w-trade-backtest 1.0.4 → 1.0.6

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Files changed (47) hide show
  1. package/dist/w-trade-backtest.umd.js +2 -27
  2. package/dist/w-trade-backtest.umd.js.map +1 -1
  3. package/docs/buildKLinesTpSl.mjs.html +218 -0
  4. package/docs/calcOrders.mjs.html +2 -2
  5. package/docs/calcOrdersRatio.mjs.html +2 -2
  6. package/docs/calcOrdersSummary.mjs.html +2 -2
  7. package/docs/calcOrdersSummarySimple.mjs.html +2 -2
  8. package/docs/calcSummary.mjs.html +2 -2
  9. package/docs/closeAndSummaryOrders.mjs.html +7 -7
  10. package/docs/genKLinesTpSl.mjs.html +154 -0
  11. package/docs/genReport.mjs.html +34 -27
  12. package/docs/genReportCore.mjs.html +5 -5
  13. package/docs/global.html +1274 -165
  14. package/docs/index.html +2 -2
  15. package/docs/loadKLinesTpSl.mjs.html +189 -0
  16. package/docs/runStrategies.mjs.html +2 -2
  17. package/docs/runStrategiesAndBacktest.mjs.html +7 -7
  18. package/docs/runStrategy.mjs.html +2 -2
  19. package/package.json +2 -3
  20. package/src/WTradeBacktest.mjs +6 -0
  21. package/src/buildKLinesTpSl.mjs +146 -0
  22. package/src/closeAndSummaryOrders.mjs +5 -5
  23. package/src/genKLinesTpSl.mjs +82 -0
  24. package/src/genReport.mjs +32 -25
  25. package/src/genReportCore.mjs +3 -3
  26. package/src/loadKLinesTpSl.mjs +117 -0
  27. package/src/runStrategiesAndBacktest.mjs +5 -5
  28. package/test/unit-WTradeBacktest.test.mjs +23 -643
  29. package/test/unit-buildKLinesTpSl.test.mjs +98 -0
  30. package/test/unit-calcOrders.test.mjs +60 -0
  31. package/test/unit-calcOrdersRatio.test.mjs +39 -0
  32. package/test/unit-calcOrdersSummary.test.mjs +71 -0
  33. package/test/unit-calcOrdersSummarySimple.test.mjs +30 -0
  34. package/test/unit-calcSummary.test.mjs +30 -0
  35. package/test/unit-closeAndSummaryOrders.test.mjs +53 -0
  36. package/test/unit-genKLinesTpSl.test.mjs +46 -0
  37. package/test/unit-genReport.test.mjs +113 -0
  38. package/test/unit-genReportCore.test.mjs +39 -0
  39. package/test/unit-loadKLinesTpSl.test.mjs +158 -0
  40. package/test/unit-ott.test.mjs +20 -0
  41. package/test/unit-runStrategies.test.mjs +30 -0
  42. package/test/unit-runStrategiesAndBacktest.test.mjs +114 -0
  43. package/test/unit-runStrategy.test.mjs +53 -0
  44. package/test/unit-setup.mjs +120 -0
  45. package/src/readJson.mjs +0 -26
  46. package/src/writeJson.mjs +0 -31
  47. package/src/writeTxt.mjs +0 -19
package/docs/index.html CHANGED
@@ -29,7 +29,7 @@
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  <nav >
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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#runStrategiesAndBacktest">runStrategiesAndBacktest</a></li><li><a href="global.html#runStrategy">runStrategy</a></li></ul>
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+ <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>
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  </nav>
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@@ -71,7 +71,7 @@
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  <br class="clear">
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  <footer>
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- Documentation generated by <a href="https://github.com/jsdoc3/jsdoc">JSDoc 4.0.5</a> on Mon Aug 03 2026 10:26:55 GMT+0800 (台北標準時間) using the <a href="https://github.com/clenemt/docdash">docdash</a> theme.
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+ 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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  </footer>
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  <script>prettyPrint();</script>
package/docs/loadKLinesTpSl.mjs.html ADDED
@@ -0,0 +1,189 @@
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+ <!DOCTYPE html>
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+ <html lang="en">
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+ <head>
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+
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+ <meta charset="utf-8">
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+ <title>loadKLinesTpSl.mjs - Documentation</title>
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+
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+
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+ <script src="scripts/prettify/prettify.js"></script>
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+ <script src="scripts/prettify/lang-css.js"></script>
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+ <!--[if lt IE 9]>
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+ <script src="//html5shiv.googlecode.com/svn/trunk/html5.js"></script>
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+ <![endif]-->
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+ <link type="text/css" rel="stylesheet" href="styles/prettify.css">
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+ <link type="text/css" rel="stylesheet" href="styles/jsdoc.css">
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+ <script src="scripts/nav.js" defer></script>
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+
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+ <meta name="viewport" content="width=device-width, initial-scale=1.0">
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+ </head>
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+ <body>
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+
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+ <input type="checkbox" id="nav-trigger" class="nav-trigger" />
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+ <label for="nav-trigger" class="navicon-button x">
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+ <div class="navicon"></div>
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+ </label>
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+
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+ <label for="nav-trigger" class="overlay"></label>
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+
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+ <nav >
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+
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+
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+ <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>
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+
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+ </nav>
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+
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+ <div id="main">
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+
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+ <h1 class="page-title">loadKLinesTpSl.mjs</h1>
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+
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+
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+
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+
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+
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+
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+
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+ <section>
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+ <article>
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+ <pre class="prettyprint source linenums"><code>import path from 'path'
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+ import fs from 'fs'
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+ import dig from 'wsemi/src/dig.mjs'
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+ import isestr from 'wsemi/src/isestr.mjs'
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+ import fsIsFile from 'wsemi/src/fsIsFile.mjs'
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+
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+
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+ /**
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+ * 載入止盈止損先觸結果快取檔並提供訂單重建
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+ *
58
+ * 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
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+ * 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
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+ * fpJson非有效字串或非檔案時throw
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+ *
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+ * Unit Test: {@link https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs Github}
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+ * @function
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+ * @param {String} fpJson 輸入buildKLinesTpSl產出之快取json檔案路徑字串
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+ * @returns {Object} 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
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+ * @example
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+ *
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+ * //fpJson為buildKLinesTpSl產出之快取檔
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+ * let r = loadKLinesTpSl('./cache/kltpsl.json')
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+ * console.log(r.meta.nBars)
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+ * // => 6
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+ *
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+ * let orders = r.ordersFromBars('long', 5, ['2020-01-01T00:00:00', '2020-01-01T12:00:00'], { uTrade: 100, uIni: 1000 })
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+ * console.log(orders.map((o) => `${o.timeStart} ${o.timeEnd || 'unsettled'} ${o.modeResult || '-'}`))
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+ * // => [
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+ * // '2020-01-01T00:00:00 2020-01-01T04:00:00 profit',
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+ * // '2020-01-01T12:00:00 unsettled -'
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+ * // ]
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+ * console.log(orders[0].priceStart, orders[0].priceEnd, orders[0].uProfitOrLoss, orders[0].uEquity)
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+ * // => 100 105 4.9 1004.9
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+ *
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+ */
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+ let loadKLinesTpSl = (fpJson) => {
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+
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+ //check
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+ if (!isestr(fpJson)) {
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+ throw new Error(`invalid fpJson`)
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+ }
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+ if (!fsIsFile(fpJson)) {
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+ throw new Error(`fpJson[${fpJson}] is not a file`)
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+ }
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+
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+ let obj = JSON.parse(fs.readFileSync(path.resolve(fpJson), 'utf8'))
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+ let meta = obj.meta
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+ let bars = obj.bars
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+
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+ let ordersFromBars = (mode, tpsl, entryTimes, opt = {}) => {
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+ let { uTrade = 1, uIni = 1000, rFee = 0.0005, maxExitTime = null, skipSort = false } = opt
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+ let k = `${mode}_${tpsl}`
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+ let tpr = tpsl / 100
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+ let uFee = rFee * uTrade
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+
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+ //先建全部 order 物件(未結者欄位留空, 對齊 calcOrders 對未平倉單的處理)。
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+ // skipSort: 呼叫端保證 entryTimes 已升序時省 [...].sort()(熱路徑省數千筆複製+排序); 預設 false 維持原行為。
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+ let ets = skipSort ? entryTimes : [...entryTimes].sort()
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+ let orders = ets.filter((t) => bars[t]).map((t) => {
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+ let c0 = bars[t].close
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+ return {
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+ mode,
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+ timeStart: t,
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+ priceStart: c0,
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+ uTrade,
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+ rTakeProfit: tpr,
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+ priceTakeProfit: mode === 'long' ? (1 + tpr) * c0 : (1 - tpr) * c0,
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+ rStopLoss: tpr,
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+ priceStopLoss: mode === 'long' ? (1 - tpr) * c0 : (1 + tpr) * c0,
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+ timeEnd: '',
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+ priceEnd: '',
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+ modeResult: '',
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+ rFee,
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+ uFee,
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+ uProfitOrLoss: '',
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+ rProfitOrLoss: '',
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+ uCumuProfitOrLoss: '',
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+ rCumuProfitOrLoss: '',
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+ uEquity: '',
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+ uTradeAll: '',
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+ rTradeAll: '',
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+ }
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+ })
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+
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+ //填已結單(公式對齊 d04 calcOrders)
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+ let uEquity = uIni
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+ let uCumu = 0
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+ for (let o of orders) {
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+ let r = bars[o.timeStart][k]
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+ if (!r || r.win &lt; 0 || !r.timeEnd) {
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+ continue //未結 → 留空(計入 numTrade, 不計入已結績效)
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+ }
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+ if (maxExitTime &amp;&amp; r.timeEnd >= maxExitTime) {
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+ continue //區段內尚未觸 → 留未平倉
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+ }
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+ o.timeEnd = r.timeEnd
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+ o.priceEnd = r.win === 1 ? o.priceTakeProfit : o.priceStopLoss
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+ o.uProfitOrLoss = o.mode === 'long'
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+ ? o.uTrade * (o.priceEnd / o.priceStart) - o.uTrade - 2 * o.uFee
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+ : (o.priceStart - o.priceEnd) * (o.uTrade / o.priceStart) - 2 * o.uFee
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+ o.rProfitOrLoss = o.uProfitOrLoss / o.uTrade
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+ uCumu += o.uProfitOrLoss
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+ o.uCumuProfitOrLoss = uCumu
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+ o.rCumuProfitOrLoss = dig((o.uCumuProfitOrLoss / uIni) * 100, 2) + '%'
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+ uEquity += o.uProfitOrLoss
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+ o.uEquity = uEquity
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+ o.modeResult = o.uProfitOrLoss &lt; 0 ? 'loss' : 'profit'
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+ }
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+
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+ return orders
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+ }
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+
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+ return { meta, bars, ordersFromBars }
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+ }
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+
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+
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+ export default loadKLinesTpSl
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+ </code></pre>
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+ </article>
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+ </section>
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+ </div>
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+ <br class="clear">
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+
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+ <footer>
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+ 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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+ </footer>
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+
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+ <script>prettyPrint();</script>
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+ <script src="scripts/polyfill.js"></script>
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+ <script src="scripts/linenumber.js"></script>
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+
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+
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+ </body>
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+ </html>
package/docs/runStrategies.mjs.html CHANGED
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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#runStrategiesAndBacktest">runStrategiesAndBacktest</a></li><li><a href="global.html#runStrategy">runStrategy</a></li></ul>
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+ <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>
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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.
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+ 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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package/docs/runStrategiesAndBacktest.mjs.html CHANGED
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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#runStrategiesAndBacktest">runStrategiesAndBacktest</a></li><li><a href="global.html#runStrategy">runStrategy</a></li></ul>
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+ <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>
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  import size from 'lodash-es/size.js'
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  import isearr from 'wsemi/src/isearr.mjs'
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  import fsIsFolder from 'wsemi/src/fsIsFolder.mjs'
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+ import fsWriteJson from 'wsemi/src/fsWriteJson.mjs'
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  import WDataTdprovide from 'w-data-tdprovide/src/WDataTdprovide.mjs'
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  import runStrategies from './runStrategies.mjs'
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- import writeJson from './writeJson.mjs'
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  /**
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  //fpOrders
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154
  let fpOrders = path.resolve(fdTest, fnOrders)
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155
 
156
- //writeJson
157
- writeJson(fpOrders, r.orders, { structured: true })
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+ //fsWriteJson
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+ fsWriteJson(fpOrders, r.orders, { useFormat: true })
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159
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  }
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  }
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174
  // console.log('stsm', stsm)
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176
- //writeJson
177
- writeJson(fpSummary, stsm, { structured: true })
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+ //fsWriteJson
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+ fsWriteJson(fpSummary, stsm, { useFormat: true })
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179
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  console.log('summary', r.summary, size(r.orders))
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  }
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  <br class="clear">
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  <footer>
214
- 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.
214
+ 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.
215
215
  </footer>
216
216
 
217
217
  <script>prettyPrint();</script>
package/docs/runStrategy.mjs.html CHANGED
@@ -29,7 +29,7 @@
29
29
  <nav >
30
30
 
31
31
 
32
- <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>
32
+ <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>
33
33
 
34
34
  </nav>
35
35
 
@@ -442,7 +442,7 @@ export default runStrategy
442
442
  <br class="clear">
443
443
 
444
444
  <footer>
445
- 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.
445
+ 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.
446
446
  </footer>
447
447
 
448
448
  <script>prettyPrint();</script>
package/package.json CHANGED
@@ -1,11 +1,10 @@
1
1
  {
2
2
  "name": "w-trade-backtest",
3
- "version": "1.0.4",
3
+ "version": "1.0.6",
4
4
  "main": "dist/w-trade-backtest.umd.js",
5
5
  "dependencies": {
6
- "dayjs": "^1.11.21",
7
6
  "lodash-es": "^4.18.1",
8
- "w-data-tdprovide": "^1.0.3",
7
+ "w-data-tdprovide": "^1.0.4",
9
8
  "wsemi": "^1.8.67"
10
9
  },
11
10
  "devDependencies": {
package/src/WTradeBacktest.mjs CHANGED
@@ -9,6 +9,9 @@ import calcSummary from './calcSummary.mjs'
9
9
  import closeAndSummaryOrders from './closeAndSummaryOrders.mjs'
10
10
  import genReport from './genReport.mjs'
11
11
  import genReportCore from './genReportCore.mjs'
12
+ import genKLinesTpSl from './genKLinesTpSl.mjs'
13
+ import buildKLinesTpSl from './buildKLinesTpSl.mjs'
14
+ import loadKLinesTpSl from './loadKLinesTpSl.mjs'
12
15
 
13
16
 
14
17
  let r = {
@@ -23,6 +26,9 @@ let r = {
23
26
  closeAndSummaryOrders,
24
27
  genReport,
25
28
  genReportCore,
29
+ genKLinesTpSl,
30
+ buildKLinesTpSl,
31
+ loadKLinesTpSl,
26
32
  }
27
33
 
28
34
 
package/src/buildKLinesTpSl.mjs ADDED
@@ -0,0 +1,146 @@
1
+ import path from 'path'
2
+ import fs from 'fs'
3
+ import isestr from 'wsemi/src/isestr.mjs'
4
+ import istime from 'wsemi/src/istime.mjs'
5
+ import fsIsFolder from 'wsemi/src/fsIsFolder.mjs'
6
+ import fsCreateFolder from 'wsemi/src/fsCreateFolder.mjs'
7
+ import WDataTdprovide from 'w-data-tdprovide/src/WDataTdprovide.mjs'
8
+ import genKLinesTpSl from './genKLinesTpSl.mjs'
9
+
10
+
11
+ /**
12
+ * 建置各K線與各止盈止損組合之先觸結果快取檔
13
+ *
14
+ * 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
15
+ * 各組合以`${mode}_${tpsl}`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)
16
+ * 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
17
+ * 僅存win、timeEnd與各根close，盈虧由下游loadKLinesTpSl之ordersFromBars以close與手續費重算
18
+ * 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
19
+ *
20
+ * Unit Test: {@link https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs Github}
21
+ * @function
22
+ * @param {String} fdOhlc 輸入儲存K線(ohlc)序列資料夾字串，各序列以`${key}.json`儲存
23
+ * @param {String} fdParam 輸入儲存指標參數序列資料夾字串
24
+ * @param {String} fpJson 輸入輸出快取json檔案路徑字串，資料夾不存在時自動建立
25
+ * @param {Object} [opt={}] 輸入設定物件，預設{}
26
+ * @param {String} opt.keyOhlc 輸入K線序列key字串
27
+ * @param {String} opt.ts 輸入起始秒時間字串
28
+ * @param {String} opt.te 輸入結束秒時間字串
29
+ * @param {Array} [opt.tps=[4,5,6,7,8,9,10]] 輸入止盈止損百分比數值陣列，如5代表止盈與止損皆5%，預設[4,5,6,7,8,9,10]
30
+ * @param {Array} [opt.modes=['long','short']] 輸入交易方向字串陣列，預設['long','short']
31
+ * @returns {Promise} 回傳Promise，resolve為{meta,bars}物件，meta內含keyOhlc、ts、te、tps、modes與nBars(K線根數)，bars以進場時間為key，各值內含close與各`${mode}_${tpsl}`之{win,timeEnd}，並同步寫出至fpJson
32
+ * @example
33
+ *
34
+ * import fs from 'fs'
35
+ *
36
+ * let arrOhlc = [
37
+ * { time: '2020-01-01T00:00:00', Open: 100, High: 101, Low: 99, Close: 100 },
38
+ * { time: '2020-01-01T04:00:00', Open: 100, High: 106, Low: 100, Close: 105 },
39
+ * { time: '2020-01-01T08:00:00', Open: 105, High: 107, Low: 102, Close: 103 },
40
+ * { time: '2020-01-01T12:00:00', Open: 103, High: 104, Low: 94, Close: 95 },
41
+ * { time: '2020-01-01T16:00:00', Open: 95, High: 98, Low: 92, Close: 93 },
42
+ * { time: '2020-01-01T20:00:00', Open: 93, High: 99, Low: 95, Close: 97 },
43
+ * ]
44
+ *
45
+ * //建立數據資料夾, fdOhlc放K線序列, fdParam放指標參數序列
46
+ * fs.mkdirSync('./data-ohlc', { recursive: true })
47
+ * fs.mkdirSync('./data-param', { recursive: true })
48
+ * fs.writeFileSync('./data-ohlc/btc.json', JSON.stringify(arrOhlc), 'utf8')
49
+ *
50
+ * let r = await buildKLinesTpSl('./data-ohlc', './data-param', './cache/kltpsl.json', {
51
+ * keyOhlc: 'btc',
52
+ * ts: '2020-01-01T00:00:00',
53
+ * te: '2020-01-01T20:00:00',
54
+ * tps: [5],
55
+ * modes: ['long'],
56
+ * })
57
+ * console.log(r.meta)
58
+ * // => {
59
+ * // keyOhlc: 'btc',
60
+ * // ts: '2020-01-01T00:00:00',
61
+ * // te: '2020-01-01T20:00:00',
62
+ * // tps: [ 5 ],
63
+ * // modes: [ 'long' ],
64
+ * // nBars: 6
65
+ * // }
66
+ * console.log(r.bars['2020-01-01T00:00:00'])
67
+ * // => { close: 100, long_5: { win: 1, timeEnd: '2020-01-01T04:00:00' } }
68
+ * console.log(r.bars['2020-01-01T12:00:00'])
69
+ * // => { close: 95, long_5: { win: -1, timeEnd: null } }
70
+ *
71
+ */
72
+ let buildKLinesTpSl = async (fdOhlc, fdParam, fpJson, opt = {}) => {
73
+ //一次性全建(訓練區間固定, 不需增量); 若日後要增量延長: 已結entry不動、未結entry用新OHLC重掃、新棒加key即可
74
+
75
+ //check
76
+ if (!fsIsFolder(fdOhlc)) {
77
+ throw new Error(`fdOhlc[${fdOhlc}] is not a folder`)
78
+ }
79
+ if (!fsIsFolder(fdParam)) {
80
+ throw new Error(`fdParam[${fdParam}] is not a folder`)
81
+ }
82
+ if (!isestr(fpJson)) {
83
+ throw new Error(`invalid fpJson`)
84
+ }
85
+
86
+ let provideData = WDataTdprovide(fdOhlc, fdParam) //數據資料夾由呼叫端顯式指定
87
+
88
+ let {
89
+ keyOhlc,
90
+ ts,
91
+ te,
92
+ tps = [4, 5, 6, 7, 8, 9, 10],
93
+ modes = ['long', 'short'],
94
+ } = opt
95
+
96
+ //check
97
+ if (!isestr(keyOhlc)) {
98
+ throw new Error(`invalid opt.keyOhlc`)
99
+ }
100
+ if (!istime(ts)) {
101
+ throw new Error(`invalid opt.ts`)
102
+ }
103
+ if (!istime(te)) {
104
+ throw new Error(`invalid opt.te`)
105
+ }
106
+
107
+ //OHLC(訓練區間)
108
+ let arrOhlc = await provideData.getTimeSeriesByTimeRange(keyOhlc, ts, te)
109
+ let n = arrOhlc.length
110
+ let time = arrOhlc.map((r) => r.time)
111
+
112
+ //每根 close(各 mode_tpsl 共用)
113
+ let bars = {}
114
+ for (let i = 0; i < n; i++) {
115
+ bars[time[i]] = { close: arrOhlc[i].Close }
116
+ }
117
+
118
+ //各 (mode, tpsl) 跑 first-touch → 填 { win, timeEnd }
119
+ for (let mode of modes) {
120
+ for (let tpsl of tps) {
121
+ let { win, hold } = genKLinesTpSl(arrOhlc, { tp: tpsl / 100, sl: tpsl / 100, mode })
122
+ let k = `${mode}_${tpsl}`
123
+ for (let i = 0; i < n; i++) {
124
+ let wn = win[i]
125
+ let timeEnd = (wn >= 0 && Number.isFinite(hold[i])) ? time[i + hold[i]] : null
126
+ bars[time[i]][k] = { win: wn, timeEnd }
127
+ }
128
+ }
129
+ }
130
+
131
+ //out
132
+ let out = { meta: { keyOhlc, ts, te, tps, modes, nBars: n }, bars }
133
+
134
+ //寫檔
135
+ let jp = path.resolve(fpJson)
136
+ let fd = path.dirname(jp)
137
+ if (!fsIsFolder(fd)) {
138
+ fsCreateFolder(fd)
139
+ }
140
+ fs.writeFileSync(jp, JSON.stringify(out))
141
+
142
+ return out
143
+ }
144
+
145
+
146
+ export default buildKLinesTpSl
package/src/closeAndSummaryOrders.mjs CHANGED
@@ -6,8 +6,8 @@ import isestr from 'wsemi/src/isestr.mjs'
6
6
  import isarr from 'wsemi/src/isarr.mjs'
7
7
  import cint from 'wsemi/src/cint.mjs'
8
8
  import fsIsFolder from 'wsemi/src/fsIsFolder.mjs'
9
+ import fsWriteJson from 'wsemi/src/fsWriteJson.mjs'
9
10
  import WDataTdprovide from 'w-data-tdprovide/src/WDataTdprovide.mjs'
10
- import writeJson from './writeJson.mjs'
11
11
  import calcOrders from './calcOrders.mjs'
12
12
  import calcSummary from './calcSummary.mjs'
13
13
  import genReportCore from './genReportCore.mjs'
@@ -148,8 +148,8 @@ let closeAndSummaryOrders = async (ott, fdOhlc, fdParam, uIni, timeOhlcStart, ti
148
148
  //fpOrders
149
149
  let fpOrders = path.resolve(fdTest, fnOrders)
150
150
 
151
- //writeJson
152
- writeJson(fpOrders, r.orders, { structured: true })
151
+ //fsWriteJson
152
+ fsWriteJson(fpOrders, r.orders, { useFormat: true })
153
153
 
154
154
  }
155
155
 
@@ -168,8 +168,8 @@ let closeAndSummaryOrders = async (ott, fdOhlc, fdParam, uIni, timeOhlcStart, ti
168
168
  }
169
169
  // console.log('stsm', stsm)
170
170
 
171
- //writeJson
172
- writeJson(fpSummary, stsm, { structured: true })
171
+ //fsWriteJson
172
+ fsWriteJson(fpSummary, stsm, { useFormat: true })
173
173
 
174
174
  console.log('summary', r.summary, size(r.orders))
175
175
  }
package/src/genKLinesTpSl.mjs ADDED
@@ -0,0 +1,82 @@
1
+ /**
2
+ * 計算各K線進場後之止盈止損先觸結果
3
+ *
4
+ * 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<=進場價*(1-sl)判止損、High>=進場價*(1+tp)判止盈
5
+ * short以High>=進場價*(1+sl)判止損、Low<=進場價*(1-tp)判止盈，同根同時觸發時皆先判止損
6
+ * 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
7
+ *
8
+ * Unit Test: {@link https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs Github}
9
+ * @function
10
+ * @param {Array} arrOhlc 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
11
+ * @param {Object} [opt={}] 輸入設定物件，預設{}
12
+ * @param {Number} opt.tp 輸入止盈比例正數，如0.05代表5%
13
+ * @param {Number} opt.sl 輸入止損比例正數，如0.05代表5%
14
+ * @param {String} [opt.mode='long'] 輸入交易方向字串，可為'long'或'short'，預設'long'
15
+ * @returns {Object} 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
16
+ * @example
17
+ *
18
+ * let arrOhlc = [
19
+ * { time: '2020-01-01T00:00:00', Open: 100, High: 101, Low: 99, Close: 100 },
20
+ * { time: '2020-01-01T04:00:00', Open: 100, High: 106, Low: 100, Close: 105 },
21
+ * { time: '2020-01-01T08:00:00', Open: 105, High: 107, Low: 102, Close: 103 },
22
+ * { time: '2020-01-01T12:00:00', Open: 103, High: 104, Low: 94, Close: 95 },
23
+ * { time: '2020-01-01T16:00:00', Open: 95, High: 98, Low: 92, Close: 93 },
24
+ * { time: '2020-01-01T20:00:00', Open: 93, High: 99, Low: 95, Close: 97 },
25
+ * ]
26
+ *
27
+ * let r = genKLinesTpSl(arrOhlc, { tp: 0.05, sl: 0.05, mode: 'long' })
28
+ * console.log(Array.from(r.win))
29
+ * // => [ 1, 0, 0, -1, 1, -1 ]
30
+ * console.log(Array.from(r.hold))
31
+ * // => [ 1, 2, 1, NaN, 1, NaN ]
32
+ * console.log(Array.from(r.pnl))
33
+ * // => [ 0.05, -0.05, -0.05, NaN, 0.05, NaN ]
34
+ *
35
+ */
36
+ let genKLinesTpSl = (arrOhlc, opt = {}) => {
37
+
38
+ let tp = opt.tp; let sl = opt.sl; let mode = opt.mode || 'long'
39
+ if (!(tp > 0) || !(sl > 0)) throw new Error(`genKLinesTpSl: invalid tp[${tp}] / sl[${sl}]`)
40
+
41
+ let n = arrOhlc.length
42
+ let time = new Array(n)
43
+ let C = new Float64Array(n); let H = new Float64Array(n); let L = new Float64Array(n)
44
+ for (let i = 0; i < n; i++) {
45
+ let r = arrOhlc[i]; time[i] = r.time; C[i] = r.Close; H[i] = r.High; L[i] = r.Low
46
+ }
47
+
48
+ let pnl = new Float64Array(n).fill(NaN)
49
+ let win = new Int8Array(n).fill(-1)
50
+ let hold = new Float64Array(n).fill(NaN)
51
+
52
+ for (let i = 0; i < n - 1; i++) {
53
+ let e = C[i]; if (!(e > 0)) continue
54
+ let up = e * (1 + tp); let dn = e * (1 - sl) //長: up=止盈線, dn=止損線
55
+ for (let j = i + 1; j < n; j++) {
56
+ if (mode === 'long') {
57
+ //長: 跌破 dn (SL) 或 漲到 up (TP); 同根同觸 → 先判 SL
58
+ if (L[j] <= dn) {
59
+ pnl[i] = -sl; win[i] = 0; hold[i] = j - i; break
60
+ }
61
+ if (H[j] >= up) {
62
+ pnl[i] = tp; win[i] = 1; hold[i] = j - i; break
63
+ }
64
+ }
65
+ else {
66
+ //空: 漲到 e*(1+sl) (SL) 或 跌到 e*(1-tp) (TP); 同根同觸 → 先判 SL
67
+ let upS = e * (1 + sl); let dnS = e * (1 - tp)
68
+ if (H[j] >= upS) {
69
+ pnl[i] = -sl; win[i] = 0; hold[i] = j - i; break
70
+ }
71
+ if (L[j] <= dnS) {
72
+ pnl[i] = tp; win[i] = 1; hold[i] = j - i; break
73
+ }
74
+ }
75
+ }
76
+ }
77
+
78
+ return { time, pnl, win, hold }
79
+ }
80
+
81
+
82
+ export default genKLinesTpSl