w-trade-backtest 1.0.3 → 1.0.5

package/src/genKLinesTpSl.mjs

@@ -0,0 +1,82 @@
+/**
+ * 計算各K線進場後之止盈止損先觸結果
+ *
+ * 以各根K線收盤價為進場價，往後逐根K線掃描first-touch，long以Low<=進場價*(1-sl)判止損、High>=進場價*(1+tp)判止盈
+ * short以High>=進場價*(1+sl)判止損、Low<=進場價*(1-tp)判止盈，同根同時觸發時皆先判止損
+ * 末根K線與掃描至序列末仍未觸發者視為未結，win為-1且pnl與hold為NaN
+ *
+ * Unit Test: {@link https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs Github}
+ * @function
+ * @param {Array} arrOhlc 輸入K線陣列，各元素需含time(秒時間字串)、Close、High、Low欄位，且依時間由小至大排序
+ * @param {Object} [opt={}] 輸入設定物件，預設{}
+ * @param {Number} opt.tp 輸入止盈比例正數，如0.05代表5%
+ * @param {Number} opt.sl 輸入止損比例正數，如0.05代表5%
+ * @param {String} [opt.mode='long'] 輸入交易方向字串，可為'long'或'short'，預設'long'
+ * @returns {Object} 回傳物件，內含time(時間字串陣列)、pnl(Float64Array，止盈為tp、止損為-sl、未結為NaN)、win(Int8Array，1為止盈先觸、0為止損先觸、-1為未結)、hold(Float64Array，出場K線與進場K線之位移根數，未結為NaN)欄位，各陣列長度同arrOhlc且index對應
+ * @example
+ *
+ * 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 },
+ * ]
+ *
+ * let r = genKLinesTpSl(arrOhlc, { tp: 0.05, sl: 0.05, mode: 'long' })
+ * console.log(Array.from(r.win))
+ * // => [ 1, 0, 0, -1, 1, -1 ]
+ * console.log(Array.from(r.hold))
+ * // => [ 1, 2, 1, NaN, 1, NaN ]
+ * console.log(Array.from(r.pnl))
+ * // => [ 0.05, -0.05, -0.05, NaN, 0.05, NaN ]
+ *
+ */
+let genKLinesTpSl = (arrOhlc, opt = {}) => {
+
+    let tp = opt.tp; let sl = opt.sl; let mode = opt.mode || 'long'
+    if (!(tp > 0) || !(sl > 0)) throw new Error(`genKLinesTpSl: invalid tp[${tp}] / sl[${sl}]`)
+
+    let n = arrOhlc.length
+    let time = new Array(n)
+    let C = new Float64Array(n); let H = new Float64Array(n); let L = new Float64Array(n)
+    for (let i = 0; i < n; i++) {
+        let r = arrOhlc[i]; time[i] = r.time; C[i] = r.Close; H[i] = r.High; L[i] = r.Low
+    }
+
+    let pnl = new Float64Array(n).fill(NaN)
+    let win = new Int8Array(n).fill(-1)
+    let hold = new Float64Array(n).fill(NaN)
+
+    for (let i = 0; i < n - 1; i++) {
+        let e = C[i]; if (!(e > 0)) continue
+        let up = e * (1 + tp); let dn = e * (1 - sl) //長: up=止盈線, dn=止損線
+        for (let j = i + 1; j < n; j++) {
+            if (mode === 'long') {
+                //長: 跌破 dn (SL) 或 漲到 up (TP); 同根同觸 → 先判 SL
+                if (L[j] <= dn) {
+                    pnl[i] = -sl; win[i] = 0; hold[i] = j - i; break
+                }
+                if (H[j] >= up) {
+                    pnl[i] = tp; win[i] = 1; hold[i] = j - i; break
+                }
+            }
+            else {
+                //空: 漲到 e*(1+sl) (SL) 或 跌到 e*(1-tp) (TP); 同根同觸 → 先判 SL
+                let upS = e * (1 + sl); let dnS = e * (1 - tp)
+                if (H[j] >= upS) {
+                    pnl[i] = -sl; win[i] = 0; hold[i] = j - i; break
+                }
+                if (L[j] <= dnS) {
+                    pnl[i] = tp; win[i] = 1; hold[i] = j - i; break
+                }
+            }
+        }
+    }
+
+    return { time, pnl, win, hold }
+}
+
+
+export default genKLinesTpSl

package/src/loadKLinesTpSl.mjs

@@ -0,0 +1,117 @@
+import path from 'path'
+import fs from 'fs'
+import dig from 'wsemi/src/dig.mjs'
+import isestr from 'wsemi/src/isestr.mjs'
+import fsIsFile from 'wsemi/src/fsIsFile.mjs'
+
+
+/**
+ * 載入止盈止損先觸結果快取檔並提供訂單重建
+ *
+ * 讀取buildKLinesTpSl產出之快取json，提供ordersFromBars依指定mode與tpsl組合與進場時間陣列重建訂單陣列
+ * 重建訂單之盈虧與累計欄位公式逐欄對齊calcOrders，可直接餵入calcOrdersSummary或calcOrdersSummarySimple
+ * fpJson非有效字串或非檔案時throw
+ *
+ * Unit Test: {@link https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs Github}
+ * @function
+ * @param {String} fpJson 輸入buildKLinesTpSl產出之快取json檔案路徑字串
+ * @returns {Object} 回傳物件，內含meta(快取設定物件)、bars(以進場時間為key之結果物件)與ordersFromBars(mode, tpsl, entryTimes, opt)訂單重建函數，函數之opt可給uTrade(每單金額，預設1)、uIni(初始資金，預設1000)、rFee(手續費率，預設0.0005)、maxExitTime(出場時間大於等於此值之單視為未平倉，預設null)與skipSort(呼叫端保證entryTimes已升序時可省排序，預設false)，回傳訂單陣列，快取內查無之進場時間會被濾除，未結單各盈虧欄位留空
+ * @example
+ *
+ * //fpJson為buildKLinesTpSl產出之快取檔
+ * let r = loadKLinesTpSl('./cache/kltpsl.json')
+ * console.log(r.meta.nBars)
+ * // => 6
+ *
+ * let orders = r.ordersFromBars('long', 5, ['2020-01-01T00:00:00', '2020-01-01T12:00:00'], { uTrade: 100, uIni: 1000 })
+ * console.log(orders.map((o) => `${o.timeStart} ${o.timeEnd || 'unsettled'} ${o.modeResult || '-'}`))
+ * // => [
+ * //   '2020-01-01T00:00:00 2020-01-01T04:00:00 profit',
+ * //   '2020-01-01T12:00:00 unsettled -'
+ * // ]
+ * console.log(orders[0].priceStart, orders[0].priceEnd, orders[0].uProfitOrLoss, orders[0].uEquity)
+ * // => 100 105 4.9 1004.9
+ *
+ */
+let loadKLinesTpSl = (fpJson) => {
+
+    //check
+    if (!isestr(fpJson)) {
+        throw new Error(`invalid fpJson`)
+    }
+    if (!fsIsFile(fpJson)) {
+        throw new Error(`fpJson[${fpJson}] is not a file`)
+    }
+
+    let obj = JSON.parse(fs.readFileSync(path.resolve(fpJson), 'utf8'))
+    let meta = obj.meta
+    let bars = obj.bars
+
+    let ordersFromBars = (mode, tpsl, entryTimes, opt = {}) => {
+        let { uTrade = 1, uIni = 1000, rFee = 0.0005, maxExitTime = null, skipSort = false } = opt
+        let k = `${mode}_${tpsl}`
+        let tpr = tpsl / 100
+        let uFee = rFee * uTrade
+
+        //先建全部 order 物件(未結者欄位留空, 對齊 calcOrders 對未平倉單的處理)。
+        //  skipSort: 呼叫端保證 entryTimes 已升序時省 [...].sort()(熱路徑省數千筆複製+排序); 預設 false 維持原行為。
+        let ets = skipSort ? entryTimes : [...entryTimes].sort()
+        let orders = ets.filter((t) => bars[t]).map((t) => {
+            let c0 = bars[t].close
+            return {
+                mode,
+                timeStart: t,
+                priceStart: c0,
+                uTrade,
+                rTakeProfit: tpr,
+                priceTakeProfit: mode === 'long' ? (1 + tpr) * c0 : (1 - tpr) * c0,
+                rStopLoss: tpr,
+                priceStopLoss: mode === 'long' ? (1 - tpr) * c0 : (1 + tpr) * c0,
+                timeEnd: '',
+                priceEnd: '',
+                modeResult: '',
+                rFee,
+                uFee,
+                uProfitOrLoss: '',
+                rProfitOrLoss: '',
+                uCumuProfitOrLoss: '',
+                rCumuProfitOrLoss: '',
+                uEquity: '',
+                uTradeAll: '',
+                rTradeAll: '',
+            }
+        })
+
+        //填已結單(公式對齊 d04 calcOrders)
+        let uEquity = uIni
+        let uCumu = 0
+        for (let o of orders) {
+            let r = bars[o.timeStart][k]
+            if (!r || r.win < 0 || !r.timeEnd) {
+                continue //未結 → 留空(計入 numTrade, 不計入已結績效)
+            }
+            if (maxExitTime && r.timeEnd >= maxExitTime) {
+                continue //區段內尚未觸 → 留未平倉
+            }
+            o.timeEnd = r.timeEnd
+            o.priceEnd = r.win === 1 ? o.priceTakeProfit : o.priceStopLoss
+            o.uProfitOrLoss = o.mode === 'long'
+                ? o.uTrade * (o.priceEnd / o.priceStart) - o.uTrade - 2 * o.uFee
+                : (o.priceStart - o.priceEnd) * (o.uTrade / o.priceStart) - 2 * o.uFee
+            o.rProfitOrLoss = o.uProfitOrLoss / o.uTrade
+            uCumu += o.uProfitOrLoss
+            o.uCumuProfitOrLoss = uCumu
+            o.rCumuProfitOrLoss = dig((o.uCumuProfitOrLoss / uIni) * 100, 2) + '%'
+            uEquity += o.uProfitOrLoss
+            o.uEquity = uEquity
+            o.modeResult = o.uProfitOrLoss < 0 ? 'loss' : 'profit'
+        }
+
+        return orders
+    }
+
+    return { meta, bars, ordersFromBars }
+}
+
+
+export default loadKLinesTpSl

package/src/runStrategiesAndBacktest.mjs

@@ -0,0 +1,152 @@
+import path from 'path'
+import get from 'lodash-es/get.js'
+import size from 'lodash-es/size.js'
+import isearr from 'wsemi/src/isearr.mjs'
+import fsIsFolder from 'wsemi/src/fsIsFolder.mjs'
+import WDataTdprovide from 'w-data-tdprovide/src/WDataTdprovide.mjs'
+import runStrategies from './runStrategies.mjs'
+import genReportCore from './genReportCore.mjs'
+import writeJson from './writeJson.mjs'
+
+
+/**
+ * 執行多策略回測並輸出訂單、摘要與報告檔案
+ *
+ * 以w-data-tdprovide讀取fdOhlc與fdParam資料夾數據，建立timeStart至timeEnd範圍之序列查詢函數後執行runStrategies
+ * 合併結果命名為'全部策略'，並輸出orders.json、summary.json、report.html至fdTest資料夾
+ * fdOhlc或fdParam非資料夾、strategies非有效陣列時throw
+ *
+ * Unit Test: {@link https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs Github}
+ * @function
+ * @param {Function} ott 輸入時區時間函數，傳入時間字串回傳dayjs時間物件(可用src/ott.mjs或自行以dayjs包裝)
+ * @param {String} fdOhlc 輸入儲存K線(ohlc)序列資料夾字串，各序列以`${key}.json`儲存
+ * @param {String} fdParam 輸入儲存指標參數序列資料夾字串
+ * @param {Array} strategies 輸入策略陣列，各元素需含sid與runStrategy之strategy欄位
+ * @param {String} timeStart 輸入回測起始秒時間字串
+ * @param {String} timeEnd 輸入回測結束秒時間字串
+ * @param {String} fdTest 輸入輸出結果資料夾字串
+ * @param {Object} [opt={}] 輸入設定物件，預設{}
+ * @param {Boolean} [opt.writeOrders=true] 輸入是否輸出orders.json布林值，預設true
+ * @param {Boolean} [opt.writeSummary=true] 輸入是否輸出summary.json布林值，預設true
+ * @param {Boolean} [opt.writeReport=true] 輸入是否輸出report.html布林值，預設true
+ * @returns {Promise} 回傳Promise，resolve為{name,orders,summary}物件，另於fdTest輸出結果檔案
+ * @example
+ *
+ * import fs from 'fs'
+ *
+ * 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 },
+ * ]
+ *
+ * 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 },
+ * ]
+ *
+ * //建立數據資料夾, fdOhlc放K線序列, fdParam放指標參數序列
+ * fs.mkdirSync('./data-ohlc', { recursive: true })
+ * fs.mkdirSync('./data-param', { recursive: true })
+ * fs.writeFileSync('./data-ohlc/btc.json', JSON.stringify(arrOhlc), 'utf8')
+ * fs.writeFileSync('./data-param/sig.json', JSON.stringify(arrSig), 'utf8')
+ *
+ * let settings = { uIni: 1000, uTrade: 100, rTakeProfit: 0.05, rStopLoss: 0.03, rFee: 0.0005 }
+ * let strategies = [
+ *     { sid: 's1', mode: 'long', keyOhlc: 'btc', conds: [{ key: 'sig', sym: '>', th: 0.5, opr: 'and' }], settings },
+ *     { sid: 's2', mode: 'short', keyOhlc: 'btc', conds: [{ key: 'sig', sym: '<', th: 0.5, opr: 'and' }], settings },
+ * ]
+ *
+ * let r = await runStrategiesAndBacktest(ott, './data-ohlc', './data-param', strategies, '2020-01-01T00:00:00', '2020-01-01T20:00:00', './result')
+ * console.log(r.name, r.summary.uIni, r.summary.numTrade, r.summary.rWin)
+ * // => 全部策略 2000 6 40.00%
+ * console.log(fs.readdirSync('./result'))
+ * // => [ 'orders.json', 'report.html', 'summary.json' ]
+ *
+ */
+let runStrategiesAndBacktest = async (ott, fdOhlc, fdParam, strategies, timeStart, timeEnd, fdTest, opt = {}) => {
+
+    if (!fsIsFolder(fdOhlc)) {
+        throw new Error(`fdOhlc[${fdOhlc}] is not a forder`)
+    }
+    if (!fsIsFolder(fdParam)) {
+        throw new Error(`fdParam[${fdParam}] is not a forder`)
+    }
+    //check
+    if (!isearr(strategies)) {
+        throw new Error(`invalid strategies`)
+    }
+
+    let writeOrders = get(opt, 'writeOrders', true)
+    let writeSummary = get(opt, 'writeSummary', true)
+    let writeReport = get(opt, 'writeReport', true)
+
+    //wdp
+    let wdp = WDataTdprovide(fdOhlc, fdParam)
+
+    //funGetSeries
+    let funGetSeries = await wdp.buildGetTimeSeriesByTimeRange(timeStart, timeEnd)
+
+    //runStrategies
+    let r = await runStrategies(ott, strategies, funGetSeries, {})
+    r.name = `全部策略`
+
+    if (writeOrders) {
+
+        //fnOrders
+        let fnOrders = `orders.json`
+
+        //fpOrders
+        let fpOrders = path.resolve(fdTest, fnOrders)
+
+        //writeJson
+        writeJson(fpOrders, r.orders, { structured: true })
+
+    }
+
+    if (writeSummary) {
+
+        //fnSummary
+        let fnSummary = `summary.json`
+
+        //fpSummary
+        let fpSummary = path.resolve(fdTest, fnSummary)
+
+        //stsm
+        let stsm = {
+            name: r.name,
+            summary: r.summary,
+        }
+        // console.log('stsm', stsm)
+
+        //writeJson
+        writeJson(fpSummary, stsm, { structured: true })
+
+        console.log('summary', r.summary, size(r.orders))
+    }
+
+    if (writeReport) {
+
+        //fnHtml
+        let fnHtml = `report.html`
+
+        //fpHtml
+        let fpHtml = path.resolve(fdTest, fnHtml)
+
+        //genReport
+        genReportCore(r, fpHtml)
+
+    }
+
+    return r
+}
+
+
+export default runStrategiesAndBacktest