w-trade-backtest 1.0.4 → 1.0.6

package/src/genReport.mjs

@@ -1,10 +1,17 @@
 import path from 'path'
-import _ from 'lodash-es'
-import w from 'wsemi'
+import find from 'lodash-es/find.js'
+import get from 'lodash-es/get.js'
+import map from 'lodash-es/map.js'
+import max from 'lodash-es/max.js'
+import min from 'lodash-es/min.js'
+import isearr from 'wsemi/src/isearr.mjs'
+import isestr from 'wsemi/src/isestr.mjs'
+import isnum from 'wsemi/src/isnum.mjs'
+import fsIsFile from 'wsemi/src/fsIsFile.mjs'
+import fsReadJson from 'wsemi/src/fsReadJson.mjs'
+import fsWriteJson from 'wsemi/src/fsWriteJson.mjs'
 import calcSummary from './calcSummary.mjs'
 import genReportCore from './genReportCore.mjs'
-import readJson from './readJson.mjs'
-import writeJson from './writeJson.mjs'
 
 
 /**
@@ -61,57 +68,57 @@ import writeJson from './writeJson.mjs'
 let genReport = async (ott, fpOrders, opt = {}) => {
 
     //check
-    if (!w.isestr(fpOrders)) {
+    if (!isestr(fpOrders)) {
         throw new Error(`invalid fpOrders`)
     }
-    if (!w.fsIsFile(fpOrders)) {
+    if (!fsIsFile(fpOrders)) {
         throw new Error(`fpOrders[${fpOrders}] is not a file`)
     }
 
-    //orders
-    let orders = readJson(fpOrders)
-    if (!w.isearr(orders)) {
+    //orders, fsReadJson回傳{success}或{error}, 讀取或解析失敗時取不到success
+    let orders = get(fsReadJson(fpOrders), 'success', null)
+    if (!isearr(orders)) {
         throw new Error(`orders in fpOrders[${fpOrders}] is not an effective array`)
     }
 
     //fpOut
-    let fpOut = _.get(opt, 'fpOut', '')
-    if (!w.isestr(fpOut)) {
+    let fpOut = get(opt, 'fpOut', '')
+    if (!isestr(fpOut)) {
         fpOut = path.resolve(path.dirname(fpOrders), 'report.html')
     }
 
     //name
-    let name = _.get(opt, 'name', '')
-    if (!w.isestr(name)) {
+    let name = get(opt, 'name', '')
+    if (!isestr(name)) {
         name = path.basename(path.dirname(path.resolve(fpOrders)))
     }
 
     //uIni, 未給則由首筆已結算單推回(calcOrders 定義 uEquity = uIni + uCumuProfitOrLoss)
-    let uIni = _.get(opt, 'uIni', null)
-    if (!w.isnum(uIni)) {
-        let o = _.find(orders, (o) => w.isnum(o.uEquity) && w.isnum(o.uCumuProfitOrLoss))
+    let uIni = get(opt, 'uIni', null)
+    if (!isnum(uIni)) {
+        let o = find(orders, (o) => isnum(o.uEquity) && isnum(o.uCumuProfitOrLoss))
         uIni = o ? o.uEquity - o.uCumuProfitOrLoss : 1000
     }
 
     //timeOhlcStart, timeOhlcEnd, 未給則由訂單起訖推得
-    let timeOhlcStart = _.get(opt, 'timeOhlcStart', '')
-    if (!w.isestr(timeOhlcStart)) {
-        timeOhlcStart = _.min(_.map(orders, 'timeStart'))
+    let timeOhlcStart = get(opt, 'timeOhlcStart', '')
+    if (!isestr(timeOhlcStart)) {
+        timeOhlcStart = min(map(orders, 'timeStart'))
     }
-    let timeOhlcEnd = _.get(opt, 'timeOhlcEnd', '')
-    if (!w.isestr(timeOhlcEnd)) {
-        timeOhlcEnd = _.max(_.map(orders, (o) => w.isestr(o.timeEnd) ? o.timeEnd : o.timeStart))
+    let timeOhlcEnd = get(opt, 'timeOhlcEnd', '')
+    if (!isestr(timeOhlcEnd)) {
+        timeOhlcEnd = max(map(orders, (o) => isestr(o.timeEnd) ? o.timeEnd : o.timeStart))
     }
 
     //withWriteSummary
-    let withWriteSummary = _.get(opt, 'withWriteSummary', false)
+    let withWriteSummary = get(opt, 'withWriteSummary', false)
 
     //calcSummary
     let summary = await calcSummary(ott, uIni, orders, timeOhlcStart, timeOhlcEnd)
 
-    //writeJson
+    //fsWriteJson
     if (withWriteSummary) {
-        writeJson(path.resolve(path.dirname(fpOut), 'summary.json'), { name, summary }, { structured: true })
+        fsWriteJson(path.resolve(path.dirname(fpOut), 'summary.json'), { name, summary }, { useFormat: true })
     }
 
     //genReportCore

package/src/genReportCore.mjs

@@ -1,7 +1,7 @@
 import path from 'path'
 import fs from 'fs'
 import { fileURLToPath } from 'url'
-import writeTxt from './writeTxt.mjs'
+import fsWriteText from 'wsemi/src/fsWriteText.mjs'
 
 
 //模板資產(tmp.html, render*.js)與本模組同資料夾, 以模組位置解析, 不依賴 cwd
@@ -47,8 +47,8 @@ let genReportCore = (r, fpOut) => {
     h = h.replace(`{orders}`, JSON.stringify(r.orders))
     h = h.replace(`{summary}`, JSON.stringify(r.summary))
 
-    //writeTxt
-    writeTxt(fpOut, h)
+    //fsWriteText
+    fsWriteText(fpOut, h)
 
 }
 

package/src/loadKLinesTpSl.mjs

@@ -0,0 +1,117 @@
+import path from 'path'
+import fs from 'fs'
+import dig from 'wsemi/src/dig.mjs'
+import isestr from 'wsemi/src/isestr.mjs'
+import fsIsFile from 'wsemi/src/fsIsFile.mjs'
+
+
+/**
+ * 載入止盈止損先觸結果快取檔並提供訂單重建
+ *
+ * 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
+ *
+ * Unit Test: {@link https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs Github}
+ * @function
+ * @param {String} fpJson 輸入buildKLinesTpSl產出之快取json檔案路徑字串
+ * @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
+ * @example
+ *
+ * //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'} ${o.modeResult || '-'}`))
+ * // => [
+ * //   '2020-01-01T00:00:00 2020-01-01T04:00:00 profit',
+ * //   '2020-01-01T12:00:00 unsettled -'
+ * // ]
+ * console.log(orders[0].priceStart, orders[0].priceEnd, orders[0].uProfitOrLoss, orders[0].uEquity)
+ * // => 100 105 4.9 1004.9
+ *
+ */
+let loadKLinesTpSl = (fpJson) => {
+
+    //check
+    if (!isestr(fpJson)) {
+        throw new Error(`invalid fpJson`)
+    }
+    if (!fsIsFile(fpJson)) {
+        throw new Error(`fpJson[${fpJson}] is not a file`)
+    }
+
+    let obj = JSON.parse(fs.readFileSync(path.resolve(fpJson), 'utf8'))
+    let meta = obj.meta
+    let bars = obj.bars
+
+    let ordersFromBars = (mode, tpsl, entryTimes, opt = {}) => {
+        let { uTrade = 1, uIni = 1000, rFee = 0.0005, maxExitTime = null, skipSort = false } = opt
+        let k = `${mode}_${tpsl}`
+        let tpr = tpsl / 100
+        let uFee = rFee * uTrade
+
+        //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)。
+        //  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。
+        let ets = skipSort ? entryTimes : [...entryTimes].sort()
+        let orders = ets.filter((t) => bars[t]).map((t) => {
+            let c0 = bars[t].close
+            return {
+                mode,
+                timeStart: t,
+                priceStart: c0,
+                uTrade,
+                rTakeProfit: tpr,
+                priceTakeProfit: mode === 'long' ? (1 + tpr) * c0 : (1 - tpr) * c0,
+                rStopLoss: tpr,
+                priceStopLoss: mode === 'long' ? (1 - tpr) * c0 : (1 + tpr) * c0,
+                timeEnd: '',
+                priceEnd: '',
+                modeResult: '',
+                rFee,
+                uFee,
+                uProfitOrLoss: '',
+                rProfitOrLoss: '',
+                uCumuProfitOrLoss: '',
+                rCumuProfitOrLoss: '',
+                uEquity: '',
+                uTradeAll: '',
+                rTradeAll: '',
+            }
+        })
+
+        //填已結單(公式對齊 d04 calcOrders)
+        let uEquity = uIni
+        let uCumu = 0
+        for (let o of orders) {
+            let r = bars[o.timeStart][k]
+            if (!r || r.win < 0 || !r.timeEnd) {
+                continue //未結 → 留空(計入 numTrade, 不計入已結績效)
+            }
+            if (maxExitTime && r.timeEnd >= maxExitTime) {
+                continue //區段內尚未觸 → 留未平倉
+            }
+            o.timeEnd = r.timeEnd
+            o.priceEnd = r.win === 1 ? o.priceTakeProfit : o.priceStopLoss
+            o.uProfitOrLoss = o.mode === 'long'
+                ? o.uTrade * (o.priceEnd / o.priceStart) - o.uTrade - 2 * o.uFee
+                : (o.priceStart - o.priceEnd) * (o.uTrade / o.priceStart) - 2 * o.uFee
+            o.rProfitOrLoss = o.uProfitOrLoss / o.uTrade
+            uCumu += o.uProfitOrLoss
+            o.uCumuProfitOrLoss = uCumu
+            o.rCumuProfitOrLoss = dig((o.uCumuProfitOrLoss / uIni) * 100, 2) + '%'
+            uEquity += o.uProfitOrLoss
+            o.uEquity = uEquity
+            o.modeResult = o.uProfitOrLoss < 0 ? 'loss' : 'profit'
+        }
+
+        return orders
+    }
+
+    return { meta, bars, ordersFromBars }
+}
+
+
+export default loadKLinesTpSl

package/src/runStrategiesAndBacktest.mjs

@@ -3,10 +3,10 @@ import get from 'lodash-es/get.js'
 import size from 'lodash-es/size.js'
 import isearr from 'wsemi/src/isearr.mjs'
 import fsIsFolder from 'wsemi/src/fsIsFolder.mjs'
+import fsWriteJson from 'wsemi/src/fsWriteJson.mjs'
 import WDataTdprovide from 'w-data-tdprovide/src/WDataTdprovide.mjs'
 import runStrategies from './runStrategies.mjs'
 import genReportCore from './genReportCore.mjs'
-import writeJson from './writeJson.mjs'
 
 
 /**
@@ -106,8 +106,8 @@ let runStrategiesAndBacktest = async (ott, fdOhlc, fdParam, strategies, timeStar
         //fpOrders
         let fpOrders = path.resolve(fdTest, fnOrders)
 
-        //writeJson
-        writeJson(fpOrders, r.orders, { structured: true })
+        //fsWriteJson
+        fsWriteJson(fpOrders, r.orders, { useFormat: true })
 
     }
 
@@ -126,8 +126,8 @@ let runStrategiesAndBacktest = async (ott, fdOhlc, fdParam, strategies, timeStar
         }
         // console.log('stsm', stsm)
 
-        //writeJson
-        writeJson(fpSummary, stsm, { structured: true })
+        //fsWriteJson
+        fsWriteJson(fpSummary, stsm, { useFormat: true })
 
         console.log('summary', r.summary, size(r.orders))
     }