh
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#
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set -uo pipefail
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SCRIPT_DIR="$(cd "$(dirname "$0")" && pwd)"
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BT="${BACKTEST:-$SCRIPT_DIR/../../target/release/backtest}"
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echo ""
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echo "══════════════════════════════════════════════════════════════"
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echo " Russia-Ukraine Invasion — February 24, 2022"
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echo " Long OIL + Long GOLD + Short S&P 500"
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echo "══════════════════════════════════════════════════════════════"
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echo ""
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# ── Reset portfolio ────────────────────────────────────────────────
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$BT --at 2022-02-24 reset 2>/dev/null
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# ── Scout: get prices on Feb 24, 2022 ─────────────────────────────
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echo "── Scouting prices on 2022-02-24 ──"
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echo ""
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OIL_PRICE=$($BT --at 2022-02-24 --json '{"command":"quote","symbol":"OIL"}' 2>/dev/null | jq -r '.price')
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GOLD_PRICE=$($BT --at 2022-02-24 --json '{"command":"quote","symbol":"GOLD"}' 2>/dev/null | jq -r '.price')
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SP_PRICE=$($BT --at 2022-02-24 --json '{"command":"quote","symbol":"SP500"}' 2>/dev/null | jq -r '.price')
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echo " OIL: \$$OIL_PRICE / bbl"
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echo " GOLD: \$$GOLD_PRICE / oz"
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echo " SP500: \$$SP_PRICE"
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echo ""
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# ── Leg 1: Long crude oil — supply disruption ─────────────────────
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echo "── Leg 1: Long OIL (supply shock from sanctions) ──"
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$BT --at 2022-02-24 buy OIL --amount 35 --price "$OIL_PRICE"
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# ── Leg 2: Long gold — geopolitical safe haven ────────────────────
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echo "── Leg 2: Long GOLD (war premium + safe haven) ──"
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$BT --at 2022-02-24 buy GOLD --amount 2 --price "$GOLD_PRICE"
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# ── Leg 3: Short S&P 500 — risk-off selloff ──────────────────────
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echo "── Leg 3: Short S&P 500 (risk-off) ──"
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$BT --at 2022-02-24 sell SP500 --amount 1.5 --price "$SP_PRICE"
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# ── Portfolio snapshot ─────────────────────────────────────────────
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echo "══════════════════════════════════════════════════════════════"
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echo " Portfolio Summary"
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echo "══════════════════════════════════════════════════════════════"
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$BT --at 2022-02-24 balance
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$BT --at 2022-02-24 positions
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# ── Cleanup ────────────────────────────────────────────────────────
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$BT --at 2022-02-24 reset > /dev/null 2>&1

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