Building a Backtesting Engine in TypeScript

How I built a performant backtesting engine in TypeScript — from data loading and order simulation to performance metrics.

Backtesting is the foundation of any systematic trading strategy. I built one in TypeScript that runs entirely in the browser.

Data loading

OHLCV data from CSV. Use TypedArrays for memory efficiency — 1M candles at ~40MB. Pre-compute indicators on load to avoid recalculation during strategy runs.

Order simulation

Support market, limit, and stop orders with fill simulation based on high/low of the candle. Handle partial fills and slippage with configurable parameters.

Metrics

Sharpe ratio, max drawdown, win rate, profit factor. Include Monte Carlo simulation to estimate strategy robustness beyond single-run results.