w-trade-backtest 1.0.3

package/.editorconfig

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+root = true
+
+[*]
+charset = utf-8
+indent_style = space
+indent_size = 4
+end_of_line = lf
+insert_final_newline = true
+trim_trailing_whitespace = true

package/.eslintignore

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+/build/
+/config/
+/dist/

package/.eslintrc.js

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+module.exports = {
+    'env': {
+        'browser': true,
+        'es6': true,
+        'mocha': true
+    },
+    'extends': ['plugin:vue/base', 'plugin:vue/essential', 'standard'],
+    'plugins': [
+        'vue'
+    ],
+    'globals': {
+        'Atomics': 'readonly',
+        'SharedArrayBuffer': 'readonly'
+    },
+    'parser': 'vue-eslint-parser',
+    'parserOptions': {
+        'parser': '@babel/eslint-parser',
+        'ecmaVersion': 2019,
+        'sourceType': 'module',
+    },
+    'rules': {
+        'generator-star-spacing': 'off',
+        'no-debugger': process.env.NODE_ENV === 'production' ? 'error' : 'off',
+        'indent': ['error', 4],
+        'no-console': 'off',
+        'comma-dangle': ['error', {
+            'arrays': 'ignore',
+            'objects': 'ignore',
+            'imports': 'never',
+            'exports': 'never',
+            'functions': 'ignore'
+        }],
+        'no-multiple-empty-lines': ['error', { 'max': 2, 'maxEOF': 2 }],
+        //'space-before-function-paren': ['error', { 'anonymous': 'always', 'named': 'never' }],
+        'space-before-function-paren': 'off',
+        'spaced-comment': 'off',
+        'brace-style': ['error', 'stroustrup'],
+        'padded-blocks': 'off',
+        'no-constant-condition': 'off',
+        'camelcase': 'off',
+        'no-new': 'off',
+        'prefer-const': 'off',
+        'quote-props': ['error', 'consistent'],
+        'dot-notation': 'off',
+        'standard/no-callback-literal': 'off',
+        'quotes': ['error', 'single', { 'allowTemplateLiterals': true }],
+        'prefer-promise-reject-errors': 'off',
+        'no-unused-vars': ['error', { 'args': 'none', 'ignoreRestSiblings': true, 'argsIgnorePattern': '^_' }],
+        'node/no-callback-literal': 'off',
+        'prefer-regex-literals': 'off',
+        'array-callback-return': 'off',
+        'no-unreachable-loop': 'off',
+        'vue/multi-word-component-names': 'off',
+    }
+}

package/.jsdoc

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+{
+    "tags": {
+        "allowUnknownTags": false
+    },
+    "source": {
+        "include": ["src/", "server/"],
+        "includePattern": ".+\\.(js(doc|x)?|mjs|vue)$",
+        "excludePattern": "(node_modules/|docs)"
+    },
+    "plugins": [
+        "plugins/markdown",
+        "node_modules/jsdoc-vuejs"
+    ],
+    "opts": {
+        "template": "node_modules/docdash",
+        "encoding": "utf8",
+        "destination": "docs/",
+        "recurse": true,
+        "verbose": true
+    },
+    "templates": {
+        "cleverLinks": false,
+        "monospaceLinks": false
+    }
+}

package/README.md

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+# w-trade-backtest
+A tool for trade backtest.
+
+![language](https://img.shields.io/badge/language-JavaScript-orange.svg) 
+[![npm version](http://img.shields.io/npm/v/w-trade-backtest.svg?style=flat)](https://npmjs.org/package/w-trade-backtest) 
+[![license](https://img.shields.io/npm/l/w-trade-backtest.svg?style=flat)](https://npmjs.org/package/w-trade-backtest) 
+[![npm download](https://img.shields.io/npm/dt/w-trade-backtest.svg)](https://npmjs.org/package/w-trade-backtest) 
+[![npm download](https://img.shields.io/npm/dm/w-trade-backtest.svg)](https://npmjs.org/package/w-trade-backtest) 
+[![jsdelivr download](https://img.shields.io/jsdelivr/npm/hm/w-trade-backtest.svg)](https://www.jsdelivr.com/package/npm/w-trade-backtest)
+
+## Documentation
+To view documentation or get support, visit [docs](https://yuda-lyu.github.io/w-trade-backtest/global.html).
+
+## Installation
+
+### Using npm(ES6 module):
+```alias
+npm i w-trade-backtest
+```
+
+#### Example:
+> **Link:** [[dev source code](https://github.com/yuda-lyu/w-trade-backtest/blob/master/g.mjs)]
+```alias
+import WTradeBacktest from 'w-trade-backtest'
+import ott from 'w-trade-backtest/src/ott.mjs' //時區時間函數由外部傳入, 可用src/ott.mjs或自行以dayjs包裝
+
+
+async function test() {
+
+    //arrOhlc, 6根4hr K線
+    let arrOhlc = [
+        { time: '2020-01-01T00:00:00', Open: 100, High: 101, Low: 99, Close: 100 },
+        { time: '2020-01-01T04:00:00', Open: 100, High: 106, Low: 100, Close: 105 },
+        { time: '2020-01-01T08:00:00', Open: 105, High: 107, Low: 102, Close: 103 },
+        { time: '2020-01-01T12:00:00', Open: 103, High: 104, Low: 94, Close: 95 },
+        { time: '2020-01-01T16:00:00', Open: 95, High: 98, Low: 92, Close: 93 },
+        { time: '2020-01-01T20:00:00', Open: 93, High: 99, Low: 95, Close: 97 },
+    ]
+
+    //arrSig, 進場訊號指標序列, param>0.5代表觸發進場
+    let arrSig = [
+        { time: '2020-01-01T00:00:00', param: 1 },
+        { time: '2020-01-01T04:00:00', param: 0 },
+        { time: '2020-01-01T08:00:00', param: 1 },
+        { time: '2020-01-01T12:00:00', param: 0 },
+        { time: '2020-01-01T16:00:00', param: 0 },
+        { time: '2020-01-01T20:00:00', param: 0 },
+    ]
+
+    //funGetSeries, 序列查詢函數, 依key回傳時間序列
+    let funGetSeries = async (key) => {
+        if (key === 'btc') {
+            return arrOhlc
+        }
+        if (key === 'sig') {
+            return arrSig
+        }
+        throw new Error(`invalid key[${key}]`)
+    }
+
+    //strategy, 做多策略: sig>0.5時以Close下單, 止盈5%, 止損3%, 手續費0.05%
+    let strategy = {
+        mode: 'long', //做多
+        keyOhlc: 'btc', //K線序列key
+        conds: [ //進場條件, 各條件以sym與th判斷, opr為'and'或'or'
+            { key: 'sig', sym: '>', th: 0.5, opr: 'and' },
+        ],
+        settings: {
+            uIni: 1000, //初始資金(USDT)
+            uTrade: 100, //每次下單金額(USDT)
+            rTakeProfit: 0.05, //止盈比例
+            rStopLoss: 0.03, //止損比例
+            rFee: 0.0005, //手續費比例
+        },
+    }
+
+    //runStrategy, 執行單一策略回測
+    let r = await WTradeBacktest.runStrategy(ott, strategy, funGetSeries)
+    console.log('runStrategy orders:', r.orders.map((o) => `${o.timeStart} ${o.mode} ${o.priceStart}->${o.priceEnd} ${o.modeResult}`))
+    // => runStrategy orders: [
+    //   '2020-01-01T00:00:00 long 100->105 profit',
+    //   '2020-01-01T08:00:00 long 103->99.91 loss'
+    // ]
+    console.log('runStrategy summary:', {
+        numTrade: r.summary.numTrade,
+        rWin: r.summary.rWin,
+        uEquityFinal: r.summary.uEquityFinal,
+        rCumuProfitOrLossFinal: r.summary.rCumuProfitOrLossFinal,
+    })
+    // => runStrategy summary: {
+    //   numTrade: 2,
+    //   rWin: '50.00%',
+    //   uEquityFinal: 1001.8,
+    //   rCumuProfitOrLossFinal: '0.18%'
+    // }
+
+    //runStrategies, 執行多策略回測(各單附策略sid, 以各策略uIni總和結算)
+    let strategies = [
+        { sid: 's1', ...strategy },
+        { sid: 's2', ...strategy, mode: 'short', conds: [{ key: 'sig', sym: '<', th: 0.5, opr: 'and' }] },
+    ]
+    let rr = await WTradeBacktest.runStrategies(ott, strategies, funGetSeries)
+    console.log('runStrategies orders:', rr.orders.map((o) => `${o.sid} ${o.timeStart} ${o.mode} ${o.modeResult || 'unsettled'}`))
+    // => runStrategies orders: [
+    //   's1 2020-01-01T00:00:00 long profit',
+    //   's2 2020-01-01T04:00:00 short profit',
+    //   's1 2020-01-01T08:00:00 long loss',
+    //   's2 2020-01-01T12:00:00 short loss',
+    //   's2 2020-01-01T16:00:00 short loss',
+    //   's2 2020-01-01T20:00:00 short unsettled'
+    // ]
+    console.log('runStrategies summary:', {
+        uIni: rr.summary.uIni,
+        numTrade: rr.summary.numTrade,
+        numTradeFin: rr.summary.numTradeFin,
+        rWin: rr.summary.rWin,
+        uEquityFinal: rr.summary.uEquityFinal,
+        rSharpe: rr.summary.rSharpe,
+    })
+    // => runStrategies summary: {
+    //   uIni: 2000,
+    //   numTrade: 6,
+    //   numTradeFin: 5,
+    //   rWin: '40.00%',
+    //   uEquityFinal: 2000.5000000000005,
+    //   rSharpe: 0.36228441865471217
+    // }
+
+    //calcOrders, 手工訂單結算: 給定下單清單, 依K線判斷止盈止損並計算盈虧
+    let ordersSubmit = [
+        {
+            mode: 'long',
+            timeStart: '2020-01-01T00:00:00',
+            priceStart: 100,
+            uTrade: 100,
+            priceTakeProfit: 105,
+            priceStopLoss: 97,
+            timeEnd: '',
+            priceEnd: '',
+            modeResult: '',
+            uFee: 0.05,
+        },
+    ]
+    let ordersClose = await WTradeBacktest.calcOrders(arrOhlc, ordersSubmit, { uIni: 1000 })
+    console.log('calcOrders:', ordersClose.map((o) => `${o.timeStart}->${o.timeEnd} ${o.modeResult} uProfitOrLoss=${o.uProfitOrLoss}`))
+    // => calcOrders: [ '2020-01-01T00:00:00->2020-01-01T04:00:00 profit uProfitOrLoss=4.9' ]
+
+    //calcSummary, 基於全部交易單重算累積收益並統計摘要
+    let summary = await WTradeBacktest.calcSummary(ott, 1000, ordersClose, '2020-01-01T00:00:00', '2020-01-01T20:00:00')
+    console.log('calcSummary:', {
+        numTrade: summary.numTrade,
+        rWin: summary.rWin,
+        uEquityFinal: summary.uEquityFinal,
+    })
+    // => calcSummary: { numTrade: 1, rWin: '100.00%', uEquityFinal: 1004.9 }
+
+    //genReportCore, 產出html報告(內含權益曲線, 訂單表格, 時間軸與摘要)
+    WTradeBacktest.genReportCore({ name: '示範策略', orders: rr.orders, summary: rr.summary }, './test/tmp-g/report.html')
+    console.log('genReportCore: ./test/tmp-g/report.html')
+    // => genReportCore: ./test/tmp-g/report.html
+
+}
+test()
+    .catch((err) => {
+        console.log('catch', err)
+    })
+```

package/SECURITY.md

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+# Security Policy
+
+## Reporting a Vulnerability
+
+Please report security issues to `firsemisphere@gmail.com`

package/babel.config.js

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+module.exports = {
+    'presets': [
+        ['@babel/preset-env', {
+            'useBuiltIns': 'entry',
+            'corejs': 3
+        }]
+    ],
+    'plugins': [
+        '@babel/plugin-transform-runtime',
+        '@babel/plugin-proposal-export-default-from',
+        // '@babel/plugin-syntax-import-assertions', //已被棄用
+        // '@babel/plugin-proposal-nullish-coalescing-operator', //browser與nodejs已支援
+        // '@babel/plugin-proposal-object-rest-spread', //browser與nodejs已支援
+        // '@babel/plugin-proposal-optional-chaining', //browser與nodejs已支援
+    ]
+}

package/dist/renderOrdersTable.js

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+
+
+let renderOrdersTable = (ele, orders, opt = {}) => {
+
+    let _ = window._
+    let w = window.wsemi
+
+    if (!w.isEle(ele)) {
+        throw new Error(`invalid ele`)
+    }
+    if (!w.isearr(orders)) {
+        throw new Error(`invalid orders`)
+    }
+
+    orders = _.map(orders, (o, k) => {
+        o.id = `o${k + 1}`
+        return o
+    })
+
+    let optDef = {
+        columns: [
+            'id',
+            'mode',
+            'timeStart',
+            'priceStart',
+            'uTrade',
+            'uTradeAll',
+            'rTakeProfit',
+            'rStopLoss',
+            'timeEnd',
+            'priceEnd',
+            'modeResult',
+            'uProfitOrLoss',
+            'uCumuProfitOrLoss',
+            'uEquity',
+        ],
+        columnTranslations: {
+            id: '流水號',
+            mode: '模式',
+            timeStart: '開倉時間',
+            priceStart: '開倉價格<br>(USDT)',
+            uTrade: '下單金額<br>(USDT)',
+            uTradeAll: '當前持倉<br>(USDT)',
+            rTakeProfit: '止盈<br>(%)',
+            rStopLoss: '止損<br>(%)',
+            timeEnd: '平倉時間',
+            priceEnd: '平倉價格<br>(USDT)',
+            modeResult: '結果',
+            uProfitOrLoss: '單筆盈虧<br>(USDT)',
+            uCumuProfitOrLoss: '累計盈虧<br>(USDT)',
+            uEquity: '累計金額<br>(USDT)',
+        },
+        modeLabels: {
+            long: '做多',
+            short: '做空',
+        },
+        modeResultLabels: {
+            profit: '止盈',
+            loss: '止損',
+        },
+        rowClassDef: 'border-b border-gray-200',
+        cellClassDef: 'px-4 py-3 whitespace-nowrap',
+        formatters: {}, //使用key -> fn
+        rowClassFn: null, //使用接收(order, rowIndex) => '...'
+    }
+
+    let cfg = _.merge({}, optDef, opt)
+
+    let hHead = _.map(cfg.columns, key => {
+        let label = _.get(cfg.columnTranslations, key, key)
+        return `<th scope="col" class="px-4 py-3">${label}</th>`
+    }).join('')
+
+    let hBody = ''
+    _.forEach(orders, (order, rowIndex) => {
+
+        let rowClass = _.trim([
+            cfg.rowClassDef || '',
+            _.isFunction(cfg.rowClassFn)
+                ? (cfg.rowClassFn(order, rowIndex) || '')
+                : ''
+        ].join(' '))
+
+        hBody += `<tr class="${rowClass}">`
+
+        _.forEach(cfg.columns, key => {
+
+            let value = _.get(order, key, '')
+            let cellClass = cfg.cellClassDef
+            let format = cfg.formatters[key]
+
+            if (_.isFunction(format)) {
+                value = format(value, order, rowIndex)
+            }
+            else {
+                switch (key) {
+
+                case 'mode': {
+                    if (value === 'long') {
+                        value = cfg.modeLabels.long
+                        cellClass += ' text-green-600 font-semibold'
+                    }
+                    else if (value === 'short') {
+                        value = cfg.modeLabels.short
+                        cellClass += ' text-red-600 font-semibold'
+                    }
+                    else {
+                        value = ''
+                    }
+                    break
+                }
+
+                case 'modeResult': {
+                    if (value === 'profit') {
+                        value = cfg.modeResultLabels.profit
+                        cellClass += ' text-green-600 font-semibold'
+                    }
+                    else if (value === 'loss') {
+                        value = cfg.modeResultLabels.loss
+                        cellClass += ' text-red-600 font-semibold'
+                    }
+                    else {
+                        value = ''
+                    }
+                    break
+                }
+
+                case 'uProfitOrLoss':
+                case 'uCumuProfitOrLoss': {
+                    if (w.isnum(value)) {
+                        value = w.cdbl(value)
+                        if (value > 0) {
+                            cellClass += ' text-green-600 font-semibold'
+                        }
+                        else if (value < 0) {
+                            cellClass += ' text-red-600 font-semibold'
+                        }
+                        else {
+                            //empty
+                        }
+                        value = w.dig(value, 4)
+                    }
+                    break
+                }
+
+                case 'uEquity': {
+                    if (w.isnum(value)) {
+                        value = w.cdbl(value)
+                        if (value > 0) {
+                            //empty
+                        }
+                        else if (value < 0) {
+                            //empty
+                        }
+                        else {
+                            //empty
+                        }
+                        value = w.dig(value, 4)
+                    }
+                    break
+                }
+
+                case 'rTakeProfit':
+                case 'rStopLoss': {
+                    if (w.isnum(value)) {
+                        value = `${w.dig(value * 100, 1)}%`
+                    }
+                    break
+                }
+
+                case 'priceStart':
+                case 'priceEnd': {
+                    if (w.isnum(value)) {
+                        value = w.dig(value, 2)
+                    }
+                    break
+                }
+
+                case 'uTrade':
+                case 'uTradeAll': {
+                    if (w.isnum(value)) {
+                        value = w.dig(value, 2)
+                    }
+                    break
+                }
+
+                case 'timeStart':
+                case 'timeEnd': {
+                    if (w.isestr(value)) {
+                        value = value.replace('T', ' ')
+                    }
+                    break
+                }
+
+                default:
+                    break
+                }
+            }
+
+            hBody += `<td class="${cellClass}">${value}</td>`
+        })
+
+        hBody += `</tr>`
+    })
+
+    let h = `
+        <table class="trade-table w-full text-sm text-gray-600">
+            <thead><tr>${hHead}</tr></thead>
+            <tbody>${hBody}</tbody>
+        </table>
+    `
+
+    ele.innerHTML = h
+
+    return null
+}
+

package/dist/renderOrdersTimeline.js

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+
+
+let renderOrdersTimeline = (ele, orders, opt = {}) => {
+
+    let _ = window._
+    let w = window.wsemi
+    let ot = window.dayjs
+    let vis = window.vis
+
+    if (!w.isEle(ele)) {
+        throw new Error(`invalid ele`)
+    }
+    if (!w.isearr(orders)) {
+        throw new Error(`invalid orders`)
+    }
+
+    orders = _.map(orders, (o, k) => {
+        o.id = `o${k + 1}`
+        return o
+    })
+
+    let cv = (t) => {
+        if (!w.isestr(t)) {
+            return new Date()
+        }
+        return new Date(t)
+    }
+
+    let gv = (t, key, def = '') => {
+        let value = _.get(t, key, '')
+        if (!w.isestr(value) && !w.isnum(value)) {
+            return def
+        }
+        return value
+    }
+
+    let kv = (v) => {
+        if (v === 'profit') {
+            return '止盈'
+        }
+        else if (v === 'loss') {
+            return '止損'
+        }
+        return '尚未平倉'
+    }
+
+    function gft(d) {
+        return {
+            year: d.year(),
+            month: w.cstr(d.month() + 1).padStart(2, '0'),
+            day: w.cstr(d.date()).padStart(2, '0'),
+            hour: w.cstr(d.hour()).padStart(2, '0'),
+            minute: w.cstr(d.minute()).padStart(2, '0'),
+            second: w.cstr(d.second()).padStart(2, '0'),
+            millisecond: w.cstr(d.millisecond()).padStart(3, '0'),
+        }
+    }
+
+    function buildVisModel(rows) {
+        let groups = new vis.DataSet(
+            rows.map((r, idx) => ({
+                id: r['id'],
+                content: r['id'], // 左邊列標籤
+                order: idx, // 固定排序
+            }))
+        )
+
+        let items = new vis.DataSet(
+            rows.map((r, idx) => ({
+                id: idx + 1,
+                group: r['id'],
+                content: `${r['id']}: ${kv(r.modeResult)}`, //bar上的文字
+                start: cv(r.timeStart),
+                end: cv(r.timeEnd),
+                type: 'range',
+                title: `${r['id']}: ${gv(r, 'timeStart', '非預期錯誤')} 至 ${gv(r, 'timeEnd', '尚未平倉')}`,
+                className: r.mode === 'long' ? 'bar-long' : 'bar-short',
+            }))
+        )
+
+        return { groups, items }
+    }
+
+    let options = {
+
+        height: '600px',
+
+        stack: false, // 同一列不要堆疊（每列只有一個 item 時很適合）
+        horizontalScroll: true,
+        //zoomKey: "ctrlKey", // Ctrl + 滾輪縮放（避免誤縮放）
+        selectable: false,
+        multiselect: false,
+        margin: { item: 20, axis: 10 },
+        orientation: 'both', // 顯示上方時間軸 + 左側 groups
+        //showCurrentTime: true,
+
+        format: {
+            majorLabels: (d, scale, step) => {
+                // console.log('majorLabels', d, 'scale', scale, 'step', step)
+                let { year, month, day, hour, minute, second, millisecond } = gft(d)
+                if (scale === 'year') {
+                    return `${year}`
+                }
+                else if (scale === 'month') {
+                    return `${year}`
+                }
+                else if (scale === 'day' || scale === 'weekday') {
+                    return `${year}/${month}`
+                }
+                else if (scale === 'hour') {
+                    return `${year}/${month}/${day}`
+                }
+                else if (scale === 'minute') {
+                    return `${year}/${month}/${day} ${hour}`
+                }
+                else if (scale === 'second') {
+                    return `${year}/${month}/${day} ${hour}:${minute}`
+                }
+                else if (scale === 'millisecond') {
+                    return `${year}/${month}/${day} ${hour}:${minute}:${second}`
+                }
+                throw new Error(`invalid scale[${scale}]`)
+            },
+            minorLabels: (d, scale, step) => {
+                // console.log('minorLabels', d, 'scale', scale, 'step', step)
+                let { year, month, day, hour, minute, second, millisecond } = gft(d)
+                if (scale === 'year') {
+                    return `${year}`
+                }
+                else if (scale === 'month') {
+                    return `${month}`
+                }
+                else if (scale === 'day' || scale === 'weekday') {
+                    return `${day}`
+                }
+                else if (scale === 'hour') {
+                    return `${hour}h`
+                }
+                else if (scale === 'minute') {
+                    return `${minute}m`
+                }
+                else if (scale === 'second') {
+                    return `${second}s`
+                }
+                else if (scale === 'millisecond') {
+                    return `${millisecond}ms`
+                }
+                throw new Error(`invalid scale[${scale}]`)
+            },
+        },
+
+    }
+
+    let { groups, items } = buildVisModel(orders)
+    new vis.Timeline(ele, items, groups, options)
+    //let timeline = new vis.Timeline(ele, items, groups, options)
+    //timeline.fit();
+
+}