w-trade-backtest 1.0.3

package/src/renderSummary.js

@@ -0,0 +1,194 @@
+
+
+let genCard = (opt = {}) => {
+
+    let {
+        icon = 'fa-question-circle',
+        iconColor = 'text-gray-600',
+        iconBg = 'bg-gray-100',
+        title = '',
+        main = '',
+        mainColor = 'text-gray-900',
+        sub = '',
+    } = opt
+
+    let h = `
+        <div class="stat-card flex items-start gap-4">
+            <div class="p-3 rounded-lg ${iconBg} ${iconColor}">
+                <i class="fas ${icon} fa-lg"></i>
+            </div>
+            <div>
+                <p class="text-sm font-medium text-gray-500">${title}</p>
+                <p class="text-2xl font-bold ${mainColor}">${main}</p>
+                <p class="text-md font-semibold text-gray-500">${sub}</p>
+            </div>
+        </div>
+    `
+
+    return h
+}
+
+
+let renderSummary = (ele, summary) => {
+
+    let _ = window._
+    let w = window.wsemi
+    let ot = window.dayjs
+
+    if (!w.isEle(ele)) {
+        throw new Error(`invalid ele`)
+    }
+
+    let cards = []
+
+    let isProfit = summary.uEquityFinal >= summary.uIni
+
+    let profitColor = isProfit ? 'text-green-600' : 'text-red-600'
+    let profitBg = isProfit ? 'bg-green-100' : 'bg-red-100'
+
+    let tStart = ot(summary.timeOhlcStart)
+    let tEnd = ot(summary.timeOhlcEnd)
+    // console.log('summary.timeOhlcStart', summary.timeOhlcStart, tStart)
+    // console.log('summary.timeOhlcEnd', summary.timeOhlcEnd, tEnd)
+
+    let sStart = tStart.format('YYYY-MM-DD')
+    let sEnd = tEnd.format('YYYY-MM-DD')
+
+    //總報酬率
+    cards.push(genCard({
+        icon: 'fa-arrow-trend-up',
+        iconColor: profitColor,
+        iconBg: profitBg,
+        title: '總報酬率',
+        main: `${summary.rCumuProfitOrLossFinal}`,
+        mainColor: profitColor,
+        sub: `年化報酬率: ${summary.rCumuProfitOrLossFinalNormYear}`,
+    }))
+
+    //總等效報酬率
+    cards.push(genCard({
+        icon: 'fa-solid fa-shuffle',
+        iconColor: profitColor,
+        iconBg: profitBg,
+        title: '總等效報酬率',
+        main: `${summary.rEquivalentCumuProfitOrLossFinal}`,
+        mainColor: profitColor,
+        sub: `等效年化報酬率: ${summary.rEquivalentCumuProfitOrLossFinalNormYear}`,
+    }))
+
+    //最終資金
+    cards.push(genCard({
+        icon: 'fa-arrow-up-right-dots',
+        iconColor: profitColor,
+        iconBg: profitBg,
+        title: '最終資金',
+        main: `${w.dig(summary.uEquityFinal, 2)} USDT`,
+        mainColor: profitColor,
+        sub: `淨盈虧: ${w.dig(summary.uEquityFinal - summary.uIni, 2)} USDT`,
+    }))
+
+    //初始資金
+    cards.push(genCard({
+        icon: 'fa-coins',
+        iconColor: 'text-yellow-600',
+        iconBg: 'bg-yellow-100',
+        title: '初始資金',
+        main: `${w.dig(summary.uIni, 2)} USDT`,
+        mainColor: 'text-gray-900',
+        sub: '',
+    }))
+
+    //最大回撤
+    cards.push(genCard({
+        icon: 'fa-arrow-trend-down',
+        iconColor: 'text-red-600',
+        iconBg: 'bg-red-100',
+        title: '最大回撤',
+        main: `${w.dig(summary.uDrawdownMax, 2)} USDT`,
+        mainColor: 'text-red-500',
+        sub: '',
+    }))
+
+    //最大回撤率
+    cards.push(genCard({
+        icon: 'fa-arrow-trend-down',
+        iconColor: 'text-red-600',
+        iconBg: 'bg-red-100',
+        title: '最大回撤率',
+        main: `${summary.rDrawdownMax}`,
+        mainColor: 'text-red-500',
+        sub: `等效最大回徹率: ${summary.rEquivalentDrawdownMax}`,
+    }))
+
+    //最大持倉筆數
+    cards.push(genCard({
+        icon: 'fa-layer-group',
+        iconColor: 'text-orange-600',
+        iconBg: 'bg-orange-100',
+        title: '最大持倉筆數',
+        main: `${summary.numTradeAllMax} 筆`,
+        mainColor: 'text-gray-900',
+        sub: `同時出場單數為 ${summary.numTradeAllMax * 2} 筆`,
+    }))
+
+    //最大持倉
+    cards.push(genCard({
+        icon: 'fa-wallet',
+        iconColor: 'text-orange-600',
+        iconBg: 'bg-orange-100',
+        title: '最大持倉',
+        main: `${w.dig(summary.uTradeAllMax, 2)} USDT`,
+        mainColor: 'text-gray-900',
+        sub: `佔本金: ${summary.rTradeAllMax}`,
+    }))
+
+    //總交易次數
+    cards.push(genCard({
+        icon: 'fa-solid fa-arrows-rotate',
+        iconColor: 'text-blue-600',
+        iconBg: 'bg-blue-100',
+        title: '總交易次數',
+        main: `${summary.numTrade} 次`,
+        mainColor: 'text-gray-900',
+        sub: '',
+    }))
+
+    //勝率
+    cards.push(genCard({
+        icon: 'fa-percent',
+        iconColor: 'text-indigo-600',
+        iconBg: 'bg-indigo-100',
+        title: '勝率',
+        main: `${summary.rWin}`,
+        mainColor: 'text-gray-900',
+        sub: '',
+    }))
+
+    //夏普值
+    cards.push(genCard({
+        icon: 'fa-chart-line',
+        iconColor: 'text-emerald-600',
+        iconBg: 'bg-emerald-100',
+        title: '夏普值',
+        main: w.dig(summary.rSharpe, 2),
+        mainColor: 'text-emerald-700',
+        sub: '風險調整後報酬',
+    }))
+
+    //回測區間
+    cards.push(genCard({
+        icon: 'fa-calendar-alt',
+        iconColor: 'text-sky-600',
+        iconBg: 'bg-sky-100',
+        title: '回測區間',
+        main: `${summary.btDays}日(${summary.btYears}年)`,
+        mainColor: 'text-gray-900',
+        sub: `${sStart} 至 ${sEnd}`,
+    }))
+
+    let h = cards.join('')
+
+    ele.innerHTML = h
+
+    return null
+}

package/src/runStrategies.mjs

@@ -0,0 +1,172 @@
+import flatten from 'lodash-es/flatten.js'
+import get from 'lodash-es/get.js'
+import isNumber from 'lodash-es/isNumber.js'
+import map from 'lodash-es/map.js'
+import size from 'lodash-es/size.js'
+import sortBy from 'lodash-es/sortBy.js'
+import isestr from 'wsemi/src/isestr.mjs'
+import pmSeries from 'wsemi/src/pmSeries.mjs'
+import runStrategy from './runStrategy.mjs'
+import calcSummary from './calcSummary.mjs'
+
+
+/**
+ * 執行多策略回測
+ *
+ * 逐策略呼叫runStrategy(withSummary:false)，各單附加策略sid後合併並依timeStart排序
+ * 以各策略settings.uIni總和為初始資金呼叫calcSummary統計合併摘要
+ * 個別策略執行失敗(如時間點無參數無法下單)時強制略過
+ *
+ * Unit Test: {@link https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs Github}
+ * @function
+ * @param {Function} ott 輸入時區時間函數，傳入時間字串回傳dayjs時間物件(可用src/ott.mjs或自行以dayjs包裝)
+ * @param {Array} strategies 輸入策略陣列，各元素需含sid與runStrategy之strategy欄位
+ * @param {Function} funGetSeries 輸入序列查詢async函數，依key回傳時間序列陣列
+ * @param {Object} [opt={}] 輸入設定物件，預設{}
+ * @param {Boolean} [opt.withCalcOrderProfitOrLoss=true] 輸入是否經calcOrders結算訂單布林值，預設true
+ * @param {Boolean} [opt.withSummary=true] 輸入是否計算統計摘要布林值，預設true
+ * @returns {Promise} 回傳Promise，resolve為{orders,summary}物件
+ * @example
+ *
+ * let arrOhlc = [
+ *     { time: '2020-01-01T00:00:00', Open: 100, High: 101, Low: 99, Close: 100 },
+ *     { time: '2020-01-01T04:00:00', Open: 100, High: 106, Low: 100, Close: 105 },
+ *     { time: '2020-01-01T08:00:00', Open: 105, High: 107, Low: 102, Close: 103 },
+ *     { time: '2020-01-01T12:00:00', Open: 103, High: 104, Low: 94, Close: 95 },
+ *     { time: '2020-01-01T16:00:00', Open: 95, High: 98, Low: 92, Close: 93 },
+ *     { time: '2020-01-01T20:00:00', Open: 93, High: 99, Low: 95, Close: 97 },
+ * ]
+ *
+ * let arrSig = [
+ *     { time: '2020-01-01T00:00:00', param: 1 },
+ *     { time: '2020-01-01T04:00:00', param: 0 },
+ *     { time: '2020-01-01T08:00:00', param: 1 },
+ *     { time: '2020-01-01T12:00:00', param: 0 },
+ *     { time: '2020-01-01T16:00:00', param: 0 },
+ *     { time: '2020-01-01T20:00:00', param: 0 },
+ * ]
+ *
+ * let funGetSeries = async (key) => {
+ *     if (key === 'btc') {
+ *         return arrOhlc
+ *     }
+ *     if (key === 'sig') {
+ *         return arrSig
+ *     }
+ *     throw new Error(`invalid key[${key}]`)
+ * }
+ *
+ * let settings = { uIni: 1000, uTrade: 100, rTakeProfit: 0.05, rStopLoss: 0.03, rFee: 0.0005 }
+ * let strategies = [
+ *     { sid: 's1', mode: 'long', keyOhlc: 'btc', conds: [{ key: 'sig', sym: '>', th: 0.5, opr: 'and' }], settings },
+ *     { sid: 's2', mode: 'short', keyOhlc: 'btc', conds: [{ key: 'sig', sym: '<', th: 0.5, opr: 'and' }], settings },
+ * ]
+ *
+ * let rr = await runStrategies(ott, strategies, funGetSeries)
+ * console.log(rr.orders.map((o) => `${o.sid} ${o.timeStart} ${o.mode} ${o.modeResult || 'unsettled'}`))
+ * // => [
+ * //   's1 2020-01-01T00:00:00 long profit',
+ * //   's2 2020-01-01T04:00:00 short profit',
+ * //   's1 2020-01-01T08:00:00 long loss',
+ * //   's2 2020-01-01T12:00:00 short loss',
+ * //   's2 2020-01-01T16:00:00 short loss',
+ * //   's2 2020-01-01T20:00:00 short unsettled'
+ * // ]
+ * console.log(rr.summary.uIni, rr.summary.numTrade, rr.summary.rWin)
+ * // => 2000 6 40.00%
+ *
+ */
+let runStrategies = async (ott, strategies, funGetSeries, opt = {}) => {
+
+    //withCalcOrderProfitOrLoss
+    let withCalcOrderProfitOrLoss = get(opt, 'withCalcOrderProfitOrLoss', true)
+
+    //withSummary
+    let withSummary = get(opt, 'withSummary', true)
+
+    //uIniAll, ordersAll
+    let uIniAll = 0
+    let ordersAll = []
+    let r = null
+    await pmSeries(strategies, async(strategy, k) => {
+
+        //有些策略因為時間點無參數故無法計算, 代表無法下單, 故強制略過
+        try {
+
+            //runStrategy
+            r = await runStrategy(ott, strategy, funGetSeries, { withCalcOrderProfitOrLoss, withSummary: false })
+
+            //uIni
+            let uIni = get(strategy, 'settings.uIni', '')
+            if (!isNumber(uIni)) {
+                throw new Error(`uIni[${uIni}] is not a number`)
+            }
+            // console.log('      ', 'uIni =', uIni, 'numTrade =', strategy.summary.numTrade)
+
+            //累加初始金額(本金)
+            uIniAll += uIni
+
+            //add sid, push
+            if (size(r.orders) >= 1) {
+
+                //各單額外儲存策略sid
+                r.orders = map(r.orders, (o) => {
+                    o.sid = strategy.sid
+                    return o
+                })
+
+                //push
+                ordersAll.push(r.orders)
+
+            }
+
+        }
+        catch (err) {
+            // console.log(err)
+        }
+
+    })
+    ordersAll = flatten(ordersAll)
+    // console.log('ordersAll', ordersAll)
+
+    //sortBy
+    if (size(ordersAll) >= 2) {
+        ordersAll = sortBy(ordersAll, 'timeStart')
+    }
+    // console.log('size(ordersAll)', size(ordersAll))
+
+    //timeOhlcStart, timeOhlcEnd
+    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
+    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
+
+    //check
+    if (!isestr(timeOhlcStart)) {
+        throw new Error(`invalid timeOhlcStart`)
+    }
+    if (!isestr(timeOhlcEnd)) {
+        throw new Error(`invalid timeOhlcEnd`)
+    }
+
+    //summary
+    let summary = {
+        timeTest: ott().format('YYYY-MM-DDTHH:mm:ssZ'),
+        timeOhlcStart,
+        timeOhlcEnd,
+    }
+
+    //withSummary
+    if (withSummary) {
+        summary = await calcSummary(ott, uIniAll, ordersAll, timeOhlcStart, timeOhlcEnd)
+    }
+
+    //rr
+    let rr = {
+        orders: ordersAll,
+        summary,
+    }
+
+    return rr
+}
+
+export default runStrategies
+