w-trade-backtest 1.0.3

package/docs/calcOrders.mjs.html

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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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+    <h1 class="page-title">calcOrders.mjs</h1>
+    
+
+    
+
+
+
+    
+    <section>
+        <article>
+            <pre class="prettyprint source linenums"><code>import each from 'lodash-es/each.js'
+import get from 'lodash-es/get.js'
+import sortBy from 'lodash-es/sortBy.js'
+import dig from 'wsemi/src/dig.mjs'
+import haskey from 'wsemi/src/haskey.mjs'
+
+
+/**
+ * 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
+ *
+ * 各單僅檢查time大於timeStart之K棒，long以Low&lt;=priceStopLoss先判止損、High>=priceTakeProfit判止盈，short以High>=priceStopLoss先判止損、Low&lt;=priceTakeProfit判止盈
+ * long盈虧為uTrade*(priceEnd/priceStart)-uTrade-2*uFee，short盈虧為(priceStart-priceEnd)*(uTrade/priceStart)-2*uFee
+ * 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)
+ *
+ * Unit Test: {@link https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs Github}
+ * @function
+ * @param {Array} arrOhlc 輸入K線陣列，各元素需含time、High、Low欄位
+ * @param {Array} orders 輸入下單陣列，各元素需含mode('long'或'short')、timeStart、priceStart、uTrade、priceTakeProfit、priceStopLoss、uFee欄位
+ * @param {Object} [opt={}] 輸入設定物件，預設{}
+ * @param {Number} [opt.uIni=1000] 輸入初始資金數字，預設1000
+ * @returns {Promise} 回傳Promise，resolve為結算後訂單陣列
+ * @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 orders = [{
+ *     mode: 'long',
+ *     timeStart: '2020-01-01T00:00:00',
+ *     priceStart: 100,
+ *     uTrade: 100,
+ *     priceTakeProfit: 105,
+ *     priceStopLoss: 97,
+ *     timeEnd: '',
+ *     priceEnd: '',
+ *     modeResult: '',
+ *     uFee: 0.05,
+ * }]
+ *
+ * calcOrders(arrOhlc, orders, { uIni: 1000 })
+ *     .then((rs) => {
+ *         console.log(rs[0])
+ *         // => {
+ *         //   mode: 'long',
+ *         //   timeStart: '2020-01-01T00:00:00',
+ *         //   priceStart: 100,
+ *         //   uTrade: 100,
+ *         //   priceTakeProfit: 105,
+ *         //   priceStopLoss: 97,
+ *         //   timeEnd: '2020-01-01T04:00:00',
+ *         //   priceEnd: 105,
+ *         //   modeResult: 'profit',
+ *         //   uFee: 0.05,
+ *         //   uProfitOrLoss: 4.9,
+ *         //   rProfitOrLoss: 0.049,
+ *         //   uCumuProfitOrLoss: 4.9,
+ *         //   rCumuProfitOrLoss: '0.49%',
+ *         //   uEquity: 1004.9
+ *         // }
+ *     })
+ *
+ */
+let calcOrders = async(arrOhlc, orders, opt = {}) => {
+
+    //sortBy, 已或未平倉訂單一定有timeStart欄位
+    orders = sortBy(orders, 'timeStart')
+
+    //uIni
+    let uIni = get(opt, 'uIni', 1000)
+
+    //kpOhlc
+    let kpOhlc = {}
+    each(arrOhlc, (v) => {
+        // console.log('v', v)
+        //   time: '2025-10-31T12:00:00',
+        //   Open: 3829.16,
+        //   High: 3873.68,
+        //   Low: 3821.67,
+        //   Close: 3831.49,
+        //   Volumn: 56050.6433,
+        //   CloseTime: '2025-10-31T15:59:59',
+        //   QuoteAssetVolume: 215591315.444694,
+        //   NumberOfTrades: 634069,
+        //   TakerBuyBaseAssetVolume: 28908.4413,
+        //   TakerBuyQuoteAssetVolume: 111187066.78764
+        kpOhlc[v['time']] = v
+    })
+    // console.log('kpOhlc', kpOhlc)
+
+    //kpOrders
+    let kpOrders = {}
+    let uEquity = uIni
+    let uCumuProfitOrLoss = 0
+    each(orders, (o, ko) => {
+
+        each(kpOhlc, (g) => {
+
+            //check, 小於等於下單時間不計算
+            if (g['time'] &lt;= o.timeStart) {
+                delete kpOhlc[g['time']]
+                return true //跳出換下一個
+            }
+            // console.log('size(kpOhlc)', size(kpOhlc))
+
+            if (o.mode === 'long') {
+
+                if (g.Low &lt;= o.priceStopLoss) { //先偵測出現止損
+                    //止損
+                    o.timeEnd = g['time']
+                    o.priceEnd = o.priceStopLoss
+                    o.uProfitOrLoss = (o.uTrade * (o.priceEnd / o.priceStart)) - o.uTrade - 2 * o.uFee //須扣除手續費
+                    o.rProfitOrLoss = o.uProfitOrLoss / o.uTrade
+                    uCumuProfitOrLoss += o.uProfitOrLoss
+                    o.uCumuProfitOrLoss = uCumuProfitOrLoss
+                    o.rCumuProfitOrLoss = dig((o.uCumuProfitOrLoss / uIni) * 100, 2) + '%' //單位為%
+                    uEquity += o.uProfitOrLoss
+                    o.uEquity = uEquity
+                    o.modeResult = o.uProfitOrLoss &lt; 0 ? 'loss' : 'profit'
+                    kpOrders[ko] = o
+                    return false //跳出
+                }
+                if (g.High >= o.priceTakeProfit) { //後偵測出現止盈
+                    //止盈
+                    o.timeEnd = g['time']
+                    o.priceEnd = o.priceTakeProfit
+                    o.uProfitOrLoss = (o.uTrade * (o.priceEnd / o.priceStart)) - o.uTrade - 2 * o.uFee //須扣除手續費
+                    o.rProfitOrLoss = o.uProfitOrLoss / o.uTrade
+                    uCumuProfitOrLoss += o.uProfitOrLoss
+                    o.uCumuProfitOrLoss = uCumuProfitOrLoss
+                    o.rCumuProfitOrLoss = dig((o.uCumuProfitOrLoss / uIni) * 100, 2) + '%' //單位為%
+                    uEquity += o.uProfitOrLoss
+                    o.uEquity = uEquity
+                    o.modeResult = o.uProfitOrLoss &lt; 0 ? 'loss' : 'profit'
+                    kpOrders[ko] = o
+                    return false //跳出
+                }
+
+            }
+            else { //short
+
+                if (g.High >= o.priceStopLoss) { //先偵測出現止損
+                    //止損
+                    o.timeEnd = g['time']
+                    o.priceEnd = o.priceStopLoss
+                    o.uProfitOrLoss = (o.priceStart - o.priceEnd) * (o.uTrade / o.priceStart) - 2 * o.uFee //須扣除手續費
+                    o.rProfitOrLoss = o.uProfitOrLoss / o.uTrade
+                    uCumuProfitOrLoss += o.uProfitOrLoss
+                    o.uCumuProfitOrLoss = uCumuProfitOrLoss
+                    o.rCumuProfitOrLoss = dig((o.uCumuProfitOrLoss / uIni) * 100, 2) + '%' //單位為%
+                    uEquity += o.uProfitOrLoss
+                    o.uEquity = uEquity
+                    o.modeResult = o.uProfitOrLoss &lt; 0 ? 'loss' : 'profit'
+                    kpOrders[ko] = o
+                    return false //跳出
+                }
+                if (g.Low &lt;= o.priceTakeProfit) { //後偵測出現止盈
+                    //止盈
+                    o.timeEnd = g['time']
+                    o.priceEnd = o.priceTakeProfit
+                    o.uProfitOrLoss = (o.priceStart - o.priceEnd) * (o.uTrade / o.priceStart) - 2 * o.uFee //須扣除手續費
+                    o.rProfitOrLoss = o.uProfitOrLoss / o.uTrade
+                    uCumuProfitOrLoss += o.uProfitOrLoss
+                    o.uCumuProfitOrLoss = uCumuProfitOrLoss
+                    o.rCumuProfitOrLoss = dig((o.uCumuProfitOrLoss / uIni) * 100, 2) + '%' //單位為%
+                    uEquity += o.uProfitOrLoss
+                    o.uEquity = uEquity
+                    o.modeResult = o.uProfitOrLoss &lt; 0 ? 'loss' : 'profit'
+                    kpOrders[ko] = o
+                    return false //跳出
+                }
+
+            }
+
+        })
+
+    })
+    // console.log('kpOrders', kpOrders)
+
+    if (true) {
+        let _orders = []
+        each(orders, (o, ko) => {
+            // console.log('o', o)
+            let oo = null
+            if (haskey(kpOrders, ko)) {
+                oo = kpOrders[ko]
+            }
+            else {
+                oo = o
+            }
+            // console.log('oo', oo)
+            _orders.push(oo)
+        })
+        orders = _orders
+    }
+
+    return orders
+}
+
+
+export default calcOrders
+</code></pre>
+        </article>
+    </section>
+
+
+
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package/docs/calcOrdersRatio.mjs.html

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+<html lang="en">
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+    
+    <meta charset="utf-8">
+    <title>calcOrdersRatio.mjs - Documentation</title>
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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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+<div id="main">
+    
+    <h1 class="page-title">calcOrdersRatio.mjs</h1>
+    
+
+    
+
+
+
+    
+    <section>
+        <article>
+            <pre class="prettyprint source linenums"><code>import map from 'lodash-es/map.js'
+import isestr from 'wsemi/src/isestr.mjs'
+
+
+/**
+ * 計算各已平倉訂單之持倉天數與等效日盈虧比例
+ *
+ * dayHold以timeStart與timeEnd之日期差+1計算，rProfitOrLossDay為(1+rProfitOrLoss)^(1/dayHold)-1
+ * modeResult非有效字串(未平倉)之訂單不計算
+ *
+ * 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} orders 輸入已結算訂單陣列，各元素需含modeResult、timeStart、timeEnd、rProfitOrLoss欄位
+ * @returns {Array} 回傳附加dayHold與rProfitOrLossDay之訂單陣列
+ * @example
+ *
+ * let orders = calcOrdersRatio(ott, [{
+ *     modeResult: 'profit',
+ *     timeStart: '2020-01-01T20:00:00',
+ *     timeEnd: '2020-01-03T04:00:00',
+ *     rProfitOrLoss: 0.331,
+ * }])
+ * console.log(orders[0])
+ * // => {
+ * //   modeResult: 'profit',
+ * //   timeStart: '2020-01-01T20:00:00',
+ * //   timeEnd: '2020-01-03T04:00:00',
+ * //   rProfitOrLoss: 0.331,
+ * //   dayHold: 3,
+ * //   rProfitOrLossDay: 0.10000000000000009
+ * // }
+ *
+ */
+let calcOrdersRatio = (ott, orders) => {
+
+    //計算各單持倉天數, 盈虧比例, 等效日盈虧比例
+    orders = map(orders, (o) => {
+
+        //未平倉訂單不計算
+        if (!isestr(o.modeResult)) {
+            return o
+        }
+
+        //dayHold, 持倉天數
+        let ts = ott(o.timeStart)
+        let te = ott(o.timeEnd)
+        let ds = ts.format('YYYY-MM-DD')
+        let de = te.format('YYYY-MM-DD')
+        let tcs = ott(ds, 'YYYY-MM-DD')
+        let tce = ott(de, 'YYYY-MM-DD')
+        let dayHold = tce.diff(tcs, 'day') + 1
+        o.dayHold = dayHold
+        // console.log('ds', ds, 'de', de, dayHold)
+
+        //rProfitOrLossDay, 等效日盈虧比例(none)
+        let rProfitOrLossDay = 0
+        if ((1 + o.rProfitOrLoss) >= 0) {
+            rProfitOrLossDay = Math.pow((1 + o.rProfitOrLoss), 1 / o.dayHold) - 1
+        }
+        // let rProfitOrLossDay = Math.pow((1 + o.rProfitOrLoss), 1 / o.dayHold) - 1
+
+        o.rProfitOrLossDay = rProfitOrLossDay
+        // console.log('rProfitOrLossDay', rProfitOrLossDay)
+
+        return o
+    })
+    // console.log('orders', orders[size(orders) - 1], size(orders))
+
+    return orders
+}
+
+
+export default calcOrdersRatio
+</code></pre>
+        </article>
+    </section>
+
+
+
+
+    
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