w-trade-backtest 1.0.8 → 1.1.2

package/docs/index.html

@@ -29,7 +29,7 @@
 <nav >
     
     
-    <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>
+    <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#buildStrategyFastSession">buildStrategyFastSession</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><li><a href="global.html#settleOrderPnl">settleOrderPnl</a></li></ul>
     
 </nav>
 
@@ -71,7 +71,7 @@
 <br class="clear">
 
 <footer>
-    Documentation generated by <a href="https://github.com/jsdoc3/jsdoc">JSDoc 4.0.5</a> on Sat Aug 08 2026 15:13:36 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 18 2026 12:40:44 GMT+0800 (台北標準時間) using the <a href="https://github.com/clenemt/docdash">docdash</a> theme.
 </footer>
 
 <script>prettyPrint();</script>

package/docs/loadKLinesTpSl.mjs.html

@@ -29,7 +29,7 @@
 <nav >
     
     
-    <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>
+    <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#buildStrategyFastSession">buildStrategyFastSession</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><li><a href="global.html#settleOrderPnl">settleOrderPnl</a></li></ul>
     
 </nav>
 
@@ -50,6 +50,7 @@ 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'
+import settleOrderPnl from './settleOrderPnl.mjs'
 
 
 /**
@@ -142,9 +143,7 @@ let loadKLinesTpSl = (fpJson) => {
             }
             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.uProfitOrLoss = settleOrderPnl(o.mode, o.uTrade, o.priceStart, o.priceEnd, o.uFee)
             o.rProfitOrLoss = o.uProfitOrLoss / o.uTrade
             uCumu += o.uProfitOrLoss
             o.uCumuProfitOrLoss = uCumu
@@ -176,7 +175,7 @@ export default loadKLinesTpSl
 <br class="clear">
 
 <footer>
-    Documentation generated by <a href="https://github.com/jsdoc3/jsdoc">JSDoc 4.0.5</a> on Sat Aug 08 2026 15:13:36 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 18 2026 12:40:44 GMT+0800 (台北標準時間) using the <a href="https://github.com/clenemt/docdash">docdash</a> theme.
 </footer>
 
 <script>prettyPrint();</script>

package/docs/runStrategies.mjs.html

@@ -29,7 +29,7 @@
 <nav >
     
     
-    <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>
+    <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#buildStrategyFastSession">buildStrategyFastSession</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><li><a href="global.html#settleOrderPnl">settleOrderPnl</a></li></ul>
     
 </nav>
 
@@ -231,7 +231,7 @@ export default runStrategies
 <br class="clear">
 
 <footer>
-    Documentation generated by <a href="https://github.com/jsdoc3/jsdoc">JSDoc 4.0.5</a> on Sat Aug 08 2026 15:13:36 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 18 2026 12:40:44 GMT+0800 (台北標準時間) using the <a href="https://github.com/clenemt/docdash">docdash</a> theme.
 </footer>
 
 <script>prettyPrint();</script>

package/docs/runStrategiesAndBacktest.mjs.html

@@ -29,7 +29,7 @@
 <nav >
     
     
-    <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>
+    <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#buildStrategyFastSession">buildStrategyFastSession</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><li><a href="global.html#settleOrderPnl">settleOrderPnl</a></li></ul>
     
 </nav>
 
@@ -211,7 +211,7 @@ export default runStrategiesAndBacktest
 <br class="clear">
 
 <footer>
-    Documentation generated by <a href="https://github.com/jsdoc3/jsdoc">JSDoc 4.0.5</a> on Sat Aug 08 2026 15:13:36 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 18 2026 12:40:44 GMT+0800 (台北標準時間) using the <a href="https://github.com/clenemt/docdash">docdash</a> theme.
 </footer>
 
 <script>prettyPrint();</script>

package/docs/runStrategy.mjs.html

@@ -29,7 +29,7 @@
 <nav >
     
     
-    <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>
+    <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#buildStrategyFastSession">buildStrategyFastSession</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><li><a href="global.html#settleOrderPnl">settleOrderPnl</a></li></ul>
     
 </nav>
 
@@ -442,7 +442,7 @@ export default runStrategy
 <br class="clear">
 
 <footer>
-    Documentation generated by <a href="https://github.com/jsdoc3/jsdoc">JSDoc 4.0.5</a> on Sat Aug 08 2026 15:13:36 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 18 2026 12:40:44 GMT+0800 (台北標準時間) using the <a href="https://github.com/clenemt/docdash">docdash</a> theme.
 </footer>
 
 <script>prettyPrint();</script>

package/docs/settleOrderPnl.mjs.html

@@ -0,0 +1,100 @@
+<!DOCTYPE html>
+<html lang="en">
+<head>
+    
+    <meta charset="utf-8">
+    <title>settleOrderPnl.mjs - Documentation</title>
+    
+    
+    <script src="scripts/prettify/prettify.js"></script>
+    <script src="scripts/prettify/lang-css.js"></script>
+    <!--[if lt IE 9]>
+      <script src="//html5shiv.googlecode.com/svn/trunk/html5.js"></script>
+    <![endif]-->
+    <link type="text/css" rel="stylesheet" href="styles/prettify.css">
+    <link type="text/css" rel="stylesheet" href="styles/jsdoc.css">
+    <script src="scripts/nav.js" defer></script>
+    
+    <meta name="viewport" content="width=device-width, initial-scale=1.0">
+</head>
+<body>
+
+<input type="checkbox" id="nav-trigger" class="nav-trigger" />
+<label for="nav-trigger" class="navicon-button x">
+  <div class="navicon"></div>
+</label>
+
+<label for="nav-trigger" class="overlay"></label>
+
+<nav >
+    
+    
+    <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#buildStrategyFastSession">buildStrategyFastSession</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><li><a href="global.html#settleOrderPnl">settleOrderPnl</a></li></ul>
+    
+</nav>
+
+<div id="main">
+    
+    <h1 class="page-title">settleOrderPnl.mjs</h1>
+    
+
+    
+
+
+
+    
+    <section>
+        <article>
+            <pre class="prettyprint source linenums"><code>/**
+ * 計算單筆訂單之淨盈虧金額(USDT)
+ *
+ * 結算公式與calcOrders逐字對齊(bit-exact): long為uTrade*(priceEnd/priceStart)-uTrade-2*uFee，short為(priceStart-priceEnd)*(uTrade/priceStart)-2*uFee
+ * 供loadKLinesTpSl之ordersFromBars與buildStrategyFastSession共用，避免套件內出現第三份手抄公式
+ *
+ * Unit Test: {@link https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs Github}
+ * @function
+ * @param {String} mode 輸入交易方向字串，'long'或'short'
+ * @param {Number} uTrade 輸入下單金額(USDT)
+ * @param {Number} priceStart 輸入進場價格
+ * @param {Number} priceEnd 輸入出場價格
+ * @param {Number} uFee 輸入單邊手續費(USDT)，結算扣2*uFee
+ * @returns {Number} 回傳淨盈虧金額(USDT)，含手續費
+ * @example
+ *
+ * console.log(settleOrderPnl('long', 100, 100, 105, 0.05))
+ * // => 4.9
+ *
+ */
+let settleOrderPnl = (mode, uTrade, priceStart, priceEnd, uFee) => {
+    return mode === 'long'
+        ? uTrade * (priceEnd / priceStart) - uTrade - 2 * uFee
+        : (priceStart - priceEnd) * (uTrade / priceStart) - 2 * uFee
+}
+
+
+export default settleOrderPnl
+</code></pre>
+        </article>
+    </section>
+
+
+
+
+    
+    
+</div>
+
+<br class="clear">
+
+<footer>
+    Documentation generated by <a href="https://github.com/jsdoc3/jsdoc">JSDoc 4.0.5</a> on Tue Aug 18 2026 12:40:44 GMT+0800 (台北標準時間) using the <a href="https://github.com/clenemt/docdash">docdash</a> theme.
+</footer>
+
+<script>prettyPrint();</script>
+<script src="scripts/polyfill.js"></script>
+<script src="scripts/linenumber.js"></script>
+
+
+
+</body>
+</html>

package/package.json

@@ -1,10 +1,10 @@
 {
   "name": "w-trade-backtest",
-  "version": "1.0.8",
+  "version": "1.1.2",
   "main": "dist/w-trade-backtest.umd.js",
   "dependencies": {
-    "w-data-tdprovide": "^1.0.6",
-    "wsemi": "^1.8.70"
+    "w-data-tdprovide": "^1.0.7",
+    "wsemi": "^1.8.73"
   },
   "devDependencies": {
     "w-package-tools": "^1.1.12"

package/src/WTradeBacktest.mjs

@@ -12,6 +12,7 @@ import genReportCore from './genReportCore.mjs'
 import genKLinesTpSl from './genKLinesTpSl.mjs'
 import buildKLinesTpSl from './buildKLinesTpSl.mjs'
 import loadKLinesTpSl from './loadKLinesTpSl.mjs'
+import buildStrategyFastSession from './buildStrategyFastSession.mjs'
 
 
 let r = {
@@ -29,6 +30,7 @@ let r = {
     genKLinesTpSl,
     buildKLinesTpSl,
     loadKLinesTpSl,
+    buildStrategyFastSession,
 }
 
 

package/src/buildStrategyFastSession.mjs

@@ -0,0 +1,293 @@
+import get from 'lodash-es/get.js'
+import dig from 'wsemi/src/dig.mjs'
+import isearr from 'wsemi/src/isearr.mjs'
+import iseobj from 'wsemi/src/iseobj.mjs'
+import genKLinesTpSl from './genKLinesTpSl.mjs'
+import calcOrdersSummarySimple from './calcOrdersSummarySimple.mjs'
+import settleOrderPnl from './settleOrderPnl.mjs'
+
+
+/**
+ * 建立策略快速評估session，供求解熱路徑(如RGA/PSO目標函數)重複評估同一K線窗之不同條件組合
+ *
+ * 建置期一次攤提runStrategy每次呼叫都要重建的不變量: 各因子{time,param}序列轉為K棒對位Float64Array(缺值填NaN)、各(tp,sl)組合之first-touch預算表(genKLinesTpSl，惰性建置+Map快取)
+ * 評估期單迴圈逐棒判斷conds觸發並沿calcOrders同式結算(settleOrderPnl)，摘要直接以calcOrdersSummarySimple計算，與官方全鏈(runStrategy→calcOrders→calcOrdersSummary)對應欄位嚴格相等
+ * 觸發語義與runStrategy等價: 任一cond序列於該棒缺值(NaN)即整棒跳過(等同僅於全部cond序列皆有值之共同時間點判斷)、'and'組須全真且'or'組至少一真、sym為'>'比大於否則比小於
+ * 序列param須為有限數值，缺值以該時間點不存在表示; opt.mode非'long'或'short'、arrOhlc或serieses無效時throw; evaluate之conds非有效陣列(含空陣列, 同runStrategy)或cond.key不在serieses時throw
+ *
+ * Unit Test: {@link https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs Github}
+ * @function
+ * @param {Function} ott 輸入時區時間函數，傳入時間字串回傳dayjs時間物件(可用src/ott.mjs或自行以dayjs包裝)
+ * @param {Object} opt 輸入設定物件
+ * @param {Array} opt.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，與runStrategy之funGetSeries(keyOhlc)同一份
+ * @param {String} opt.mode 輸入交易方向字串，'long'或'short'
+ * @param {Object} opt.serieses 輸入因子序列物件，key為因子名稱，value為{time,param}陣列，param須為有限數值
+ * @param {Array} [opt.tpsls=[]] 輸入預建first-touch表之{tp,sl}陣列，未列組合於evaluate時惰性建置，預設[]
+ * @returns {Object} 回傳session物件，內含evaluate({conds,tp,sl,settings},opt)評估函數，conds各元素為{key,sym,th,opr}(與runStrategy同構)，settings可給uIni(預設1000)、uTrade(預設1)、rFee(預設0.0005)，evaluate預設回傳calcOrdersSummarySimple同構摘要物件，evaluate之opt.withOrders為true時回傳{orders,summary}(orders與loadKLinesTpSl之ordersFromBars同構，供除錯對照之慢速路徑)
+ * @example
+ *
+ * let arrOhlc = [
+ *     { time: '2020-01-01T00:00:00', Open: 100, High: 101, Low: 99, Close: 100 },
+ *     { time: '2020-01-01T04:00:00', Open: 100, High: 106, Low: 100, Close: 105 },
+ *     { time: '2020-01-01T08:00:00', Open: 105, High: 107, Low: 102, Close: 103 },
+ *     { time: '2020-01-01T12:00:00', Open: 103, High: 104, Low: 94, Close: 95 },
+ *     { time: '2020-01-01T16:00:00', Open: 95, High: 98, Low: 92, Close: 93 },
+ *     { time: '2020-01-01T20:00:00', Open: 93, High: 99, Low: 95, Close: 97 },
+ * ]
+ *
+ * let arrSig = [
+ *     { time: '2020-01-01T00:00:00', param: 1 },
+ *     { time: '2020-01-01T04:00:00', param: 0 },
+ *     { time: '2020-01-01T08:00:00', param: 1 },
+ *     { time: '2020-01-01T12:00:00', param: 0 },
+ *     { time: '2020-01-01T16:00:00', param: 0 },
+ *     { time: '2020-01-01T20:00:00', param: 0 },
+ * ]
+ *
+ * let session = buildStrategyFastSession(ott, {
+ *     arrOhlc,
+ *     mode: 'long',
+ *     serieses: { sig: arrSig },
+ * })
+ *
+ * let sm = session.evaluate({
+ *     conds: [{ key: 'sig', sym: '>', th: 0.5, opr: 'and' }],
+ *     tp: 0.05,
+ *     sl: 0.03,
+ *     settings: { uIni: 1000, uTrade: 100, rFee: 0.0005 },
+ * })
+ * console.log(sm.numTrade, sm.rWin, sm.uEquityFinal)
+ * // => 2 50.00% 1001.8
+ *
+ */
+let buildStrategyFastSession = (ott, opt = {}) => {
+
+    //mode
+    let mode = get(opt, 'mode', '')
+    if (mode !== 'long' && mode !== 'short') {
+        throw new Error(`invalid opt.mode[${mode}] not 'long' or 'short'`)
+    }
+
+    //arrOhlc
+    let arrOhlc = get(opt, 'arrOhlc', null)
+    if (!isearr(arrOhlc)) {
+        throw new Error(`invalid opt.arrOhlc`)
+    }
+
+    //serieses
+    let serieses = get(opt, 'serieses', null)
+    if (!iseobj(serieses)) {
+        throw new Error(`invalid opt.serieses`)
+    }
+
+    //n, time, C
+    let n = arrOhlc.length
+    let time = new Array(n)
+    let C = new Float64Array(n)
+    let kpTimeInd = new Map() //K棒時間→index
+    for (let i = 0; i < n; i++) {
+        let r = arrOhlc[i]
+        time[i] = r.time
+        C[i] = r.Close
+        kpTimeInd.set(r.time, i)
+    }
+
+    //timeOhlcStart, timeOhlcEnd
+    let timeOhlcStart = n > 0 ? time[0] : ''
+    let timeOhlcEnd = n > 0 ? time[n - 1] : ''
+
+    //kpAligned, 各因子序列轉K棒對位Float64Array(缺值填NaN), 序列中不屬K棒之時間點不影響觸發(runStrategy亦僅於K棒時間判斷)
+    let kpAligned = {}
+    for (let key of Object.keys(serieses)) {
+        let arr = new Float64Array(n).fill(NaN)
+        for (let v of serieses[key]) {
+            let ind = kpTimeInd.get(v.time)
+            if (ind !== undefined) {
+                arr[ind] = v.param
+            }
+        }
+        kpAligned[key] = arr
+    }
+
+    //kpFirstTouch, 各(tp,sl)組合之first-touch表快取(惰性建置)
+    let kpFirstTouch = new Map()
+    let getFirstTouch = (tp, sl) => {
+        let k = `${tp}_${sl}`
+        let ft = kpFirstTouch.get(k)
+        if (!ft) {
+            ft = genKLinesTpSl(arrOhlc, { tp, sl, mode }) //tp/sl無效時由genKLinesTpSl throw
+            kpFirstTouch.set(k, ft)
+        }
+        return ft
+    }
+
+    //預建
+    let tpsls = get(opt, 'tpsls', [])
+    if (isearr(tpsls)) {
+        for (let v of tpsls) {
+            getFirstTouch(v.tp, v.sl)
+        }
+    }
+
+    //evaluate
+    let evaluate = (input = {}, optEv = {}) => {
+
+        //conds, 空陣列同runStrategy一律throw(isearr對空陣列回false)
+        let conds = get(input, 'conds', [])
+        if (!isearr(conds)) {
+            throw new Error(`invalid conds`)
+        }
+
+        //tp, sl
+        let tp = get(input, 'tp', null)
+        let sl = get(input, 'sl', null)
+
+        //settings
+        let st = get(input, 'settings', {})
+        let uIni = get(st, 'uIni', 1000)
+        let uTrade = get(st, 'uTrade', 1)
+        let rFee = get(st, 'rFee', 0.0005)
+        let uFee = rFee * uTrade
+
+        //withOrders
+        let withOrders = get(optEv, 'withOrders', false)
+
+        //ft
+        let ft = getFirstTouch(tp, sl)
+        let win = ft.win
+        let hold = ft.hold
+
+        //cs, 條件預解析(sym預設'>'、th預設0、opr非'and'/'or'一律'and', 與runStrategy同)
+        let cs = conds.map((cond) => {
+            let key = get(cond, 'key', '')
+            let arr = kpAligned[key]
+            if (!arr) {
+                throw new Error(`invalid cond.key[${key}] not in opt.serieses`)
+            }
+            let sym = get(cond, 'sym', '>')
+            let th = get(cond, 'th', 0)
+            let opr = get(cond, 'opr', null)
+            if (opr !== 'and' && opr !== 'or') {
+                opr = 'and'
+            }
+            return { arr, gt: sym === '>', th, isOr: opr === 'or' }
+        })
+        //orders, 逐棒判斷觸發與結算(依timeStart升序產生, 累計順序與calcOrders一致)
+        let orders = []
+        let uEquity = uIni
+        let uCumu = 0
+        for (let i = 0; i < n; i++) {
+
+            //bTrigger, 任一cond於該棒缺值(NaN)即整棒跳過(等同runStrategy僅於全部cond序列皆有值之共同時間點判斷)
+            //  'and'組須全真(空組無約束), 'or'組至少一真(無or組不約束), 與runStrategy合成邏輯同構
+            let bSkip = false
+            let okAnd = true
+            let hasOr = false
+            let okOr = false
+            for (let c of cs) {
+                let y = c.arr[i]
+                if (Number.isNaN(y)) {
+                    bSkip = true
+                    break
+                }
+                let b = c.gt ? y > c.th : y < c.th
+                if (c.isOr) {
+                    hasOr = true
+                    okOr = okOr || b
+                }
+                else {
+                    okAnd = okAnd && b
+                }
+            }
+            if (bSkip || !okAnd || (hasOr && !okOr)) {
+                continue
+            }
+
+            //進場, 該棒Close
+            let c0 = C[i]
+            let w = win[i]
+
+            //o, 訂單紀錄(預設精簡欄位供calcOrdersSummarySimple使用; withOrders時與ordersFromBars同構)
+            let o
+            if (withOrders) {
+                o = {
+                    mode,
+                    timeStart: time[i],
+                    priceStart: c0,
+                    uTrade,
+                    rTakeProfit: tp,
+                    priceTakeProfit: mode === 'long' ? (1 + tp) * c0 : (1 - tp) * c0,
+                    rStopLoss: sl,
+                    priceStopLoss: mode === 'long' ? (1 - sl) * c0 : (1 + sl) * c0,
+                    timeEnd: '',
+                    priceEnd: '',
+                    modeResult: '',
+                    rFee,
+                    uFee,
+                    uProfitOrLoss: '',
+                    rProfitOrLoss: '',
+                    uCumuProfitOrLoss: '',
+                    rCumuProfitOrLoss: '',
+                    uEquity: '',
+                    uTradeAll: '',
+                    rTradeAll: '',
+                }
+            }
+            else {
+                o = {
+                    timeStart: time[i],
+                    timeEnd: '',
+                    uTrade,
+                    uProfitOrLoss: '',
+                    uEquity: '',
+                    modeResult: '',
+                }
+            }
+
+            //結算(win>=0為已觸發, 未觸發者留空=未平倉, 計入numTrade不計入已結績效)
+            if (w >= 0) {
+                let priceEnd
+                if (w === 1) {
+                    priceEnd = mode === 'long' ? (1 + tp) * c0 : (1 - tp) * c0 //止盈線
+                }
+                else {
+                    priceEnd = mode === 'long' ? (1 - sl) * c0 : (1 + sl) * c0 //止損線
+                }
+                let u = settleOrderPnl(mode, uTrade, c0, priceEnd, uFee)
+                uCumu += u
+                uEquity += u
+                o.timeEnd = time[i + hold[i]]
+                o.uProfitOrLoss = u
+                o.uEquity = uEquity
+                o.modeResult = u < 0 ? 'loss' : 'profit'
+                if (withOrders) {
+                    o.priceEnd = priceEnd
+                    o.rProfitOrLoss = u / uTrade
+                    o.uCumuProfitOrLoss = uCumu
+                    o.rCumuProfitOrLoss = dig((uCumu / uIni) * 100, 2) + '%'
+                }
+            }
+
+            //push
+            orders.push(o)
+
+        }
+
+        //summary, 直接調用官方calcOrdersSummarySimple(orders已依timeStart升序故skipSort)
+        let summary = calcOrdersSummarySimple(ott, uIni, orders, timeOhlcStart, timeOhlcEnd, { skipSort: true })
+
+        //withOrders時回傳訂單陣列供除錯對照
+        if (withOrders) {
+            return { orders, summary }
+        }
+
+        return summary
+    }
+
+    return {
+        evaluate,
+    }
+}
+
+
+export default buildStrategyFastSession

package/src/calcOrdersSummarySimple.mjs

@@ -100,13 +100,16 @@ let calcOrdersSummarySimple = (ott, uIni, ordersAll, timeOhlcStart, timeOhlcEnd,
         cum += delta.get(t); cumAt.set(t, cum)
     }
     let uTradeAllMax = 0
+    let rTradeAllMax = '' //無訂單(峰值從未更新)時維持'' (對齊原版初始值語義, 原版僅於uTradeAllMax被更新時賦值)
     for (let o of ordersAll) {
         let v = Math.abs(cumAt.get(o.timeStart))
-        if (v > uTradeAllMax) uTradeAllMax = v
+        if (v > uTradeAllMax) {
+            uTradeAllMax = v
+            rTradeAllMax = dig(uTradeAllMax / uIni * 100, 2) + '%'
+        }
     }
 
     let rWin = dig(nWin / numTradeFin * 100, 2) + '%'
-    let rTradeAllMax = dig(uTradeAllMax / uIni * 100, 2) + '%'
 
     let btDays = ott(timeOhlcEnd).diff(ott(timeOhlcStart), 'day')
     let btYears = btDays / 365

package/src/loadKLinesTpSl.mjs

@@ -3,6 +3,7 @@ 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'
+import settleOrderPnl from './settleOrderPnl.mjs'
 
 
 /**
@@ -95,9 +96,7 @@ let loadKLinesTpSl = (fpJson) => {
             }
             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.uProfitOrLoss = settleOrderPnl(o.mode, o.uTrade, o.priceStart, o.priceEnd, o.uFee)
             o.rProfitOrLoss = o.uProfitOrLoss / o.uTrade
             uCumu += o.uProfitOrLoss
             o.uCumuProfitOrLoss = uCumu

package/src/settleOrderPnl.mjs

@@ -0,0 +1,28 @@
+/**
+ * 計算單筆訂單之淨盈虧金額(USDT)
+ *
+ * 結算公式與calcOrders逐字對齊(bit-exact): long為uTrade*(priceEnd/priceStart)-uTrade-2*uFee，short為(priceStart-priceEnd)*(uTrade/priceStart)-2*uFee
+ * 供loadKLinesTpSl之ordersFromBars與buildStrategyFastSession共用，避免套件內出現第三份手抄公式
+ *
+ * Unit Test: {@link https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs Github}
+ * @function
+ * @param {String} mode 輸入交易方向字串，'long'或'short'
+ * @param {Number} uTrade 輸入下單金額(USDT)
+ * @param {Number} priceStart 輸入進場價格
+ * @param {Number} priceEnd 輸入出場價格
+ * @param {Number} uFee 輸入單邊手續費(USDT)，結算扣2*uFee
+ * @returns {Number} 回傳淨盈虧金額(USDT)，含手續費
+ * @example
+ *
+ * console.log(settleOrderPnl('long', 100, 100, 105, 0.05))
+ * // => 4.9
+ *
+ */
+let settleOrderPnl = (mode, uTrade, priceStart, priceEnd, uFee) => {
+    return mode === 'long'
+        ? uTrade * (priceEnd / priceStart) - uTrade - 2 * uFee
+        : (priceStart - priceEnd) * (uTrade / priceStart) - 2 * uFee
+}
+
+
+export default settleOrderPnl

package/test/unit-WTradeBacktest.test.mjs

@@ -25,6 +25,7 @@ describe('WTradeBacktest', function() {
             'genKLinesTpSl',
             'buildKLinesTpSl',
             'loadKLinesTpSl',
+            'buildStrategyFastSession',
         ]
         assert.deepStrictEqual(Object.keys(WTradeBacktest), keys)
         for (let k of keys) {