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
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  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
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  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
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  82. package/toolg/gDistRollup.mjs +51 -0
  83. package/toolg/gDocsExams.mjs +48 -0
  84. package/toolg/modifyReadme.mjs +4 -0
package/docs/global.html ADDED
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+ <!DOCTYPE html>
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+ <html lang="en">
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+ <head>
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+ <meta charset="utf-8">
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+ <title>Global - Documentation</title>
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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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+ <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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+ <label for="nav-trigger" class="overlay"></label>
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+ <nav >
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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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+ </nav>
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+ <section>
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+ </h2>
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+ </header>
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+ <article>
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+ <h3 class="subsection-title">Methods</h3>
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+ <h4 class="name" id="calcOrders"><span class="type-signature type-signature-async">(async) </span>calcOrders<span class="signature">(arrOhlc, orders, opt<span class="signature-attributes">opt</span>)</span><span class="type-signature"> &rarr; {Promise}</span></h4>
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+ <dl class="details">
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+
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+ <dt class="tag-description">Description:</dt>
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+ <dd class="tag-description"><ul class="dummy"><li><p>結算訂單，依K線序列判斷各下單之止盈止損觸發並計算盈虧</p>
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+ <p>各單僅檢查time大於timeStart之K棒，long以Low&lt;=priceStopLoss先判止損、High&gt;=priceTakeProfit判止盈，short以High&gt;=priceStopLoss先判止損、Low&lt;=priceTakeProfit判止盈
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+ long盈虧為uTrade*(priceEnd/priceStart)-uTrade-2<em>uFee，short盈虧為(priceStart-priceEnd)</em>(uTrade/priceStart)-2*uFee
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+ 依timeStart排序逐單累計uCumuProfitOrLoss與uEquity(自uIni起算)，modeResult為盈虧&lt;0時'loss'否則'profit'，未觸發止盈止損者維持原單(未平倉)</p>
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+ <p>Unit Test: <a href="https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs">Github</a></p></li></ul></dd>
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+
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+ <dt class="tag-source">Source:</dt>
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+ <dd class="tag-source"><ul class="dummy"><li>
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+ <a href="calcOrders.mjs.html">calcOrders.mjs</a>, <a href="calcOrders.mjs.html#line69">line 69</a>
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+ </li></ul></dd>
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+ </dl>
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+ <h5 class="h5-examples">Example</h5>
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+
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+ <pre class="prettyprint"><code>let arrOhlc = [
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+ { time: '2020-01-01T00:00:00', Open: 100, High: 101, Low: 99, Close: 100 },
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+ { time: '2020-01-01T04:00:00', Open: 100, High: 106, Low: 100, Close: 105 },
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+ { time: '2020-01-01T08:00:00', Open: 105, High: 107, Low: 102, Close: 103 },
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+ { time: '2020-01-01T12:00:00', Open: 103, High: 104, Low: 94, Close: 95 },
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+ { time: '2020-01-01T16:00:00', Open: 95, High: 98, Low: 92, Close: 93 },
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+ { time: '2020-01-01T20:00:00', Open: 93, High: 99, Low: 95, Close: 97 },
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+ ]
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+
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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: '',
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+ priceEnd: '',
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+ modeResult: '',
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+ uFee: 0.05,
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+ }]
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+
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+ calcOrders(arrOhlc, orders, { uIni: 1000 })
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+ .then((rs) => {
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+ console.log(rs[0])
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+ // => {
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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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+ // rCumuProfitOrLoss: '0.49%',
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+ // uEquity: 1004.9
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+ // }
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+ })</code></pre>
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+ <h5 class="h5-parameters">Parameters:</h5>
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+
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+
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+ <table class="params">
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+ <thead>
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+ <tr>
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+
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+ <th>Name</th>
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+
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+
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+ <th>Type</th>
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+
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+ <th>Attributes</th>
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+
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+ <th>Default</th>
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+
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+ <th class="last">Description</th>
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+ </tr>
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+ </thead>
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+
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+ <tbody>
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+
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+
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+ <tr>
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+
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+ <td class="name"><code>arrOhlc</code></td>
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+ <td class="type">
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+ <span class="param-type">Array</span>
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+ </td>
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+ <td class="attributes">
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+ </td>
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+ <td class="default">
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+
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+ </td>
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+
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+
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+ <td class="description last"><p>輸入K線陣列，各元素需含time、High、Low欄位</p></td>
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+ </tr>
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+
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+ <tr>
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+ <td class="name"><code>orders</code></td>
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+ <td class="type">
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+ <span class="param-type">Array</span>
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+ </td>
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+ <td class="attributes">
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+ </td>
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+ <td class="default">
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+ </td>
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+ <td class="description last"><p>輸入下單陣列，各元素需含mode('long'或'short')、timeStart、priceStart、uTrade、priceTakeProfit、priceStopLoss、uFee欄位</p></td>
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+ </tr>
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+ <tr>
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+ <td class="name"><code>opt</code></td>
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+ <td class="type">
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+ <span class="param-type">Object</span>
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+ </td>
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+ <td class="attributes">
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+ &lt;optional><br>
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+ </td>
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+ <td class="default">
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+ <code>{}</code>
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+
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+ </td>
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+ <td class="description last"><p>輸入設定物件，預設{}</p>
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+ <h6>Properties</h6>
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+ <table class="params">
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+ <thead>
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+ <tr>
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+ <th>Name</th>
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+ <th>Type</th>
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+ <th>Attributes</th>
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+ <th>Default</th>
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+ <th class="last">Description</th>
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+ </tr>
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+ </thead>
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+ <tbody>
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+ <tr>
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+ <td class="name"><code>uIni</code></td>
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+ <td class="type">
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+ <span class="param-type">Number</span>
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+ </td>
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+ <td class="attributes">
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+ </td>
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+ <td class="default">
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+ <code>1000</code>
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+
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+ </td>
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+
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+ <td class="description last"><p>輸入初始資金數字，預設1000</p></td>
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+ </tr>
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+ </tbody>
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+ </table>
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+ </td>
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+ </tr>
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+ </tbody>
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+ </table>
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+ <h5 class="h5-returns">Returns:</h5>
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+ <div class="param-desc">
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+ <p>回傳Promise，resolve為結算後訂單陣列</p>
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+ </div>
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+ <dl class="param-type">
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+ <dt>
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+ Type
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+ </dt>
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+ <dd>
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+ <span class="param-type">Promise</span>
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+ </dd>
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+ </dl>
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+ <h4 class="name" id="calcOrdersRatio"><span class="type-signature"></span>calcOrdersRatio<span class="signature">(ott, orders)</span><span class="type-signature"> &rarr; {Array}</span></h4>
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+ <dl class="details">
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+ <dt class="tag-description">Description:</dt>
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+ <dd class="tag-description"><ul class="dummy"><li><p>計算各已平倉訂單之持倉天數與等效日盈虧比例</p>
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+ <p>dayHold以timeStart與timeEnd之日期差+1計算，rProfitOrLossDay為(1+rProfitOrLoss)^(1/dayHold)-1
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+ modeResult非有效字串(未平倉)之訂單不計算</p>
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+ <p>Unit Test: <a href="https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs">Github</a></p></li></ul></dd>
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+ <dt class="tag-source">Source:</dt>
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+ <dd class="tag-source"><ul class="dummy"><li>
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+ <a href="calcOrdersRatio.mjs.html">calcOrdersRatio.mjs</a>, <a href="calcOrdersRatio.mjs.html#line35">line 35</a>
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+ </li></ul></dd>
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+ </dl>
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+ <h5 class="h5-examples">Example</h5>
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+
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+ <pre class="prettyprint"><code>let orders = calcOrdersRatio(ott, [{
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+ modeResult: 'profit',
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+ timeStart: '2020-01-01T20:00:00',
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+ timeEnd: '2020-01-03T04:00:00',
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+ rProfitOrLoss: 0.331,
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+ }])
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+ console.log(orders[0])
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+ // => {
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+ // modeResult: 'profit',
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+ // timeStart: '2020-01-01T20:00:00',
580
+ // timeEnd: '2020-01-03T04:00:00',
581
+ // rProfitOrLoss: 0.331,
582
+ // dayHold: 3,
583
+ // rProfitOrLossDay: 0.10000000000000009
584
+ // }</code></pre>
585
+
586
+
587
+
588
+
589
+ <h5 class="h5-parameters">Parameters:</h5>
590
+
591
+
592
+ <table class="params">
593
+ <thead>
594
+ <tr>
595
+
596
+ <th>Name</th>
597
+
598
+
599
+ <th>Type</th>
600
+
601
+
602
+
603
+
604
+
605
+ <th class="last">Description</th>
606
+ </tr>
607
+ </thead>
608
+
609
+ <tbody>
610
+
611
+
612
+ <tr>
613
+
614
+ <td class="name"><code>ott</code></td>
615
+
616
+
617
+ <td class="type">
618
+
619
+
620
+ <span class="param-type">function</span>
621
+
622
+
623
+
624
+
625
+ </td>
626
+
627
+
628
+
629
+
630
+
631
+ <td class="description last"><p>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)</p></td>
632
+ </tr>
633
+
634
+
635
+
636
+ <tr>
637
+
638
+ <td class="name"><code>orders</code></td>
639
+
640
+
641
+ <td class="type">
642
+
643
+
644
+ <span class="param-type">Array</span>
645
+
646
+
647
+
648
+
649
+ </td>
650
+
651
+
652
+
653
+
654
+
655
+ <td class="description last"><p>輸入已結算訂單陣列，各元素需含modeResult、timeStart、timeEnd、rProfitOrLoss欄位</p></td>
656
+ </tr>
657
+
658
+
659
+ </tbody>
660
+ </table>
661
+
662
+
663
+
664
+
665
+
666
+
667
+
668
+
669
+
670
+
671
+
672
+
673
+
674
+
675
+
676
+
677
+ <h5 class="h5-returns">Returns:</h5>
678
+
679
+
680
+ <div class="param-desc">
681
+ <p>回傳附加dayHold與rProfitOrLossDay之訂單陣列</p>
682
+ </div>
683
+
684
+
685
+
686
+ <dl class="param-type">
687
+ <dt>
688
+ Type
689
+ </dt>
690
+ <dd>
691
+
692
+ <span class="param-type">Array</span>
693
+
694
+
695
+
696
+ </dd>
697
+ </dl>
698
+
699
+
700
+
701
+
702
+
703
+
704
+
705
+
706
+
707
+
708
+ <h4 class="name" id="calcOrdersSummary"><span class="type-signature"></span>calcOrdersSummary<span class="signature">(ott, uIni, ordersAll, timeOhlcStart, timeOhlcEnd)</span><span class="type-signature"> &rarr; {Object}</span></h4>
709
+
710
+
711
+
712
+
713
+
714
+
715
+ <dl class="details">
716
+
717
+ <dt class="tag-description">Description:</dt>
718
+ <dd class="tag-description"><ul class="dummy"><li><p>統計全部訂單之回測摘要</p>
719
+ <p>統計交易次數、勝率、最大回撤、最大持倉、夏普值、最終權益與各盈虧比例等欄位
720
+ 訂單需先經calcOrders結算(含uEquity)與calcOrdersRatio計算(含dayHold與rProfitOrLossDay，夏普值計算所需)
721
+ uIni非正數或timeOhlcStart、timeOhlcEnd非有效字串時throw</p>
722
+ <p>Unit Test: <a href="https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs">Github</a></p></li></ul></dd>
723
+
724
+
725
+
726
+ <dt class="tag-source">Source:</dt>
727
+ <dd class="tag-source"><ul class="dummy"><li>
728
+ <a href="calcOrdersSummary.mjs.html">calcOrdersSummary.mjs</a>, <a href="calcOrdersSummary.mjs.html#line76">line 76</a>
729
+ </li></ul></dd>
730
+
731
+
732
+
733
+
734
+
735
+
736
+
737
+
738
+
739
+
740
+
741
+
742
+
743
+
744
+
745
+
746
+
747
+
748
+
749
+
750
+
751
+
752
+
753
+
754
+
755
+
756
+
757
+
758
+
759
+
760
+
761
+ </dl>
762
+
763
+
764
+
765
+
766
+
767
+
768
+
769
+
770
+
771
+
772
+
773
+ <h5 class="h5-examples">Example</h5>
774
+
775
+ <pre class="prettyprint"><code>let arrOhlc = [
776
+ { time: '2020-01-01T00:00:00', Open: 100, High: 101, Low: 99, Close: 100 },
777
+ { time: '2020-01-01T04:00:00', Open: 100, High: 106, Low: 100, Close: 105 },
778
+ { time: '2020-01-01T08:00:00', Open: 105, High: 107, Low: 102, Close: 103 },
779
+ { time: '2020-01-01T12:00:00', Open: 103, High: 104, Low: 94, Close: 95 },
780
+ { time: '2020-01-01T16:00:00', Open: 95, High: 98, Low: 92, Close: 93 },
781
+ { time: '2020-01-01T20:00:00', Open: 93, High: 99, Low: 95, Close: 97 },
782
+ ]
783
+
784
+ //ordersSubmit, 4張下單: 前3張分別於後續K棒觸發止盈或止損, 第4張未觸發(未平倉)
785
+ let kpDef = { uTrade: 100, timeEnd: '', priceEnd: '', modeResult: '', uFee: 0.05 }
786
+ let ordersSubmit = [
787
+ { mode: 'long', timeStart: '2020-01-01T00:00:00', priceStart: 100, priceTakeProfit: 105, priceStopLoss: 97, ...kpDef },
788
+ { mode: 'long', timeStart: '2020-01-01T04:00:00', priceStart: 105, priceTakeProfit: 110.25, priceStopLoss: 101.85, ...kpDef },
789
+ { mode: 'short', timeStart: '2020-01-01T08:00:00', priceStart: 103, priceTakeProfit: 97.85, priceStopLoss: 106.09, ...kpDef },
790
+ { mode: 'long', timeStart: '2020-01-01T16:00:00', priceStart: 93, priceTakeProfit: 105, priceStopLoss: 85, ...kpDef },
791
+ ]
792
+
793
+ let orders = await calcOrders(arrOhlc, ordersSubmit, { uIni: 1000 })
794
+ orders = calcOrdersRatio(ott, orders)
795
+ let summary = calcOrdersSummary(ott, 1000, orders, '2020-01-01T00:00:00', '2020-01-01T20:00:00')
796
+ console.log(summary)
797
+ // => {
798
+ // btDays: 0,
799
+ // btYears: '0.0',
800
+ // numTrade: 4,
801
+ // numTradeFin: 3,
802
+ // numTradeUnsettled: 1,
803
+ // uTradeAllMax: 200,
804
+ // rTradeAllMax: '20.00%',
805
+ // numTradeAllMax: 2,
806
+ // uDrawdownMax: 3.1000000000000227,
807
+ // rDrawdownMax: '0.31%',
808
+ // rEquivalentDrawdownMax: '1.51%',
809
+ // rSharpe: 7.675814289051032,
810
+ // rWin: '66.67%',
811
+ // uEquityFinal: 1006.6999999999999,
812
+ // uCumuProfitOrLossFinal: 6.700000000000006,
813
+ // rCumuProfitOrLossFinal: '0.67%',
814
+ // rCumuProfitOrLossFinalNormYear: '0.00%',
815
+ // rEquivalentCumuProfitOrLossFinal: '3.35%',
816
+ // rEquivalentCumuProfitOrLossFinalNormYear: '0.00%'
817
+ // }</code></pre>
818
+
819
+
820
+
821
+
822
+ <h5 class="h5-parameters">Parameters:</h5>
823
+
824
+
825
+ <table class="params">
826
+ <thead>
827
+ <tr>
828
+
829
+ <th>Name</th>
830
+
831
+
832
+ <th>Type</th>
833
+
834
+
835
+
836
+
837
+
838
+ <th class="last">Description</th>
839
+ </tr>
840
+ </thead>
841
+
842
+ <tbody>
843
+
844
+
845
+ <tr>
846
+
847
+ <td class="name"><code>ott</code></td>
848
+
849
+
850
+ <td class="type">
851
+
852
+
853
+ <span class="param-type">function</span>
854
+
855
+
856
+
857
+
858
+ </td>
859
+
860
+
861
+
862
+
863
+
864
+ <td class="description last"><p>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)</p></td>
865
+ </tr>
866
+
867
+
868
+
869
+ <tr>
870
+
871
+ <td class="name"><code>uIni</code></td>
872
+
873
+
874
+ <td class="type">
875
+
876
+
877
+ <span class="param-type">Number</span>
878
+
879
+
880
+
881
+
882
+ </td>
883
+
884
+
885
+
886
+
887
+
888
+ <td class="description last"><p>輸入初始資金正數</p></td>
889
+ </tr>
890
+
891
+
892
+
893
+ <tr>
894
+
895
+ <td class="name"><code>ordersAll</code></td>
896
+
897
+
898
+ <td class="type">
899
+
900
+
901
+ <span class="param-type">Array</span>
902
+
903
+
904
+
905
+
906
+ </td>
907
+
908
+
909
+
910
+
911
+
912
+ <td class="description last"><p>輸入已結算訂單陣列</p></td>
913
+ </tr>
914
+
915
+
916
+
917
+ <tr>
918
+
919
+ <td class="name"><code>timeOhlcStart</code></td>
920
+
921
+
922
+ <td class="type">
923
+
924
+
925
+ <span class="param-type">String</span>
926
+
927
+
928
+
929
+
930
+ </td>
931
+
932
+
933
+
934
+
935
+
936
+ <td class="description last"><p>輸入回測起始秒時間字串</p></td>
937
+ </tr>
938
+
939
+
940
+
941
+ <tr>
942
+
943
+ <td class="name"><code>timeOhlcEnd</code></td>
944
+
945
+
946
+ <td class="type">
947
+
948
+
949
+ <span class="param-type">String</span>
950
+
951
+
952
+
953
+
954
+ </td>
955
+
956
+
957
+
958
+
959
+
960
+ <td class="description last"><p>輸入回測結束秒時間字串</p></td>
961
+ </tr>
962
+
963
+
964
+ </tbody>
965
+ </table>
966
+
967
+
968
+
969
+
970
+
971
+
972
+
973
+
974
+
975
+
976
+
977
+
978
+
979
+
980
+
981
+
982
+ <h5 class="h5-returns">Returns:</h5>
983
+
984
+
985
+ <div class="param-desc">
986
+ <p>回傳回測摘要物件</p>
987
+ </div>
988
+
989
+
990
+
991
+ <dl class="param-type">
992
+ <dt>
993
+ Type
994
+ </dt>
995
+ <dd>
996
+
997
+ <span class="param-type">Object</span>
998
+
999
+
1000
+
1001
+ </dd>
1002
+ </dl>
1003
+
1004
+
1005
+
1006
+
1007
+
1008
+
1009
+
1010
+
1011
+
1012
+
1013
+ <h4 class="name" id="calcOrdersSummarySimple"><span class="type-signature"></span>calcOrdersSummarySimple<span class="signature">(ott, uIni, ordersAll, timeOhlcStart, timeOhlcEnd, opt<span class="signature-attributes">opt</span>)</span><span class="type-signature"> &rarr; {Object}</span></h4>
1014
+
1015
+
1016
+
1017
+
1018
+
1019
+
1020
+ <dl class="details">
1021
+
1022
+ <dt class="tag-description">Description:</dt>
1023
+ <dd class="tag-description"><ul class="dummy"><li><p>統計全部訂單之精簡版回測摘要</p>
1024
+ <p>為calcOrdersSummary之精簡版，只算選股熱路徑所需欄位，純迴圈實作且不需先跑calcOrdersRatio
1025
+ 對應欄位與完整版bit-exact: numTrade、numTradeFin、rWin、uTradeAllMax、rTradeAllMax、uEquityFinal、btDays、btYears、rEquivalentCumuProfitOrLossFinalNormYear
1026
+ 不算drawdown、夏普值與累計曲線</p>
1027
+ <p>Unit Test: <a href="https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs">Github</a></p></li></ul></dd>
1028
+
1029
+
1030
+
1031
+ <dt class="tag-source">Source:</dt>
1032
+ <dd class="tag-source"><ul class="dummy"><li>
1033
+ <a href="calcOrdersSummarySimple.mjs.html">calcOrdersSummarySimple.mjs</a>, <a href="calcOrdersSummarySimple.mjs.html#line70">line 70</a>
1034
+ </li></ul></dd>
1035
+
1036
+
1037
+
1038
+
1039
+
1040
+
1041
+
1042
+
1043
+
1044
+
1045
+
1046
+
1047
+
1048
+
1049
+
1050
+
1051
+
1052
+
1053
+
1054
+
1055
+
1056
+
1057
+
1058
+
1059
+
1060
+
1061
+
1062
+
1063
+
1064
+
1065
+
1066
+ </dl>
1067
+
1068
+
1069
+
1070
+
1071
+
1072
+
1073
+
1074
+
1075
+
1076
+
1077
+
1078
+ <h5 class="h5-examples">Example</h5>
1079
+
1080
+ <pre class="prettyprint"><code>let arrOhlc = [
1081
+ { time: '2020-01-01T00:00:00', Open: 100, High: 101, Low: 99, Close: 100 },
1082
+ { time: '2020-01-01T04:00:00', Open: 100, High: 106, Low: 100, Close: 105 },
1083
+ { time: '2020-01-01T08:00:00', Open: 105, High: 107, Low: 102, Close: 103 },
1084
+ { time: '2020-01-01T12:00:00', Open: 103, High: 104, Low: 94, Close: 95 },
1085
+ { time: '2020-01-01T16:00:00', Open: 95, High: 98, Low: 92, Close: 93 },
1086
+ { time: '2020-01-01T20:00:00', Open: 93, High: 99, Low: 95, Close: 97 },
1087
+ ]
1088
+
1089
+ //ordersSubmit, 4張下單: 前3張分別於後續K棒觸發止盈或止損, 第4張未觸發(未平倉)
1090
+ let kpDef = { uTrade: 100, timeEnd: '', priceEnd: '', modeResult: '', uFee: 0.05 }
1091
+ let ordersSubmit = [
1092
+ { mode: 'long', timeStart: '2020-01-01T00:00:00', priceStart: 100, priceTakeProfit: 105, priceStopLoss: 97, ...kpDef },
1093
+ { mode: 'long', timeStart: '2020-01-01T04:00:00', priceStart: 105, priceTakeProfit: 110.25, priceStopLoss: 101.85, ...kpDef },
1094
+ { mode: 'short', timeStart: '2020-01-01T08:00:00', priceStart: 103, priceTakeProfit: 97.85, priceStopLoss: 106.09, ...kpDef },
1095
+ { mode: 'long', timeStart: '2020-01-01T16:00:00', priceStart: 93, priceTakeProfit: 105, priceStopLoss: 85, ...kpDef },
1096
+ ]
1097
+
1098
+ let orders = await calcOrders(arrOhlc, ordersSubmit, { uIni: 1000 })
1099
+ let summary = calcOrdersSummarySimple(ott, 1000, orders, '2020-01-01T00:00:00', '2020-01-01T20:00:00')
1100
+ console.log(summary)
1101
+ // => {
1102
+ // numTrade: 4,
1103
+ // numTradeFin: 3,
1104
+ // rWin: '66.67%',
1105
+ // uTradeAllMax: 200,
1106
+ // rTradeAllMax: '20.00%',
1107
+ // uEquityFinal: 1006.6999999999999,
1108
+ // btDays: 0,
1109
+ // btYears: '0.0',
1110
+ // rEquivalentCumuProfitOrLossFinalNormYear: '0.00%',
1111
+ // timeOhlcStart: '2020-01-01T00:00:00',
1112
+ // timeOhlcEnd: '2020-01-01T20:00:00'
1113
+ // }</code></pre>
1114
+
1115
+
1116
+
1117
+
1118
+ <h5 class="h5-parameters">Parameters:</h5>
1119
+
1120
+
1121
+ <table class="params">
1122
+ <thead>
1123
+ <tr>
1124
+
1125
+ <th>Name</th>
1126
+
1127
+
1128
+ <th>Type</th>
1129
+
1130
+
1131
+ <th>Attributes</th>
1132
+
1133
+
1134
+
1135
+ <th>Default</th>
1136
+
1137
+
1138
+ <th class="last">Description</th>
1139
+ </tr>
1140
+ </thead>
1141
+
1142
+ <tbody>
1143
+
1144
+
1145
+ <tr>
1146
+
1147
+ <td class="name"><code>ott</code></td>
1148
+
1149
+
1150
+ <td class="type">
1151
+
1152
+
1153
+ <span class="param-type">function</span>
1154
+
1155
+
1156
+
1157
+
1158
+ </td>
1159
+
1160
+
1161
+ <td class="attributes">
1162
+
1163
+
1164
+
1165
+
1166
+
1167
+ </td>
1168
+
1169
+
1170
+
1171
+ <td class="default">
1172
+
1173
+ </td>
1174
+
1175
+
1176
+ <td class="description last"><p>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)</p></td>
1177
+ </tr>
1178
+
1179
+
1180
+
1181
+ <tr>
1182
+
1183
+ <td class="name"><code>uIni</code></td>
1184
+
1185
+
1186
+ <td class="type">
1187
+
1188
+
1189
+ <span class="param-type">Number</span>
1190
+
1191
+
1192
+
1193
+
1194
+ </td>
1195
+
1196
+
1197
+ <td class="attributes">
1198
+
1199
+
1200
+
1201
+
1202
+
1203
+ </td>
1204
+
1205
+
1206
+
1207
+ <td class="default">
1208
+
1209
+ </td>
1210
+
1211
+
1212
+ <td class="description last"><p>輸入初始資金正數</p></td>
1213
+ </tr>
1214
+
1215
+
1216
+
1217
+ <tr>
1218
+
1219
+ <td class="name"><code>ordersAll</code></td>
1220
+
1221
+
1222
+ <td class="type">
1223
+
1224
+
1225
+ <span class="param-type">Array</span>
1226
+
1227
+
1228
+
1229
+
1230
+ </td>
1231
+
1232
+
1233
+ <td class="attributes">
1234
+
1235
+
1236
+
1237
+
1238
+
1239
+ </td>
1240
+
1241
+
1242
+
1243
+ <td class="default">
1244
+
1245
+ </td>
1246
+
1247
+
1248
+ <td class="description last"><p>輸入已結算訂單陣列(經calcOrders設定timeStart、timeEnd、uTrade、uEquity、modeResult)</p></td>
1249
+ </tr>
1250
+
1251
+
1252
+
1253
+ <tr>
1254
+
1255
+ <td class="name"><code>timeOhlcStart</code></td>
1256
+
1257
+
1258
+ <td class="type">
1259
+
1260
+
1261
+ <span class="param-type">String</span>
1262
+
1263
+
1264
+
1265
+
1266
+ </td>
1267
+
1268
+
1269
+ <td class="attributes">
1270
+
1271
+
1272
+
1273
+
1274
+
1275
+ </td>
1276
+
1277
+
1278
+
1279
+ <td class="default">
1280
+
1281
+ </td>
1282
+
1283
+
1284
+ <td class="description last"><p>輸入回測起始秒時間字串</p></td>
1285
+ </tr>
1286
+
1287
+
1288
+
1289
+ <tr>
1290
+
1291
+ <td class="name"><code>timeOhlcEnd</code></td>
1292
+
1293
+
1294
+ <td class="type">
1295
+
1296
+
1297
+ <span class="param-type">String</span>
1298
+
1299
+
1300
+
1301
+
1302
+ </td>
1303
+
1304
+
1305
+ <td class="attributes">
1306
+
1307
+
1308
+
1309
+
1310
+
1311
+ </td>
1312
+
1313
+
1314
+
1315
+ <td class="default">
1316
+
1317
+ </td>
1318
+
1319
+
1320
+ <td class="description last"><p>輸入回測結束秒時間字串</p></td>
1321
+ </tr>
1322
+
1323
+
1324
+
1325
+ <tr>
1326
+
1327
+ <td class="name"><code>opt</code></td>
1328
+
1329
+
1330
+ <td class="type">
1331
+
1332
+
1333
+ <span class="param-type">Object</span>
1334
+
1335
+
1336
+
1337
+
1338
+ </td>
1339
+
1340
+
1341
+ <td class="attributes">
1342
+
1343
+ &lt;optional><br>
1344
+
1345
+
1346
+
1347
+
1348
+
1349
+ </td>
1350
+
1351
+
1352
+
1353
+ <td class="default">
1354
+
1355
+ <code>{}</code>
1356
+
1357
+ </td>
1358
+
1359
+
1360
+ <td class="description last"><p>輸入設定物件，預設{}</p>
1361
+ <h6>Properties</h6>
1362
+
1363
+
1364
+ <table class="params">
1365
+ <thead>
1366
+ <tr>
1367
+
1368
+ <th>Name</th>
1369
+
1370
+
1371
+ <th>Type</th>
1372
+
1373
+
1374
+ <th>Attributes</th>
1375
+
1376
+
1377
+
1378
+ <th>Default</th>
1379
+
1380
+
1381
+ <th class="last">Description</th>
1382
+ </tr>
1383
+ </thead>
1384
+
1385
+ <tbody>
1386
+
1387
+
1388
+ <tr>
1389
+
1390
+ <td class="name"><code>skipSort</code></td>
1391
+
1392
+
1393
+ <td class="type">
1394
+
1395
+
1396
+ <span class="param-type">Boolean</span>
1397
+
1398
+
1399
+
1400
+
1401
+ </td>
1402
+
1403
+
1404
+ <td class="attributes">
1405
+
1406
+ &lt;optional><br>
1407
+
1408
+
1409
+
1410
+
1411
+
1412
+ </td>
1413
+
1414
+
1415
+
1416
+ <td class="default">
1417
+
1418
+ <code>false</code>
1419
+
1420
+ </td>
1421
+
1422
+
1423
+ <td class="description last"><p>輸入呼叫端保證ordersAll已依timeStart升序時可跳過排序布林值，預設false</p></td>
1424
+ </tr>
1425
+
1426
+
1427
+ </tbody>
1428
+ </table>
1429
+
1430
+ </td>
1431
+ </tr>
1432
+
1433
+
1434
+ </tbody>
1435
+ </table>
1436
+
1437
+
1438
+
1439
+
1440
+
1441
+
1442
+
1443
+
1444
+
1445
+
1446
+
1447
+
1448
+
1449
+
1450
+
1451
+
1452
+ <h5 class="h5-returns">Returns:</h5>
1453
+
1454
+
1455
+ <div class="param-desc">
1456
+ <p>回傳精簡版回測摘要物件</p>
1457
+ </div>
1458
+
1459
+
1460
+
1461
+ <dl class="param-type">
1462
+ <dt>
1463
+ Type
1464
+ </dt>
1465
+ <dd>
1466
+
1467
+ <span class="param-type">Object</span>
1468
+
1469
+
1470
+
1471
+ </dd>
1472
+ </dl>
1473
+
1474
+
1475
+
1476
+
1477
+
1478
+
1479
+
1480
+
1481
+
1482
+
1483
+ <h4 class="name" id="calcSummary"><span class="type-signature type-signature-async">(async) </span>calcSummary<span class="signature">(ott, uIni, orders, timeOhlcStart, timeOhlcEnd, opt<span class="signature-attributes">opt</span>)</span><span class="type-signature"> &rarr; {Promise}</span></h4>
1484
+
1485
+
1486
+
1487
+
1488
+
1489
+
1490
+ <dl class="details">
1491
+
1492
+ <dt class="tag-description">Description:</dt>
1493
+ <dd class="tag-description"><ul class="dummy"><li><p>基於全部交易單重算累積收益並統計回測摘要</p>
1494
+ <p>依timeStart排序後重算各已平倉單之uEquity、uCumuProfitOrLoss與rCumuProfitOrLoss(多策略各自結算後合併重算用)
1495
+ 再執行calcOrdersRatio與calcOrdersSummary，並附加timeTest、timeOhlcStart、timeOhlcEnd、uIni欄位
1496
+ uIni非正數或timeOhlcStart、timeOhlcEnd非有效字串時reject</p>
1497
+ <p>Unit Test: <a href="https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs">Github</a></p></li></ul></dd>
1498
+
1499
+
1500
+
1501
+ <dt class="tag-source">Source:</dt>
1502
+ <dd class="tag-source"><ul class="dummy"><li>
1503
+ <a href="calcSummary.mjs.html">calcSummary.mjs</a>, <a href="calcSummary.mjs.html#line76">line 76</a>
1504
+ </li></ul></dd>
1505
+
1506
+
1507
+
1508
+
1509
+
1510
+
1511
+
1512
+
1513
+
1514
+
1515
+
1516
+
1517
+
1518
+
1519
+
1520
+
1521
+
1522
+
1523
+
1524
+
1525
+
1526
+
1527
+
1528
+
1529
+
1530
+
1531
+
1532
+
1533
+
1534
+
1535
+
1536
+ </dl>
1537
+
1538
+
1539
+
1540
+
1541
+
1542
+
1543
+
1544
+
1545
+
1546
+
1547
+
1548
+ <h5 class="h5-examples">Example</h5>
1549
+
1550
+ <pre class="prettyprint"><code>let arrOhlc = [
1551
+ { time: '2020-01-01T00:00:00', Open: 100, High: 101, Low: 99, Close: 100 },
1552
+ { time: '2020-01-01T04:00:00', Open: 100, High: 106, Low: 100, Close: 105 },
1553
+ { time: '2020-01-01T08:00:00', Open: 105, High: 107, Low: 102, Close: 103 },
1554
+ { time: '2020-01-01T12:00:00', Open: 103, High: 104, Low: 94, Close: 95 },
1555
+ { time: '2020-01-01T16:00:00', Open: 95, High: 98, Low: 92, Close: 93 },
1556
+ { time: '2020-01-01T20:00:00', Open: 93, High: 99, Low: 95, Close: 97 },
1557
+ ]
1558
+
1559
+ //ordersSubmit, 4張下單: 前3張分別於後續K棒觸發止盈或止損, 第4張未觸發(未平倉)
1560
+ let kpDef = { uTrade: 100, timeEnd: '', priceEnd: '', modeResult: '', uFee: 0.05 }
1561
+ let ordersSubmit = [
1562
+ { mode: 'long', timeStart: '2020-01-01T00:00:00', priceStart: 100, priceTakeProfit: 105, priceStopLoss: 97, ...kpDef },
1563
+ { mode: 'long', timeStart: '2020-01-01T04:00:00', priceStart: 105, priceTakeProfit: 110.25, priceStopLoss: 101.85, ...kpDef },
1564
+ { mode: 'short', timeStart: '2020-01-01T08:00:00', priceStart: 103, priceTakeProfit: 97.85, priceStopLoss: 106.09, ...kpDef },
1565
+ { mode: 'long', timeStart: '2020-01-01T16:00:00', priceStart: 93, priceTakeProfit: 105, priceStopLoss: 85, ...kpDef },
1566
+ ]
1567
+
1568
+ let orders = await calcOrders(arrOhlc, ordersSubmit, { uIni: 1000 })
1569
+ let summary = await calcSummary(ott, 1000, orders, '2020-01-01T00:00:00', '2020-01-01T20:00:00')
1570
+ console.log(summary)
1571
+ // => {
1572
+ // timeTest: '2026-08-01T22:27:10+08:00', //執行當下時間
1573
+ // timeOhlcStart: '2020-01-01T00:00:00',
1574
+ // timeOhlcEnd: '2020-01-01T20:00:00',
1575
+ // uIni: 1000,
1576
+ // btDays: 0,
1577
+ // btYears: '0.0',
1578
+ // numTrade: 4,
1579
+ // numTradeFin: 3,
1580
+ // numTradeUnsettled: 1,
1581
+ // uTradeAllMax: 200,
1582
+ // rTradeAllMax: '20.00%',
1583
+ // numTradeAllMax: 2,
1584
+ // uDrawdownMax: 3.1000000000000227,
1585
+ // rDrawdownMax: '0.31%',
1586
+ // rEquivalentDrawdownMax: '1.51%',
1587
+ // rSharpe: 7.675814289051032,
1588
+ // rWin: '66.67%',
1589
+ // uEquityFinal: 1006.6999999999999,
1590
+ // uCumuProfitOrLossFinal: 6.700000000000006,
1591
+ // rCumuProfitOrLossFinal: '0.67%',
1592
+ // rCumuProfitOrLossFinalNormYear: '0.00%',
1593
+ // rEquivalentCumuProfitOrLossFinal: '3.35%',
1594
+ // rEquivalentCumuProfitOrLossFinalNormYear: '0.00%'
1595
+ // }</code></pre>
1596
+
1597
+
1598
+
1599
+
1600
+ <h5 class="h5-parameters">Parameters:</h5>
1601
+
1602
+
1603
+ <table class="params">
1604
+ <thead>
1605
+ <tr>
1606
+
1607
+ <th>Name</th>
1608
+
1609
+
1610
+ <th>Type</th>
1611
+
1612
+
1613
+ <th>Attributes</th>
1614
+
1615
+
1616
+
1617
+ <th>Default</th>
1618
+
1619
+
1620
+ <th class="last">Description</th>
1621
+ </tr>
1622
+ </thead>
1623
+
1624
+ <tbody>
1625
+
1626
+
1627
+ <tr>
1628
+
1629
+ <td class="name"><code>ott</code></td>
1630
+
1631
+
1632
+ <td class="type">
1633
+
1634
+
1635
+ <span class="param-type">function</span>
1636
+
1637
+
1638
+
1639
+
1640
+ </td>
1641
+
1642
+
1643
+ <td class="attributes">
1644
+
1645
+
1646
+
1647
+
1648
+
1649
+ </td>
1650
+
1651
+
1652
+
1653
+ <td class="default">
1654
+
1655
+ </td>
1656
+
1657
+
1658
+ <td class="description last"><p>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)</p></td>
1659
+ </tr>
1660
+
1661
+
1662
+
1663
+ <tr>
1664
+
1665
+ <td class="name"><code>uIni</code></td>
1666
+
1667
+
1668
+ <td class="type">
1669
+
1670
+
1671
+ <span class="param-type">Number</span>
1672
+
1673
+
1674
+
1675
+
1676
+ </td>
1677
+
1678
+
1679
+ <td class="attributes">
1680
+
1681
+
1682
+
1683
+
1684
+
1685
+ </td>
1686
+
1687
+
1688
+
1689
+ <td class="default">
1690
+
1691
+ </td>
1692
+
1693
+
1694
+ <td class="description last"><p>輸入初始資金正數</p></td>
1695
+ </tr>
1696
+
1697
+
1698
+
1699
+ <tr>
1700
+
1701
+ <td class="name"><code>orders</code></td>
1702
+
1703
+
1704
+ <td class="type">
1705
+
1706
+
1707
+ <span class="param-type">Array</span>
1708
+
1709
+
1710
+
1711
+
1712
+ </td>
1713
+
1714
+
1715
+ <td class="attributes">
1716
+
1717
+
1718
+
1719
+
1720
+
1721
+ </td>
1722
+
1723
+
1724
+
1725
+ <td class="default">
1726
+
1727
+ </td>
1728
+
1729
+
1730
+ <td class="description last"><p>輸入已結算訂單陣列(經calcOrders)</p></td>
1731
+ </tr>
1732
+
1733
+
1734
+
1735
+ <tr>
1736
+
1737
+ <td class="name"><code>timeOhlcStart</code></td>
1738
+
1739
+
1740
+ <td class="type">
1741
+
1742
+
1743
+ <span class="param-type">String</span>
1744
+
1745
+
1746
+
1747
+
1748
+ </td>
1749
+
1750
+
1751
+ <td class="attributes">
1752
+
1753
+
1754
+
1755
+
1756
+
1757
+ </td>
1758
+
1759
+
1760
+
1761
+ <td class="default">
1762
+
1763
+ </td>
1764
+
1765
+
1766
+ <td class="description last"><p>輸入回測起始秒時間字串</p></td>
1767
+ </tr>
1768
+
1769
+
1770
+
1771
+ <tr>
1772
+
1773
+ <td class="name"><code>timeOhlcEnd</code></td>
1774
+
1775
+
1776
+ <td class="type">
1777
+
1778
+
1779
+ <span class="param-type">String</span>
1780
+
1781
+
1782
+
1783
+
1784
+ </td>
1785
+
1786
+
1787
+ <td class="attributes">
1788
+
1789
+
1790
+
1791
+
1792
+
1793
+ </td>
1794
+
1795
+
1796
+
1797
+ <td class="default">
1798
+
1799
+ </td>
1800
+
1801
+
1802
+ <td class="description last"><p>輸入回測結束秒時間字串</p></td>
1803
+ </tr>
1804
+
1805
+
1806
+
1807
+ <tr>
1808
+
1809
+ <td class="name"><code>opt</code></td>
1810
+
1811
+
1812
+ <td class="type">
1813
+
1814
+
1815
+ <span class="param-type">Object</span>
1816
+
1817
+
1818
+
1819
+
1820
+ </td>
1821
+
1822
+
1823
+ <td class="attributes">
1824
+
1825
+ &lt;optional><br>
1826
+
1827
+
1828
+
1829
+
1830
+
1831
+ </td>
1832
+
1833
+
1834
+
1835
+ <td class="default">
1836
+
1837
+ <code>{}</code>
1838
+
1839
+ </td>
1840
+
1841
+
1842
+ <td class="description last"><p>輸入設定物件，預設{}</p></td>
1843
+ </tr>
1844
+
1845
+
1846
+ </tbody>
1847
+ </table>
1848
+
1849
+
1850
+
1851
+
1852
+
1853
+
1854
+
1855
+
1856
+
1857
+
1858
+
1859
+
1860
+
1861
+
1862
+
1863
+
1864
+ <h5 class="h5-returns">Returns:</h5>
1865
+
1866
+
1867
+ <div class="param-desc">
1868
+ <p>回傳Promise，resolve為回測摘要物件</p>
1869
+ </div>
1870
+
1871
+
1872
+
1873
+ <dl class="param-type">
1874
+ <dt>
1875
+ Type
1876
+ </dt>
1877
+ <dd>
1878
+
1879
+ <span class="param-type">Promise</span>
1880
+
1881
+
1882
+
1883
+ </dd>
1884
+ </dl>
1885
+
1886
+
1887
+
1888
+
1889
+
1890
+
1891
+
1892
+
1893
+
1894
+
1895
+ <h4 class="name" id="closeAndSummaryOrders"><span class="type-signature type-signature-async">(async) </span>closeAndSummaryOrders<span class="signature">(ott, fdOhlc, fdParam, uIni, timeOhlcStart, timeOhlcEnd, keyOhlc, ordersSubmit, fdTest, opt<span class="signature-attributes">opt</span>)</span><span class="type-signature"> &rarr; {Promise}</span></h4>
1896
+
1897
+
1898
+
1899
+
1900
+
1901
+
1902
+ <dl class="details">
1903
+
1904
+ <dt class="tag-description">Description:</dt>
1905
+ <dd class="tag-description"><ul class="dummy"><li><p>結算下單清單並輸出訂單、摘要與報告檔案</p>
1906
+ <p>以w-data-tdprovide讀取fdOhlc與fdParam資料夾數據，依timeOhlcStart至timeOhlcEnd範圍取keyOhlc之K線序列
1907
+ 經calcOrders結算ordersSubmit與calcSummary統計後，輸出orders.json、summary.json、report.html至fdTest資料夾
1908
+ fdOhlc或fdParam非資料夾、uIni非正數、timeOhlcStart或timeOhlcEnd非有效字串或非4小時整數倍區間時reject</p>
1909
+ <p>Unit Test: <a href="https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs">Github</a></p></li></ul></dd>
1910
+
1911
+
1912
+
1913
+ <dt class="tag-source">Source:</dt>
1914
+ <dd class="tag-source"><ul class="dummy"><li>
1915
+ <a href="closeAndSummaryOrders.mjs.html">closeAndSummaryOrders.mjs</a>, <a href="closeAndSummaryOrders.mjs.html#line75">line 75</a>
1916
+ </li></ul></dd>
1917
+
1918
+
1919
+
1920
+
1921
+
1922
+
1923
+
1924
+
1925
+
1926
+
1927
+
1928
+
1929
+
1930
+
1931
+
1932
+
1933
+
1934
+
1935
+
1936
+
1937
+
1938
+
1939
+
1940
+
1941
+
1942
+
1943
+
1944
+
1945
+
1946
+
1947
+
1948
+ </dl>
1949
+
1950
+
1951
+
1952
+
1953
+
1954
+
1955
+
1956
+
1957
+
1958
+
1959
+
1960
+ <h5 class="h5-examples">Example</h5>
1961
+
1962
+ <pre class="prettyprint"><code>import fs from 'fs'
1963
+
1964
+ let arrOhlc = [
1965
+ { time: '2020-01-01T00:00:00', Open: 100, High: 101, Low: 99, Close: 100 },
1966
+ { time: '2020-01-01T04:00:00', Open: 100, High: 106, Low: 100, Close: 105 },
1967
+ { time: '2020-01-01T08:00:00', Open: 105, High: 107, Low: 102, Close: 103 },
1968
+ { time: '2020-01-01T12:00:00', Open: 103, High: 104, Low: 94, Close: 95 },
1969
+ { time: '2020-01-01T16:00:00', Open: 95, High: 98, Low: 92, Close: 93 },
1970
+ { time: '2020-01-01T20:00:00', Open: 93, High: 99, Low: 95, Close: 97 },
1971
+ ]
1972
+
1973
+ //建立數據資料夾, fdOhlc放K線序列, fdParam放指標參數序列
1974
+ fs.mkdirSync('./data-ohlc', { recursive: true })
1975
+ fs.mkdirSync('./data-param', { recursive: true })
1976
+ fs.writeFileSync('./data-ohlc/btc.json', JSON.stringify(arrOhlc), 'utf8')
1977
+
1978
+ let ordersSubmit = [{
1979
+ mode: 'long',
1980
+ timeStart: '2020-01-01T00:00:00',
1981
+ priceStart: 100,
1982
+ uTrade: 100,
1983
+ priceTakeProfit: 105,
1984
+ priceStopLoss: 97,
1985
+ timeEnd: '',
1986
+ priceEnd: '',
1987
+ modeResult: '',
1988
+ uFee: 0.05,
1989
+ }]
1990
+
1991
+ await closeAndSummaryOrders(ott, './data-ohlc', './data-param', 1000, '2020-01-01T00:00:00', '2020-01-01T20:00:00', 'btc', ordersSubmit, './result')
1992
+ console.log(fs.readdirSync('./result'))
1993
+ // => [ 'orders.json', 'report.html', 'summary.json' ]</code></pre>
1994
+
1995
+
1996
+
1997
+
1998
+ <h5 class="h5-parameters">Parameters:</h5>
1999
+
2000
+
2001
+ <table class="params">
2002
+ <thead>
2003
+ <tr>
2004
+
2005
+ <th>Name</th>
2006
+
2007
+
2008
+ <th>Type</th>
2009
+
2010
+
2011
+ <th>Attributes</th>
2012
+
2013
+
2014
+
2015
+ <th>Default</th>
2016
+
2017
+
2018
+ <th class="last">Description</th>
2019
+ </tr>
2020
+ </thead>
2021
+
2022
+ <tbody>
2023
+
2024
+
2025
+ <tr>
2026
+
2027
+ <td class="name"><code>ott</code></td>
2028
+
2029
+
2030
+ <td class="type">
2031
+
2032
+
2033
+ <span class="param-type">function</span>
2034
+
2035
+
2036
+
2037
+
2038
+ </td>
2039
+
2040
+
2041
+ <td class="attributes">
2042
+
2043
+
2044
+
2045
+
2046
+
2047
+ </td>
2048
+
2049
+
2050
+
2051
+ <td class="default">
2052
+
2053
+ </td>
2054
+
2055
+
2056
+ <td class="description last"><p>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)</p></td>
2057
+ </tr>
2058
+
2059
+
2060
+
2061
+ <tr>
2062
+
2063
+ <td class="name"><code>fdOhlc</code></td>
2064
+
2065
+
2066
+ <td class="type">
2067
+
2068
+
2069
+ <span class="param-type">String</span>
2070
+
2071
+
2072
+
2073
+
2074
+ </td>
2075
+
2076
+
2077
+ <td class="attributes">
2078
+
2079
+
2080
+
2081
+
2082
+
2083
+ </td>
2084
+
2085
+
2086
+
2087
+ <td class="default">
2088
+
2089
+ </td>
2090
+
2091
+
2092
+ <td class="description last"><p>輸入儲存K線(ohlc)序列資料夾字串，各序列以<code>${key}.json</code>儲存</p></td>
2093
+ </tr>
2094
+
2095
+
2096
+
2097
+ <tr>
2098
+
2099
+ <td class="name"><code>fdParam</code></td>
2100
+
2101
+
2102
+ <td class="type">
2103
+
2104
+
2105
+ <span class="param-type">String</span>
2106
+
2107
+
2108
+
2109
+
2110
+ </td>
2111
+
2112
+
2113
+ <td class="attributes">
2114
+
2115
+
2116
+
2117
+
2118
+
2119
+ </td>
2120
+
2121
+
2122
+
2123
+ <td class="default">
2124
+
2125
+ </td>
2126
+
2127
+
2128
+ <td class="description last"><p>輸入儲存指標參數序列資料夾字串</p></td>
2129
+ </tr>
2130
+
2131
+
2132
+
2133
+ <tr>
2134
+
2135
+ <td class="name"><code>uIni</code></td>
2136
+
2137
+
2138
+ <td class="type">
2139
+
2140
+
2141
+ <span class="param-type">Number</span>
2142
+
2143
+
2144
+
2145
+
2146
+ </td>
2147
+
2148
+
2149
+ <td class="attributes">
2150
+
2151
+
2152
+
2153
+
2154
+
2155
+ </td>
2156
+
2157
+
2158
+
2159
+ <td class="default">
2160
+
2161
+ </td>
2162
+
2163
+
2164
+ <td class="description last"><p>輸入初始資金正數</p></td>
2165
+ </tr>
2166
+
2167
+
2168
+
2169
+ <tr>
2170
+
2171
+ <td class="name"><code>timeOhlcStart</code></td>
2172
+
2173
+
2174
+ <td class="type">
2175
+
2176
+
2177
+ <span class="param-type">String</span>
2178
+
2179
+
2180
+
2181
+
2182
+ </td>
2183
+
2184
+
2185
+ <td class="attributes">
2186
+
2187
+
2188
+
2189
+
2190
+
2191
+ </td>
2192
+
2193
+
2194
+
2195
+ <td class="default">
2196
+
2197
+ </td>
2198
+
2199
+
2200
+ <td class="description last"><p>輸入回測起始秒時間字串</p></td>
2201
+ </tr>
2202
+
2203
+
2204
+
2205
+ <tr>
2206
+
2207
+ <td class="name"><code>timeOhlcEnd</code></td>
2208
+
2209
+
2210
+ <td class="type">
2211
+
2212
+
2213
+ <span class="param-type">String</span>
2214
+
2215
+
2216
+
2217
+
2218
+ </td>
2219
+
2220
+
2221
+ <td class="attributes">
2222
+
2223
+
2224
+
2225
+
2226
+
2227
+ </td>
2228
+
2229
+
2230
+
2231
+ <td class="default">
2232
+
2233
+ </td>
2234
+
2235
+
2236
+ <td class="description last"><p>輸入回測結束秒時間字串</p></td>
2237
+ </tr>
2238
+
2239
+
2240
+
2241
+ <tr>
2242
+
2243
+ <td class="name"><code>keyOhlc</code></td>
2244
+
2245
+
2246
+ <td class="type">
2247
+
2248
+
2249
+ <span class="param-type">String</span>
2250
+
2251
+
2252
+
2253
+
2254
+ </td>
2255
+
2256
+
2257
+ <td class="attributes">
2258
+
2259
+
2260
+
2261
+
2262
+
2263
+ </td>
2264
+
2265
+
2266
+
2267
+ <td class="default">
2268
+
2269
+ </td>
2270
+
2271
+
2272
+ <td class="description last"><p>輸入K線序列key字串</p></td>
2273
+ </tr>
2274
+
2275
+
2276
+
2277
+ <tr>
2278
+
2279
+ <td class="name"><code>ordersSubmit</code></td>
2280
+
2281
+
2282
+ <td class="type">
2283
+
2284
+
2285
+ <span class="param-type">Array</span>
2286
+
2287
+
2288
+
2289
+
2290
+ </td>
2291
+
2292
+
2293
+ <td class="attributes">
2294
+
2295
+
2296
+
2297
+
2298
+
2299
+ </td>
2300
+
2301
+
2302
+
2303
+ <td class="default">
2304
+
2305
+ </td>
2306
+
2307
+
2308
+ <td class="description last"><p>輸入下單陣列(格式同calcOrders之orders)</p></td>
2309
+ </tr>
2310
+
2311
+
2312
+
2313
+ <tr>
2314
+
2315
+ <td class="name"><code>fdTest</code></td>
2316
+
2317
+
2318
+ <td class="type">
2319
+
2320
+
2321
+ <span class="param-type">String</span>
2322
+
2323
+
2324
+
2325
+
2326
+ </td>
2327
+
2328
+
2329
+ <td class="attributes">
2330
+
2331
+
2332
+
2333
+
2334
+
2335
+ </td>
2336
+
2337
+
2338
+
2339
+ <td class="default">
2340
+
2341
+ </td>
2342
+
2343
+
2344
+ <td class="description last"><p>輸入輸出結果資料夾字串</p></td>
2345
+ </tr>
2346
+
2347
+
2348
+
2349
+ <tr>
2350
+
2351
+ <td class="name"><code>opt</code></td>
2352
+
2353
+
2354
+ <td class="type">
2355
+
2356
+
2357
+ <span class="param-type">Object</span>
2358
+
2359
+
2360
+
2361
+
2362
+ </td>
2363
+
2364
+
2365
+ <td class="attributes">
2366
+
2367
+ &lt;optional><br>
2368
+
2369
+
2370
+
2371
+
2372
+
2373
+ </td>
2374
+
2375
+
2376
+
2377
+ <td class="default">
2378
+
2379
+ <code>{}</code>
2380
+
2381
+ </td>
2382
+
2383
+
2384
+ <td class="description last"><p>輸入設定物件，預設{}</p>
2385
+ <h6>Properties</h6>
2386
+
2387
+
2388
+ <table class="params">
2389
+ <thead>
2390
+ <tr>
2391
+
2392
+ <th>Name</th>
2393
+
2394
+
2395
+ <th>Type</th>
2396
+
2397
+
2398
+ <th>Attributes</th>
2399
+
2400
+
2401
+
2402
+ <th>Default</th>
2403
+
2404
+
2405
+ <th class="last">Description</th>
2406
+ </tr>
2407
+ </thead>
2408
+
2409
+ <tbody>
2410
+
2411
+
2412
+ <tr>
2413
+
2414
+ <td class="name"><code>writeOrders</code></td>
2415
+
2416
+
2417
+ <td class="type">
2418
+
2419
+
2420
+ <span class="param-type">Boolean</span>
2421
+
2422
+
2423
+
2424
+
2425
+ </td>
2426
+
2427
+
2428
+ <td class="attributes">
2429
+
2430
+ &lt;optional><br>
2431
+
2432
+
2433
+
2434
+
2435
+
2436
+ </td>
2437
+
2438
+
2439
+
2440
+ <td class="default">
2441
+
2442
+ <code>true</code>
2443
+
2444
+ </td>
2445
+
2446
+
2447
+ <td class="description last"><p>輸入是否輸出orders.json布林值，預設true</p></td>
2448
+ </tr>
2449
+
2450
+
2451
+
2452
+ <tr>
2453
+
2454
+ <td class="name"><code>writeSummary</code></td>
2455
+
2456
+
2457
+ <td class="type">
2458
+
2459
+
2460
+ <span class="param-type">Boolean</span>
2461
+
2462
+
2463
+
2464
+
2465
+ </td>
2466
+
2467
+
2468
+ <td class="attributes">
2469
+
2470
+ &lt;optional><br>
2471
+
2472
+
2473
+
2474
+
2475
+
2476
+ </td>
2477
+
2478
+
2479
+
2480
+ <td class="default">
2481
+
2482
+ <code>true</code>
2483
+
2484
+ </td>
2485
+
2486
+
2487
+ <td class="description last"><p>輸入是否輸出summary.json布林值，預設true</p></td>
2488
+ </tr>
2489
+
2490
+
2491
+
2492
+ <tr>
2493
+
2494
+ <td class="name"><code>writeReport</code></td>
2495
+
2496
+
2497
+ <td class="type">
2498
+
2499
+
2500
+ <span class="param-type">Boolean</span>
2501
+
2502
+
2503
+
2504
+
2505
+ </td>
2506
+
2507
+
2508
+ <td class="attributes">
2509
+
2510
+ &lt;optional><br>
2511
+
2512
+
2513
+
2514
+
2515
+
2516
+ </td>
2517
+
2518
+
2519
+
2520
+ <td class="default">
2521
+
2522
+ <code>true</code>
2523
+
2524
+ </td>
2525
+
2526
+
2527
+ <td class="description last"><p>輸入是否輸出report.html布林值，預設true</p></td>
2528
+ </tr>
2529
+
2530
+
2531
+ </tbody>
2532
+ </table>
2533
+
2534
+ </td>
2535
+ </tr>
2536
+
2537
+
2538
+ </tbody>
2539
+ </table>
2540
+
2541
+
2542
+
2543
+
2544
+
2545
+
2546
+
2547
+
2548
+
2549
+
2550
+
2551
+
2552
+
2553
+
2554
+
2555
+
2556
+ <h5 class="h5-returns">Returns:</h5>
2557
+
2558
+
2559
+ <div class="param-desc">
2560
+ <p>回傳Promise，無resolve值，於fdTest輸出結果檔案</p>
2561
+ </div>
2562
+
2563
+
2564
+
2565
+ <dl class="param-type">
2566
+ <dt>
2567
+ Type
2568
+ </dt>
2569
+ <dd>
2570
+
2571
+ <span class="param-type">Promise</span>
2572
+
2573
+
2574
+
2575
+ </dd>
2576
+ </dl>
2577
+
2578
+
2579
+
2580
+
2581
+
2582
+
2583
+
2584
+
2585
+
2586
+
2587
+ <h4 class="name" id="genReport"><span class="type-signature type-signature-async">(async) </span>genReport<span class="signature">(ott, fpOrders, opt<span class="signature-attributes">opt</span>)</span><span class="type-signature"> &rarr; {Promise}</span></h4>
2588
+
2589
+
2590
+
2591
+
2592
+
2593
+
2594
+ <dl class="details">
2595
+
2596
+ <dt class="tag-description">Description:</dt>
2597
+ <dd class="tag-description"><ul class="dummy"><li><p>由orders.json產製績效html報表</p>
2598
+ <p>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
2599
+ 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
2600
+ fpOrders非有效字串或非檔案、內容非有效陣列時throw</p>
2601
+ <p>Unit Test: <a href="https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs">Github</a></p></li></ul></dd>
2602
+
2603
+
2604
+
2605
+ <dt class="tag-source">Source:</dt>
2606
+ <dd class="tag-source"><ul class="dummy"><li>
2607
+ <a href="genReport.mjs.html">genReport.mjs</a>, <a href="genReport.mjs.html#line61">line 61</a>
2608
+ </li></ul></dd>
2609
+
2610
+
2611
+
2612
+
2613
+
2614
+
2615
+
2616
+
2617
+
2618
+
2619
+
2620
+
2621
+
2622
+
2623
+
2624
+
2625
+
2626
+
2627
+
2628
+
2629
+
2630
+
2631
+
2632
+
2633
+
2634
+
2635
+
2636
+
2637
+
2638
+
2639
+
2640
+ </dl>
2641
+
2642
+
2643
+
2644
+
2645
+
2646
+
2647
+
2648
+
2649
+
2650
+
2651
+
2652
+ <h5 class="h5-examples">Example</h5>
2653
+
2654
+ <pre class="prettyprint"><code>import fs from 'fs'
2655
  mode: 'long',
1
2656
  timeStart: '2020-01-01T00:00:00',
2
2657
  priceStart: 100,
3
2658
  uTrade: 100,
4
2659
  priceTakeProfit: 105,
5
2660
  priceStopLoss: 97,
6
2661
  timeEnd: '2020-01-01T04:00:00',
7
2662
  priceEnd: 105,
8
2663
  modeResult: 'profit',
9
2664
  uFee: 0.05,
10
2665
  uProfitOrLoss: 4.9,
11
2666
  rProfitOrLoss: 0.049,
12
2667
  uCumuProfitOrLoss: 4.9,
13
2668
  uEquity: 1004.9,
2669
+
2670
+
2671
+
2672
+
2673
+ <h5 class="h5-parameters">Parameters:</h5>
2674
+
2675
+
2676
+ <table class="params">
2677
+ <thead>
2678
+ <tr>
2679
+
2680
+ <th>Name</th>
2681
+
2682
+
2683
+ <th>Type</th>
2684
+
2685
+
2686
+ <th>Attributes</th>
2687
+
2688
+
2689
+
2690
+ <th>Default</th>
2691
+
2692
+
2693
+ <th class="last">Description</th>
2694
+ </tr>
2695
+ </thead>
2696
+
2697
+ <tbody>
2698
+
2699
+
2700
+ <tr>
2701
+
2702
+ <td class="name"><code>ott</code></td>
2703
+
2704
+
2705
+ <td class="type">
2706
+
2707
+
2708
+ <span class="param-type">function</span>
2709
+
2710
+
2711
+
2712
+
2713
+ </td>
2714
+
2715
+
2716
+ <td class="attributes">
2717
+
2718
+
2719
+
2720
+
2721
+
2722
+ </td>
2723
+
2724
+
2725
+
2726
+ <td class="default">
2727
+
2728
+ </td>
2729
+
2730
+
2731
+ <td class="description last"><p>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)</p></td>
2732
+ </tr>
2733
+
2734
+
2735
+
2736
+ <tr>
2737
+
2738
+ <td class="name"><code>fpOrders</code></td>
2739
+
2740
+
2741
+ <td class="type">
2742
+
2743
+
2744
+ <span class="param-type">String</span>
2745
+
2746
+
2747
+
2748
+
2749
+ </td>
2750
+
2751
+
2752
+ <td class="attributes">
2753
+
2754
+
2755
+
2756
+
2757
+
2758
+ </td>
2759
+
2760
+
2761
+
2762
+ <td class="default">
2763
+
2764
+ </td>
2765
+
2766
+
2767
+ <td class="description last"><p>輸入orders.json檔案路徑字串</p></td>
2768
+ </tr>
2769
+
2770
+
2771
+
2772
+ <tr>
2773
+
2774
+ <td class="name"><code>opt</code></td>
2775
+
2776
+
2777
+ <td class="type">
2778
+
2779
+
2780
+ <span class="param-type">Object</span>
2781
+
2782
+
2783
+
2784
+
2785
+ </td>
2786
+
2787
+
2788
+ <td class="attributes">
2789
+
2790
+ &lt;optional><br>
2791
+
2792
+
2793
+
2794
+
2795
+
2796
+ </td>
2797
+
2798
+
2799
+
2800
+ <td class="default">
2801
+
2802
+ <code>{}</code>
2803
+
2804
+ </td>
2805
+
2806
+
2807
+ <td class="description last"><p>輸入設定物件，預設{}</p>
2808
+ <h6>Properties</h6>
2809
+
2810
+
2811
+ <table class="params">
2812
+ <thead>
2813
+ <tr>
2814
+
2815
+ <th>Name</th>
2816
+
2817
+
2818
+ <th>Type</th>
2819
+
2820
+
2821
+ <th>Attributes</th>
2822
+
2823
+
2824
+
2825
+ <th>Default</th>
2826
+
2827
+
2828
+ <th class="last">Description</th>
2829
+ </tr>
2830
+ </thead>
2831
+
2832
+ <tbody>
2833
+
2834
+
2835
+ <tr>
2836
+
2837
+ <td class="name"><code>fpOut</code></td>
2838
+
2839
+
2840
+ <td class="type">
2841
+
2842
+
2843
+ <span class="param-type">String</span>
2844
+
2845
+
2846
+
2847
+
2848
+ </td>
2849
+
2850
+
2851
+ <td class="attributes">
2852
+
2853
+ &lt;optional><br>
2854
+
2855
+
2856
+
2857
+
2858
+
2859
+ </td>
2860
+
2861
+
2862
+
2863
+ <td class="default">
2864
+
2865
+ <code>''</code>
2866
+
2867
+ </td>
2868
+
2869
+
2870
+ <td class="description last"><p>輸入輸出html檔案路徑字串，預設為與orders.json同資料夾之report.html</p></td>
2871
+ </tr>
2872
+
2873
+
2874
+
2875
+ <tr>
2876
+
2877
+ <td class="name"><code>name</code></td>
2878
+
2879
+
2880
+ <td class="type">
2881
+
2882
+
2883
+ <span class="param-type">String</span>
2884
+
2885
+
2886
+
2887
+
2888
+ </td>
2889
+
2890
+
2891
+ <td class="attributes">
2892
+
2893
+ &lt;optional><br>
2894
+
2895
+
2896
+
2897
+
2898
+
2899
+ </td>
2900
+
2901
+
2902
+
2903
+ <td class="default">
2904
+
2905
+ <code>''</code>
2906
+
2907
+ </td>
2908
+
2909
+
2910
+ <td class="description last"><p>輸入報表標題字串，預設為orders.json所在資料夾名</p></td>
2911
+ </tr>
2912
+
2913
+
2914
+
2915
+ <tr>
2916
+
2917
+ <td class="name"><code>uIni</code></td>
2918
+
2919
+
2920
+ <td class="type">
2921
+
2922
+
2923
+ <span class="param-type">Number</span>
2924
+
2925
+
2926
+
2927
+
2928
+ </td>
2929
+
2930
+
2931
+ <td class="attributes">
2932
+
2933
+ &lt;optional><br>
2934
+
2935
+
2936
+
2937
+
2938
+
2939
+ </td>
2940
+
2941
+
2942
+
2943
+ <td class="default">
2944
+
2945
+ <code>null</code>
2946
+
2947
+ </td>
2948
+
2949
+
2950
+ <td class="description last"><p>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</p></td>
2951
+ </tr>
2952
+
2953
+
2954
+
2955
+ <tr>
2956
+
2957
+ <td class="name"><code>timeOhlcStart</code></td>
2958
+
2959
+
2960
+ <td class="type">
2961
+
2962
+
2963
+ <span class="param-type">String</span>
2964
+
2965
+
2966
+
2967
+
2968
+ </td>
2969
+
2970
+
2971
+ <td class="attributes">
2972
+
2973
+ &lt;optional><br>
2974
+
2975
+
2976
+
2977
+
2978
+
2979
+ </td>
2980
+
2981
+
2982
+
2983
+ <td class="default">
2984
+
2985
+ <code>''</code>
2986
+
2987
+ </td>
2988
+
2989
+
2990
+ <td class="description last"><p>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</p></td>
2991
+ </tr>
2992
+
2993
+
2994
+
2995
+ <tr>
2996
+
2997
+ <td class="name"><code>timeOhlcEnd</code></td>
2998
+
2999
+
3000
+ <td class="type">
3001
+
3002
+
3003
+ <span class="param-type">String</span>
3004
+
3005
+
3006
+
3007
+
3008
+ </td>
3009
+
3010
+
3011
+ <td class="attributes">
3012
+
3013
+ &lt;optional><br>
3014
+
3015
+
3016
+
3017
+
3018
+
3019
+ </td>
3020
+
3021
+
3022
+
3023
+ <td class="default">
3024
+
3025
+ <code>''</code>
3026
+
3027
+ </td>
3028
+
3029
+
3030
+ <td class="description last"><p>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</p></td>
3031
+ </tr>
3032
+
3033
+
3034
+
3035
+ <tr>
3036
+
3037
+ <td class="name"><code>withWriteSummary</code></td>
3038
+
3039
+
3040
+ <td class="type">
3041
+
3042
+
3043
+ <span class="param-type">Boolean</span>
3044
+
3045
+
3046
+
3047
+
3048
+ </td>
3049
+
3050
+
3051
+ <td class="attributes">
3052
+
3053
+ &lt;optional><br>
3054
+
3055
+
3056
+
3057
+
3058
+
3059
+ </td>
3060
+
3061
+
3062
+
3063
+ <td class="default">
3064
+
3065
+ <code>false</code>
3066
+
3067
+ </td>
3068
+
3069
+
3070
+ <td class="description last"><p>輸入是否同時輸出summary.json(與fpOut同資料夾)布林值，預設false</p></td>
3071
+ </tr>
3072
+
3073
+
3074
+ </tbody>
3075
+ </table>
3076
+
3077
+ </td>
3078
+ </tr>
3079
+
3080
+
3081
+ </tbody>
3082
+ </table>
3083
+
3084
+
3085
+
3086
+
3087
+
3088
+
3089
+
3090
+
3091
+
3092
+
3093
+
3094
+
3095
+
3096
+
3097
+
3098
+
3099
+ <h5 class="h5-returns">Returns:</h5>
3100
+
3101
+
3102
+ <div class="param-desc">
3103
+ <p>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</p>
3104
+ </div>
3105
+
3106
+
3107
+
3108
+ <dl class="param-type">
3109
+ <dt>
3110
+ Type
3111
+ </dt>
3112
+ <dd>
3113
+
3114
+ <span class="param-type">Promise</span>
3115
+
3116
+
3117
+
3118
+ </dd>
3119
+ </dl>
3120
+
3121
+
3122
+
3123
+
3124
+
3125
+
3126
+
3127
+
3128
+
3129
+
3130
+ <h4 class="name" id="genReportCore"><span class="type-signature"></span>genReportCore<span class="signature">(r, fpOut)</span><span class="type-signature"> &rarr; {undefined}</span></h4>
3131
+
3132
+
3133
+
3134
+
3135
+
3136
+
3137
+ <dl class="details">
3138
+
3139
+ <dt class="tag-description">Description:</dt>
3140
+ <dd class="tag-description"><ul class="dummy"><li><p>產出html回測報告</p>
3141
+ <p>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
3142
+ 報告內含權益曲線、訂單表格、時間軸與摘要</p>
3143
+ <p>Unit Test: <a href="https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs">Github</a></p></li></ul></dd>
3144
+
3145
+
3146
+
3147
+ <dt class="tag-source">Source:</dt>
3148
+ <dd class="tag-source"><ul class="dummy"><li>
3149
+ <a href="genReportCore.mjs.html">genReportCore.mjs</a>, <a href="genReportCore.mjs.html#line28">line 28</a>
3150
+ </li></ul></dd>
3151
+
3152
+
3153
+
3154
+
3155
+
3156
+
3157
+
3158
+
3159
+
3160
+
3161
+
3162
+
3163
+
3164
+
3165
+
3166
+
3167
+
3168
+
3169
+
3170
+
3171
+
3172
+
3173
+
3174
+
3175
+
3176
+
3177
+
3178
+
3179
+
3180
+
3181
+
3182
+ </dl>
3183
+
3184
+
3185
+
3186
+
3187
+
3188
+
3189
+
3190
+
3191
+
3192
+
3193
+
3194
+ <h5 class="h5-examples">Example</h5>
3195
+
3196
+ <pre class="prettyprint"><code>//rr為runStrategies範例之回傳{orders,summary}
3197
+ genReportCore({ name: '示範策略', orders: rr.orders, summary: rr.summary }, './report.html')
3198
+ // => 於'./report.html'寫出html報告</code></pre>
3199
+
3200
+
3201
+
3202
+
3203
+ <h5 class="h5-parameters">Parameters:</h5>
3204
+
3205
+
3206
+ <table class="params">
3207
+ <thead>
3208
+ <tr>
3209
+
3210
+ <th>Name</th>
3211
+
3212
+
3213
+ <th>Type</th>
3214
+
3215
+
3216
+
3217
+
3218
+
3219
+ <th class="last">Description</th>
3220
+ </tr>
3221
+ </thead>
3222
+
3223
+ <tbody>
3224
+
3225
+
3226
+ <tr>
3227
+
3228
+ <td class="name"><code>r</code></td>
3229
+
3230
+
3231
+ <td class="type">
3232
+
3233
+
3234
+ <span class="param-type">Object</span>
3235
+
3236
+
3237
+
3238
+
3239
+ </td>
3240
+
3241
+
3242
+
3243
+
3244
+
3245
+ <td class="description last"><p>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</p></td>
3246
+ </tr>
3247
+
3248
+
3249
+
3250
+ <tr>
3251
+
3252
+ <td class="name"><code>fpOut</code></td>
3253
+
3254
+
3255
+ <td class="type">
3256
+
3257
+
3258
+ <span class="param-type">String</span>
3259
+
3260
+
3261
+
3262
+
3263
+ </td>
3264
+
3265
+
3266
+
3267
+
3268
+
3269
+ <td class="description last"><p>輸入輸出html檔案路徑字串</p></td>
3270
+ </tr>
3271
+
3272
+
3273
+ </tbody>
3274
+ </table>
3275
+
3276
+
3277
+
3278
+
3279
+
3280
+
3281
+
3282
+
3283
+
3284
+
3285
+
3286
+
3287
+
3288
+
3289
+
3290
+
3291
+ <h5 class="h5-returns">Returns:</h5>
3292
+
3293
+
3294
+ <div class="param-desc">
3295
+ <p>無回傳，於fpOut寫出html報告</p>
3296
+ </div>
3297
+
3298
+
3299
+
3300
+ <dl class="param-type">
3301
+ <dt>
3302
+ Type
3303
+ </dt>
3304
+ <dd>
3305
+
3306
+ <span class="param-type">undefined</span>
3307
+
3308
+
3309
+
3310
+ </dd>
3311
+ </dl>
3312
+
3313
+
3314
+
3315
+
3316
+
3317
+
3318
+
3319
+
3320
+
3321
+
3322
+ <h4 class="name" id="runStrategies"><span class="type-signature type-signature-async">(async) </span>runStrategies<span class="signature">(ott, strategies, funGetSeries, opt<span class="signature-attributes">opt</span>)</span><span class="type-signature"> &rarr; {Promise}</span></h4>
3323
+
3324
+
3325
+
3326
+
3327
+
3328
+
3329
+ <dl class="details">
3330
+
3331
+ <dt class="tag-description">Description:</dt>
3332
+ <dd class="tag-description"><ul class="dummy"><li><p>執行多策略回測</p>
3333
+ <p>逐策略呼叫runStrategy(withSummary:false)，各單附加策略sid後合併並依timeStart排序
3334
+ 以各策略settings.uIni總和為初始資金呼叫calcSummary統計合併摘要
3335
+ 個別策略執行失敗(如時間點無參數無法下單)時強制略過</p>
3336
+ <p>Unit Test: <a href="https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs">Github</a></p></li></ul></dd>
3337
+
3338
+
3339
+
3340
+ <dt class="tag-source">Source:</dt>
3341
+ <dd class="tag-source"><ul class="dummy"><li>
3342
+ <a href="runStrategies.mjs.html">runStrategies.mjs</a>, <a href="runStrategies.mjs.html#line79">line 79</a>
3343
+ </li></ul></dd>
3344
+
3345
+
3346
+
3347
+
3348
+
3349
+
3350
+
3351
+
3352
+
3353
+
3354
+
3355
+
3356
+
3357
+
3358
+
3359
+
3360
+
3361
+
3362
+
3363
+
3364
+
3365
+
3366
+
3367
+
3368
+
3369
+
3370
+
3371
+
3372
+
3373
+
3374
+
3375
+ </dl>
3376
+
3377
+
3378
+
3379
+
3380
+
3381
+
3382
+
3383
+
3384
+
3385
+
3386
+
3387
+ <h5 class="h5-examples">Example</h5>
3388
+
3389
+ <pre class="prettyprint"><code>let arrOhlc = [
3390
+ { time: '2020-01-01T00:00:00', Open: 100, High: 101, Low: 99, Close: 100 },
3391
+ { time: '2020-01-01T04:00:00', Open: 100, High: 106, Low: 100, Close: 105 },
3392
+ { time: '2020-01-01T08:00:00', Open: 105, High: 107, Low: 102, Close: 103 },
3393
+ { time: '2020-01-01T12:00:00', Open: 103, High: 104, Low: 94, Close: 95 },
3394
+ { time: '2020-01-01T16:00:00', Open: 95, High: 98, Low: 92, Close: 93 },
3395
+ { time: '2020-01-01T20:00:00', Open: 93, High: 99, Low: 95, Close: 97 },
3396
+ ]
3397
+
3398
+ let arrSig = [
3399
+ { time: '2020-01-01T00:00:00', param: 1 },
3400
+ { time: '2020-01-01T04:00:00', param: 0 },
3401
+ { time: '2020-01-01T08:00:00', param: 1 },
3402
+ { time: '2020-01-01T12:00:00', param: 0 },
3403
+ { time: '2020-01-01T16:00:00', param: 0 },
3404
+ { time: '2020-01-01T20:00:00', param: 0 },
3405
+ ]
3406
+
3407
+ let funGetSeries = async (key) => {
3408
+ if (key === 'btc') {
3409
+ return arrOhlc
3410
+ }
3411
+ if (key === 'sig') {
3412
+ return arrSig
3413
+ }
3414
+ throw new Error(`invalid key[${key}]`)
3415
+ }
3416
+
3417
+ let settings = { uIni: 1000, uTrade: 100, rTakeProfit: 0.05, rStopLoss: 0.03, rFee: 0.0005 }
3418
+ let strategies = [
3419
+ { sid: 's1', mode: 'long', keyOhlc: 'btc', conds: [{ key: 'sig', sym: '>', th: 0.5, opr: 'and' }], settings },
3420
+ { sid: 's2', mode: 'short', keyOhlc: 'btc', conds: [{ key: 'sig', sym: '&lt;', th: 0.5, opr: 'and' }], settings },
3421
+ ]
3422
+
3423
+ let rr = await runStrategies(ott, strategies, funGetSeries)
3424
+ console.log(rr.orders.map((o) => `${o.sid} ${o.timeStart} ${o.mode} ${o.modeResult || 'unsettled'}`))
3425
+ // => [
3426
+ // 's1 2020-01-01T00:00:00 long profit',
3427
+ // 's2 2020-01-01T04:00:00 short profit',
3428
+ // 's1 2020-01-01T08:00:00 long loss',
3429
+ // 's2 2020-01-01T12:00:00 short loss',
3430
+ // 's2 2020-01-01T16:00:00 short loss',
3431
+ // 's2 2020-01-01T20:00:00 short unsettled'
3432
+ // ]
3433
+ console.log(rr.summary.uIni, rr.summary.numTrade, rr.summary.rWin)
3434
+ // => 2000 6 40.00%</code></pre>
3435
+
3436
+
3437
+
3438
+
3439
+ <h5 class="h5-parameters">Parameters:</h5>
3440
+
3441
+
3442
+ <table class="params">
3443
+ <thead>
3444
+ <tr>
3445
+
3446
+ <th>Name</th>
3447
+
3448
+
3449
+ <th>Type</th>
3450
+
3451
+
3452
+ <th>Attributes</th>
3453
+
3454
+
3455
+
3456
+ <th>Default</th>
3457
+
3458
+
3459
+ <th class="last">Description</th>
3460
+ </tr>
3461
+ </thead>
3462
+
3463
+ <tbody>
3464
+
3465
+
3466
+ <tr>
3467
+
3468
+ <td class="name"><code>ott</code></td>
3469
+
3470
+
3471
+ <td class="type">
3472
+
3473
+
3474
+ <span class="param-type">function</span>
3475
+
3476
+
3477
+
3478
+
3479
+ </td>
3480
+
3481
+
3482
+ <td class="attributes">
3483
+
3484
+
3485
+
3486
+
3487
+
3488
+ </td>
3489
+
3490
+
3491
+
3492
+ <td class="default">
3493
+
3494
+ </td>
3495
+
3496
+
3497
+ <td class="description last"><p>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)</p></td>
3498
+ </tr>
3499
+
3500
+
3501
+
3502
+ <tr>
3503
+
3504
+ <td class="name"><code>strategies</code></td>
3505
+
3506
+
3507
+ <td class="type">
3508
+
3509
+
3510
+ <span class="param-type">Array</span>
3511
+
3512
+
3513
+
3514
+
3515
+ </td>
3516
+
3517
+
3518
+ <td class="attributes">
3519
+
3520
+
3521
+
3522
+
3523
+
3524
+ </td>
3525
+
3526
+
3527
+
3528
+ <td class="default">
3529
+
3530
+ </td>
3531
+
3532
+
3533
+ <td class="description last"><p>輸入策略陣列，各元素需含sid與runStrategy之strategy欄位</p></td>
3534
+ </tr>
3535
+
3536
+
3537
+
3538
+ <tr>
3539
+
3540
+ <td class="name"><code>funGetSeries</code></td>
3541
+
3542
+
3543
+ <td class="type">
3544
+
3545
+
3546
+ <span class="param-type">function</span>
3547
+
3548
+
3549
+
3550
+
3551
+ </td>
3552
+
3553
+
3554
+ <td class="attributes">
3555
+
3556
+
3557
+
3558
+
3559
+
3560
+ </td>
3561
+
3562
+
3563
+
3564
+ <td class="default">
3565
+
3566
+ </td>
3567
+
3568
+
3569
+ <td class="description last"><p>輸入序列查詢async函數，依key回傳時間序列陣列</p></td>
3570
+ </tr>
3571
+
3572
+
3573
+
3574
+ <tr>
3575
+
3576
+ <td class="name"><code>opt</code></td>
3577
+
3578
+
3579
+ <td class="type">
3580
+
3581
+
3582
+ <span class="param-type">Object</span>
3583
+
3584
+
3585
+
3586
+
3587
+ </td>
3588
+
3589
+
3590
+ <td class="attributes">
3591
+
3592
+ &lt;optional><br>
3593
+
3594
+
3595
+
3596
+
3597
+
3598
+ </td>
3599
+
3600
+
3601
+
3602
+ <td class="default">
3603
+
3604
+ <code>{}</code>
3605
+
3606
+ </td>
3607
+
3608
+
3609
+ <td class="description last"><p>輸入設定物件，預設{}</p>
3610
+ <h6>Properties</h6>
3611
+
3612
+
3613
+ <table class="params">
3614
+ <thead>
3615
+ <tr>
3616
+
3617
+ <th>Name</th>
3618
+
3619
+
3620
+ <th>Type</th>
3621
+
3622
+
3623
+ <th>Attributes</th>
3624
+
3625
+
3626
+
3627
+ <th>Default</th>
3628
+
3629
+
3630
+ <th class="last">Description</th>
3631
+ </tr>
3632
+ </thead>
3633
+
3634
+ <tbody>
3635
+
3636
+
3637
+ <tr>
3638
+
3639
+ <td class="name"><code>withCalcOrderProfitOrLoss</code></td>
3640
+
3641
+
3642
+ <td class="type">
3643
+
3644
+
3645
+ <span class="param-type">Boolean</span>
3646
+
3647
+
3648
+
3649
+
3650
+ </td>
3651
+
3652
+
3653
+ <td class="attributes">
3654
+
3655
+ &lt;optional><br>
3656
+
3657
+
3658
+
3659
+
3660
+
3661
+ </td>
3662
+
3663
+
3664
+
3665
+ <td class="default">
3666
+
3667
+ <code>true</code>
3668
+
3669
+ </td>
3670
+
3671
+
3672
+ <td class="description last"><p>輸入是否經calcOrders結算訂單布林值，預設true</p></td>
3673
+ </tr>
3674
+
3675
+
3676
+
3677
+ <tr>
3678
+
3679
+ <td class="name"><code>withSummary</code></td>
3680
+
3681
+
3682
+ <td class="type">
3683
+
3684
+
3685
+ <span class="param-type">Boolean</span>
3686
+
3687
+
3688
+
3689
+
3690
+ </td>
3691
+
3692
+
3693
+ <td class="attributes">
3694
+
3695
+ &lt;optional><br>
3696
+
3697
+
3698
+
3699
+
3700
+
3701
+ </td>
3702
+
3703
+
3704
+
3705
+ <td class="default">
3706
+
3707
+ <code>true</code>
3708
+
3709
+ </td>
3710
+
3711
+
3712
+ <td class="description last"><p>輸入是否計算統計摘要布林值，預設true</p></td>
3713
+ </tr>
3714
+
3715
+
3716
+ </tbody>
3717
+ </table>
3718
+
3719
+ </td>
3720
+ </tr>
3721
+
3722
+
3723
+ </tbody>
3724
+ </table>
3725
+
3726
+
3727
+
3728
+
3729
+
3730
+
3731
+
3732
+
3733
+
3734
+
3735
+
3736
+
3737
+
3738
+
3739
+
3740
+
3741
+ <h5 class="h5-returns">Returns:</h5>
3742
+
3743
+
3744
+ <div class="param-desc">
3745
+ <p>回傳Promise，resolve為{orders,summary}物件</p>
3746
+ </div>
3747
+
3748
+
3749
+
3750
+ <dl class="param-type">
3751
+ <dt>
3752
+ Type
3753
+ </dt>
3754
+ <dd>
3755
+
3756
+ <span class="param-type">Promise</span>
3757
+
3758
+
3759
+
3760
+ </dd>
3761
+ </dl>
3762
+
3763
+
3764
+
3765
+
3766
+
3767
+
3768
+
3769
+
3770
+
3771
+
3772
+ <h4 class="name" id="runStrategy"><span class="type-signature type-signature-async">(async) </span>runStrategy<span class="signature">(ott, strategy, funGetSeries, opt<span class="signature-attributes">opt</span>)</span><span class="type-signature"> &rarr; {Promise}</span></h4>
3773
+
3774
+
3775
+
3776
+
3777
+
3778
+
3779
+ <dl class="details">
3780
+
3781
+ <dt class="tag-description">Description:</dt>
3782
+ <dd class="tag-description"><ul class="dummy"><li><p>執行單一策略回測</p>
3783
+ <p>於各時間點以conds判斷觸發下單(各條件以sym與th比較該key序列之param值，opr為'and'須全真、'or'至少一真)
3784
+ 觸發時以該K棒Close下單，並依settings計算止盈止損價格，再經calcOrders結算與calcOrdersRatio、calcOrdersSummary統計
3785
+ 僅於全部conds序列皆有值之共同時間點判斷觸發
3786
+ strategy.mode非'long'或'short'、keyOhlc或conds無效、funGetSeries非函數時reject</p>
3787
+ <p>Unit Test: <a href="https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs">Github</a></p></li></ul></dd>
3788
+
3789
+
3790
+
3791
+ <dt class="tag-source">Source:</dt>
3792
+ <dd class="tag-source"><ul class="dummy"><li>
3793
+ <a href="runStrategy.mjs.html">runStrategy.mjs</a>, <a href="runStrategy.mjs.html#line82">line 82</a>
3794
+ </li></ul></dd>
3795
+
3796
+
3797
+
3798
+
3799
+
3800
+
3801
+
3802
+
3803
+
3804
+
3805
+
3806
+
3807
+
3808
+
3809
+
3810
+
3811
+
3812
+
3813
+
3814
+
3815
+
3816
+
3817
+
3818
+
3819
+
3820
+
3821
+
3822
+
3823
+
3824
+
3825
+
3826
+ </dl>
3827
+
3828
+
3829
+
3830
+
3831
+
3832
+
3833
+
3834
+
3835
+
3836
+
3837
+
3838
+ <h5 class="h5-examples">Example</h5>
3839
+
3840
+ <pre class="prettyprint"><code>let arrOhlc = [
3841
+ { time: '2020-01-01T00:00:00', Open: 100, High: 101, Low: 99, Close: 100 },
3842
+ { time: '2020-01-01T04:00:00', Open: 100, High: 106, Low: 100, Close: 105 },
3843
+ { time: '2020-01-01T08:00:00', Open: 105, High: 107, Low: 102, Close: 103 },
3844
+ { time: '2020-01-01T12:00:00', Open: 103, High: 104, Low: 94, Close: 95 },
3845
+ { time: '2020-01-01T16:00:00', Open: 95, High: 98, Low: 92, Close: 93 },
3846
+ { time: '2020-01-01T20:00:00', Open: 93, High: 99, Low: 95, Close: 97 },
3847
+ ]
3848
+
3849
+ let arrSig = [
3850
+ { time: '2020-01-01T00:00:00', param: 1 },
3851
+ { time: '2020-01-01T04:00:00', param: 0 },
3852
+ { time: '2020-01-01T08:00:00', param: 1 },
3853
+ { time: '2020-01-01T12:00:00', param: 0 },
3854
+ { time: '2020-01-01T16:00:00', param: 0 },
3855
+ { time: '2020-01-01T20:00:00', param: 0 },
3856
+ ]
3857
+
3858
+ let funGetSeries = async (key) => {
3859
+ if (key === 'btc') {
3860
+ return arrOhlc
3861
+ }
3862
+ if (key === 'sig') {
3863
+ return arrSig
3864
+ }
3865
+ throw new Error(`invalid key[${key}]`)
3866
+ }
3867
+
3868
+ let strategy = {
3869
+ mode: 'long',
3870
+ keyOhlc: 'btc',
3871
+ conds: [{ key: 'sig', sym: '>', th: 0.5, opr: 'and' }],
3872
+ settings: { uIni: 1000, uTrade: 100, rTakeProfit: 0.05, rStopLoss: 0.03, rFee: 0.0005 },
3873
+ }
3874
+
3875
+ let r = await runStrategy(ott, strategy, funGetSeries)
3876
+ console.log(r.orders.map((o) => `${o.timeStart} ${o.mode} ${o.priceStart}->${o.priceEnd} ${o.modeResult}`))
3877
+ // => [
3878
+ // '2020-01-01T00:00:00 long 100->105 profit',
3879
+ // '2020-01-01T08:00:00 long 103->99.91 loss'
3880
+ // ]
3881
+ console.log(r.summary.numTrade, r.summary.rWin, r.summary.uEquityFinal)
3882
+ // => 2 50.00% 1001.8</code></pre>
3883
+
3884
+
3885
+
3886
+
3887
+ <h5 class="h5-parameters">Parameters:</h5>
3888
+
3889
+
3890
+ <table class="params">
3891
+ <thead>
3892
+ <tr>
3893
+
3894
+ <th>Name</th>
3895
+
3896
+
3897
+ <th>Type</th>
3898
+
3899
+
3900
+ <th>Attributes</th>
3901
+
3902
+
3903
+
3904
+ <th>Default</th>
3905
+
3906
+
3907
+ <th class="last">Description</th>
3908
+ </tr>
3909
+ </thead>
3910
+
3911
+ <tbody>
3912
+
3913
+
3914
+ <tr>
3915
+
3916
+ <td class="name"><code>ott</code></td>
3917
+
3918
+
3919
+ <td class="type">
3920
+
3921
+
3922
+ <span class="param-type">function</span>
3923
+
3924
+
3925
+
3926
+
3927
+ </td>
3928
+
3929
+
3930
+ <td class="attributes">
3931
+
3932
+
3933
+
3934
+
3935
+
3936
+ </td>
3937
+
3938
+
3939
+
3940
+ <td class="default">
3941
+
3942
+ </td>
3943
+
3944
+
3945
+ <td class="description last"><p>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)</p></td>
3946
+ </tr>
3947
+
3948
+
3949
+
3950
+ <tr>
3951
+
3952
+ <td class="name"><code>strategy</code></td>
3953
+
3954
+
3955
+ <td class="type">
3956
+
3957
+
3958
+ <span class="param-type">Object</span>
3959
+
3960
+
3961
+
3962
+
3963
+ </td>
3964
+
3965
+
3966
+ <td class="attributes">
3967
+
3968
+
3969
+
3970
+
3971
+
3972
+ </td>
3973
+
3974
+
3975
+
3976
+ <td class="default">
3977
+
3978
+ </td>
3979
+
3980
+
3981
+ <td class="description last"><p>輸入策略物件，需含mode('long'或'short')、keyOhlc(K線序列key字串)、conds(條件陣列，各元素為{key,sym,th,opr})、settings({uIni,uTrade,rTakeProfit,rStopLoss,rFee})欄位</p></td>
3982
+ </tr>
3983
+
3984
+
3985
+
3986
+ <tr>
3987
+
3988
+ <td class="name"><code>funGetSeries</code></td>
3989
+
3990
+
3991
+ <td class="type">
3992
+
3993
+
3994
+ <span class="param-type">function</span>
3995
+
3996
+
3997
+
3998
+
3999
+ </td>
4000
+
4001
+
4002
+ <td class="attributes">
4003
+
4004
+
4005
+
4006
+
4007
+
4008
+ </td>
4009
+
4010
+
4011
+
4012
+ <td class="default">
4013
+
4014
+ </td>
4015
+
4016
+
4017
+ <td class="description last"><p>輸入序列查詢async函數，依key回傳時間序列陣列</p></td>
4018
+ </tr>
4019
+
4020
+
4021
+
4022
+ <tr>
4023
+
4024
+ <td class="name"><code>opt</code></td>
4025
+
4026
+
4027
+ <td class="type">
4028
+
4029
+
4030
+ <span class="param-type">Object</span>
4031
+
4032
+
4033
+
4034
+
4035
+ </td>
4036
+
4037
+
4038
+ <td class="attributes">
4039
+
4040
+ &lt;optional><br>
4041
+
4042
+
4043
+
4044
+
4045
+
4046
+ </td>
4047
+
4048
+
4049
+
4050
+ <td class="default">
4051
+
4052
+ <code>{}</code>
4053
+
4054
+ </td>
4055
+
4056
+
4057
+ <td class="description last"><p>輸入設定物件，預設{}</p>
4058
+ <h6>Properties</h6>
4059
+
4060
+
4061
+ <table class="params">
4062
+ <thead>
4063
+ <tr>
4064
+
4065
+ <th>Name</th>
4066
+
4067
+
4068
+ <th>Type</th>
4069
+
4070
+
4071
+ <th>Attributes</th>
4072
+
4073
+
4074
+
4075
+ <th>Default</th>
4076
+
4077
+
4078
+ <th class="last">Description</th>
4079
+ </tr>
4080
+ </thead>
4081
+
4082
+ <tbody>
4083
+
4084
+
4085
+ <tr>
4086
+
4087
+ <td class="name"><code>withCalcOrderProfitOrLoss</code></td>
4088
+
4089
+
4090
+ <td class="type">
4091
+
4092
+
4093
+ <span class="param-type">Boolean</span>
4094
+
4095
+
4096
+
4097
+
4098
+ </td>
4099
+
4100
+
4101
+ <td class="attributes">
4102
+
4103
+ &lt;optional><br>
4104
+
4105
+
4106
+
4107
+
4108
+
4109
+ </td>
4110
+
4111
+
4112
+
4113
+ <td class="default">
4114
+
4115
+ <code>true</code>
4116
+
4117
+ </td>
4118
+
4119
+
4120
+ <td class="description last"><p>輸入是否經calcOrders結算訂單布林值，預設true</p></td>
4121
+ </tr>
4122
+
4123
+
4124
+
4125
+ <tr>
4126
+
4127
+ <td class="name"><code>withSummary</code></td>
4128
+
4129
+
4130
+ <td class="type">
4131
+
4132
+
4133
+ <span class="param-type">Boolean</span>
4134
+
4135
+
4136
+
4137
+
4138
+ </td>
4139
+
4140
+
4141
+ <td class="attributes">
4142
+
4143
+ &lt;optional><br>
4144
+
4145
+
4146
+
4147
+
4148
+
4149
+ </td>
4150
+
4151
+
4152
+
4153
+ <td class="default">
4154
+
4155
+ <code>true</code>
4156
+
4157
+ </td>
4158
+
4159
+
4160
+ <td class="description last"><p>輸入是否計算統計摘要布林值，預設true</p></td>
4161
+ </tr>
4162
+
4163
+
4164
+ </tbody>
4165
+ </table>
4166
+
4167
+ </td>
4168
+ </tr>
4169
+
4170
+
4171
+ </tbody>
4172
+ </table>
4173
+
4174
+
4175
+
4176
+
4177
+
4178
+
4179
+
4180
+
4181
+
4182
+
4183
+
4184
+
4185
+
4186
+
4187
+
4188
+
4189
+ <h5 class="h5-returns">Returns:</h5>
4190
+
4191
+
4192
+ <div class="param-desc">
4193
+ <p>回傳Promise，resolve為{orders,summary}物件</p>
4194
+ </div>
4195
+
4196
+
4197
+
4198
+ <dl class="param-type">
4199
+ <dt>
4200
+ Type
4201
+ </dt>
4202
+ <dd>
4203
+
4204
+ <span class="param-type">Promise</span>
4205
+
4206
+
4207
+
4208
+ </dd>
4209
+ </dl>
4210
+
4211
+
4212
+
4213
+
4214
+
4215
+
4216
+
4217
+
4218
+
4219
+
4220
+
4221
+ </article>
4222
+
4223
+ </section>
4224
+
4225
+
4226
+
4227
+
4228
+
4229
+
4230
+ </div>
4231
+
4232
+ <br class="clear">
4233
+
4234
+ <footer>
4235
+ 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.
4236
+ </footer>
4237
+
4238
+ <script>prettyPrint();</script>
4239
+ <script src="scripts/polyfill.js"></script>
4240
+ <script src="scripts/linenumber.js"></script>
4241
+
4242
+
4243
+
4244
+ </body>
4245
+ </html>