Backtest a moving-average signal

import { vectorized, fees } from '@insiderfinance/totalfinance/backtest';
import { sma } from '@insiderfinance/totalfinance/technical-analysis';

// Synthetic sample data, not market history.
const data = [
  {"symbol":"SAMPLE","timestampMs":1767225600000,"open":101.2,"high":101.2,"low":101.2,"close":101.2},
  {"symbol":"SAMPLE","timestampMs":1767312000000,"open":101.92580698453901,"high":101.92580698453901,"low":101.92580698453901,"close":101.92580698453901},
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  {"symbol":"SAMPLE","timestampMs":1767484800000,"open":102.96622204200703,"high":102.96622204200703,"low":102.96622204200703,"close":102.96622204200703},
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  {"symbol":"SAMPLE","timestampMs":1767830400000,"open":103.93844515633963,"high":103.93844515633963,"low":103.93844515633963,"close":103.93844515633963},
  {"symbol":"SAMPLE","timestampMs":1767916800000,"open":104.12192268284997,"high":104.12192268284997,"low":104.12192268284997,"close":104.12192268284997},
  {"symbol":"SAMPLE","timestampMs":1768003200000,"open":104.33020191891289,"high":104.33020191891289,"low":104.33020191891289,"close":104.33020191891289},
  {"symbol":"SAMPLE","timestampMs":1768089600000,"open":104.57150657620733,"high":104.57150657620733,"low":104.57150657620733,"close":104.57150657620733},
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  {"symbol":"SAMPLE","timestampMs":1769558400000,"open":97.78647982361417,"high":97.78647982361417,"low":97.78647982361417,"close":97.78647982361417},
  {"symbol":"SAMPLE","timestampMs":1769644800000,"open":97.26100130011444,"high":97.26100130011444,"low":97.26100130011444,"close":97.26100130011444},
  {"symbol":"SAMPLE","timestampMs":1769731200000,"open":96.9441676574348,"high":96.9441676574348,"low":96.9441676574348,"close":96.9441676574348},
  {"symbol":"SAMPLE","timestampMs":1769817600000,"open":96.84137944355435,"high":96.84137944355435,"low":96.84137944355435,"close":96.84137944355435},
  {"symbol":"SAMPLE","timestampMs":1769904000000,"open":96.94217004405276,"high":96.94217004405276,"low":96.94217004405276,"close":96.94217004405276},
  {"symbol":"SAMPLE","timestampMs":1769990400000,"open":97.22198111647037,"high":97.22198111647037,"low":97.22198111647037,"close":97.22198111647037},
  {"symbol":"SAMPLE","timestampMs":1770076800000,"open":97.64531983158169,"high":97.64531983158169,"low":97.64531983158169,"close":97.64531983158169},
  {"symbol":"SAMPLE","timestampMs":1770163200000,"open":98.16994110955119,"high":98.16994110955119,"low":98.16994110955119,"close":98.16994110955119},
  {"symbol":"SAMPLE","timestampMs":1770249600000,"open":98.75158884280263,"high":98.75158884280263,"low":98.75158884280263,"close":98.75158884280263},
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  {"symbol":"SAMPLE","timestampMs":1770508800000,"open":100.46238207947684,"high":100.46238207947684,"low":100.46238207947684,"close":100.46238207947684},
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  {"symbol":"SAMPLE","timestampMs":1770854400000,"open":102.12700717085477,"high":102.12700717085477,"low":102.12700717085477,"close":102.12700717085477},
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  {"symbol":"SAMPLE","timestampMs":1771027200000,"open":102.92652291407838,"high":102.92652291407838,"low":102.92652291407838,"close":102.92652291407838},
  {"symbol":"SAMPLE","timestampMs":1771113600000,"open":103.4127469462068,"high":103.4127469462068,"low":103.4127469462068,"close":103.4127469462068},
  {"symbol":"SAMPLE","timestampMs":1771200000000,"open":103.98457029370167,"high":103.98457029370167,"low":103.98457029370167,"close":103.98457029370167},
  {"symbol":"SAMPLE","timestampMs":1771286400000,"open":104.65037701117367,"high":104.65037701117367,"low":104.65037701117367,"close":104.65037701117367},
  {"symbol":"SAMPLE","timestampMs":1771372800000,"open":105.40560702012411,"high":105.40560702012411,"low":105.40560702012411,"close":105.40560702012411},
  {"symbol":"SAMPLE","timestampMs":1771459200000,"open":106.23203714591445,"high":106.23203714591445,"low":106.23203714591445,"close":106.23203714591445},
  {"symbol":"SAMPLE","timestampMs":1771545600000,"open":107.09864407474065,"high":107.09864407474065,"low":107.09864407474065,"close":107.09864407474065},
  {"symbol":"SAMPLE","timestampMs":1771632000000,"open":107.96397752121284,"high":107.96397752121284,"low":107.96397752121284,"close":107.96397752121284},
  {"symbol":"SAMPLE","timestampMs":1771718400000,"open":108.77980358431556,"high":108.77980358431556,"low":108.77980358431556,"close":108.77980358431556},
  {"symbol":"SAMPLE","timestampMs":1771804800000,"open":109.49563594727071,"high":109.49563594727071,"low":109.49563594727071,"close":109.49563594727071},
  {"symbol":"SAMPLE","timestampMs":1771891200000,"open":110.06367196362106,"high":110.06367196362106,"low":110.06367196362106,"close":110.06367196362106},
  {"symbol":"SAMPLE","timestampMs":1771977600000,"open":110.4436029023648,"high":110.4436029023648,"low":110.4436029023648,"close":110.4436029023648},
  {"symbol":"SAMPLE","timestampMs":1772064000000,"open":110.60677802309445,"high":110.60677802309445,"low":110.60677802309445,"close":110.60677802309445},
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  {"symbol":"SAMPLE","timestampMs":1772409600000,"open":109.05713211137424,"high":109.05713211137424,"low":109.05713211137424,"close":109.05713211137424},
  {"symbol":"SAMPLE","timestampMs":1772496000000,"open":108.2453259263757,"high":108.2453259263757,"low":108.2453259263757,"close":108.2453259263757},
  {"symbol":"SAMPLE","timestampMs":1772582400000,"open":107.35560012768012,"high":107.35560012768012,"low":107.35560012768012,"close":107.35560012768012},
  {"symbol":"SAMPLE","timestampMs":1772668800000,"open":106.44331731393967,"high":106.44331731393967,"low":106.44331731393967,"close":106.44331731393967},
  {"symbol":"SAMPLE","timestampMs":1772755200000,"open":105.56140992203751,"high":105.56140992203751,"low":105.56140992203751,"close":105.56140992203751},
  {"symbol":"SAMPLE","timestampMs":1772841600000,"open":104.7557002118784,"high":104.7557002118784,"low":104.7557002118784,"close":104.7557002118784},
  {"symbol":"SAMPLE","timestampMs":1772928000000,"open":104.0610797148074,"high":104.0610797148074,"low":104.0610797148074,"close":104.0610797148074},
  {"symbol":"SAMPLE","timestampMs":1773014400000,"open":103.4989438013756,"high":103.4989438013756,"low":103.4989438013756,"close":103.4989438013756},
  {"symbol":"SAMPLE","timestampMs":1773100800000,"open":103.07613779766388,"high":103.07613779766388,"low":103.07613779766388,"close":103.07613779766388},
  {"symbol":"SAMPLE","timestampMs":1773187200000,"open":102.78550415306421,"high":102.78550415306421,"low":102.78550415306421,"close":102.78550415306421},
  {"symbol":"SAMPLE","timestampMs":1773273600000,"open":102.60794392328543,"high":102.60794392328543,"low":102.60794392328543,"close":102.60794392328543},
  {"symbol":"SAMPLE","timestampMs":1773360000000,"open":102.51573968158225,"high":102.51573968158225,"low":102.51573968158225,"close":102.51573968158225},
  {"symbol":"SAMPLE","timestampMs":1773446400000,"open":102.47674918840181,"high":102.47674918840181,"low":102.47674918840181,"close":102.47674918840181},
  {"symbol":"SAMPLE","timestampMs":1773532800000,"open":102.45898488071076,"high":102.45898488071076,"low":102.45898488071076,"close":102.45898488071076},
  {"symbol":"SAMPLE","timestampMs":1773619200000,"open":102.43505383252253,"high":102.43505383252253,"low":102.43505383252253,"close":102.43505383252253},
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  {"symbol":"SAMPLE","timestampMs":1773792000000,"open":102.30377022243125,"high":102.30377022243125,"low":102.30377022243125,"close":102.30377022243125},
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  {"symbol":"SAMPLE","timestampMs":1774569600000,"open":103.5472577471747,"high":103.5472577471747,"low":103.5472577471747,"close":103.5472577471747},
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  {"symbol":"SAMPLE","timestampMs":1774742400000,"open":105.37551347926511,"high":105.37551347926511,"low":105.37551347926511,"close":105.37551347926511},
  {"symbol":"SAMPLE","timestampMs":1774828800000,"open":106.47759607184327,"high":106.47759607184327,"low":106.47759607184327,"close":106.47759607184327},
  {"symbol":"SAMPLE","timestampMs":1774915200000,"open":107.64386032707998,"high":107.64386032707998,"low":107.64386032707998,"close":107.64386032707998},
  {"symbol":"SAMPLE","timestampMs":1775001600000,"open":108.81856242328553,"high":108.81856242328553,"low":108.81856242328553,"close":108.81856242328553},
  {"symbol":"SAMPLE","timestampMs":1775088000000,"open":109.94368280819776,"high":109.94368280819776,"low":109.94368280819776,"close":109.94368280819776},
  {"symbol":"SAMPLE","timestampMs":1775174400000,"open":110.96404016740328,"high":110.96404016740328,"low":110.96404016740328,"close":110.96404016740328},
  {"symbol":"SAMPLE","timestampMs":1775260800000,"open":111.83214632111945,"high":111.83214632111945,"low":111.83214632111945,"close":111.83214632111945},
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  {"symbol":"SAMPLE","timestampMs":1776556800000,"open":109.86529917954812,"high":109.86529917954812,"low":109.86529917954812,"close":109.86529917954812},
  {"symbol":"SAMPLE","timestampMs":1776643200000,"open":109.64485594830019,"high":109.64485594830019,"low":109.64485594830019,"close":109.64485594830019},
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  {"symbol":"SAMPLE","timestampMs":1776988800000,"open":108.13279765508621,"high":108.13279765508621,"low":108.13279765508621,"close":108.13279765508621},
  {"symbol":"SAMPLE","timestampMs":1777075200000,"open":107.53538155881812,"high":107.53538155881812,"low":107.53538155881812,"close":107.53538155881812},
  {"symbol":"SAMPLE","timestampMs":1777161600000,"open":106.86743105310215,"high":106.86743105310215,"low":106.86743105310215,"close":106.86743105310215},
  {"symbol":"SAMPLE","timestampMs":1777248000000,"open":106.16028328640736,"high":106.16028328640736,"low":106.16028328640736,"close":106.16028328640736},
  {"symbol":"SAMPLE","timestampMs":1777334400000,"open":105.45562063762007,"high":105.45562063762007,"low":105.45562063762007,"close":105.45562063762007},
  {"symbol":"SAMPLE","timestampMs":1777420800000,"open":104.80179829427318,"high":104.80179829427318,"low":104.80179829427318,"close":104.80179829427318},
  {"symbol":"SAMPLE","timestampMs":1777507200000,"open":104.24929572520446,"high":104.24929572520446,"low":104.24929572520446,"close":104.24929572520446},
];

This complete example reproduces every chart point and the full playground result. Sample generation and chart mapping are example setup, not required conversions of library outputs.

import { vectorized, fees } from '@insiderfinance/totalfinance/backtest';
import { sma } from '@insiderfinance/totalfinance/technical-analysis';
import { underwater } from '@insiderfinance/totalfinance/performance';

// Synthetic data, not a historical market series.
const data = Array.from({ length: 120 }, (_, index) => {
  const close = 100 + index * 0.08 + Math.sin(index / 7) * 5 + Math.cos(index / 3) * 1.2;
  return { symbol: 'SAMPLE', timestampMs: Date.UTC(2026, 0, 1) + index * 86400000, open: close, high: close, low: close, close };
});
const averages = sma(data.map(bar => bar.close), { period: 20 });
const signal = data.map((bar, index) => Number.isFinite(averages[index]) && bar.close > averages[index]!);
const backtest = vectorized({ data, signal, initialCapital: 10000, executionLag: 1, periodsPerYear: 252, fees: fees.bps(10) });
const result = { backtest, drawdowns: underwater(backtest.points.map(point => point.equity)) };
console.log(result);