w-trade-backtest 1.0.3

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  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/index.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>Home - Documentation</title>
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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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+ </nav>
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+ <div id="main">
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+ <section class="package">
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+ <h3> </h3>
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+ </section>
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+ </div>
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+ <br class="clear">
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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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+ <script>prettyPrint();</script>
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+ <script src="scripts/polyfill.js"></script>
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+ </body>
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+ </html>
package/docs/runStrategies.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>runStrategies.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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+ <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">runStrategies.mjs</h1>
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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 flatten from 'lodash-es/flatten.js'
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+ import get from 'lodash-es/get.js'
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+ import isNumber from 'lodash-es/isNumber.js'
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+ import map from 'lodash-es/map.js'
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+ import size from 'lodash-es/size.js'
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+ import sortBy from 'lodash-es/sortBy.js'
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+ import isestr from 'wsemi/src/isestr.mjs'
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+ import pmSeries from 'wsemi/src/pmSeries.mjs'
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+ import runStrategy from './runStrategy.mjs'
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+ import calcSummary from './calcSummary.mjs'
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+
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+
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+ /**
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+ * 執行多策略回測
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+ *
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+ * 逐策略呼叫runStrategy(withSummary:false)，各單附加策略sid後合併並依timeStart排序
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+ * 以各策略settings.uIni總和為初始資金呼叫calcSummary統計合併摘要
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+ * 個別策略執行失敗(如時間點無參數無法下單)時強制略過
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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 {Array} strategies 輸入策略陣列，各元素需含sid與runStrategy之strategy欄位
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+ * @param {Function} funGetSeries 輸入序列查詢async函數，依key回傳時間序列陣列
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+ * @param {Object} [opt={}] 輸入設定物件，預設{}
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+ * @param {Boolean} [opt.withCalcOrderProfitOrLoss=true] 輸入是否經calcOrders結算訂單布林值，預設true
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+ * @param {Boolean} [opt.withSummary=true] 輸入是否計算統計摘要布林值，預設true
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+ * @returns {Promise} 回傳Promise，resolve為{orders,summary}物件
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+ * @example
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+ *
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+ * 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 arrSig = [
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+ * { time: '2020-01-01T00:00:00', param: 1 },
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+ * { time: '2020-01-01T04:00:00', param: 0 },
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+ * { time: '2020-01-01T08:00:00', param: 1 },
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+ * { time: '2020-01-01T12:00:00', param: 0 },
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+ * { time: '2020-01-01T16:00:00', param: 0 },
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+ * { time: '2020-01-01T20:00:00', param: 0 },
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+ * ]
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+ *
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+ * let funGetSeries = async (key) => {
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+ * if (key === 'btc') {
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+ * return arrOhlc
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+ * }
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+ * if (key === 'sig') {
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+ * return arrSig
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+ * }
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+ * throw new Error(`invalid key[${key}]`)
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+ * }
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+ *
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+ * let settings = { uIni: 1000, uTrade: 100, rTakeProfit: 0.05, rStopLoss: 0.03, rFee: 0.0005 }
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+ * let strategies = [
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+ * { sid: 's1', mode: 'long', keyOhlc: 'btc', conds: [{ key: 'sig', sym: '>', th: 0.5, opr: 'and' }], settings },
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+ * { sid: 's2', mode: 'short', keyOhlc: 'btc', conds: [{ key: 'sig', sym: '&lt;', th: 0.5, opr: 'and' }], settings },
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+ * ]
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+ *
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+ * let rr = await runStrategies(ott, strategies, funGetSeries)
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+ * console.log(rr.orders.map((o) => `${o.sid} ${o.timeStart} ${o.mode} ${o.modeResult || 'unsettled'}`))
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+ * // => [
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+ * // 's1 2020-01-01T00:00:00 long profit',
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+ * // 's2 2020-01-01T04:00:00 short profit',
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+ * // 's1 2020-01-01T08:00:00 long loss',
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+ * // 's2 2020-01-01T12:00:00 short loss',
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+ * // 's2 2020-01-01T16:00:00 short loss',
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+ * // 's2 2020-01-01T20:00:00 short unsettled'
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+ * // ]
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+ * console.log(rr.summary.uIni, rr.summary.numTrade, rr.summary.rWin)
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+ * // => 2000 6 40.00%
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+ *
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+ */
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+ let runStrategies = async (ott, strategies, funGetSeries, opt = {}) => {
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+
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+ //withCalcOrderProfitOrLoss
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+ let withCalcOrderProfitOrLoss = get(opt, 'withCalcOrderProfitOrLoss', true)
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+
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+ //withSummary
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+ let withSummary = get(opt, 'withSummary', true)
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+
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+ //uIniAll, ordersAll
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+ let uIniAll = 0
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+ let ordersAll = []
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+ let r = null
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+ await pmSeries(strategies, async(strategy, k) => {
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+
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+ //有些策略因為時間點無參數故無法計算, 代表無法下單, 故強制略過
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+ try {
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+
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+ //runStrategy
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+ r = await runStrategy(ott, strategy, funGetSeries, { withCalcOrderProfitOrLoss, withSummary: false })
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+
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+ //uIni
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+ let uIni = get(strategy, 'settings.uIni', '')
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+ if (!isNumber(uIni)) {
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+ throw new Error(`uIni[${uIni}] is not a number`)
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+ }
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+ // console.log(' ', 'uIni =', uIni, 'numTrade =', strategy.summary.numTrade)
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+
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+ //累加初始金額(本金)
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+ uIniAll += uIni
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+
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+ //add sid, push
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+ if (size(r.orders) >= 1) {
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+
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+ //各單額外儲存策略sid
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+ r.orders = map(r.orders, (o) => {
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+ o.sid = strategy.sid
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+ return o
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+ })
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+
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+ //push
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+ ordersAll.push(r.orders)
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+
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+ }
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+
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+ }
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+ catch (err) {
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+ // console.log(err)
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+ }
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+
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+ })
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+ ordersAll = flatten(ordersAll)
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+ // console.log('ordersAll', ordersAll)
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+
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+ //sortBy
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+ if (size(ordersAll) >= 2) {
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+ ordersAll = sortBy(ordersAll, 'timeStart')
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+ }
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+ // console.log('size(ordersAll)', size(ordersAll))
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+
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+ //timeOhlcStart, timeOhlcEnd
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+ let timeOhlcStart = get(r, 'summary.timeOhlcStart', '') //各策略ohlc起訖時間皆相同, 取最後r內的timeOhlcStart來使用
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+ let timeOhlcEnd = get(r, 'summary.timeOhlcEnd', '') //各策略ohlc起訖時間皆相同, 取最後r內的timeOhlcEnd來使用
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+
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+ //check
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+ if (!isestr(timeOhlcStart)) {
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+ throw new Error(`invalid timeOhlcStart`)
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+ }
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+ if (!isestr(timeOhlcEnd)) {
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+ throw new Error(`invalid timeOhlcEnd`)
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+ }
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+
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+ //summary
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+ let summary = {
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+ timeTest: ott().format('YYYY-MM-DDTHH:mm:ssZ'),
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+ timeOhlcStart,
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+ timeOhlcEnd,
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+ }
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+
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+ //withSummary
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+ if (withSummary) {
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+ summary = await calcSummary(ott, uIniAll, ordersAll, timeOhlcStart, timeOhlcEnd)
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+ }
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+
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+ //rr
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+ let rr = {
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+ orders: ordersAll,
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+ summary,
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+ }
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+
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+ return rr
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+ }
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+
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+ export default runStrategies
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+
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+ </code></pre>
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+ </article>
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+ </section>
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+ </div>
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+ <br class="clear">
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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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+ <script>prettyPrint();</script>
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