w-trade-backtest 1.0.4 → 1.0.6

package/docs/global.html

@@ -29,7 +29,7 @@
 <nav >
     
     
-    <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#runStrategiesAndBacktest">runStrategiesAndBacktest</a></li><li><a href="global.html#runStrategy">runStrategy</a></li></ul>
+    <h2><a href="index.html">Home</a></h2><h3>Global</h3><ul><li><a href="global.html#buildKLinesTpSl">buildKLinesTpSl</a></li><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#genKLinesTpSl">genKLinesTpSl</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#loadKLinesTpSl">loadKLinesTpSl</a></li><li><a href="global.html#runStrategies">runStrategies</a></li><li><a href="global.html#runStrategiesAndBacktest">runStrategiesAndBacktest</a></li><li><a href="global.html#runStrategy">runStrategy</a></li></ul>
     
 </nav>
 
@@ -130,7 +130,7 @@
 
     
 
-    <h4 class="name" id="calcOrders"><span class="type-signature type-signature-async">(async) </span>calcOrders<span class="signature">(arrOhlc, orders, opt<span class="signature-attributes">opt</span>)</span><span class="type-signature"> &rarr; {Promise}</span></h4>
+    <h4 class="name" id="buildKLinesTpSl"><span class="type-signature type-signature-async">(async) </span>buildKLinesTpSl<span class="signature">(fdOhlc, fdParam, fpJson, opt<span class="signature-attributes">opt</span>)</span><span class="type-signature"> &rarr; {Promise}</span></h4>
 
     
 
@@ -140,17 +140,19 @@
 <dl class="details">
     
     <dt class="tag-description">Description:</dt>
-    <dd class="tag-description"><ul class="dummy"><li><p>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</p>
-<p>各單僅檢查time大於timeStart之K棒，long以Low&lt;=priceStopLoss先判止損、High&gt;=priceTakeProfit判止盈，short以High&gt;=priceStopLoss先判止損、Low&lt;=priceTakeProfit判止盈
-long盈虧為uTrade*(priceEnd/priceStart)-uTrade-2<em>uFee，short盈虧為(priceStart-priceEnd)</em>(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)</p>
+    <dd class="tag-description"><ul class="dummy"><li><p>建置各K線與各止盈止損組合之先觸結果快取檔</p>
+<p>以w-data-tdprovide讀取fdOhlc與fdParam資料夾內keyOhlc序列，取ts至te範圍K線後，逐一組合modes與tps呼叫genKLinesTpSl
+各組合以<code>${mode}_${tpsl}</code>為key存入各根K線，win為1(止盈先觸)、0(止損先觸)或-1(至區間末仍未結)
+timeEnd於建置時由hold位移換算為絕對時間，故下游查表即得而不需位置索引，未結者為null
+僅存win、timeEnd與各根close，盈虧由下游loadKLinesTpSl之ordersFromBars以close與手續費重算
+fdOhlc或fdParam非資料夾、fpJson或opt.keyOhlc非有效字串、opt.ts或opt.te非時間字串時throw</p>
 <p>Unit Test: <a href="https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs">Github</a></p></li></ul></dd>
     
 
     
     <dt class="tag-source">Source:</dt>
     <dd class="tag-source"><ul class="dummy"><li>
-        <a href="calcOrders.mjs.html">calcOrders.mjs</a>, <a href="calcOrders.mjs.html#line69">line 69</a>
+        <a href="buildKLinesTpSl.mjs.html">buildKLinesTpSl.mjs</a>, <a href="buildKLinesTpSl.mjs.html#line72">line 72</a>
     </li></ul></dd>
     
 
@@ -197,7 +199,9 @@ long盈虧為uTrade*(priceEnd/priceStart)-uTrade-2<em>uFee，short盈虧為(pric
 
     <h5 class="h5-examples">Example</h5>
     
-    <pre class="prettyprint"><code>let arrOhlc = [
+    <pre class="prettyprint"><code>import fs from 'fs'
+
+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 },
@@ -206,40 +210,31 @@ long盈虧為uTrade*(priceEnd/priceStart)-uTrade-2<em>uFee，short盈虧為(pric
     { 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,
-}]
+//建立數據資料夾, fdOhlc放K線序列, fdParam放指標參數序列
+fs.mkdirSync('./data-ohlc', { recursive: true })
+fs.mkdirSync('./data-param', { recursive: true })
+fs.writeFileSync('./data-ohlc/btc.json', JSON.stringify(arrOhlc), 'utf8')
 
-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
-        // }
-    })</code></pre>
+let r = await buildKLinesTpSl('./data-ohlc', './data-param', './cache/kltpsl.json', {
+    keyOhlc: 'btc',
+    ts: '2020-01-01T00:00:00',
+    te: '2020-01-01T20:00:00',
+    tps: [5],
+    modes: ['long'],
+})
+console.log(r.meta)
+// => {
+//   keyOhlc: 'btc',
+//   ts: '2020-01-01T00:00:00',
+//   te: '2020-01-01T20:00:00',
+//   tps: [ 5 ],
+//   modes: [ 'long' ],
+//   nBars: 6
+// }
+console.log(r.bars['2020-01-01T00:00:00'])
+// => { close: 100, long_5: { win: 1, timeEnd: '2020-01-01T04:00:00' } }
+console.log(r.bars['2020-01-01T12:00:00'])
+// => { close: 95, long_5: { win: -1, timeEnd: null } }</code></pre>
 
 
 
@@ -273,13 +268,13 @@ calcOrders(arrOhlc, orders, { uIni: 1000 })
 
         <tr>
             
-                <td class="name"><code>arrOhlc</code></td>
+                <td class="name"><code>fdOhlc</code></td>
             
 
             <td class="type">
             
                 
-<span class="param-type">Array</span>
+<span class="param-type">String</span>
 
 
 
@@ -302,20 +297,20 @@ calcOrders(arrOhlc, orders, { uIni: 1000 })
                 </td>
             
 
-            <td class="description last"><p>輸入K線陣列，各元素需含time、High、Low欄位</p></td>
+            <td class="description last"><p>輸入儲存K線(ohlc)序列資料夾字串，各序列以<code>${key}.json</code>儲存</p></td>
         </tr>
 
     
 
         <tr>
             
-                <td class="name"><code>orders</code></td>
+                <td class="name"><code>fdParam</code></td>
             
 
             <td class="type">
             
                 
-<span class="param-type">Array</span>
+<span class="param-type">String</span>
 
 
 
@@ -338,7 +333,43 @@ calcOrders(arrOhlc, orders, { uIni: 1000 })
                 </td>
             
 
-            <td class="description last"><p>輸入下單陣列，各元素需含mode('long'或'short')、timeStart、priceStart、uTrade、priceTakeProfit、priceStopLoss、uFee欄位</p></td>
+            <td class="description last"><p>輸入儲存指標參數序列資料夾字串</p></td>
+        </tr>
+
+    
+
+        <tr>
+            
+                <td class="name"><code>fpJson</code></td>
+            
+
+            <td class="type">
+            
+                
+<span class="param-type">String</span>
+
+
+
+            
+            </td>
+
+            
+                <td class="attributes">
+                
+
+                
+
+                
+                </td>
+            
+
+            
+                <td class="default">
+                
+                </td>
+            
+
+            <td class="description last"><p>輸入輸出快取json檔案路徑字串，資料夾不存在時自動建立</p></td>
         </tr>
 
     
@@ -408,13 +439,121 @@ calcOrders(arrOhlc, orders, { uIni: 1000 })
 
         <tr>
             
-                <td class="name"><code>uIni</code></td>
+                <td class="name"><code>keyOhlc</code></td>
             
 
             <td class="type">
             
                 
-<span class="param-type">Number</span>
+<span class="param-type">String</span>
+
+
+
+            
+            </td>
+
+            
+                <td class="attributes">
+                
+
+                
+
+                
+                </td>
+            
+
+            
+                <td class="default">
+                
+                </td>
+            
+
+            <td class="description last"><p>輸入K線序列key字串</p></td>
+        </tr>
+
+    
+
+        <tr>
+            
+                <td class="name"><code>ts</code></td>
+            
+
+            <td class="type">
+            
+                
+<span class="param-type">String</span>
+
+
+
+            
+            </td>
+
+            
+                <td class="attributes">
+                
+
+                
+
+                
+                </td>
+            
+
+            
+                <td class="default">
+                
+                </td>
+            
+
+            <td class="description last"><p>輸入起始秒時間字串</p></td>
+        </tr>
+
+    
+
+        <tr>
+            
+                <td class="name"><code>te</code></td>
+            
+
+            <td class="type">
+            
+                
+<span class="param-type">String</span>
+
+
+
+            
+            </td>
+
+            
+                <td class="attributes">
+                
+
+                
+
+                
+                </td>
+            
+
+            
+                <td class="default">
+                
+                </td>
+            
+
+            <td class="description last"><p>輸入結束秒時間字串</p></td>
+        </tr>
+
+    
+
+        <tr>
+            
+                <td class="name"><code>tps</code></td>
+            
+
+            <td class="type">
+            
+                
+<span class="param-type">Array</span>
 
 
 
@@ -436,12 +575,52 @@ calcOrders(arrOhlc, orders, { uIni: 1000 })
             
                 <td class="default">
                 
-                    <code>1000</code>
+                    <code>[4,5,6,7,8,9,10]</code>
                 
                 </td>
             
 
-            <td class="description last"><p>輸入初始資金數字，預設1000</p></td>
+            <td class="description last"><p>輸入止盈止損百分比數值陣列，如5代表止盈與止損皆5%，預設[4,5,6,7,8,9,10]</p></td>
+        </tr>
+
+    
+
+        <tr>
+            
+                <td class="name"><code>modes</code></td>
+            
+
+            <td class="type">
+            
+                
+<span class="param-type">Array</span>
+
+
+
+            
+            </td>
+
+            
+                <td class="attributes">
+                
+                    &lt;optional><br>
+                
+
+                
+
+                
+                </td>
+            
+
+            
+                <td class="default">
+                
+                    <code>['long','short']</code>
+                
+                </td>
+            
+
+            <td class="description last"><p>輸入交易方向字串陣列，預設['long','short']</p></td>
         </tr>
 
     
@@ -474,7 +653,7 @@ calcOrders(arrOhlc, orders, { uIni: 1000 })
 
         
 <div class="param-desc">
-    <p>回傳Promise，resolve為結算後訂單陣列</p>
+    <p>回傳Promise，resolve為{meta,bars}物件，meta內含keyOhlc、ts、te、tps、modes與nBars(K線根數)，bars以進場時間為key，各值內含close與各<code>${mode}_${tpsl}</code>之{win,timeEnd}，並同步寫出至fpJson</p>
 </div>
 
 
@@ -501,7 +680,7 @@ calcOrders(arrOhlc, orders, { uIni: 1000 })
 
     
 
-    <h4 class="name" id="calcOrdersRatio"><span class="type-signature"></span>calcOrdersRatio<span class="signature">(ott, orders)</span><span class="type-signature"> &rarr; {Array}</span></h4>
+    <h4 class="name" id="calcOrders"><span class="type-signature type-signature-async">(async) </span>calcOrders<span class="signature">(arrOhlc, orders, opt<span class="signature-attributes">opt</span>)</span><span class="type-signature"> &rarr; {Promise}</span></h4>
 
     
 
@@ -511,16 +690,17 @@ calcOrders(arrOhlc, orders, { uIni: 1000 })
 <dl class="details">
     
     <dt class="tag-description">Description:</dt>
-    <dd class="tag-description"><ul class="dummy"><li><p>計算各已平倉訂單之持倉天數與等效日盈虧比例</p>
-<p>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</p>
+    <dd class="tag-description"><ul class="dummy"><li><p>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</p>
+<p>各單僅檢查time大於timeStart之K棒，long以Low&lt;=priceStopLoss先判止損、High&gt;=priceTakeProfit判止盈，short以High&gt;=priceStopLoss先判止損、Low&lt;=priceTakeProfit判止盈
+long盈虧為uTrade*(priceEnd/priceStart)-uTrade-2<em>uFee，short盈虧為(priceStart-priceEnd)</em>(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)</p>
 <p>Unit Test: <a href="https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs">Github</a></p></li></ul></dd>
     
 
     
     <dt class="tag-source">Source:</dt>
     <dd class="tag-source"><ul class="dummy"><li>
-        <a href="calcOrdersRatio.mjs.html">calcOrdersRatio.mjs</a>, <a href="calcOrdersRatio.mjs.html#line35">line 35</a>
+        <a href="calcOrders.mjs.html">calcOrders.mjs</a>, <a href="calcOrders.mjs.html#line69">line 69</a>
     </li></ul></dd>
     
 
@@ -567,9 +747,379 @@ modeResult非有效字串(未平倉)之訂單不計算</p>
 
     <h5 class="h5-examples">Example</h5>
     
-    <pre class="prettyprint"><code>let orders = calcOrdersRatio(ott, [{
-    modeResult: 'profit',
-    timeStart: '2020-01-01T20:00:00',
+    <pre class="prettyprint"><code>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
+        // }
+    })</code></pre>
+
+
+
+
+    <h5 class="h5-parameters">Parameters:</h5>
+    
+
+<table class="params">
+    <thead>
+    <tr>
+        
+        <th>Name</th>
+        
+
+        <th>Type</th>
+
+        
+        <th>Attributes</th>
+        
+
+        
+        <th>Default</th>
+        
+
+        <th class="last">Description</th>
+    </tr>
+    </thead>
+
+    <tbody>
+    
+
+        <tr>
+            
+                <td class="name"><code>arrOhlc</code></td>
+            
+
+            <td class="type">
+            
+                
+<span class="param-type">Array</span>
+
+
+
+            
+            </td>
+
+            
+                <td class="attributes">
+                
+
+                
+
+                
+                </td>
+            
+
+            
+                <td class="default">
+                
+                </td>
+            
+
+            <td class="description last"><p>輸入K線陣列，各元素需含time、High、Low欄位</p></td>
+        </tr>
+
+    
+
+        <tr>
+            
+                <td class="name"><code>orders</code></td>
+            
+
+            <td class="type">
+            
+                
+<span class="param-type">Array</span>
+
+
+
+            
+            </td>
+
+            
+                <td class="attributes">
+                
+
+                
+
+                
+                </td>
+            
+
+            
+                <td class="default">
+                
+                </td>
+            
+
+            <td class="description last"><p>輸入下單陣列，各元素需含mode('long'或'short')、timeStart、priceStart、uTrade、priceTakeProfit、priceStopLoss、uFee欄位</p></td>
+        </tr>
+
+    
+
+        <tr>
+            
+                <td class="name"><code>opt</code></td>
+            
+
+            <td class="type">
+            
+                
+<span class="param-type">Object</span>
+
+
+
+            
+            </td>
+
+            
+                <td class="attributes">
+                
+                    &lt;optional><br>
+                
+
+                
+
+                
+                </td>
+            
+
+            
+                <td class="default">
+                
+                    <code>{}</code>
+                
+                </td>
+            
+
+            <td class="description last"><p>輸入設定物件，預設{}</p>
+                <h6>Properties</h6>
+                
+
+<table class="params">
+    <thead>
+    <tr>
+        
+        <th>Name</th>
+        
+
+        <th>Type</th>
+
+        
+        <th>Attributes</th>
+        
+
+        
+        <th>Default</th>
+        
+
+        <th class="last">Description</th>
+    </tr>
+    </thead>
+
+    <tbody>
+    
+
+        <tr>
+            
+                <td class="name"><code>uIni</code></td>
+            
+
+            <td class="type">
+            
+                
+<span class="param-type">Number</span>
+
+
+
+            
+            </td>
+
+            
+                <td class="attributes">
+                
+                    &lt;optional><br>
+                
+
+                
+
+                
+                </td>
+            
+
+            
+                <td class="default">
+                
+                    <code>1000</code>
+                
+                </td>
+            
+
+            <td class="description last"><p>輸入初始資金數字，預設1000</p></td>
+        </tr>
+
+    
+    </tbody>
+</table>
+
+            </td>
+        </tr>
+
+    
+    </tbody>
+</table>
+
+
+
+
+
+
+
+
+
+
+
+
+
+
+
+
+<h5 class="h5-returns">Returns:</h5>
+
+        
+<div class="param-desc">
+    <p>回傳Promise，resolve為結算後訂單陣列</p>
+</div>
+
+
+
+<dl class="param-type">
+    <dt>
+        Type
+    </dt>
+    <dd>
+        
+<span class="param-type">Promise</span>
+
+
+
+    </dd>
+</dl>
+
+    
+
+
+
+        
+            
+
+    
+
+    <h4 class="name" id="calcOrdersRatio"><span class="type-signature"></span>calcOrdersRatio<span class="signature">(ott, orders)</span><span class="type-signature"> &rarr; {Array}</span></h4>
+
+    
+
+
+
+
+<dl class="details">
+    
+    <dt class="tag-description">Description:</dt>
+    <dd class="tag-description"><ul class="dummy"><li><p>計算各已平倉訂單之持倉天數與等效日盈虧比例</p>
+<p>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</p>
+<p>Unit Test: <a href="https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs">Github</a></p></li></ul></dd>
+    
+
+    
+    <dt class="tag-source">Source:</dt>
+    <dd class="tag-source"><ul class="dummy"><li>
+        <a href="calcOrdersRatio.mjs.html">calcOrdersRatio.mjs</a>, <a href="calcOrdersRatio.mjs.html#line35">line 35</a>
+    </li></ul></dd>
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+</dl>
+
+
+
+
+
+
+
+
+
+
+
+    <h5 class="h5-examples">Example</h5>
+    
+    <pre class="prettyprint"><code>let orders = calcOrdersRatio(ott, [{
+    modeResult: 'profit',
+    timeStart: '2020-01-01T20:00:00',
     timeEnd: '2020-01-03T04:00:00',
     rProfitOrLoss: 0.331,
 }])
@@ -1988,49 +2538,265 @@ let ordersSubmit = [{
     uFee: 0.05,
 }]
 
-await closeAndSummaryOrders(ott, './data-ohlc', './data-param', 1000, '2020-01-01T00:00:00', '2020-01-01T20:00:00', 'btc', ordersSubmit, './result')
-console.log(fs.readdirSync('./result'))
-// => [ 'orders.json', 'report.html', 'summary.json' ]</code></pre>
+await closeAndSummaryOrders(ott, './data-ohlc', './data-param', 1000, '2020-01-01T00:00:00', '2020-01-01T20:00:00', 'btc', ordersSubmit, './result')
+console.log(fs.readdirSync('./result'))
+// => [ 'orders.json', 'report.html', 'summary.json' ]</code></pre>
+
+
+
+
+    <h5 class="h5-parameters">Parameters:</h5>
+    
+
+<table class="params">
+    <thead>
+    <tr>
+        
+        <th>Name</th>
+        
+
+        <th>Type</th>
+
+        
+        <th>Attributes</th>
+        
+
+        
+        <th>Default</th>
+        
+
+        <th class="last">Description</th>
+    </tr>
+    </thead>
+
+    <tbody>
+    
+
+        <tr>
+            
+                <td class="name"><code>ott</code></td>
+            
+
+            <td class="type">
+            
+                
+<span class="param-type">function</span>
+
+
+
+            
+            </td>
+
+            
+                <td class="attributes">
+                
+
+                
+
+                
+                </td>
+            
+
+            
+                <td class="default">
+                
+                </td>
+            
+
+            <td class="description last"><p>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)</p></td>
+        </tr>
+
+    
+
+        <tr>
+            
+                <td class="name"><code>fdOhlc</code></td>
+            
+
+            <td class="type">
+            
+                
+<span class="param-type">String</span>
+
+
+
+            
+            </td>
+
+            
+                <td class="attributes">
+                
+
+                
+
+                
+                </td>
+            
+
+            
+                <td class="default">
+                
+                </td>
+            
+
+            <td class="description last"><p>輸入儲存K線(ohlc)序列資料夾字串，各序列以<code>${key}.json</code>儲存</p></td>
+        </tr>
+
+    
+
+        <tr>
+            
+                <td class="name"><code>fdParam</code></td>
+            
+
+            <td class="type">
+            
+                
+<span class="param-type">String</span>
+
+
+
+            
+            </td>
+
+            
+                <td class="attributes">
+                
+
+                
+
+                
+                </td>
+            
+
+            
+                <td class="default">
+                
+                </td>
+            
+
+            <td class="description last"><p>輸入儲存指標參數序列資料夾字串</p></td>
+        </tr>
+
+    
+
+        <tr>
+            
+                <td class="name"><code>uIni</code></td>
+            
+
+            <td class="type">
+            
+                
+<span class="param-type">Number</span>
+
+
+
+            
+            </td>
+
+            
+                <td class="attributes">
+                
+
+                
+
+                
+                </td>
+            
+
+            
+                <td class="default">
+                
+                </td>
+            
+
+            <td class="description last"><p>輸入初始資金正數</p></td>
+        </tr>
+
+    
+
+        <tr>
+            
+                <td class="name"><code>timeOhlcStart</code></td>
+            
+
+            <td class="type">
+            
+                
+<span class="param-type">String</span>
+
+
+
+            
+            </td>
+
+            
+                <td class="attributes">
+                
+
+                
+
+                
+                </td>
+            
+
+            
+                <td class="default">
+                
+                </td>
+            
+
+            <td class="description last"><p>輸入回測起始秒時間字串</p></td>
+        </tr>
+
+    
 
+        <tr>
+            
+                <td class="name"><code>timeOhlcEnd</code></td>
+            
 
+            <td class="type">
+            
+                
+<span class="param-type">String</span>
 
 
-    <h5 class="h5-parameters">Parameters:</h5>
-    
 
-<table class="params">
-    <thead>
-    <tr>
-        
-        <th>Name</th>
-        
+            
+            </td>
 
-        <th>Type</th>
+            
+                <td class="attributes">
+                
 
-        
-        <th>Attributes</th>
-        
+                
 
-        
-        <th>Default</th>
-        
+                
+                </td>
+            
 
-        <th class="last">Description</th>
-    </tr>
-    </thead>
+            
+                <td class="default">
+                
+                </td>
+            
+
+            <td class="description last"><p>輸入回測結束秒時間字串</p></td>
+        </tr>
 
-    <tbody>
     
 
         <tr>
             
-                <td class="name"><code>ott</code></td>
+                <td class="name"><code>keyOhlc</code></td>
             
 
             <td class="type">
             
                 
-<span class="param-type">function</span>
+<span class="param-type">String</span>
 
 
 
@@ -2053,20 +2819,20 @@ console.log(fs.readdirSync('./result'))
                 </td>
             
 
-            <td class="description last"><p>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)</p></td>
+            <td class="description last"><p>輸入K線序列key字串</p></td>
         </tr>
 
     
 
         <tr>
             
-                <td class="name"><code>fdOhlc</code></td>
+                <td class="name"><code>ordersSubmit</code></td>
             
 
             <td class="type">
             
                 
-<span class="param-type">String</span>
+<span class="param-type">Array</span>
 
 
 
@@ -2089,14 +2855,14 @@ console.log(fs.readdirSync('./result'))
                 </td>
             
 
-            <td class="description last"><p>輸入儲存K線(ohlc)序列資料夾字串，各序列以<code>${key}.json</code>儲存</p></td>
+            <td class="description last"><p>輸入下單陣列(格式同calcOrders之orders)</p></td>
         </tr>
 
     
 
         <tr>
             
-                <td class="name"><code>fdParam</code></td>
+                <td class="name"><code>fdTest</code></td>
             
 
             <td class="type">
@@ -2125,20 +2891,20 @@ console.log(fs.readdirSync('./result'))
                 </td>
             
 
-            <td class="description last"><p>輸入儲存指標參數序列資料夾字串</p></td>
+            <td class="description last"><p>輸入輸出結果資料夾字串</p></td>
         </tr>
 
     
 
         <tr>
             
-                <td class="name"><code>uIni</code></td>
+                <td class="name"><code>opt</code></td>
             
 
             <td class="type">
             
                 
-<span class="param-type">Number</span>
+<span class="param-type">Object</span>
 
 
 
@@ -2148,6 +2914,8 @@ console.log(fs.readdirSync('./result'))
             
                 <td class="attributes">
                 
+                    &lt;optional><br>
+                
 
                 
 
@@ -2158,23 +2926,48 @@ console.log(fs.readdirSync('./result'))
             
                 <td class="default">
                 
+                    <code>{}</code>
+                
                 </td>
             
 
-            <td class="description last"><p>輸入初始資金正數</p></td>
-        </tr>
+            <td class="description last"><p>輸入設定物件，預設{}</p>
+                <h6>Properties</h6>
+                
+
+<table class="params">
+    <thead>
+    <tr>
+        
+        <th>Name</th>
+        
+
+        <th>Type</th>
+
+        
+        <th>Attributes</th>
+        
+
+        
+        <th>Default</th>
+        
+
+        <th class="last">Description</th>
+    </tr>
+    </thead>
 
+    <tbody>
     
 
         <tr>
             
-                <td class="name"><code>timeOhlcStart</code></td>
+                <td class="name"><code>writeOrders</code></td>
             
 
             <td class="type">
             
                 
-<span class="param-type">String</span>
+<span class="param-type">Boolean</span>
 
 
 
@@ -2184,6 +2977,8 @@ console.log(fs.readdirSync('./result'))
             
                 <td class="attributes">
                 
+                    &lt;optional><br>
+                
 
                 
 
@@ -2194,23 +2989,25 @@ console.log(fs.readdirSync('./result'))
             
                 <td class="default">
                 
+                    <code>true</code>
+                
                 </td>
             
 
-            <td class="description last"><p>輸入回測起始秒時間字串</p></td>
+            <td class="description last"><p>輸入是否輸出orders.json布林值，預設true</p></td>
         </tr>
 
     
 
         <tr>
             
-                <td class="name"><code>timeOhlcEnd</code></td>
+                <td class="name"><code>writeSummary</code></td>
             
 
             <td class="type">
             
                 
-<span class="param-type">String</span>
+<span class="param-type">Boolean</span>
 
 
 
@@ -2220,6 +3017,8 @@ console.log(fs.readdirSync('./result'))
             
                 <td class="attributes">
                 
+                    &lt;optional><br>
+                
 
                 
 
@@ -2230,95 +3029,234 @@ console.log(fs.readdirSync('./result'))
             
                 <td class="default">
                 
+                    <code>true</code>
+                
                 </td>
             
 
-            <td class="description last"><p>輸入回測結束秒時間字串</p></td>
+            <td class="description last"><p>輸入是否輸出summary.json布林值，預設true</p></td>
         </tr>
 
     
 
         <tr>
             
-                <td class="name"><code>keyOhlc</code></td>
+                <td class="name"><code>writeReport</code></td>
             
 
             <td class="type">
             
                 
-<span class="param-type">String</span>
+<span class="param-type">Boolean</span>
+
+
+
+            
+            </td>
 
+            
+                <td class="attributes">
+                
+                    &lt;optional><br>
+                
+
+                
 
+                
+                </td>
+            
 
             
+                <td class="default">
+                
+                    <code>true</code>
+                
+                </td>
+            
+
+            <td class="description last"><p>輸入是否輸出report.html布林值，預設true</p></td>
+        </tr>
+
+    
+    </tbody>
+</table>
+
             </td>
+        </tr>
+
+    
+    </tbody>
+</table>
+
+
+
+
+
+
+
+
+
+
+
+
+
+
+
+
+<h5 class="h5-returns">Returns:</h5>
+
+        
+<div class="param-desc">
+    <p>回傳Promise，無resolve值，於fdTest輸出結果檔案</p>
+</div>
+
+
+
+<dl class="param-type">
+    <dt>
+        Type
+    </dt>
+    <dd>
+        
+<span class="param-type">Promise</span>
+
+
+
+    </dd>
+</dl>
+
+    
+
+
+
+        
+            
+
+    
+
+    <h4 class="name" id="genKLinesTpSl"><span class="type-signature"></span>genKLinesTpSl<span class="signature">(arrOhlc, opt<span class="signature-attributes">opt</span>)</span><span class="type-signature"> &rarr; {Object}</span></h4>
+
+    
+
+
+
+
+<dl class="details">
+    
+    <dt class="tag-description">Description:</dt>
+    <dd class="tag-description"><ul class="dummy"><li><p>計算各K線進場後之止盈止損先觸結果</p>
+<p>以各根K線收盤價為進場價，往後逐根K線掃描first-touch，long以Low&lt;=進場價*(1-sl)判止損、High&gt;=進場價*(1+tp)判止盈
+short以High&gt;=進場價*(1+sl)判止損、Low&lt;=進場價*(1-tp)判止盈，同根同時觸發時皆先判止損
+末根K線與掃描至序列末仍未觸發者視為未結，win為-1且pnl與hold為NaN</p>
+<p>Unit Test: <a href="https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs">Github</a></p></li></ul></dd>
+    
+
+    
+    <dt class="tag-source">Source:</dt>
+    <dd class="tag-source"><ul class="dummy"><li>
+        <a href="genKLinesTpSl.mjs.html">genKLinesTpSl.mjs</a>, <a href="genKLinesTpSl.mjs.html#line36">line 36</a>
+    </li></ul></dd>
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+</dl>
+
+
+
+
 
-            
-                <td class="attributes">
-                
 
-                
 
-                
-                </td>
-            
 
-            
-                <td class="default">
-                
-                </td>
-            
 
-            <td class="description last"><p>輸入K線序列key字串</p></td>
-        </tr>
 
+
+    <h5 class="h5-examples">Example</h5>
     
+    <pre class="prettyprint"><code>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 },
+]
 
-        <tr>
-            
-                <td class="name"><code>ordersSubmit</code></td>
-            
+let r = genKLinesTpSl(arrOhlc, { tp: 0.05, sl: 0.05, mode: 'long' })
+console.log(Array.from(r.win))
+// => [ 1, 0, 0, -1, 1, -1 ]
+console.log(Array.from(r.hold))
+// => [ 1, 2, 1, NaN, 1, NaN ]
+console.log(Array.from(r.pnl))
+// => [ 0.05, -0.05, -0.05, NaN, 0.05, NaN ]</code></pre>
 
-            <td class="type">
-            
-                
-<span class="param-type">Array</span>
 
 
 
-            
-            </td>
+    <h5 class="h5-parameters">Parameters:</h5>
+    
 
-            
-                <td class="attributes">
-                
+<table class="params">
+    <thead>
+    <tr>
+        
+        <th>Name</th>
+        
 
-                
+        <th>Type</th>
 
-                
-                </td>
-            
+        
+        <th>Attributes</th>
+        
 
-            
-                <td class="default">
-                
-                </td>
-            
+        
+        <th>Default</th>
+        
 
-            <td class="description last"><p>輸入下單陣列(格式同calcOrders之orders)</p></td>
-        </tr>
+        <th class="last">Description</th>
+    </tr>
+    </thead>
 
+    <tbody>
     
 
         <tr>
             
-                <td class="name"><code>fdTest</code></td>
+                <td class="name"><code>arrOhlc</code></td>
             
 
             <td class="type">
             
                 
-<span class="param-type">String</span>
+<span class="param-type">Array</span>
 
 
 
@@ -2341,7 +3279,7 @@ console.log(fs.readdirSync('./result'))
                 </td>
             
 
-            <td class="description last"><p>輸入輸出結果資料夾字串</p></td>
+            <td class="description last"><p>輸入K線陣列，各元素需含time(秒時間字串)、Close、High、Low欄位，且依時間由小至大排序</p></td>
         </tr>
 
     
@@ -2411,13 +3349,13 @@ console.log(fs.readdirSync('./result'))
 
         <tr>
             
-                <td class="name"><code>writeOrders</code></td>
+                <td class="name"><code>tp</code></td>
             
 
             <td class="type">
             
                 
-<span class="param-type">Boolean</span>
+<span class="param-type">Number</span>
 
 
 
@@ -2427,8 +3365,6 @@ console.log(fs.readdirSync('./result'))
             
                 <td class="attributes">
                 
-                    &lt;optional><br>
-                
 
                 
 
@@ -2439,25 +3375,23 @@ console.log(fs.readdirSync('./result'))
             
                 <td class="default">
                 
-                    <code>true</code>
-                
                 </td>
             
 
-            <td class="description last"><p>輸入是否輸出orders.json布林值，預設true</p></td>
+            <td class="description last"><p>輸入止盈比例正數，如0.05代表5%</p></td>
         </tr>
 
     
 
         <tr>
             
-                <td class="name"><code>writeSummary</code></td>
+                <td class="name"><code>sl</code></td>
             
 
             <td class="type">
             
                 
-<span class="param-type">Boolean</span>
+<span class="param-type">Number</span>
 
 
 
@@ -2467,8 +3401,6 @@ console.log(fs.readdirSync('./result'))
             
                 <td class="attributes">
                 
-                    &lt;optional><br>
-                
 
                 
 
@@ -2479,25 +3411,23 @@ console.log(fs.readdirSync('./result'))
             
                 <td class="default">
                 
-                    <code>true</code>
-                
                 </td>
             
 
-            <td class="description last"><p>輸入是否輸出summary.json布林值，預設true</p></td>
+            <td class="description last"><p>輸入止損比例正數，如0.05代表5%</p></td>
         </tr>
 
     
 
         <tr>
             
-                <td class="name"><code>writeReport</code></td>
+                <td class="name"><code>mode</code></td>
             
 
             <td class="type">
             
                 
-<span class="param-type">Boolean</span>
+<span class="param-type">String</span>
 
 
 
@@ -2519,12 +3449,12 @@ console.log(fs.readdirSync('./result'))
             
                 <td class="default">
                 
-                    <code>true</code>
+                    <code>'long'</code>
                 
                 </td>
             
 
-            <td class="description last"><p>輸入是否輸出report.html布林值，預設true</p></td>
+            <td class="description last"><p>輸入交易方向字串，可為'long'或'short'，預設'long'</p></td>
         </tr>
 
     
@@ -2557,7 +3487,7 @@ console.log(fs.readdirSync('./result'))
 
         
 <div class="param-desc">
-    <p>回傳Promise，無resolve值，於fdTest輸出結果檔案</p>
+    <p>回傳物件，內含time(時間字串陣列)、pnl(Float64Array，止盈為tp、止損為-sl、未結為NaN)、win(Int8Array，1為止盈先觸、0為止損先觸、-1為未結)、hold(Float64Array，出場K線與進場K線之位移根數，未結為NaN)欄位，各陣列長度同arrOhlc且index對應</p>
 </div>
 
 
@@ -2568,7 +3498,7 @@ console.log(fs.readdirSync('./result'))
     </dt>
     <dd>
         
-<span class="param-type">Promise</span>
+<span class="param-type">Object</span>
 
 
 
@@ -2604,7 +3534,7 @@ fpOrders非有效字串或非檔案、內容非有效陣列時throw</p>
     
     <dt class="tag-source">Source:</dt>
     <dd class="tag-source"><ul class="dummy"><li>
-        <a href="genReport.mjs.html">genReport.mjs</a>, <a href="genReport.mjs.html#line61">line 61</a>
+        <a href="genReport.mjs.html">genReport.mjs</a>, <a href="genReport.mjs.html#line68">line 68</a>
     </li></ul></dd>
     
 
@@ -3305,6 +4235,185 @@ genReportCore({ name: '示範策略', orders: rr.orders, summary: rr.summary },
 
     
 
+    <h4 class="name" id="loadKLinesTpSl"><span class="type-signature"></span>loadKLinesTpSl<span class="signature">(fpJson)</span><span class="type-signature"> &rarr; {Object}</span></h4>
+
+    
+
+
+
+
+<dl class="details">
+    
+    <dt class="tag-description">Description:</dt>
+    <dd class="tag-description"><ul class="dummy"><li><p>載入止盈止損先觸結果快取檔並提供訂單重建</p>
+<p>讀取buildKLinesTpSl產出之快取json，提供ordersFromBars依指定mode與tpsl組合與進場時間陣列重建訂單陣列
+重建訂單之盈虧與累計欄位公式逐欄對齊calcOrders，可直接餵入calcOrdersSummary或calcOrdersSummarySimple
+fpJson非有效字串或非檔案時throw</p>
+<p>Unit Test: <a href="https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs">Github</a></p></li></ul></dd>
+    
+
+    
+    <dt class="tag-source">Source:</dt>
+    <dd class="tag-source"><ul class="dummy"><li>
+        <a href="loadKLinesTpSl.mjs.html">loadKLinesTpSl.mjs</a>, <a href="loadKLinesTpSl.mjs.html#line36">line 36</a>
+    </li></ul></dd>
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+
+    
+</dl>
+
+
+
+
+
+
+
+
+
+
+
+    <h5 class="h5-examples">Example</h5>
+    
+    <pre class="prettyprint"><code>//fpJson為buildKLinesTpSl產出之快取檔
+let r = loadKLinesTpSl('./cache/kltpsl.json')
+console.log(r.meta.nBars)
+// => 6
+
+let orders = r.ordersFromBars('long', 5, ['2020-01-01T00:00:00', '2020-01-01T12:00:00'], { uTrade: 100, uIni: 1000 })
+console.log(orders.map((o) => `${o.timeStart} ${o.timeEnd || 'unsettled'} ${o.modeResult || '-'}`))
+// => [
+//   '2020-01-01T00:00:00 2020-01-01T04:00:00 profit',
+//   '2020-01-01T12:00:00 unsettled -'
+// ]
+console.log(orders[0].priceStart, orders[0].priceEnd, orders[0].uProfitOrLoss, orders[0].uEquity)
+// => 100 105 4.9 1004.9</code></pre>
+
+
+
+
+    <h5 class="h5-parameters">Parameters:</h5>
+    
+
+<table class="params">
+    <thead>
+    <tr>
+        
+        <th>Name</th>
+        
+
+        <th>Type</th>
+
+        
+
+        
+
+        <th class="last">Description</th>
+    </tr>
+    </thead>
+
+    <tbody>
+    
+
+        <tr>
+            
+                <td class="name"><code>fpJson</code></td>
+            
+
+            <td class="type">
+            
+                
+<span class="param-type">String</span>
+
+
+
+            
+            </td>
+
+            
+
+            
+
+            <td class="description last"><p>輸入buildKLinesTpSl產出之快取json檔案路徑字串</p></td>
+        </tr>
+
+    
+    </tbody>
+</table>
+
+
+
+
+
+
+
+
+
+
+
+
+
+
+
+
+<h5 class="h5-returns">Returns:</h5>
+
+        
+<div class="param-desc">
+    <p>回傳物件，內含meta(快取設定物件)、bars(以進場時間為key之結果物件)與ordersFromBars(mode, tpsl, entryTimes, opt)訂單重建函數，函數之opt可給uTrade(每單金額，預設1)、uIni(初始資金，預設1000)、rFee(手續費率，預設0.0005)、maxExitTime(出場時間大於等於此值之單視為未平倉，預設null)與skipSort(呼叫端保證entryTimes已升序時可省排序，預設false)，回傳訂單陣列，快取內查無之進場時間會被濾除，未結單各盈虧欄位留空</p>
+</div>
+
+
+
+<dl class="param-type">
+    <dt>
+        Type
+    </dt>
+    <dd>
+        
+<span class="param-type">Object</span>
+
+
+
+    </dd>
+</dl>
+
+    
+
+
+
+        
+            
+
+    
+
     <h4 class="name" id="runStrategies"><span class="type-signature type-signature-async">(async) </span>runStrategies<span class="signature">(ott, strategies, funGetSeries, opt<span class="signature-attributes">opt</span>)</span><span class="type-signature"> &rarr; {Promise}</span></h4>
 
     
@@ -4807,7 +5916,7 @@ console.log(r.summary.numTrade, r.summary.rWin, r.summary.uEquityFinal)
 <br class="clear">
 
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-    Documentation generated by <a href="https://github.com/jsdoc3/jsdoc">JSDoc 4.0.5</a> on Mon Aug 03 2026 10:26:54 GMT+0800 (台北標準時間) using the <a href="https://github.com/clenemt/docdash">docdash</a> theme.
+    Documentation generated by <a href="https://github.com/jsdoc3/jsdoc">JSDoc 4.0.5</a> on Tue Aug 04 2026 23:16:05 GMT+0800 (台北標準時間) using the <a href="https://github.com/clenemt/docdash">docdash</a> theme.
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