w-trade-backtest 1.0.4 → 1.0.5

package/test/unit-buildKLinesTpSl.test.mjs

@@ -0,0 +1,98 @@
+import assert from 'assert'
+import fs from 'fs'
+import path from 'path'
+import buildKLinesTpSl from '../src/buildKLinesTpSl.mjs'
+import { t00, t04, t08, t12, t16, t20, buildArrOhlc, buildFdTmp } from './unit-setup.mjs'
+
+
+//規格來源: src/buildKLinesTpSl.mjs
+//  buildKLinesTpSl(fdOhlc, fdParam, fpJson, opt): 讀取opt.keyOhlc序列於opt.ts至opt.te範圍, 逐一組合opt.modes與opt.tps跑genKLinesTpSl,
+//    以`${mode}_${tpsl}`為key存{win,timeEnd}(timeEnd由hold位移換算絕對時間, 未結為null)至bars, 回傳{meta,bars}並寫出fpJson
+
+
+let fdTmp = buildFdTmp('buildKLinesTpSl')
+
+
+describe('buildKLinesTpSl', function() {
+
+    after(function() {
+        fs.rmSync(fdTmp, { recursive: true, force: true })
+    })
+
+    //buildFdOhlc: 於`${fdTmp}/${fd}`建立data-ohlc(btc.json)與data-param(空), 回傳兩資料夾路徑
+    let buildFdOhlc = (fd) => {
+        let fdOhlc = path.resolve(fdTmp, fd, 'data-ohlc')
+        let fdParam = path.resolve(fdTmp, fd, 'data-param')
+        fs.mkdirSync(fdOhlc, { recursive: true })
+        fs.mkdirSync(fdParam, { recursive: true })
+        fs.writeFileSync(path.resolve(fdOhlc, 'btc.json'), JSON.stringify(buildArrOhlc()), 'utf8')
+        return { fdOhlc, fdParam }
+    }
+
+    it('產出meta與bars並寫出fpJson, timeEnd由hold位移換算絕對時間, 未結為null', async function() {
+        let { fdOhlc, fdParam } = buildFdOhlc('bkts-basic')
+        let fpJson = path.resolve(fdTmp, 'bkts-basic', 'cache', 'kltpsl.json') //cache資料夾不存在, 應自動建立
+
+        let r = await buildKLinesTpSl(fdOhlc, fdParam, fpJson, { keyOhlc: 'btc', ts: t00, te: t20, tps: [5], modes: ['long'] })
+
+        //meta
+        assert.deepStrictEqual(r.meta, { keyOhlc: 'btc', ts: t00, te: t20, tps: [5], modes: ['long'], nBars: 6 })
+
+        //bars, 各根close與long_5之{win,timeEnd}
+        assert.deepStrictEqual(Object.keys(r.bars), [t00, t04, t08, t12, t16, t20])
+        assert.deepStrictEqual(r.bars[t00], { close: 100, long_5: { win: 1, timeEnd: t04 } })
+        assert.deepStrictEqual(r.bars[t04], { close: 105, long_5: { win: 0, timeEnd: t12 } })
+        assert.deepStrictEqual(r.bars[t12], { close: 95, long_5: { win: -1, timeEnd: null } })
+        assert.deepStrictEqual(r.bars[t20], { close: 97, long_5: { win: -1, timeEnd: null } })
+
+        //fpJson, 內容與回傳一致
+        assert.ok(fs.existsSync(fpJson))
+        assert.deepStrictEqual(JSON.parse(fs.readFileSync(fpJson, 'utf8')), r)
+    })
+
+    it('各mode與tps組合各存一組key', async function() {
+        let { fdOhlc, fdParam } = buildFdOhlc('bkts-keys')
+        let fpJson = path.resolve(fdTmp, 'bkts-keys', 'kltpsl.json')
+
+        let r = await buildKLinesTpSl(fdOhlc, fdParam, fpJson, { keyOhlc: 'btc', ts: t00, te: t20, tps: [5, 10], modes: ['long', 'short'] })
+
+        assert.deepStrictEqual(Object.keys(r.bars[t00]), ['close', 'long_5', 'long_10', 'short_5', 'short_10'])
+        //tpsl=10時t00之up=110, dn=90, 其後K棒皆未觸發
+        assert.deepStrictEqual(r.bars[t00].long_10, { win: -1, timeEnd: null })
+        assert.deepStrictEqual(r.bars[t00].short_5, { win: 0, timeEnd: t04 })
+    })
+
+    it('ts至te僅取範圍內K線', async function() {
+        let { fdOhlc, fdParam } = buildFdOhlc('bkts-range')
+        let fpJson = path.resolve(fdTmp, 'bkts-range', 'kltpsl.json')
+
+        let r = await buildKLinesTpSl(fdOhlc, fdParam, fpJson, { keyOhlc: 'btc', ts: t04, te: t12, tps: [5], modes: ['long'] })
+
+        assert.strictEqual(r.meta.nBars, 3)
+        assert.deepStrictEqual(Object.keys(r.bars), [t04, t08, t12])
+    })
+
+    it('fdOhlc非資料夾時reject', async function() {
+        let { fdParam } = buildFdOhlc('bkts-invalid')
+        let fdOhlc = path.resolve(fdTmp, 'bkts-invalid', 'none')
+        let fpJson = path.resolve(fdTmp, 'bkts-invalid', 'kltpsl.json')
+        await assert.rejects(buildKLinesTpSl(fdOhlc, fdParam, fpJson, { keyOhlc: 'btc', ts: t00, te: t20 }), { message: `fdOhlc[${fdOhlc}] is not a folder` })
+    })
+
+    it('fdParam非資料夾時reject', async function() {
+        let { fdOhlc } = buildFdOhlc('bkts-invalid2')
+        let fdParam = path.resolve(fdTmp, 'bkts-invalid2', 'none')
+        let fpJson = path.resolve(fdTmp, 'bkts-invalid2', 'kltpsl.json')
+        await assert.rejects(buildKLinesTpSl(fdOhlc, fdParam, fpJson, { keyOhlc: 'btc', ts: t00, te: t20 }), { message: `fdParam[${fdParam}] is not a folder` })
+    })
+
+    it('fpJson非有效字串, opt.keyOhlc非有效字串, opt.ts或opt.te非時間字串時reject', async function() {
+        let { fdOhlc, fdParam } = buildFdOhlc('bkts-invalid3')
+        let fpJson = path.resolve(fdTmp, 'bkts-invalid3', 'kltpsl.json')
+        await assert.rejects(buildKLinesTpSl(fdOhlc, fdParam, '', { keyOhlc: 'btc', ts: t00, te: t20 }), { message: `invalid fpJson` })
+        await assert.rejects(buildKLinesTpSl(fdOhlc, fdParam, fpJson, { ts: t00, te: t20 }), { message: `invalid opt.keyOhlc` })
+        await assert.rejects(buildKLinesTpSl(fdOhlc, fdParam, fpJson, { keyOhlc: 'btc', ts: 'x', te: t20 }), { message: `invalid opt.ts` })
+        await assert.rejects(buildKLinesTpSl(fdOhlc, fdParam, fpJson, { keyOhlc: 'btc', ts: t00, te: 'x' }), { message: `invalid opt.te` })
+    })
+
+})

package/test/unit-calcOrders.test.mjs

@@ -0,0 +1,60 @@
+import assert from 'assert'
+import calcOrders from '../src/calcOrders.mjs'
+import { approx, t04, t12, buildArrOhlc, buildOrders } from './unit-setup.mjs'
+
+
+//規格來源: src/calcOrders.mjs
+//  calcOrders(arrOhlc, orders, {uIni}): 依timeStart排序逐單結算, long以Low<=priceStopLoss先判止損, High>=priceTakeProfit判止盈;
+//    short以High>=priceStopLoss先判止損, Low<=priceTakeProfit判止盈; 僅檢查time>timeStart之K棒;
+//    long盈虧 = uTrade*(priceEnd/priceStart) - uTrade - 2*uFee; short盈虧 = (priceStart-priceEnd)*(uTrade/priceStart) - 2*uFee;
+//    並累計uCumuProfitOrLoss/uEquity(自uIni起), modeResult = 盈虧<0 ? 'loss' : 'profit', 未觸發者維持原單(未平倉)
+
+
+describe('calcOrders', function() {
+
+    it('long止盈: A單於t04以High>=priceTakeProfit結算, 盈虧=100*(105/100)-100-2*0.05=4.9', async function() {
+        let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+        let o = orders[0]
+        assert.strictEqual(o.timeEnd, t04)
+        assert.strictEqual(o.priceEnd, 105)
+        assert.strictEqual(o.modeResult, 'profit')
+        assert.ok(approx(o.uProfitOrLoss, 4.9), `uProfitOrLoss=${o.uProfitOrLoss}`)
+        assert.ok(approx(o.rProfitOrLoss, 0.049), `rProfitOrLoss=${o.rProfitOrLoss}`)
+        assert.ok(approx(o.uCumuProfitOrLoss, 4.9), `uCumuProfitOrLoss=${o.uCumuProfitOrLoss}`)
+        assert.strictEqual(o.rCumuProfitOrLoss, '0.49%')
+        assert.ok(approx(o.uEquity, 1004.9), `uEquity=${o.uEquity}`)
+    })
+
+    it('long止損: B單於t12以Low<=priceStopLoss結算, 盈虧=100*(101.85/105)-100-0.1=-3.1', async function() {
+        let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+        let o = orders[1]
+        assert.strictEqual(o.timeEnd, t12)
+        assert.strictEqual(o.priceEnd, 101.85)
+        assert.strictEqual(o.modeResult, 'loss')
+        assert.ok(approx(o.uProfitOrLoss, -3.1), `uProfitOrLoss=${o.uProfitOrLoss}`)
+        assert.ok(approx(o.uCumuProfitOrLoss, 1.8), `uCumuProfitOrLoss=${o.uCumuProfitOrLoss}`)
+        assert.strictEqual(o.rCumuProfitOrLoss, '0.18%')
+        assert.ok(approx(o.uEquity, 1001.8), `uEquity=${o.uEquity}`)
+    })
+
+    it('short止盈: C單於t12以Low<=priceTakeProfit結算, 盈虧=(103-97.85)*(100/103)-0.1=4.9', async function() {
+        let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+        let o = orders[2]
+        assert.strictEqual(o.timeEnd, t12)
+        assert.strictEqual(o.priceEnd, 97.85)
+        assert.strictEqual(o.modeResult, 'profit')
+        assert.ok(approx(o.uProfitOrLoss, 4.9), `uProfitOrLoss=${o.uProfitOrLoss}`)
+        assert.ok(approx(o.uCumuProfitOrLoss, 6.7), `uCumuProfitOrLoss=${o.uCumuProfitOrLoss}`)
+        assert.strictEqual(o.rCumuProfitOrLoss, '0.67%')
+        assert.ok(approx(o.uEquity, 1006.7), `uEquity=${o.uEquity}`)
+    })
+
+    it('未觸發止盈止損: D單維持未平倉(modeResult為空字串)', async function() {
+        let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+        let o = orders[3]
+        assert.strictEqual(o.timeEnd, '')
+        assert.strictEqual(o.priceEnd, '')
+        assert.strictEqual(o.modeResult, '')
+    })
+
+})

package/test/unit-calcOrdersRatio.test.mjs

@@ -0,0 +1,39 @@
+import assert from 'assert'
+import calcOrders from '../src/calcOrders.mjs'
+import calcOrdersRatio from '../src/calcOrdersRatio.mjs'
+import ott from '../src/ott.mjs'
+import { approx, t00, buildArrOhlc, buildOrders } from './unit-setup.mjs'
+
+
+//規格來源: src/calcOrdersRatio.mjs
+//  calcOrdersRatio(ott, orders): 各已平倉單計算dayHold(以日期差+1)與rProfitOrLossDay = (1+rProfitOrLoss)^(1/dayHold)-1
+
+
+describe('calcOrdersRatio', function() {
+
+    it('同日結算單dayHold=1, rProfitOrLossDay=(1+rProfitOrLoss)^(1/1)-1', async function() {
+        let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+        orders = calcOrdersRatio(ott, orders)
+        assert.strictEqual(orders[0].dayHold, 1)
+        assert.ok(approx(orders[0].rProfitOrLossDay, 0.049), `rProfitOrLossDay=${orders[0].rProfitOrLossDay}`)
+        assert.strictEqual(orders[1].dayHold, 1)
+        assert.ok(approx(orders[1].rProfitOrLossDay, -0.031), `rProfitOrLossDay=${orders[1].rProfitOrLossDay}`)
+    })
+
+    it('跨日單dayHold以日期差+1, rProfitOrLossDay=(1.331)^(1/3)-1=0.1', function() {
+        let orders = calcOrdersRatio(ott, [{
+            modeResult: 'profit',
+            timeStart: '2020-01-01T20:00:00',
+            timeEnd: '2020-01-03T04:00:00',
+            rProfitOrLoss: 0.331,
+        }])
+        assert.strictEqual(orders[0].dayHold, 3)
+        assert.ok(approx(orders[0].rProfitOrLossDay, 0.1), `rProfitOrLossDay=${orders[0].rProfitOrLossDay}`)
+    })
+
+    it('未平倉單不計算(無dayHold欄位)', function() {
+        let orders = calcOrdersRatio(ott, [{ modeResult: '', timeStart: t00 }])
+        assert.strictEqual(orders[0].dayHold, undefined)
+    })
+
+})

package/test/unit-calcOrdersSummary.test.mjs

@@ -0,0 +1,71 @@
+import assert from 'assert'
+import calcOrders from '../src/calcOrders.mjs'
+import calcOrdersRatio from '../src/calcOrdersRatio.mjs'
+import calcOrdersSummary from '../src/calcOrdersSummary.mjs'
+import ott from '../src/ott.mjs'
+import { approx, t00, t20, buildArrOhlc, buildOrders } from './unit-setup.mjs'
+
+
+//規格來源: src/calcOrdersSummary.mjs
+//  calcOrdersSummary(ott, uIni, ordersAll, timeOhlcStart, timeOhlcEnd): 統計交易次數/勝率/最大回撤/最大持倉/夏普值/最終權益等
+
+
+describe('calcOrdersSummary', function() {
+
+    let buildSummary = async () => {
+        let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+        orders = calcOrdersRatio(ott, orders)
+        return calcOrdersSummary(ott, 1000, orders, t00, t20)
+    }
+
+    it('交易次數與勝率: 4筆共3筆已平倉, 2勝1敗, rWin=66.67%', async function() {
+        let sm = await buildSummary()
+        assert.strictEqual(sm.numTrade, 4)
+        assert.strictEqual(sm.numTradeFin, 3)
+        assert.strictEqual(sm.numTradeUnsettled, 1)
+        assert.strictEqual(sm.rWin, '66.67%')
+    })
+
+    it('最大回撤: uEquity自1004.9降至1001.8, uDrawdownMax=3.1, rDrawdownMax=3.1/1004.9=0.31%', async function() {
+        let sm = await buildSummary()
+        assert.ok(approx(sm.uDrawdownMax, 3.1), `uDrawdownMax=${sm.uDrawdownMax}`)
+        assert.strictEqual(sm.rDrawdownMax, '0.31%')
+        //等效最大回撤 = 3.1/(1004.9-1000+200) = 1.51%
+        assert.strictEqual(sm.rEquivalentDrawdownMax, '1.51%')
+    })
+
+    it('最大持倉: t08時A已平倉而B/C在倉共200, rTradeAllMax=20.00%, numTradeAllMax=2', async function() {
+        let sm = await buildSummary()
+        assert.strictEqual(sm.uTradeAllMax, 200)
+        assert.strictEqual(sm.rTradeAllMax, '20.00%')
+        assert.strictEqual(sm.numTradeAllMax, 2)
+    })
+
+    it('最終權益與盈虧: uEquityFinal=1006.7, uCumuProfitOrLossFinal=6.7, 等效盈虧=6.7/200=3.35%', async function() {
+        let sm = await buildSummary()
+        assert.ok(approx(sm.uEquityFinal, 1006.7), `uEquityFinal=${sm.uEquityFinal}`)
+        assert.ok(approx(sm.uCumuProfitOrLossFinal, 6.7), `uCumuProfitOrLossFinal=${sm.uCumuProfitOrLossFinal}`)
+        assert.strictEqual(sm.rCumuProfitOrLossFinal, '0.67%')
+        assert.strictEqual(sm.rEquivalentCumuProfitOrLossFinal, '3.35%')
+    })
+
+    it('夏普值: 日報酬{0.049,-0.031,0.049}加權計算, rSharpe=(0.0223/0.0462)*sqrt(252)=7.676', async function() {
+        let sm = await buildSummary()
+        assert.ok(approx(sm.rSharpe, 7.6758, 0.01), `rSharpe=${sm.rSharpe}`)
+    })
+
+    it('回測時長: 同日內btDays=0, btYears=0.0, 年化與等效年化為0.00%', async function() {
+        let sm = await buildSummary()
+        assert.strictEqual(sm.btDays, 0)
+        assert.strictEqual(sm.btYears, '0.0')
+        assert.strictEqual(sm.rCumuProfitOrLossFinalNormYear, '0.00%')
+        assert.strictEqual(sm.rEquivalentCumuProfitOrLossFinalNormYear, '0.00%')
+    })
+
+    it('uIni非正數時throw', function() {
+        assert.throws(() => {
+            calcOrdersSummary(ott, 0, [], t00, t20)
+        }, { message: `uIni[0] is not a positive number` })
+    })
+
+})

package/test/unit-calcOrdersSummarySimple.test.mjs

@@ -0,0 +1,30 @@
+import assert from 'assert'
+import calcOrders from '../src/calcOrders.mjs'
+import calcOrdersSummarySimple from '../src/calcOrdersSummarySimple.mjs'
+import ott from '../src/ott.mjs'
+import { approx, t00, t20, buildArrOhlc, buildOrders } from './unit-setup.mjs'
+
+
+//規格來源: src/calcOrdersSummarySimple.mjs
+//  calcOrdersSummarySimple: 精簡版, 只算選股熱路徑欄位, 與完整版對應欄位一致
+
+
+describe('calcOrdersSummarySimple', function() {
+
+    it('對應欄位與完整版一致(numTrade/rWin/uTradeAllMax/uEquityFinal/btDays等)', async function() {
+        let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+        let sm = calcOrdersSummarySimple(ott, 1000, orders, t00, t20)
+        assert.strictEqual(sm.numTrade, 4)
+        assert.strictEqual(sm.numTradeFin, 3)
+        assert.strictEqual(sm.rWin, '66.67%')
+        assert.strictEqual(sm.uTradeAllMax, 200)
+        assert.strictEqual(sm.rTradeAllMax, '20.00%')
+        assert.ok(approx(sm.uEquityFinal, 1006.7), `uEquityFinal=${sm.uEquityFinal}`)
+        assert.strictEqual(sm.btDays, 0)
+        assert.strictEqual(sm.btYears, '0.0')
+        assert.strictEqual(sm.rEquivalentCumuProfitOrLossFinalNormYear, '0.00%')
+        assert.strictEqual(sm.timeOhlcStart, t00)
+        assert.strictEqual(sm.timeOhlcEnd, t20)
+    })
+
+})

package/test/unit-calcSummary.test.mjs

@@ -0,0 +1,30 @@
+import assert from 'assert'
+import calcOrders from '../src/calcOrders.mjs'
+import calcSummary from '../src/calcSummary.mjs'
+import ott from '../src/ott.mjs'
+import { approx, t00, t20, buildArrOhlc, buildOrders } from './unit-setup.mjs'
+
+
+//規格來源: src/calcSummary.mjs
+//  calcSummary(ott, uIni, orders, timeOhlcStart, timeOhlcEnd): 重算累積收益後執行ratio+summary, 另附timeTest/timeOhlcStart/timeOhlcEnd/uIni
+
+
+describe('calcSummary', function() {
+
+    it('重算累積收益後回傳完整摘要, 附timeTest/timeOhlcStart/timeOhlcEnd/uIni', async function() {
+        let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+        let sm = await calcSummary(ott, 1000, orders, t00, t20)
+        assert.ok(/^\d{4}-\d{2}-\d{2}T\d{2}:\d{2}:\d{2}\+08:00$/.test(sm.timeTest), `timeTest=${sm.timeTest}`)
+        assert.strictEqual(sm.timeOhlcStart, t00)
+        assert.strictEqual(sm.timeOhlcEnd, t20)
+        assert.strictEqual(sm.uIni, 1000)
+        assert.strictEqual(sm.numTrade, 4)
+        assert.strictEqual(sm.rWin, '66.67%')
+        assert.ok(approx(sm.uEquityFinal, 1006.7), `uEquityFinal=${sm.uEquityFinal}`)
+    })
+
+    it('timeOhlcStart非有效字串時reject', async function() {
+        await assert.rejects(calcSummary(ott, 1000, [], '', t20), { message: `invalid timeOhlcStart[]` })
+    })
+
+})

package/test/unit-closeAndSummaryOrders.test.mjs

@@ -0,0 +1,53 @@
+import assert from 'assert'
+import fs from 'fs'
+import path from 'path'
+import closeAndSummaryOrders from '../src/closeAndSummaryOrders.mjs'
+import ott from '../src/ott.mjs'
+import { t00, t04, t20, buildArrOhlc, buildOrder, buildFdTmp } from './unit-setup.mjs'
+
+
+//規格來源: src/closeAndSummaryOrders.mjs
+//  closeAndSummaryOrders(ott, fdOhlc, fdParam, uIni, timeOhlcStart, timeOhlcEnd, keyOhlc, ordersSubmit, fdTest, opt):
+//    以w-data-tdprovide讀取fdOhlc/fdParam數據, 結算ordersSubmit並輸出orders.json/summary.json/report.html至fdTest
+
+
+let fdTmp = buildFdTmp('closeAndSummaryOrders')
+
+
+describe('closeAndSummaryOrders', function() {
+
+    after(function() {
+        fs.rmSync(fdTmp, { recursive: true, force: true })
+    })
+
+    it('以w-data-tdprovide讀取數據結算訂單, 輸出orders.json/summary.json/report.html', async function() {
+        //fixtures: fdOhlc放btc.json, fdParam為空資料夾
+        let fdOhlc = path.resolve(fdTmp, 'data-ohlc')
+        let fdParam = path.resolve(fdTmp, 'data-param')
+        let fdTest = path.resolve(fdTmp, 'result')
+        fs.mkdirSync(fdOhlc, { recursive: true })
+        fs.mkdirSync(fdParam, { recursive: true })
+        fs.writeFileSync(path.resolve(fdOhlc, 'btc.json'), JSON.stringify(buildArrOhlc()), 'utf8')
+
+        //ordersSubmit: A單(止盈於t04)
+        let ordersSubmit = [buildOrder('long', t00, 100, 105, 97)]
+
+        await closeAndSummaryOrders(ott, fdOhlc, fdParam, 1000, t00, t20, 'btc', ordersSubmit, fdTest)
+
+        //orders.json
+        let orders = JSON.parse(fs.readFileSync(path.resolve(fdTest, 'orders.json'), 'utf8'))
+        assert.strictEqual(orders.length, 1)
+        assert.strictEqual(orders[0].timeEnd, t04)
+        assert.strictEqual(orders[0].modeResult, 'profit')
+
+        //summary.json
+        let stsm = JSON.parse(fs.readFileSync(path.resolve(fdTest, 'summary.json'), 'utf8'))
+        assert.strictEqual(stsm.name, '全部策略')
+        assert.strictEqual(stsm.summary.numTrade, 1)
+        assert.strictEqual(stsm.summary.rWin, '100.00%')
+
+        //report.html
+        assert.ok(fs.existsSync(path.resolve(fdTest, 'report.html')))
+    })
+
+})

package/test/unit-genKLinesTpSl.test.mjs

@@ -0,0 +1,46 @@
+import assert from 'assert'
+import genKLinesTpSl from '../src/genKLinesTpSl.mjs'
+import { t00, t04, t08, t12, t16, t20, buildArrOhlc } from './unit-setup.mjs'
+
+
+//規格來源: src/genKLinesTpSl.mjs
+//  genKLinesTpSl(arrOhlc, {tp,sl,mode}): 各根K線以Close為進場價往後掃first-touch, long以Low<=(1-sl)判止損先於High>=(1+tp)判止盈,
+//    short以High>=(1+sl)判止損先於Low<=(1-tp)判止盈, 回傳{time,pnl,win,hold}, win為1/0/-1(止盈/止損/未結), 未結pnl與hold為NaN
+
+
+describe('genKLinesTpSl', function() {
+
+    it('long: 各根以Close為進場價往後掃first-touch, 同根同觸先判止損, 掃至序列末未觸者win為-1', function() {
+        let r = genKLinesTpSl(buildArrOhlc(), { tp: 0.05, sl: 0.05, mode: 'long' })
+        //t00: e=100, up=105, dn=95, t04之High=106觸止盈
+        //t04: e=105, up=110.25, dn=99.75, t12之Low=94觸止損(位移2)
+        //t08: e=103, up=108.15, dn=97.85, t12之Low=94觸止損
+        //t12: e=95, up=99.75, dn=90.25, t16與t20皆未觸
+        //t16: e=93, up=97.65, dn=88.35, t20之High=99觸止盈
+        //t20: 末根無後續K棒
+        assert.deepStrictEqual(Array.from(r.win), [1, 0, 0, -1, 1, -1])
+        assert.deepStrictEqual(Array.from(r.hold), [1, 2, 1, NaN, 1, NaN])
+        assert.deepStrictEqual(Array.from(r.pnl), [0.05, -0.05, -0.05, NaN, 0.05, NaN])
+        assert.deepStrictEqual(r.time, [t00, t04, t08, t12, t16, t20])
+    })
+
+    it('short: 以High>=(1+sl)判止損先於Low<=(1-tp)判止盈', function() {
+        let r = genKLinesTpSl(buildArrOhlc(), { tp: 0.05, sl: 0.05, mode: 'short' })
+        //t00: e=100, upS=105, dnS=95, t04之High=106觸止損
+        //t04: e=105, upS=110.25, dnS=99.75, t12之Low=94觸止盈(位移2)
+        //t16: e=93, upS=97.65, dnS=88.35, t20之High=99觸止損
+        assert.deepStrictEqual(Array.from(r.win), [0, 1, 1, -1, 0, -1])
+        assert.deepStrictEqual(Array.from(r.hold), [1, 2, 1, NaN, 1, NaN])
+    })
+
+    it('mode預設long', function() {
+        let r = genKLinesTpSl(buildArrOhlc(), { tp: 0.05, sl: 0.05 })
+        assert.deepStrictEqual(Array.from(r.win), [1, 0, 0, -1, 1, -1])
+    })
+
+    it('tp或sl非正數時throw', function() {
+        assert.throws(() => genKLinesTpSl(buildArrOhlc(), { sl: 0.05 }), { message: `genKLinesTpSl: invalid tp[undefined] / sl[0.05]` })
+        assert.throws(() => genKLinesTpSl(buildArrOhlc(), { tp: 0.05, sl: 0 }), { message: `genKLinesTpSl: invalid tp[0.05] / sl[0]` })
+    })
+
+})

package/test/unit-genReport.test.mjs

@@ -0,0 +1,113 @@
+import assert from 'assert'
+import fs from 'fs'
+import path from 'path'
+import calcOrders from '../src/calcOrders.mjs'
+import genReport from '../src/genReport.mjs'
+import ott from '../src/ott.mjs'
+import writeJson from '../src/writeJson.mjs'
+import { approx, t00, t16, t20, buildArrOhlc, buildOrders, buildFdTmp } from './unit-setup.mjs'
+
+
+//規格來源: src/genReport.mjs
+//  genReport(ott, fpOrders, opt): 讀orders.json後calcSummary+genReportCore產出html, 回傳{orders,summary,fpOut};
+//    opt.fpOut預設同資料夾report.html, opt.name預設所在資料夾名, opt.uIni預設由首筆已結算單推回(uEquity-uCumuProfitOrLoss),
+//    opt.timeOhlcStart/timeOhlcEnd預設由訂單起訖推得, opt.withWriteSummary:true另輸出summary.json
+
+
+let fdTmp = buildFdTmp('genReport')
+
+
+describe('genReport', function() {
+
+    after(function() {
+        fs.rmSync(fdTmp, { recursive: true, force: true })
+    })
+
+    //writeSettledOrders: 將已結算訂單寫至`${fdTmp}/${fd}/orders.json`並回傳其路徑
+    let writeSettledOrders = async (fd) => {
+        let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+        let fpOrders = path.resolve(fdTmp, fd, 'orders.json')
+        writeJson(fpOrders, orders)
+        return fpOrders
+    }
+
+    it('預設輸出同資料夾report.html, name取所在資料夾名, uIni由首筆已結算單推回', async function() {
+        let fpOrders = await writeSettledOrders('gr-default')
+
+        let r = await genReport(ott, fpOrders)
+
+        //fpOut
+        assert.strictEqual(r.fpOut, path.resolve(fdTmp, 'gr-default', 'report.html'))
+        assert.ok(fs.existsSync(r.fpOut))
+
+        //orders
+        assert.strictEqual(r.orders.length, 4)
+
+        //summary, uIni由首筆已結算單推回(1004.9-4.9=1000), 統計區間由訂單起訖推得(t00至未平倉D單之timeStart=t16)
+        assert.strictEqual(r.summary.uIni, 1000)
+        assert.strictEqual(r.summary.timeOhlcStart, t00)
+        assert.strictEqual(r.summary.timeOhlcEnd, t16)
+        assert.strictEqual(r.summary.numTrade, 4)
+        assert.strictEqual(r.summary.numTradeUnsettled, 1)
+        assert.strictEqual(r.summary.rWin, '66.67%')
+        assert.ok(approx(r.summary.uEquityFinal, 1006.7), `uEquityFinal=${r.summary.uEquityFinal}`)
+
+        //html已置換name與orders
+        let h = fs.readFileSync(r.fpOut, 'utf8')
+        assert.ok(h.includes('gr-default'))
+        assert.ok(!h.includes('{orders}'))
+        assert.ok(!h.includes('{summary}'))
+    })
+
+    it('opt指定fpOut/name/uIni/timeOhlcStart/timeOhlcEnd, withWriteSummary另輸出summary.json', async function() {
+        let fpOrders = await writeSettledOrders('gr-opt')
+        let fpOut = path.resolve(fdTmp, 'gr-opt-out', 'rpt.html')
+
+        let r = await genReport(ott, fpOrders, {
+            fpOut,
+            name: '指定報表名',
+            uIni: 2000,
+            timeOhlcStart: t00,
+            timeOhlcEnd: t20,
+            withWriteSummary: true,
+        })
+
+        //fpOut
+        assert.strictEqual(r.fpOut, fpOut)
+        assert.ok(fs.existsSync(fpOut))
+        assert.ok(fs.readFileSync(fpOut, 'utf8').includes('指定報表名'))
+
+        //summary
+        assert.strictEqual(r.summary.uIni, 2000)
+        assert.strictEqual(r.summary.timeOhlcStart, t00)
+        assert.strictEqual(r.summary.timeOhlcEnd, t20)
+
+        //summary.json, 與fpOut同資料夾, 內含name與summary
+        let fpSummary = path.resolve(fdTmp, 'gr-opt-out', 'summary.json')
+        let stsm = JSON.parse(fs.readFileSync(fpSummary, 'utf8'))
+        assert.strictEqual(stsm.name, '指定報表名')
+        assert.strictEqual(stsm.summary.numTrade, 4)
+    })
+
+    it('withWriteSummary預設false, 不輸出summary.json', async function() {
+        let fpOrders = await writeSettledOrders('gr-nosummary')
+        await genReport(ott, fpOrders)
+        assert.ok(!fs.existsSync(path.resolve(fdTmp, 'gr-nosummary', 'summary.json')))
+    })
+
+    it('fpOrders非有效字串時reject', async function() {
+        await assert.rejects(genReport(ott, ''), { message: `invalid fpOrders` })
+    })
+
+    it('fpOrders非檔案時reject', async function() {
+        let fp = path.resolve(fdTmp, 'gr-none', 'orders.json')
+        await assert.rejects(genReport(ott, fp), { message: `fpOrders[${fp}] is not a file` })
+    })
+
+    it('orders.json內容非有效陣列時reject', async function() {
+        let fp = path.resolve(fdTmp, 'gr-invalid', 'orders.json')
+        writeJson(fp, [])
+        await assert.rejects(genReport(ott, fp), { message: `orders in fpOrders[${fp}] is not an effective array` })
+    })
+
+})

package/test/unit-genReportCore.test.mjs

@@ -0,0 +1,39 @@
+import assert from 'assert'
+import fs from 'fs'
+import path from 'path'
+import calcOrders from '../src/calcOrders.mjs'
+import calcOrdersRatio from '../src/calcOrdersRatio.mjs'
+import calcOrdersSummary from '../src/calcOrdersSummary.mjs'
+import genReportCore from '../src/genReportCore.mjs'
+import ott from '../src/ott.mjs'
+import { t00, t20, buildArrOhlc, buildOrders, buildFdTmp } from './unit-setup.mjs'
+
+
+//規格來源: src/genReportCore.mjs
+//  genReportCore(r, fpOut): 讀取src內tmp.html與render*.js模板, 置換{name}/{orders}/{summary}後寫出html
+
+
+let fdTmp = buildFdTmp('genReportCore')
+
+
+describe('genReportCore', function() {
+
+    after(function() {
+        fs.rmSync(fdTmp, { recursive: true, force: true })
+    })
+
+    it('置換模板{name}/{orders}/{summary}後寫出html', async function() {
+        let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+        orders = calcOrdersRatio(ott, orders)
+        let summary = calcOrdersSummary(ott, 1000, orders, t00, t20)
+        let fpOut = path.resolve(fdTmp, 'report.html')
+        genReportCore({ name: '單元測試報告', orders, summary }, fpOut)
+        assert.ok(fs.existsSync(fpOut))
+        let h = fs.readFileSync(fpOut, 'utf8')
+        assert.ok(h.includes('單元測試報告'))
+        assert.ok(!h.includes('{orders}'))
+        assert.ok(!h.includes('{summary}'))
+        assert.ok(h.includes(t00)) //orders已注入
+    })
+
+})