w-trade-backtest 1.0.3

package/src/runStrategy.mjs

@@ -0,0 +1,383 @@
+import each from 'lodash-es/each.js'
+import first from 'lodash-es/first.js'
+import get from 'lodash-es/get.js'
+import last from 'lodash-es/last.js'
+import size from 'lodash-es/size.js'
+import arrSort from 'wsemi/src/arrSort.mjs'
+import haskey from 'wsemi/src/haskey.mjs'
+import isearr from 'wsemi/src/isearr.mjs'
+import iseobj from 'wsemi/src/iseobj.mjs'
+import isestr from 'wsemi/src/isestr.mjs'
+import isfun from 'wsemi/src/isfun.mjs'
+import pmSeries from 'wsemi/src/pmSeries.mjs'
+import calcOrders from './calcOrders.mjs'
+import calcOrdersRatio from './calcOrdersRatio.mjs'
+import calcOrdersSummary from './calcOrdersSummary.mjs'
+
+
+/**
+ * 執行單一策略回測
+ *
+ * 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)
+ * 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
+ * 僅於全部conds序列皆有值之共同時間點判斷觸發
+ * strategy.mode非'long'或'short'、keyOhlc或conds無效、funGetSeries非函數時reject
+ *
+ * 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 {Object} strategy 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
+ * @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[${key}]`)
+ * }
+ *
+ * let strategy = {
+ *     mode: 'long',
+ *     keyOhlc: 'btc',
+ *     conds: [{ key: 'sig', sym: '>', th: 0.5, opr: 'and' }],
+ *     settings: { uIni: 1000, uTrade: 100, rTakeProfit: 0.05, rStopLoss: 0.03, rFee: 0.0005 },
+ * }
+ *
+ * let r = await runStrategy(ott, strategy, funGetSeries)
+ * console.log(r.orders.map((o) => `${o.timeStart} ${o.mode} ${o.priceStart}->${o.priceEnd} ${o.modeResult}`))
+ * // => [
+ * //   '2020-01-01T00:00:00 long 100->105 profit',
+ * //   '2020-01-01T08:00:00 long 103->99.91 loss'
+ * // ]
+ * console.log(r.summary.numTrade, r.summary.rWin, r.summary.uEquityFinal)
+ * // => 2 50.00% 1001.8
+ *
+ */
+let runStrategy = async(ott, strategy, funGetSeries, opt = {}) => {
+
+    //mode
+    let mode = get(strategy, 'mode', '')
+    if (mode !== 'long' && mode !== 'short') {
+        throw new Error(`invalid strategy.mode[${mode}] not 'long' or 'short'`)
+    }
+
+    //keyOhlc
+    let keyOhlc = get(strategy, 'keyOhlc', '')
+    if (!isestr(keyOhlc)) {
+        throw new Error(`invalid strategy.keyOhlc`)
+    }
+
+    //conds
+    let conds = get(strategy, 'conds', [])
+    if (!isearr(conds)) {
+        throw new Error(`invalid strategy.conds`)
+    }
+
+    //nps
+    let nps = size(conds)
+    // console.log('nps', nps)
+
+    //st
+    let st = get(strategy, 'settings', {})
+    if (!iseobj(st)) {
+        st = {
+            uIni: 1000, //初始資金(USDT)
+            uTrade: 1, //每次下單金額(USDT)
+            rTakeProfit: 0.05, //止盈
+            rStopLoss: 0.03, //止損
+            rFee: 0.0005, //手續費
+        }
+    }
+    // console.log('st', st)
+
+    //check
+    if (!isfun(funGetSeries)) {
+        throw new Error(`funGetSeries is not a function`)
+    }
+
+    //withCalcOrderProfitOrLoss
+    let withCalcOrderProfitOrLoss = get(opt, 'withCalcOrderProfitOrLoss', true)
+
+    //withSummary
+    let withSummary = get(opt, 'withSummary', true)
+
+    //arrOhlc
+    let arrOhlc = await funGetSeries(keyOhlc)
+    // console.log('arrOhlc', arrOhlc, last(arrOhlc))
+
+    //因conds需要各時間點都有值才能做交集判斷, 所以須提取各conds所需數據且皆為同起訖時間之長度
+    let kpTimeNum = {} //儲存各數據之全部數據時間, 若出現相同數據時間就+1, 若該時間內累計數字等同於數據種數, 就代表該時間為全部數據皆有之時間
+    let kpArrParams = {} //儲存各數據
+    await pmSeries(conds, async (p) => {
+
+        //arr
+        let arr = await funGetSeries(p.key)
+        // console.log('arr', arr)
+
+        //default
+        if (!haskey(kpArrParams, p.key)) {
+            kpArrParams[p.key] = {}
+        }
+
+        //save
+        each(arr, (v) => {
+            //v.time
+            //v.param
+
+            //save param
+            kpArrParams[p.key][v.time] = v.param
+
+            //default
+            if (!haskey(kpTimeNum, v.time)) {
+                kpTimeNum[v.time] = 0
+            }
+
+            //add 1
+            kpTimeNum[v.time] += 1
+
+        })
+        // console.log('kpArrParams', kpArrParams)
+        // console.log('kpTimeNum', kpTimeNum)
+
+    })
+
+    //timeEff, 各數據皆有共同之數據時間, 為有效時間陣列
+    let timeEff = []
+    if (true) {
+        each(kpTimeNum, (n, time) => {
+            if (n === nps) {
+                timeEff.push(time)
+            }
+        })
+        timeEff = arrSort(timeEff)
+        // console.log('timeEff', timeEff)
+    }
+
+    //kpTimeEff, 轉為字典物件用於後續判斷
+    let kpTimeEff = {}
+    if (true) {
+        each(timeEff, (time) => {
+            kpTimeEff[time] = true
+        })
+    }
+
+    //kpParams, 儲存各有效時間之各數據
+    let kpParams = {}
+    if (true) {
+        each(timeEff, (time) => {
+            kpParams[time] = {}
+            each(conds, (p) => {
+                kpParams[time][p.key] = kpArrParams[p.key][time]
+            })
+        })
+        // console.log('kpParams', kpParams)
+    }
+
+    //timeOhlcStart, timeOhlcEnd
+    let timeOhlcStart = get(first(arrOhlc), 'time', '')
+    let timeOhlcEnd = get(last(arrOhlc), 'time', '')
+    // console.log('timeOhlcStart', timeOhlcStart)
+    // console.log('timeOhlcEnd', timeOhlcEnd)
+
+    //orders
+    let orders = []
+    await pmSeries(arrOhlc, async(v) => {
+        // console.log('v', v)
+
+        //time
+        let time = get(v, 'time')
+        // console.log('time', time)
+
+        //check
+        if (!haskey(kpTimeEff, time)) {
+            return true //跳出換下一個
+        }
+        // console.log('time', time)
+
+        //bTrigger
+        let bTrigger = true
+        if (true) {
+
+            //bs
+            let bs = []
+            each(conds, (cond, kcond) => {
+
+                //y, 儲存值
+                let y = kpParams[time][cond.key]
+                // console.log(time, cond.key, 'y', y)
+
+                //sym, th, opr
+                let sym = get(cond, 'sym', '>')
+                let th = get(cond, 'th', 0)
+                let opr = get(cond, 'opr', null)
+                if (opr !== 'and' && opr !== 'or') {
+                    opr = 'and'
+                }
+                // console.log(time, cond.key, 'sym', sym)
+                // console.log(time, cond.key, 'th', th)
+                // console.log(time, cond.key, 'opr', opr)
+
+                //b
+                let b = false
+                if (sym === '>') {
+                    b = y > th
+                }
+                else {
+                    b = y < th
+                }
+
+                //push
+                bs.push({
+                    opr,
+                    b,
+                })
+
+            })
+
+            //依各 cond 的 opr 分組合成 bTrigger:
+            //  'and' 組 → 全部須為 true(必要條件); 'or' 組 → 至少一個 true(選擇條件, 無 or 組則不約束)
+            //  bTrigger = (所有 and 條件皆真) AND (任一 or 條件為真 或 根本沒有 or 條件)
+            let okAnd = bs.filter((v) => v.opr === 'and').every((v) => v.b) //空 and 組 → every 回 true(無約束)
+            let bsOr = bs.filter((v) => v.opr === 'or')
+            let okOr = bsOr.length === 0 || bsOr.some((v) => v.b) //沒有 or 條件 → 不約束; 有則至少一個須真
+            bTrigger = okAnd && okOr
+
+        }
+
+        let bLong = false
+        let bShort = false
+        if (bTrigger) {
+            if (mode === 'long') {
+                bLong = true
+            }
+            else { //'short'
+                bShort = true
+            }
+        }
+
+        if (bLong) { //做多
+            // console.log('long...', time, v.Close)
+            let o = {
+                mode: 'long',
+                timeStart: time, //下單買入時所屬k棒時間
+                priceStart: v.Close, //單買入時Close價格
+                uTrade: st.uTrade, //下單金額(USDT)
+                rTakeProfit: st.rTakeProfit, //下單設定止盈比例
+                priceTakeProfit: (1 + st.rTakeProfit) * v.Close, //下單設定止盈價格(USDT)
+                rStopLoss: st.rStopLoss, //下單設定止損比例
+                priceStopLoss: (1 - st.rStopLoss) * v.Close, //下單設定止損價格(USDT)
+                timeEnd: '', //賣出時所屬k棒時間, 待最後結算更新
+                priceEnd: '', //賣出時Close價格, 待最後結算更新
+                modeResult: '', //交易結果, 止盈(takeProfit)或止損(stopLoss), 待最後結算更新
+                rFee: st.rFee, //手續費比例
+                uFee: st.rFee * st.uTrade, //交易手續費(USDT)
+                uProfitOrLoss: '', //盈虧金額(USDT), 含手續費, 待最後結算更新
+                rProfitOrLoss: '', //盈虧比例, 待最後結算更新
+                uCumuProfitOrLoss: '', //累計盈虧金額(USDT), 含手續費, 待最後結算更新
+                rCumuProfitOrLoss: '', //累計盈虧比例(%), 待最後結算更新
+                uEquity: '', //當前權益金額(USDT), 待最後結算更新
+                uTradeAll: '', //當前持倉金額(USDT), 待最後結算更新
+                rTradeAll: '', //當前持倉金額佔比(%), 待最後結算更新
+            }
+            orders.push(o)
+        }
+        else if (bShort) { //做空
+            // console.log('short...', time, v.Close)
+            let o = {
+                mode: 'short',
+                timeStart: time, //賣出時所屬k棒時間
+                priceStart: v.Close, //賣出時Close價格
+                uTrade: st.uTrade, //下單金額(USDT)
+                rTakeProfit: st.rTakeProfit, //止盈
+                priceTakeProfit: (1 - st.rTakeProfit) * v.Close, //止盈價格(USDT)
+                rStopLoss: st.rStopLoss, //止損
+                priceStopLoss: (1 + st.rStopLoss) * v.Close, //止損價格(USDT)
+                timeEnd: '', //買入時所屬k棒時間, 待最後結算更新
+                priceEnd: '', //買入時Close價格, 待最後結算更新
+                modeResult: '', //交易結果, 止盈(takeProfit)或止損(stopLoss), 待最後結算更新
+                rFee: st.rFee, //手續費比例
+                uFee: st.rFee * st.uTrade, //交易手續費(USDT)
+                uProfitOrLoss: '', //盈虧金額(USDT), 含手續費, 待最後結算更新
+                rProfitOrLoss: '', //盈虧比例, 待最後結算更新
+                uCumuProfitOrLoss: '', //累計盈虧金額(USDT), 含手續費, 待最後結算更新
+                rCumuProfitOrLoss: '', //累計盈虧比例(%), 待最後結算更新
+                uEquity: '', //當前權益金額(USDT), 待最後結算更新
+                uTradeAll: '', //當前持倉金額(USDT), 待最後結算更新
+                rTradeAll: '', //當前持倉金額佔比(%), 待最後結算更新
+            }
+            orders.push(o)
+        }
+
+    })
+    // console.log('orders', orders)
+    // console.log('size(orders)', size(orders))
+
+    //withCalcOrderProfitOrLoss
+    if (withCalcOrderProfitOrLoss) {
+        orders = await calcOrders(arrOhlc, orders, { uIni: st.uIni })
+        // console.log('orders', orders)
+    }
+
+    //summary
+    let summary = {
+        timeTest: ott().format('YYYY-MM-DDTHH:mm:ssZ'),
+        timeOhlcStart,
+        timeOhlcEnd,
+        uIni: get(st, 'uIni', ''), //額外提取uIni儲存至summary, 其他參數須依照單策略或多策略自行再添加
+    }
+
+    //withSummary
+    if (withSummary) {
+
+        //計算各單持倉天數, 等效日盈虧比例
+        orders = calcOrdersRatio(ott, orders)
+
+        //評分計算
+        let _summary = calcOrdersSummary(ott, st.uIni, orders, timeOhlcStart, timeOhlcEnd)
+
+        //merge
+        summary = {
+            ...summary,
+            ..._summary,
+        }
+
+    }
+
+    //r
+    let r = {
+        orders,
+        summary,
+    }
+    // console.log('r', r)
+
+    return r
+}
+
+
+export default runStrategy

package/src/tmp.html

@@ -0,0 +1,232 @@
+<!DOCTYPE html>
+<html lang="zh-Hant">
+    <head>
+        <meta charset="UTF-8" />
+        <meta name="viewport" content="width=device-width, initial-scale=1.0" />
+        <title>交易策略報告</title>
+
+        <!-- Tailwind CSS -->
+        <script src="https://cdn.tailwindcss.com"></script>
+
+        <!-- Font Awesome -->
+        <link
+            rel="stylesheet"
+            href="https://cdnjs.cloudflare.com/ajax/libs/font-awesome/6.7.2/css/all.min.css"
+        />
+        
+        <!-- lodash -->
+        <script src="https://cdn.jsdelivr.net/npm/lodash@4.18.1/lodash.min.js"></script>
+
+        <!-- wsemi -->
+        <script src="https://cdn.jsdelivr.net/npm/wsemi@1.8.67/dist/wsemi.umd.min.js"></script>
+        <script>
+            let w=wsemi
+        </script>
+
+        <!-- dayjs -->
+        <script src="https://cdn.jsdelivr.net/npm/dayjs@1.11.19/dayjs.min.js"></script>
+        <script>
+            let ot=dayjs
+        </script>
+
+        <!-- ECharts -->
+        <script src="https://cdn.jsdelivr.net/npm/echarts@5.5.0/dist/echarts.min.js"></script>
+
+        <!-- vis-timeline standalone (CSS + JS) -->
+        <link rel="stylesheet" href="https://cdn.jsdelivr.net/npm/vis-timeline@latest/styles/vis-timeline-graph2d.min.css">
+        <script src="https://cdn.jsdelivr.net/npm/vis-timeline@latest/standalone/umd/vis-timeline-graph2d.min.js"></script>
+
+        <!-- render -->
+        <script>
+            {renderProfitPlot}
+        </script>
+        <script>
+            {renderOrdersTable}
+        </script>
+        <script>
+            {renderOrdersTimeline}
+        </script>
+        <script>
+            {renderSummary}
+        </script>
+
+        <style>
+
+            body {
+                font-family: "微軟正黑體";
+                background-color: #f8fafc; /* 使用更柔和的淺灰色背景 */
+            }
+
+            .stat-card {
+                background-color: white;
+                border-radius: 0.75rem; 
+                padding: 1.5rem;
+                box-shadow: 0 4px 6px -1px rgb(0 0 0 / 0.1), 0 2px 4px -2px rgb(0 0 0 / 0.1);
+                transition: all 0.3s ease-in-out;
+                border: 1px solid #e5e7eb;
+            }
+
+            .trade-table th {
+                background-color: #f1f5f9;
+                position: sticky;
+                top: 0;
+                font-weight: bold;
+                text-align: center;
+            }
+            .trade-table tr:nth-child(even) {
+                background-color: #f8fafc;
+            }
+            .trade-table tr:hover {
+                background-color: #e2e8f0;
+            }
+
+            .trade-table td {
+                text-align: center;
+            }
+
+            .vis-group {
+
+            }
+
+            .vis-label {
+                font-size: 12px;
+                line-height: 28px;
+            }
+
+            .vis-item {
+
+            }
+
+            .vis-range {
+
+            }
+
+            .vis-item-content {
+                display: block !important;
+                font-size: 12px;
+                padding: 0px 2px !important;
+            }
+                        
+            .vis-item.bar-long {
+                background-color: #2eb65a;
+                border-color: #16A34A;
+                color: #fff;
+            }
+
+            .vis-item.bar-short {
+                background-color: #d85c5c;
+                border-color: #DC2626;
+                color: #fff;
+            }
+
+        </style>
+    </head>
+    <body>
+
+        <div class=" mx-auto p-4 sm:p-6 lg:p-8">
+
+            <!-- 標題 -->
+            <header class="mb-10">
+                <p class="text-md font-semibold text-gray-800">交易策略報告</p>
+                <h1 class="text-3xl text-gray-900 mt-2">
+                    {name}
+                </h1>
+            </header>
+
+            <!-- 摘要資訊區 -->
+            <section class="mb-8">
+
+                <h2 class="text-md font-semibold text-gray-800 mb-4">
+                    績效總覽
+                </h2>
+
+                <div 
+                    id="ref-summary"
+                    class="grid grid-cols-1 sm:grid-cols-2 lg:grid-cols-3 xl:grid-cols-4 gap-6">
+                </div>
+
+            </section>
+
+            <!-- 累計收益圖 -->
+            <section class="mb-8">
+
+                <h2 class="text-md font-semibold text-gray-800 mb-4">
+                    收益曲線
+                </h2>
+
+                <div
+                    class="bg-white rounded-lg shadow-md border border-gray-200"
+                >
+                    <div
+                        id="ref-chart"
+                        style="width: 100%; height: 450px;"
+                    ></div>
+                </div>
+
+            </section>
+
+            <!-- 交易資訊列表 -->
+            <section class="mb-8">
+
+                <h2 class="text-md font-semibold text-gray-800 mb-4">
+                    交易紀錄
+                </h2>
+
+                <div
+                    class="bg-white rounded-lg shadow-md border border-gray-200 overflow-x-auto max-h-[600px]"
+                >
+                    <div
+                        id="ref-table"
+                    ></div>
+                </div>
+
+            </section>
+            
+            <!-- 交易甘特圖 -->
+            <section class="mb-8">
+
+                <h2 class="text-md font-semibold text-gray-800 mb-4">
+                    交易時序
+                </h2>
+
+                <div
+                    class="bg-white rounded-lg shadow-md border border-gray-200 overflow-x-auto max-h-[600px] overflow-hidden"
+                >
+                    <div
+                        id="ref-timeline"
+                    ></div>
+                </div>
+
+            </section>
+            
+        </div>
+
+        <script>
+
+            let orders = {orders}
+            let summary = {summary}
+
+            document.addEventListener("DOMContentLoaded", () => {
+
+                // Summary卡區
+                let eleSummary = document.getElementById("ref-summary")
+                renderSummary(eleSummary, summary)
+
+                // 累計盈虧圖
+                let eleChart = document.getElementById("ref-chart");
+                renderProfitPlot(eleChart, orders, { uIni: summary.uIni })
+
+                // 交易表格
+                let eleTable = document.getElementById("ref-table")
+                renderOrdersTable(eleTable, orders)
+
+                // 交易甘特圖
+                let eleTimeline = document.getElementById("ref-timeline")
+                renderOrdersTimeline(eleTimeline, orders)
+
+            });
+
+        </script>
+
+    </body>
+</html>

package/src/writeJson.mjs

@@ -0,0 +1,31 @@
+import fs from 'fs'
+import get from 'lodash-es/get.js'
+import getPathParent from 'wsemi/src/getPathParent.mjs'
+import fsIsFolder from 'wsemi/src/fsIsFolder.mjs'
+import fsCreateFolder from 'wsemi/src/fsCreateFolder.mjs'
+
+
+let writeJson = (fp, obj, opt = {}) => {
+    let structured = get(opt, 'structured', false)
+    try {
+        if (structured) {
+            obj = JSON.stringify(obj, null, 2)
+        }
+        else {
+            obj = JSON.stringify(obj)
+        }
+        let fd = getPathParent(fp)
+        if (!fsIsFolder(fd)) {
+            fsCreateFolder(fd)
+        }
+        fs.writeFileSync(fp, obj, 'utf8')
+    }
+    catch (err) {
+        console.log(err)
+    }
+}
+
+
+export default writeJson
+
+

package/src/writeTxt.mjs

@@ -0,0 +1,19 @@
+import fs from 'fs'
+import getPathParent from 'wsemi/src/getPathParent.mjs'
+import fsIsFolder from 'wsemi/src/fsIsFolder.mjs'
+import fsCreateFolder from 'wsemi/src/fsCreateFolder.mjs'
+
+
+let writeTxt = (fp, tag) => {
+    try {
+        let fd = getPathParent(fp)
+        if (!fsIsFolder(fd)) {
+            fsCreateFolder(fd)
+        }
+        fs.writeFileSync(fp, tag, 'utf8')
+    }
+    catch (err) {}
+}
+
+
+export default writeTxt