w-trade-backtest 1.0.3 → 1.0.5

package/test/unit-calcOrders.test.mjs

@@ -0,0 +1,60 @@
+import assert from 'assert'
+import calcOrders from '../src/calcOrders.mjs'
+import { approx, t04, t12, buildArrOhlc, buildOrders } from './unit-setup.mjs'
+
+
+//規格來源: src/calcOrders.mjs
+//  calcOrders(arrOhlc, orders, {uIni}): 依timeStart排序逐單結算, long以Low<=priceStopLoss先判止損, High>=priceTakeProfit判止盈;
+//    short以High>=priceStopLoss先判止損, Low<=priceTakeProfit判止盈; 僅檢查time>timeStart之K棒;
+//    long盈虧 = uTrade*(priceEnd/priceStart) - uTrade - 2*uFee; short盈虧 = (priceStart-priceEnd)*(uTrade/priceStart) - 2*uFee;
+//    並累計uCumuProfitOrLoss/uEquity(自uIni起), modeResult = 盈虧<0 ? 'loss' : 'profit', 未觸發者維持原單(未平倉)
+
+
+describe('calcOrders', function() {
+
+    it('long止盈: A單於t04以High>=priceTakeProfit結算, 盈虧=100*(105/100)-100-2*0.05=4.9', async function() {
+        let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+        let o = orders[0]
+        assert.strictEqual(o.timeEnd, t04)
+        assert.strictEqual(o.priceEnd, 105)
+        assert.strictEqual(o.modeResult, 'profit')
+        assert.ok(approx(o.uProfitOrLoss, 4.9), `uProfitOrLoss=${o.uProfitOrLoss}`)
+        assert.ok(approx(o.rProfitOrLoss, 0.049), `rProfitOrLoss=${o.rProfitOrLoss}`)
+        assert.ok(approx(o.uCumuProfitOrLoss, 4.9), `uCumuProfitOrLoss=${o.uCumuProfitOrLoss}`)
+        assert.strictEqual(o.rCumuProfitOrLoss, '0.49%')
+        assert.ok(approx(o.uEquity, 1004.9), `uEquity=${o.uEquity}`)
+    })
+
+    it('long止損: B單於t12以Low<=priceStopLoss結算, 盈虧=100*(101.85/105)-100-0.1=-3.1', async function() {
+        let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+        let o = orders[1]
+        assert.strictEqual(o.timeEnd, t12)
+        assert.strictEqual(o.priceEnd, 101.85)
+        assert.strictEqual(o.modeResult, 'loss')
+        assert.ok(approx(o.uProfitOrLoss, -3.1), `uProfitOrLoss=${o.uProfitOrLoss}`)
+        assert.ok(approx(o.uCumuProfitOrLoss, 1.8), `uCumuProfitOrLoss=${o.uCumuProfitOrLoss}`)
+        assert.strictEqual(o.rCumuProfitOrLoss, '0.18%')
+        assert.ok(approx(o.uEquity, 1001.8), `uEquity=${o.uEquity}`)
+    })
+
+    it('short止盈: C單於t12以Low<=priceTakeProfit結算, 盈虧=(103-97.85)*(100/103)-0.1=4.9', async function() {
+        let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+        let o = orders[2]
+        assert.strictEqual(o.timeEnd, t12)
+        assert.strictEqual(o.priceEnd, 97.85)
+        assert.strictEqual(o.modeResult, 'profit')
+        assert.ok(approx(o.uProfitOrLoss, 4.9), `uProfitOrLoss=${o.uProfitOrLoss}`)
+        assert.ok(approx(o.uCumuProfitOrLoss, 6.7), `uCumuProfitOrLoss=${o.uCumuProfitOrLoss}`)
+        assert.strictEqual(o.rCumuProfitOrLoss, '0.67%')
+        assert.ok(approx(o.uEquity, 1006.7), `uEquity=${o.uEquity}`)
+    })
+
+    it('未觸發止盈止損: D單維持未平倉(modeResult為空字串)', async function() {
+        let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+        let o = orders[3]
+        assert.strictEqual(o.timeEnd, '')
+        assert.strictEqual(o.priceEnd, '')
+        assert.strictEqual(o.modeResult, '')
+    })
+
+})

package/test/unit-calcOrdersRatio.test.mjs

@@ -0,0 +1,39 @@
+import assert from 'assert'
+import calcOrders from '../src/calcOrders.mjs'
+import calcOrdersRatio from '../src/calcOrdersRatio.mjs'
+import ott from '../src/ott.mjs'
+import { approx, t00, buildArrOhlc, buildOrders } from './unit-setup.mjs'
+
+
+//規格來源: src/calcOrdersRatio.mjs
+//  calcOrdersRatio(ott, orders): 各已平倉單計算dayHold(以日期差+1)與rProfitOrLossDay = (1+rProfitOrLoss)^(1/dayHold)-1
+
+
+describe('calcOrdersRatio', function() {
+
+    it('同日結算單dayHold=1, rProfitOrLossDay=(1+rProfitOrLoss)^(1/1)-1', async function() {
+        let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+        orders = calcOrdersRatio(ott, orders)
+        assert.strictEqual(orders[0].dayHold, 1)
+        assert.ok(approx(orders[0].rProfitOrLossDay, 0.049), `rProfitOrLossDay=${orders[0].rProfitOrLossDay}`)
+        assert.strictEqual(orders[1].dayHold, 1)
+        assert.ok(approx(orders[1].rProfitOrLossDay, -0.031), `rProfitOrLossDay=${orders[1].rProfitOrLossDay}`)
+    })
+
+    it('跨日單dayHold以日期差+1, rProfitOrLossDay=(1.331)^(1/3)-1=0.1', function() {
+        let orders = calcOrdersRatio(ott, [{
+            modeResult: 'profit',
+            timeStart: '2020-01-01T20:00:00',
+            timeEnd: '2020-01-03T04:00:00',
+            rProfitOrLoss: 0.331,
+        }])
+        assert.strictEqual(orders[0].dayHold, 3)
+        assert.ok(approx(orders[0].rProfitOrLossDay, 0.1), `rProfitOrLossDay=${orders[0].rProfitOrLossDay}`)
+    })
+
+    it('未平倉單不計算(無dayHold欄位)', function() {
+        let orders = calcOrdersRatio(ott, [{ modeResult: '', timeStart: t00 }])
+        assert.strictEqual(orders[0].dayHold, undefined)
+    })
+
+})

package/test/unit-calcOrdersSummary.test.mjs

@@ -0,0 +1,71 @@
+import assert from 'assert'
+import calcOrders from '../src/calcOrders.mjs'
+import calcOrdersRatio from '../src/calcOrdersRatio.mjs'
+import calcOrdersSummary from '../src/calcOrdersSummary.mjs'
+import ott from '../src/ott.mjs'
+import { approx, t00, t20, buildArrOhlc, buildOrders } from './unit-setup.mjs'
+
+
+//規格來源: src/calcOrdersSummary.mjs
+//  calcOrdersSummary(ott, uIni, ordersAll, timeOhlcStart, timeOhlcEnd): 統計交易次數/勝率/最大回撤/最大持倉/夏普值/最終權益等
+
+
+describe('calcOrdersSummary', function() {
+
+    let buildSummary = async () => {
+        let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+        orders = calcOrdersRatio(ott, orders)
+        return calcOrdersSummary(ott, 1000, orders, t00, t20)
+    }
+
+    it('交易次數與勝率: 4筆共3筆已平倉, 2勝1敗, rWin=66.67%', async function() {
+        let sm = await buildSummary()
+        assert.strictEqual(sm.numTrade, 4)
+        assert.strictEqual(sm.numTradeFin, 3)
+        assert.strictEqual(sm.numTradeUnsettled, 1)
+        assert.strictEqual(sm.rWin, '66.67%')
+    })
+
+    it('最大回撤: uEquity自1004.9降至1001.8, uDrawdownMax=3.1, rDrawdownMax=3.1/1004.9=0.31%', async function() {
+        let sm = await buildSummary()
+        assert.ok(approx(sm.uDrawdownMax, 3.1), `uDrawdownMax=${sm.uDrawdownMax}`)
+        assert.strictEqual(sm.rDrawdownMax, '0.31%')
+        //等效最大回撤 = 3.1/(1004.9-1000+200) = 1.51%
+        assert.strictEqual(sm.rEquivalentDrawdownMax, '1.51%')
+    })
+
+    it('最大持倉: t08時A已平倉而B/C在倉共200, rTradeAllMax=20.00%, numTradeAllMax=2', async function() {
+        let sm = await buildSummary()
+        assert.strictEqual(sm.uTradeAllMax, 200)
+        assert.strictEqual(sm.rTradeAllMax, '20.00%')
+        assert.strictEqual(sm.numTradeAllMax, 2)
+    })
+
+    it('最終權益與盈虧: uEquityFinal=1006.7, uCumuProfitOrLossFinal=6.7, 等效盈虧=6.7/200=3.35%', async function() {
+        let sm = await buildSummary()
+        assert.ok(approx(sm.uEquityFinal, 1006.7), `uEquityFinal=${sm.uEquityFinal}`)
+        assert.ok(approx(sm.uCumuProfitOrLossFinal, 6.7), `uCumuProfitOrLossFinal=${sm.uCumuProfitOrLossFinal}`)
+        assert.strictEqual(sm.rCumuProfitOrLossFinal, '0.67%')
+        assert.strictEqual(sm.rEquivalentCumuProfitOrLossFinal, '3.35%')
+    })
+
+    it('夏普值: 日報酬{0.049,-0.031,0.049}加權計算, rSharpe=(0.0223/0.0462)*sqrt(252)=7.676', async function() {
+        let sm = await buildSummary()
+        assert.ok(approx(sm.rSharpe, 7.6758, 0.01), `rSharpe=${sm.rSharpe}`)
+    })
+
+    it('回測時長: 同日內btDays=0, btYears=0.0, 年化與等效年化為0.00%', async function() {
+        let sm = await buildSummary()
+        assert.strictEqual(sm.btDays, 0)
+        assert.strictEqual(sm.btYears, '0.0')
+        assert.strictEqual(sm.rCumuProfitOrLossFinalNormYear, '0.00%')
+        assert.strictEqual(sm.rEquivalentCumuProfitOrLossFinalNormYear, '0.00%')
+    })
+
+    it('uIni非正數時throw', function() {
+        assert.throws(() => {
+            calcOrdersSummary(ott, 0, [], t00, t20)
+        }, { message: `uIni[0] is not a positive number` })
+    })
+
+})

package/test/unit-calcOrdersSummarySimple.test.mjs

@@ -0,0 +1,30 @@
+import assert from 'assert'
+import calcOrders from '../src/calcOrders.mjs'
+import calcOrdersSummarySimple from '../src/calcOrdersSummarySimple.mjs'
+import ott from '../src/ott.mjs'
+import { approx, t00, t20, buildArrOhlc, buildOrders } from './unit-setup.mjs'
+
+
+//規格來源: src/calcOrdersSummarySimple.mjs
+//  calcOrdersSummarySimple: 精簡版, 只算選股熱路徑欄位, 與完整版對應欄位一致
+
+
+describe('calcOrdersSummarySimple', function() {
+
+    it('對應欄位與完整版一致(numTrade/rWin/uTradeAllMax/uEquityFinal/btDays等)', async function() {
+        let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+        let sm = calcOrdersSummarySimple(ott, 1000, orders, t00, t20)
+        assert.strictEqual(sm.numTrade, 4)
+        assert.strictEqual(sm.numTradeFin, 3)
+        assert.strictEqual(sm.rWin, '66.67%')
+        assert.strictEqual(sm.uTradeAllMax, 200)
+        assert.strictEqual(sm.rTradeAllMax, '20.00%')
+        assert.ok(approx(sm.uEquityFinal, 1006.7), `uEquityFinal=${sm.uEquityFinal}`)
+        assert.strictEqual(sm.btDays, 0)
+        assert.strictEqual(sm.btYears, '0.0')
+        assert.strictEqual(sm.rEquivalentCumuProfitOrLossFinalNormYear, '0.00%')
+        assert.strictEqual(sm.timeOhlcStart, t00)
+        assert.strictEqual(sm.timeOhlcEnd, t20)
+    })
+
+})

package/test/unit-calcSummary.test.mjs

@@ -0,0 +1,30 @@
+import assert from 'assert'
+import calcOrders from '../src/calcOrders.mjs'
+import calcSummary from '../src/calcSummary.mjs'
+import ott from '../src/ott.mjs'
+import { approx, t00, t20, buildArrOhlc, buildOrders } from './unit-setup.mjs'
+
+
+//規格來源: src/calcSummary.mjs
+//  calcSummary(ott, uIni, orders, timeOhlcStart, timeOhlcEnd): 重算累積收益後執行ratio+summary, 另附timeTest/timeOhlcStart/timeOhlcEnd/uIni
+
+
+describe('calcSummary', function() {
+
+    it('重算累積收益後回傳完整摘要, 附timeTest/timeOhlcStart/timeOhlcEnd/uIni', async function() {
+        let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+        let sm = await calcSummary(ott, 1000, orders, t00, t20)
+        assert.ok(/^\d{4}-\d{2}-\d{2}T\d{2}:\d{2}:\d{2}\+08:00$/.test(sm.timeTest), `timeTest=${sm.timeTest}`)
+        assert.strictEqual(sm.timeOhlcStart, t00)
+        assert.strictEqual(sm.timeOhlcEnd, t20)
+        assert.strictEqual(sm.uIni, 1000)
+        assert.strictEqual(sm.numTrade, 4)
+        assert.strictEqual(sm.rWin, '66.67%')
+        assert.ok(approx(sm.uEquityFinal, 1006.7), `uEquityFinal=${sm.uEquityFinal}`)
+    })
+
+    it('timeOhlcStart非有效字串時reject', async function() {
+        await assert.rejects(calcSummary(ott, 1000, [], '', t20), { message: `invalid timeOhlcStart[]` })
+    })
+
+})

package/test/unit-closeAndSummaryOrders.test.mjs

@@ -0,0 +1,53 @@
+import assert from 'assert'
+import fs from 'fs'
+import path from 'path'
+import closeAndSummaryOrders from '../src/closeAndSummaryOrders.mjs'
+import ott from '../src/ott.mjs'
+import { t00, t04, t20, buildArrOhlc, buildOrder, buildFdTmp } from './unit-setup.mjs'
+
+
+//規格來源: src/closeAndSummaryOrders.mjs
+//  closeAndSummaryOrders(ott, fdOhlc, fdParam, uIni, timeOhlcStart, timeOhlcEnd, keyOhlc, ordersSubmit, fdTest, opt):
+//    以w-data-tdprovide讀取fdOhlc/fdParam數據, 結算ordersSubmit並輸出orders.json/summary.json/report.html至fdTest
+
+
+let fdTmp = buildFdTmp('closeAndSummaryOrders')
+
+
+describe('closeAndSummaryOrders', function() {
+
+    after(function() {
+        fs.rmSync(fdTmp, { recursive: true, force: true })
+    })
+
+    it('以w-data-tdprovide讀取數據結算訂單, 輸出orders.json/summary.json/report.html', async function() {
+        //fixtures: fdOhlc放btc.json, fdParam為空資料夾
+        let fdOhlc = path.resolve(fdTmp, 'data-ohlc')
+        let fdParam = path.resolve(fdTmp, 'data-param')
+        let fdTest = path.resolve(fdTmp, 'result')
+        fs.mkdirSync(fdOhlc, { recursive: true })
+        fs.mkdirSync(fdParam, { recursive: true })
+        fs.writeFileSync(path.resolve(fdOhlc, 'btc.json'), JSON.stringify(buildArrOhlc()), 'utf8')
+
+        //ordersSubmit: A單(止盈於t04)
+        let ordersSubmit = [buildOrder('long', t00, 100, 105, 97)]
+
+        await closeAndSummaryOrders(ott, fdOhlc, fdParam, 1000, t00, t20, 'btc', ordersSubmit, fdTest)
+
+        //orders.json
+        let orders = JSON.parse(fs.readFileSync(path.resolve(fdTest, 'orders.json'), 'utf8'))
+        assert.strictEqual(orders.length, 1)
+        assert.strictEqual(orders[0].timeEnd, t04)
+        assert.strictEqual(orders[0].modeResult, 'profit')
+
+        //summary.json
+        let stsm = JSON.parse(fs.readFileSync(path.resolve(fdTest, 'summary.json'), 'utf8'))
+        assert.strictEqual(stsm.name, '全部策略')
+        assert.strictEqual(stsm.summary.numTrade, 1)
+        assert.strictEqual(stsm.summary.rWin, '100.00%')
+
+        //report.html
+        assert.ok(fs.existsSync(path.resolve(fdTest, 'report.html')))
+    })
+
+})

package/test/unit-genKLinesTpSl.test.mjs

@@ -0,0 +1,46 @@
+import assert from 'assert'
+import genKLinesTpSl from '../src/genKLinesTpSl.mjs'
+import { t00, t04, t08, t12, t16, t20, buildArrOhlc } from './unit-setup.mjs'
+
+
+//規格來源: src/genKLinesTpSl.mjs
+//  genKLinesTpSl(arrOhlc, {tp,sl,mode}): 各根K線以Close為進場價往後掃first-touch, long以Low<=(1-sl)判止損先於High>=(1+tp)判止盈,
+//    short以High>=(1+sl)判止損先於Low<=(1-tp)判止盈, 回傳{time,pnl,win,hold}, win為1/0/-1(止盈/止損/未結), 未結pnl與hold為NaN
+
+
+describe('genKLinesTpSl', function() {
+
+    it('long: 各根以Close為進場價往後掃first-touch, 同根同觸先判止損, 掃至序列末未觸者win為-1', function() {
+        let r = genKLinesTpSl(buildArrOhlc(), { tp: 0.05, sl: 0.05, mode: 'long' })
+        //t00: e=100, up=105, dn=95, t04之High=106觸止盈
+        //t04: e=105, up=110.25, dn=99.75, t12之Low=94觸止損(位移2)
+        //t08: e=103, up=108.15, dn=97.85, t12之Low=94觸止損
+        //t12: e=95, up=99.75, dn=90.25, t16與t20皆未觸
+        //t16: e=93, up=97.65, dn=88.35, t20之High=99觸止盈
+        //t20: 末根無後續K棒
+        assert.deepStrictEqual(Array.from(r.win), [1, 0, 0, -1, 1, -1])
+        assert.deepStrictEqual(Array.from(r.hold), [1, 2, 1, NaN, 1, NaN])
+        assert.deepStrictEqual(Array.from(r.pnl), [0.05, -0.05, -0.05, NaN, 0.05, NaN])
+        assert.deepStrictEqual(r.time, [t00, t04, t08, t12, t16, t20])
+    })
+
+    it('short: 以High>=(1+sl)判止損先於Low<=(1-tp)判止盈', function() {
+        let r = genKLinesTpSl(buildArrOhlc(), { tp: 0.05, sl: 0.05, mode: 'short' })
+        //t00: e=100, upS=105, dnS=95, t04之High=106觸止損
+        //t04: e=105, upS=110.25, dnS=99.75, t12之Low=94觸止盈(位移2)
+        //t16: e=93, upS=97.65, dnS=88.35, t20之High=99觸止損
+        assert.deepStrictEqual(Array.from(r.win), [0, 1, 1, -1, 0, -1])
+        assert.deepStrictEqual(Array.from(r.hold), [1, 2, 1, NaN, 1, NaN])
+    })
+
+    it('mode預設long', function() {
+        let r = genKLinesTpSl(buildArrOhlc(), { tp: 0.05, sl: 0.05 })
+        assert.deepStrictEqual(Array.from(r.win), [1, 0, 0, -1, 1, -1])
+    })
+
+    it('tp或sl非正數時throw', function() {
+        assert.throws(() => genKLinesTpSl(buildArrOhlc(), { sl: 0.05 }), { message: `genKLinesTpSl: invalid tp[undefined] / sl[0.05]` })
+        assert.throws(() => genKLinesTpSl(buildArrOhlc(), { tp: 0.05, sl: 0 }), { message: `genKLinesTpSl: invalid tp[0.05] / sl[0]` })
+    })
+
+})

package/test/unit-genReport.test.mjs

@@ -0,0 +1,113 @@
+import assert from 'assert'
+import fs from 'fs'
+import path from 'path'
+import calcOrders from '../src/calcOrders.mjs'
+import genReport from '../src/genReport.mjs'
+import ott from '../src/ott.mjs'
+import writeJson from '../src/writeJson.mjs'
+import { approx, t00, t16, t20, buildArrOhlc, buildOrders, buildFdTmp } from './unit-setup.mjs'
+
+
+//規格來源: src/genReport.mjs
+//  genReport(ott, fpOrders, opt): 讀orders.json後calcSummary+genReportCore產出html, 回傳{orders,summary,fpOut};
+//    opt.fpOut預設同資料夾report.html, opt.name預設所在資料夾名, opt.uIni預設由首筆已結算單推回(uEquity-uCumuProfitOrLoss),
+//    opt.timeOhlcStart/timeOhlcEnd預設由訂單起訖推得, opt.withWriteSummary:true另輸出summary.json
+
+
+let fdTmp = buildFdTmp('genReport')
+
+
+describe('genReport', function() {
+
+    after(function() {
+        fs.rmSync(fdTmp, { recursive: true, force: true })
+    })
+
+    //writeSettledOrders: 將已結算訂單寫至`${fdTmp}/${fd}/orders.json`並回傳其路徑
+    let writeSettledOrders = async (fd) => {
+        let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+        let fpOrders = path.resolve(fdTmp, fd, 'orders.json')
+        writeJson(fpOrders, orders)
+        return fpOrders
+    }
+
+    it('預設輸出同資料夾report.html, name取所在資料夾名, uIni由首筆已結算單推回', async function() {
+        let fpOrders = await writeSettledOrders('gr-default')
+
+        let r = await genReport(ott, fpOrders)
+
+        //fpOut
+        assert.strictEqual(r.fpOut, path.resolve(fdTmp, 'gr-default', 'report.html'))
+        assert.ok(fs.existsSync(r.fpOut))
+
+        //orders
+        assert.strictEqual(r.orders.length, 4)
+
+        //summary, uIni由首筆已結算單推回(1004.9-4.9=1000), 統計區間由訂單起訖推得(t00至未平倉D單之timeStart=t16)
+        assert.strictEqual(r.summary.uIni, 1000)
+        assert.strictEqual(r.summary.timeOhlcStart, t00)
+        assert.strictEqual(r.summary.timeOhlcEnd, t16)
+        assert.strictEqual(r.summary.numTrade, 4)
+        assert.strictEqual(r.summary.numTradeUnsettled, 1)
+        assert.strictEqual(r.summary.rWin, '66.67%')
+        assert.ok(approx(r.summary.uEquityFinal, 1006.7), `uEquityFinal=${r.summary.uEquityFinal}`)
+
+        //html已置換name與orders
+        let h = fs.readFileSync(r.fpOut, 'utf8')
+        assert.ok(h.includes('gr-default'))
+        assert.ok(!h.includes('{orders}'))
+        assert.ok(!h.includes('{summary}'))
+    })
+
+    it('opt指定fpOut/name/uIni/timeOhlcStart/timeOhlcEnd, withWriteSummary另輸出summary.json', async function() {
+        let fpOrders = await writeSettledOrders('gr-opt')
+        let fpOut = path.resolve(fdTmp, 'gr-opt-out', 'rpt.html')
+
+        let r = await genReport(ott, fpOrders, {
+            fpOut,
+            name: '指定報表名',
+            uIni: 2000,
+            timeOhlcStart: t00,
+            timeOhlcEnd: t20,
+            withWriteSummary: true,
+        })
+
+        //fpOut
+        assert.strictEqual(r.fpOut, fpOut)
+        assert.ok(fs.existsSync(fpOut))
+        assert.ok(fs.readFileSync(fpOut, 'utf8').includes('指定報表名'))
+
+        //summary
+        assert.strictEqual(r.summary.uIni, 2000)
+        assert.strictEqual(r.summary.timeOhlcStart, t00)
+        assert.strictEqual(r.summary.timeOhlcEnd, t20)
+
+        //summary.json, 與fpOut同資料夾, 內含name與summary
+        let fpSummary = path.resolve(fdTmp, 'gr-opt-out', 'summary.json')
+        let stsm = JSON.parse(fs.readFileSync(fpSummary, 'utf8'))
+        assert.strictEqual(stsm.name, '指定報表名')
+        assert.strictEqual(stsm.summary.numTrade, 4)
+    })
+
+    it('withWriteSummary預設false, 不輸出summary.json', async function() {
+        let fpOrders = await writeSettledOrders('gr-nosummary')
+        await genReport(ott, fpOrders)
+        assert.ok(!fs.existsSync(path.resolve(fdTmp, 'gr-nosummary', 'summary.json')))
+    })
+
+    it('fpOrders非有效字串時reject', async function() {
+        await assert.rejects(genReport(ott, ''), { message: `invalid fpOrders` })
+    })
+
+    it('fpOrders非檔案時reject', async function() {
+        let fp = path.resolve(fdTmp, 'gr-none', 'orders.json')
+        await assert.rejects(genReport(ott, fp), { message: `fpOrders[${fp}] is not a file` })
+    })
+
+    it('orders.json內容非有效陣列時reject', async function() {
+        let fp = path.resolve(fdTmp, 'gr-invalid', 'orders.json')
+        writeJson(fp, [])
+        await assert.rejects(genReport(ott, fp), { message: `orders in fpOrders[${fp}] is not an effective array` })
+    })
+
+})

package/test/unit-genReportCore.test.mjs

@@ -0,0 +1,39 @@
+import assert from 'assert'
+import fs from 'fs'
+import path from 'path'
+import calcOrders from '../src/calcOrders.mjs'
+import calcOrdersRatio from '../src/calcOrdersRatio.mjs'
+import calcOrdersSummary from '../src/calcOrdersSummary.mjs'
+import genReportCore from '../src/genReportCore.mjs'
+import ott from '../src/ott.mjs'
+import { t00, t20, buildArrOhlc, buildOrders, buildFdTmp } from './unit-setup.mjs'
+
+
+//規格來源: src/genReportCore.mjs
+//  genReportCore(r, fpOut): 讀取src內tmp.html與render*.js模板, 置換{name}/{orders}/{summary}後寫出html
+
+
+let fdTmp = buildFdTmp('genReportCore')
+
+
+describe('genReportCore', function() {
+
+    after(function() {
+        fs.rmSync(fdTmp, { recursive: true, force: true })
+    })
+
+    it('置換模板{name}/{orders}/{summary}後寫出html', async function() {
+        let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+        orders = calcOrdersRatio(ott, orders)
+        let summary = calcOrdersSummary(ott, 1000, orders, t00, t20)
+        let fpOut = path.resolve(fdTmp, 'report.html')
+        genReportCore({ name: '單元測試報告', orders, summary }, fpOut)
+        assert.ok(fs.existsSync(fpOut))
+        let h = fs.readFileSync(fpOut, 'utf8')
+        assert.ok(h.includes('單元測試報告'))
+        assert.ok(!h.includes('{orders}'))
+        assert.ok(!h.includes('{summary}'))
+        assert.ok(h.includes(t00)) //orders已注入
+    })
+
+})

package/test/unit-loadKLinesTpSl.test.mjs

@@ -0,0 +1,158 @@
+import assert from 'assert'
+import fs from 'fs'
+import path from 'path'
+import buildKLinesTpSl from '../src/buildKLinesTpSl.mjs'
+import calcOrders from '../src/calcOrders.mjs'
+import loadKLinesTpSl from '../src/loadKLinesTpSl.mjs'
+import { approx, t00, t04, t08, t12, t16, t20, buildArrOhlc, buildOrder, buildFdTmp } from './unit-setup.mjs'
+
+
+//規格來源: src/loadKLinesTpSl.mjs
+//  loadKLinesTpSl(fpJson): 載入快取回傳{meta,bars,ordersFromBars}, ordersFromBars(mode,tpsl,entryTimes,opt)依快取重建訂單陣列,
+//    opt含uTrade/uIni/rFee/maxExitTime/skipSort, 盈虧與累計欄位公式對齊calcOrders, 未結單各盈虧欄位留空
+
+
+let fdTmp = buildFdTmp('loadKLinesTpSl')
+
+
+describe('loadKLinesTpSl', function() {
+
+    after(function() {
+        fs.rmSync(fdTmp, { recursive: true, force: true })
+    })
+
+    //buildCache: 產一份long/short各tpsl=5之快取檔, 回傳其路徑
+    let buildCache = async (fd) => {
+        let fdOhlc = path.resolve(fdTmp, fd, 'data-ohlc')
+        let fdParam = path.resolve(fdTmp, fd, 'data-param')
+        fs.mkdirSync(fdOhlc, { recursive: true })
+        fs.mkdirSync(fdParam, { recursive: true })
+        fs.writeFileSync(path.resolve(fdOhlc, 'btc.json'), JSON.stringify(buildArrOhlc()), 'utf8')
+        let fpJson = path.resolve(fdTmp, fd, 'kltpsl.json')
+        await buildKLinesTpSl(fdOhlc, fdParam, fpJson, { keyOhlc: 'btc', ts: t00, te: t20, tps: [5], modes: ['long', 'short'] })
+        return fpJson
+    }
+
+    it('回傳meta與bars, ordersFromBars重建已結單各欄位與累計值', async function() {
+        let fpJson = await buildCache('lkts-basic')
+        let r = loadKLinesTpSl(fpJson)
+
+        //meta與bars
+        assert.strictEqual(r.meta.nBars, 6)
+        assert.strictEqual(r.bars[t00].close, 100)
+
+        //ordersFromBars, t00與t16皆止盈
+        let orders = r.ordersFromBars('long', 5, [t00, t16], { uTrade: 100, uIni: 1000 })
+        assert.strictEqual(orders.length, 2)
+
+        let o0 = orders[0]
+        assert.strictEqual(o0.mode, 'long')
+        assert.strictEqual(o0.timeStart, t00)
+        assert.strictEqual(o0.priceStart, 100)
+        assert.strictEqual(o0.priceTakeProfit, 105) //(1+0.05)*100
+        assert.strictEqual(o0.priceStopLoss, 95) //(1-0.05)*100
+        assert.strictEqual(o0.timeEnd, t04)
+        assert.strictEqual(o0.priceEnd, 105)
+        assert.strictEqual(o0.modeResult, 'profit')
+        assert.strictEqual(o0.uFee, 0.05) //rFee=0.0005, uTrade=100
+        assert.ok(approx(o0.uProfitOrLoss, 4.9), `uProfitOrLoss=${o0.uProfitOrLoss}`) //100*(105/100)-100-2*0.05
+        assert.ok(approx(o0.rProfitOrLoss, 0.049), `rProfitOrLoss=${o0.rProfitOrLoss}`)
+        assert.ok(approx(o0.uEquity, 1004.9), `uEquity=${o0.uEquity}`)
+        assert.strictEqual(o0.rCumuProfitOrLoss, '0.49%')
+
+        //累計跨單累加
+        let o1 = orders[1]
+        assert.strictEqual(o1.timeStart, t16)
+        assert.strictEqual(o1.timeEnd, t20)
+        assert.ok(approx(o1.uCumuProfitOrLoss, 9.8), `uCumuProfitOrLoss=${o1.uCumuProfitOrLoss}`)
+        assert.ok(approx(o1.uEquity, 1009.8), `uEquity=${o1.uEquity}`)
+        assert.strictEqual(o1.rCumuProfitOrLoss, '0.98%')
+    })
+
+    it('未結單各盈虧欄位留空, 且不影響其後已結單累計', async function() {
+        let fpJson = await buildCache('lkts-unsettled')
+        let r = loadKLinesTpSl(fpJson)
+
+        //t12為未結(win=-1)
+        let orders = r.ordersFromBars('long', 5, [t00, t12], { uTrade: 100, uIni: 1000 })
+        let o1 = orders[1]
+        assert.strictEqual(o1.timeStart, t12)
+        assert.strictEqual(o1.timeEnd, '')
+        assert.strictEqual(o1.priceEnd, '')
+        assert.strictEqual(o1.modeResult, '')
+        assert.strictEqual(o1.uProfitOrLoss, '')
+        assert.strictEqual(o1.uEquity, '')
+    })
+
+    it('entryTimes未排序時自動升序, skipSort:true則維持原順序', async function() {
+        let fpJson = await buildCache('lkts-sort')
+        let r = loadKLinesTpSl(fpJson)
+
+        let orders = r.ordersFromBars('long', 5, [t16, t00], { uTrade: 100, uIni: 1000 })
+        assert.deepStrictEqual(orders.map((o) => o.timeStart), [t00, t16])
+
+        let ordersSkip = r.ordersFromBars('long', 5, [t16, t00], { uTrade: 100, uIni: 1000, skipSort: true })
+        assert.deepStrictEqual(ordersSkip.map((o) => o.timeStart), [t16, t00])
+    })
+
+    it('maxExitTime時出場時間大於等於它之單視為未平倉', async function() {
+        let fpJson = await buildCache('lkts-maxexit')
+        let r = loadKLinesTpSl(fpJson)
+
+        //t00單出場於t04, maxExitTime給t04則視為未平倉
+        let orders = r.ordersFromBars('long', 5, [t00], { uTrade: 100, uIni: 1000, maxExitTime: t04 })
+        assert.strictEqual(orders[0].timeEnd, '')
+        assert.strictEqual(orders[0].modeResult, '')
+
+        //maxExitTime給t08則正常結算
+        let orders2 = r.ordersFromBars('long', 5, [t00], { uTrade: 100, uIni: 1000, maxExitTime: t08 })
+        assert.strictEqual(orders2[0].timeEnd, t04)
+        assert.strictEqual(orders2[0].modeResult, 'profit')
+    })
+
+    it('快取內查無之進場時間會被濾除, opt未給時uTrade為1且rFee為0.0005', async function() {
+        let fpJson = await buildCache('lkts-filter')
+        let r = loadKLinesTpSl(fpJson)
+
+        let orders = r.ordersFromBars('long', 5, ['1999-01-01T00:00:00', t00])
+        assert.strictEqual(orders.length, 1)
+        assert.strictEqual(orders[0].timeStart, t00)
+        assert.strictEqual(orders[0].uTrade, 1)
+        assert.strictEqual(orders[0].rFee, 0.0005)
+        assert.ok(approx(orders[0].uFee, 0.0005), `uFee=${orders[0].uFee}`)
+    })
+
+    it('已結單盈虧與累計欄位與calcOrders逐欄一致', async function() {
+        let fpJson = await buildCache('lkts-samewith-calcorders')
+        let r = loadKLinesTpSl(fpJson)
+
+        //ordersFromBars, t00(止盈於t04)與t16(止盈於t20)
+        let orders = r.ordersFromBars('long', 5, [t00, t16], { uTrade: 100, uIni: 1000 })
+
+        //calcOrders, 以相同進場價與止盈止損價下單
+        let ordersSubmit = [
+            buildOrder('long', t00, 100, 105, 95),
+            buildOrder('long', t16, 93, 97.65, 88.35),
+        ]
+        let ordersCalc = await calcOrders(buildArrOhlc(), ordersSubmit, { uIni: 1000 })
+
+        let keys = ['timeStart', 'timeEnd', 'priceStart', 'priceEnd', 'modeResult', 'uProfitOrLoss', 'rProfitOrLoss', 'uCumuProfitOrLoss', 'rCumuProfitOrLoss', 'uEquity']
+        for (let i = 0; i < 2; i++) {
+            for (let k of keys) {
+                if (typeof ordersCalc[i][k] === 'number') {
+                    assert.ok(approx(orders[i][k], ordersCalc[i][k]), `orders[${i}].${k}=${orders[i][k]}, ordersCalc[${i}].${k}=${ordersCalc[i][k]}`)
+                }
+                else {
+                    assert.strictEqual(orders[i][k], ordersCalc[i][k], `orders[${i}].${k}`)
+                }
+            }
+        }
+    })
+
+    it('fpJson非有效字串或非檔案時throw', function() {
+        let fp = path.resolve(fdTmp, 'lkts-none', 'kltpsl.json')
+        assert.throws(() => loadKLinesTpSl(''), { message: `invalid fpJson` })
+        assert.throws(() => loadKLinesTpSl(fp), { message: `fpJson[${fp}] is not a file` })
+    })
+
+})

package/test/unit-ott.test.mjs

@@ -0,0 +1,20 @@
+import assert from 'assert'
+import ott, { nowTpeStr } from '../src/ott.mjs'
+
+
+//規格來源: src/ott.mjs
+//  ott(input): 以dayjs解析秒時間字串為台北時區時間物件, nowTpeStr(): 回傳當下台北時區秒時間字串
+
+
+describe('ott', function() {
+
+    it('解析秒時間字串並可format與diff', function() {
+        assert.strictEqual(ott('2020-01-01T00:00:00').format('YYYY-MM-DD'), '2020-01-01')
+        assert.strictEqual(ott('2020-01-03T04:00:00').diff(ott('2020-01-01T20:00:00'), 'day'), 1)
+    })
+
+    it('nowTpeStr回傳台北時區秒時間字串', function() {
+        assert.ok(/^\d{4}-\d{2}-\d{2}T\d{2}:\d{2}:\d{2}\+08:00$/.test(nowTpeStr()))
+    })
+
+})