w-trade-backtest 1.0.3

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Files changed (84) hide show
  1. package/.editorconfig +9 -0
  2. package/.eslintignore +3 -0
  3. package/.eslintrc.js +55 -0
  4. package/.jsdoc +25 -0
  5. package/README.md +167 -0
  6. package/SECURITY.md +5 -0
  7. package/babel.config.js +16 -0
  8. package/dist/renderOrdersTable.js +217 -0
  9. package/dist/renderOrdersTimeline.js +159 -0
  10. package/dist/renderProfitPlot.js +198 -0
  11. package/dist/renderSummary.js +194 -0
  12. package/dist/tmp.html +232 -0
  13. package/dist/w-trade-backtest.umd.js +32 -0
  14. package/dist/w-trade-backtest.umd.js.map +1 -0
  15. package/docs/calcOrders.mjs.html +278 -0
  16. package/docs/calcOrdersRatio.mjs.html +146 -0
  17. package/docs/calcOrdersSummary.mjs.html +506 -0
  18. package/docs/calcOrdersSummarySimple.mjs.html +207 -0
  19. package/docs/calcSummary.mjs.html +201 -0
  20. package/docs/closeAndSummaryOrders.mjs.html +265 -0
  21. package/docs/fonts/Montserrat/Montserrat-Bold.eot +0 -0
  22. package/docs/fonts/Montserrat/Montserrat-Bold.ttf +0 -0
  23. package/docs/fonts/Montserrat/Montserrat-Bold.woff +0 -0
  24. package/docs/fonts/Montserrat/Montserrat-Bold.woff2 +0 -0
  25. package/docs/fonts/Montserrat/Montserrat-Regular.eot +0 -0
  26. package/docs/fonts/Montserrat/Montserrat-Regular.ttf +0 -0
  27. package/docs/fonts/Montserrat/Montserrat-Regular.woff +0 -0
  28. package/docs/fonts/Montserrat/Montserrat-Regular.woff2 +0 -0
  29. package/docs/fonts/Source-Sans-Pro/sourcesanspro-light-webfont.eot +0 -0
  30. package/docs/fonts/Source-Sans-Pro/sourcesanspro-light-webfont.svg +978 -0
  31. package/docs/fonts/Source-Sans-Pro/sourcesanspro-light-webfont.ttf +0 -0
  32. package/docs/fonts/Source-Sans-Pro/sourcesanspro-light-webfont.woff +0 -0
  33. package/docs/fonts/Source-Sans-Pro/sourcesanspro-light-webfont.woff2 +0 -0
  34. package/docs/fonts/Source-Sans-Pro/sourcesanspro-regular-webfont.eot +0 -0
  35. package/docs/fonts/Source-Sans-Pro/sourcesanspro-regular-webfont.svg +1049 -0
  36. package/docs/fonts/Source-Sans-Pro/sourcesanspro-regular-webfont.ttf +0 -0
  37. package/docs/fonts/Source-Sans-Pro/sourcesanspro-regular-webfont.woff +0 -0
  38. package/docs/fonts/Source-Sans-Pro/sourcesanspro-regular-webfont.woff2 +0 -0
  39. package/docs/genReport.mjs.html +196 -0
  40. package/docs/genReportCore.mjs.html +128 -0
  41. package/docs/global.html +4231 -0
  42. package/docs/index.html +84 -0
  43. package/docs/runStrategies.mjs.html +244 -0
  44. package/docs/runStrategy.mjs.html +455 -0
  45. package/docs/scripts/collapse.js +39 -0
  46. package/docs/scripts/commonNav.js +28 -0
  47. package/docs/scripts/linenumber.js +25 -0
  48. package/docs/scripts/nav.js +12 -0
  49. package/docs/scripts/polyfill.js +4 -0
  50. package/docs/scripts/prettify/Apache-License-2.0.txt +202 -0
  51. package/docs/scripts/prettify/lang-css.js +2 -0
  52. package/docs/scripts/prettify/prettify.js +28 -0
  53. package/docs/scripts/search.js +99 -0
  54. package/docs/styles/jsdoc.css +776 -0
  55. package/docs/styles/prettify.css +80 -0
  56. package/g.mjs +146 -0
  57. package/package.json +30 -0
  58. package/script.txt +19 -0
  59. package/src/WTradeBacktest.mjs +27 -0
  60. package/src/calcOrders.mjs +206 -0
  61. package/src/calcOrdersRatio.mjs +74 -0
  62. package/src/calcOrdersSummary.mjs +434 -0
  63. package/src/calcOrdersSummarySimple.mjs +135 -0
  64. package/src/calcSummary.mjs +129 -0
  65. package/src/closeAndSummaryOrders.mjs +193 -0
  66. package/src/genReport.mjs +124 -0
  67. package/src/genReportCore.mjs +56 -0
  68. package/src/ott.mjs +28 -0
  69. package/src/readJson.mjs +26 -0
  70. package/src/renderOrdersTable.js +217 -0
  71. package/src/renderOrdersTimeline.js +159 -0
  72. package/src/renderProfitPlot.js +198 -0
  73. package/src/renderSummary.js +194 -0
  74. package/src/runStrategies.mjs +172 -0
  75. package/src/runStrategy.mjs +383 -0
  76. package/src/tmp.html +232 -0
  77. package/src/writeJson.mjs +31 -0
  78. package/src/writeTxt.mjs +19 -0
  79. package/test/unit-WTradeBacktest.test.mjs +541 -0
  80. package/toolg/addVersion.mjs +4 -0
  81. package/toolg/cleanFolder.mjs +5 -0
  82. package/toolg/gDistRollup.mjs +51 -0
  83. package/toolg/gDocsExams.mjs +48 -0
  84. package/toolg/modifyReadme.mjs +4 -0
package/docs/genReport.mjs.html ADDED
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+ <!DOCTYPE html>
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+ <html lang="en">
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+ <head>
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+
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+ <meta charset="utf-8">
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+ <title>genReport.mjs - Documentation</title>
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+
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+
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+ <script src="scripts/prettify/prettify.js"></script>
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+ <script src="scripts/prettify/lang-css.js"></script>
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+ <!--[if lt IE 9]>
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+ <script src="//html5shiv.googlecode.com/svn/trunk/html5.js"></script>
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+ <![endif]-->
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+ <link type="text/css" rel="stylesheet" href="styles/prettify.css">
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+ <link type="text/css" rel="stylesheet" href="styles/jsdoc.css">
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+ <script src="scripts/nav.js" defer></script>
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+
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+ <meta name="viewport" content="width=device-width, initial-scale=1.0">
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+ </head>
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+ <body>
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+
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+ <input type="checkbox" id="nav-trigger" class="nav-trigger" />
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+ <label for="nav-trigger" class="navicon-button x">
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+ <div class="navicon"></div>
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+ </label>
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+
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+ <label for="nav-trigger" class="overlay"></label>
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+
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+ <nav >
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+
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+
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+ <h2><a href="index.html">Home</a></h2><h3>Global</h3><ul><li><a href="global.html#calcOrders">calcOrders</a></li><li><a href="global.html#calcOrdersRatio">calcOrdersRatio</a></li><li><a href="global.html#calcOrdersSummary">calcOrdersSummary</a></li><li><a href="global.html#calcOrdersSummarySimple">calcOrdersSummarySimple</a></li><li><a href="global.html#calcSummary">calcSummary</a></li><li><a href="global.html#closeAndSummaryOrders">closeAndSummaryOrders</a></li><li><a href="global.html#genReport">genReport</a></li><li><a href="global.html#genReportCore">genReportCore</a></li><li><a href="global.html#runStrategies">runStrategies</a></li><li><a href="global.html#runStrategy">runStrategy</a></li></ul>
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+
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+ </nav>
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+
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+ <div id="main">
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+
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+ <h1 class="page-title">genReport.mjs</h1>
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+
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+
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+
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+
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+
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+
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+
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+ <section>
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+ <article>
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+ <pre class="prettyprint source linenums"><code>import path from 'path'
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+ import _ from 'lodash-es'
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+ import w from 'wsemi'
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+ import calcSummary from './calcSummary.mjs'
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+ import genReportCore from './genReportCore.mjs'
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+ import readJson from './readJson.mjs'
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+ import writeJson from './writeJson.mjs'
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+
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+
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+ /**
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+ * 由orders.json產製績效html報表
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+ *
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+ * 讀取orders.json(已結算訂單陣列)後，經calcSummary統計摘要，再以genReportCore產出html報表
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+ * 訂單須為已結算形(含uProfitOrLoss、uEquity等欄位)，未結算單(timeEnd為空)仍可計算，計入summary.numTradeUnsettled
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+ * fpOrders非有效字串或非檔案、內容非有效陣列時throw
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+ *
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+ * Unit Test: {@link https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs Github}
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+ * @function
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+ * @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)
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+ * @param {String} fpOrders 輸入orders.json檔案路徑字串
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+ * @param {Object} [opt={}] 輸入設定物件，預設{}
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+ * @param {String} [opt.fpOut=''] 輸入輸出html檔案路徑字串，預設為與orders.json同資料夾之report.html
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+ * @param {String} [opt.name=''] 輸入報表標題字串，預設為orders.json所在資料夾名
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+ * @param {Number} [opt.uIni=null] 輸入初始資金數值，預設由首筆已結算單推回(uEquity - uCumuProfitOrLoss)，推不出則為1000
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+ * @param {String} [opt.timeOhlcStart=''] 輸入摘要統計起始秒時間字串，影響btDays與年化，預設由訂單最早timeStart推得，注意訂單起訖僅為「有單的範圍」，若實際回測窗較寬(頭尾無單)年化會被高估，建議明給
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+ * @param {String} [opt.timeOhlcEnd=''] 輸入摘要統計結束秒時間字串，預設由訂單最晚timeEnd(未平倉單取timeStart)推得
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+ * @param {Boolean} [opt.withWriteSummary=false] 輸入是否同時輸出summary.json(與fpOut同資料夾)布林值，預設false
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+ * @returns {Promise} 回傳Promise，resolve為物件，內含orders(訂單陣列)、summary(摘要物件)、fpOut(輸出html路徑)欄位
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+ * @example
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+ *
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+ * import fs from 'fs'
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+ *
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+ * //orders為已結算訂單陣列(如runStrategy、runStrategies或closeAndSummaryOrders產出)
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+ * let orders = [{
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+ * mode: 'long',
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+ * timeStart: '2020-01-01T00:00:00',
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+ * priceStart: 100,
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+ * uTrade: 100,
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+ * priceTakeProfit: 105,
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+ * priceStopLoss: 97,
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+ * timeEnd: '2020-01-01T04:00:00',
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+ * priceEnd: 105,
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+ * modeResult: 'profit',
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+ * uFee: 0.05,
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+ * uProfitOrLoss: 4.9,
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+ * rProfitOrLoss: 0.049,
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+ * uCumuProfitOrLoss: 4.9,
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+ * uEquity: 1004.9,
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+ * }]
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+ *
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+ * fs.mkdirSync('./result', { recursive: true })
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+ * fs.writeFileSync('./result/orders.json', JSON.stringify(orders), 'utf8')
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+ *
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+ * let r = await genReport(ott, './result/orders.json', { name: '示範策略', uIni: 1000 })
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+ * console.log(r.summary.numTrade, r.summary.rWin, r.summary.uEquityFinal)
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+ * // => 1 100.00% 1004.9
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+ * console.log(fs.readdirSync('./result'))
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+ * // => [ 'orders.json', 'report.html' ]
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+ *
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+ */
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+ let genReport = async (ott, fpOrders, opt = {}) => {
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+
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+ //check
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+ if (!w.isestr(fpOrders)) {
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+ throw new Error(`invalid fpOrders`)
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+ }
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+ if (!w.fsIsFile(fpOrders)) {
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+ throw new Error(`fpOrders[${fpOrders}] is not a file`)
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+ }
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+
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+ //orders
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+ let orders = readJson(fpOrders)
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+ if (!w.isearr(orders)) {
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+ throw new Error(`orders in fpOrders[${fpOrders}] is not an effective array`)
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+ }
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+
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+ //fpOut
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+ let fpOut = _.get(opt, 'fpOut', '')
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+ if (!w.isestr(fpOut)) {
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+ fpOut = path.resolve(path.dirname(fpOrders), 'report.html')
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+ }
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+
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+ //name
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+ let name = _.get(opt, 'name', '')
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+ if (!w.isestr(name)) {
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+ name = path.basename(path.dirname(path.resolve(fpOrders)))
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+ }
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+
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+ //uIni, 未給則由首筆已結算單推回(calcOrders 定義 uEquity = uIni + uCumuProfitOrLoss)
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+ let uIni = _.get(opt, 'uIni', null)
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+ if (!w.isnum(uIni)) {
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+ let o = _.find(orders, (o) => w.isnum(o.uEquity) &amp;&amp; w.isnum(o.uCumuProfitOrLoss))
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+ uIni = o ? o.uEquity - o.uCumuProfitOrLoss : 1000
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+ }
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+
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+ //timeOhlcStart, timeOhlcEnd, 未給則由訂單起訖推得
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+ let timeOhlcStart = _.get(opt, 'timeOhlcStart', '')
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+ if (!w.isestr(timeOhlcStart)) {
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+ timeOhlcStart = _.min(_.map(orders, 'timeStart'))
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+ }
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+ let timeOhlcEnd = _.get(opt, 'timeOhlcEnd', '')
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+ if (!w.isestr(timeOhlcEnd)) {
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+ timeOhlcEnd = _.max(_.map(orders, (o) => w.isestr(o.timeEnd) ? o.timeEnd : o.timeStart))
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+ }
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+
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+ //withWriteSummary
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+ let withWriteSummary = _.get(opt, 'withWriteSummary', false)
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+
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+ //calcSummary
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+ let summary = await calcSummary(ott, uIni, orders, timeOhlcStart, timeOhlcEnd)
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+
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+ //writeJson
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+ if (withWriteSummary) {
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+ writeJson(path.resolve(path.dirname(fpOut), 'summary.json'), { name, summary }, { structured: true })
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+ }
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+
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+ //genReportCore
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+ genReportCore({ name, orders, summary }, fpOut)
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+
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+ return { orders, summary, fpOut }
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+ }
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+
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+
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+ export default genReport
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+ </code></pre>
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+ </article>
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+ </section>
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+
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+
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+ </div>
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+
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+ <br class="clear">
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+
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+ <footer>
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+ Documentation generated by <a href="https://github.com/jsdoc3/jsdoc">JSDoc 4.0.5</a> on Sun Aug 02 2026 20:09:43 GMT+0800 (台北標準時間) using the <a href="https://github.com/clenemt/docdash">docdash</a> theme.
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+ </footer>
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+
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+ <script>prettyPrint();</script>
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+ <script src="scripts/polyfill.js"></script>
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+ <script src="scripts/linenumber.js"></script>
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+
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+
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+
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+ </body>
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+ </html>
package/docs/genReportCore.mjs.html ADDED
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+ <!DOCTYPE html>
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+ <html lang="en">
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+ <head>
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+
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+ <meta charset="utf-8">
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+ <title>genReportCore.mjs - Documentation</title>
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+
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+
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+ <script src="scripts/prettify/prettify.js"></script>
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+ <script src="scripts/prettify/lang-css.js"></script>
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+ <!--[if lt IE 9]>
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+ <script src="//html5shiv.googlecode.com/svn/trunk/html5.js"></script>
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+ <![endif]-->
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+ <link type="text/css" rel="stylesheet" href="styles/prettify.css">
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+ <link type="text/css" rel="stylesheet" href="styles/jsdoc.css">
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+ <script src="scripts/nav.js" defer></script>
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+
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+ <meta name="viewport" content="width=device-width, initial-scale=1.0">
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+ </head>
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+ <body>
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+
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+ <input type="checkbox" id="nav-trigger" class="nav-trigger" />
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+ <label for="nav-trigger" class="navicon-button x">
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+ <div class="navicon"></div>
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+ </label>
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+
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+ <label for="nav-trigger" class="overlay"></label>
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+
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+ <nav >
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+
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+
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+ <h2><a href="index.html">Home</a></h2><h3>Global</h3><ul><li><a href="global.html#calcOrders">calcOrders</a></li><li><a href="global.html#calcOrdersRatio">calcOrdersRatio</a></li><li><a href="global.html#calcOrdersSummary">calcOrdersSummary</a></li><li><a href="global.html#calcOrdersSummarySimple">calcOrdersSummarySimple</a></li><li><a href="global.html#calcSummary">calcSummary</a></li><li><a href="global.html#closeAndSummaryOrders">closeAndSummaryOrders</a></li><li><a href="global.html#genReport">genReport</a></li><li><a href="global.html#genReportCore">genReportCore</a></li><li><a href="global.html#runStrategies">runStrategies</a></li><li><a href="global.html#runStrategy">runStrategy</a></li></ul>
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+
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+ </nav>
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+
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+ <div id="main">
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+
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+ <h1 class="page-title">genReportCore.mjs</h1>
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+
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+
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+
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+
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+
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+
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+
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+ <section>
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+ <article>
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+ <pre class="prettyprint source linenums"><code>import path from 'path'
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+ import fs from 'fs'
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+ import { fileURLToPath } from 'url'
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+ import writeTxt from './writeTxt.mjs'
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+
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+
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+ //模板資產(tmp.html, render*.js)與本模組同資料夾, 以模組位置解析, 不依賴 cwd
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+ let fd = path.dirname(fileURLToPath(import.meta.url))
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+
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+ /**
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+ * 產出html回測報告
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+ *
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+ * 讀取與本模組同資料夾之模板資產(tmp.html與render*.js)，置換{name}、{orders}、{summary}後寫出html
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+ * 報告內含權益曲線、訂單表格、時間軸與摘要
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+ *
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+ * Unit Test: {@link https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs Github}
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+ * @function
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+ * @param {Object} r 輸入報告物件，需含name(報告名稱字串)、orders(訂單陣列)、summary(摘要物件)欄位
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+ * @param {String} fpOut 輸入輸出html檔案路徑字串
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+ * @returns {undefined} 無回傳，於fpOut寫出html報告
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+ * @example
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+ *
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+ * //rr為runStrategies範例之回傳{orders,summary}
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+ * genReportCore({ name: '示範策略', orders: rr.orders, summary: rr.summary }, './report.html')
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+ * // => 於'./report.html'寫出html報告
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+ *
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+ */
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+ let genReportCore = (r, fpOut) => {
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+
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+ let rd = (fn) => {
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+ let fp = path.resolve(fd, fn)
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+ let h = fs.readFileSync(fp, 'utf8')
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+ return h
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+ }
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+
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+ let h = rd('tmp.html')
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+ let hPlot = rd('renderProfitPlot.js')
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+ let hTable = rd('renderOrdersTable.js')
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+ let hTimeline = rd('renderOrdersTimeline.js')
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+ let hSummary = rd('renderSummary.js')
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+
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+ h = h.replace(`{renderProfitPlot}`, hPlot)
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+ h = h.replace(`{renderOrdersTable}`, hTable)
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+ h = h.replace(`{renderOrdersTimeline}`, hTimeline)
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+ h = h.replace(`{renderSummary}`, hSummary)
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+ h = h.replace(`{name}`, r.name)
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+ h = h.replace(`{orders}`, JSON.stringify(r.orders))
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+ h = h.replace(`{summary}`, JSON.stringify(r.summary))
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+
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+ //writeTxt
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+ writeTxt(fpOut, h)
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+
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+ }
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+
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+
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+ export default genReportCore
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+ </code></pre>
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+ </article>
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+ </section>
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+
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+
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+
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+
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+
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+
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+ </div>
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+
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+ <br class="clear">
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+
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+ <footer>
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+ Documentation generated by <a href="https://github.com/jsdoc3/jsdoc">JSDoc 4.0.5</a> on Sun Aug 02 2026 20:09:43 GMT+0800 (台北標準時間) using the <a href="https://github.com/clenemt/docdash">docdash</a> theme.
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+ </footer>
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+
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+ <script>prettyPrint();</script>
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+ <script src="scripts/polyfill.js"></script>
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+ <script src="scripts/linenumber.js"></script>
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+
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+
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+
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+ </body>
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+ </html>