w-trade-backtest 1.1.17 → 1.1.19

package/dist/w-trade-backtest.umd.js

@@ -1,7 +1,7 @@
 /*!
- * w-trade-backtest v1.1.17
+ * w-trade-backtest v1.1.19
  * (c) 2018-2021 yuda-lyu(semisphere)
  * Released under the MIT License.
  */
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c&&Co(t.resolve(t.dirname(i),"summary.json"),{name:u,summary:d},{useFormat:!0}),Xo({name:u,orders:o,summary:d},i),{orders:o,summary:d,fpOut:i}},genReportCore:Xo,genKLinesTpSl:ui,buildKLinesTpSl:async(e,n,o,i={})=>{if(!Ao(e))throw new Error(`fdOhlc[${e}] is not a folder`);if(!Ao(n))throw new Error(`fdParam[${n}] is not a folder`);if(!dn(o))throw new Error("invalid fpJson");let u=Zo(e,n),{keyOhlc:a,ts:s,te:l,tps:f=[4,5,6,7,8,9,10],modes:c=["long","short"]}=i;if(!dn(a))throw new Error("invalid opt.keyOhlc");if(!Vo(s))throw new Error("invalid opt.ts");if(!Vo(l))throw new Error("invalid opt.te");let d=await u.getTimeSeriesByTimeRange(a,s,l),h=d.length,p=d.map(t=>t.time),m={};for(let t=0;t<h;t++)m[p[t]]={close:d[t].Close};for(let t of c)for(let r of f){let{win:e,hold:n}=ui(d,{tp:r/100,sl:r/100,mode:t}),o=`${t}_${r}`;for(let t=0;t<h;t++){let r=e[t],i=r>=0&&Number.isFinite(n[t])?p[t+n[t]]:null;m[p[t]][o]={win:r,timeEnd:i}}}let y={meta:{keyOhlc:a,ts:s,te:l,tps:f,modes:c,nBars:h},bars:m},v=t.resolve(o),b=t.dirname(v);return Ao(b)||Do(b,{fs:r}),r.writeFileSync(v,JSON.stringify(y)),y},loadKLinesTpSl:e=>{if(!dn(e))throw new Error("invalid fpJson");if(!Ro(e))throw new Error(`fpJson[${e}] is not a file`);let n=JSON.parse(r.readFileSync(t.resolve(e),"utf8")),o=n.meta,i=n.bars;return{meta:o,bars:i,ordersFromBars:(t,r,e,n={})=>{let{uTrade:o=1,uIni:u=1e3,rFee:a=5e-4,maxExitTime:s=null,skipSort:l=!1}=n,f=`${t}_${r}`,c=r/100,d=a*o,h=(l?e:[...e].sort()).filter(t=>i[t]).map(r=>{let e=i[r].close;return{mode:t,timeStart:r,priceStart:e,uTrade:o,rTakeProfit:c,priceTakeProfit:"long"===t?(1+c)*e:(1-c)*e,rStopLoss:c,priceStopLoss:"long"===t?(1-c)*e:(1+c)*e,timeEnd:"",priceEnd:"",modeResult:"",rFee:a,uFee:d,uProfitOrLoss:"",rProfitOrLoss:"",uCumuProfitOrLoss:"",rCumuProfitOrLoss:"",uEquity:"",uTradeAll:"",rTradeAll:""}}),p=u,m=0;for(let t of h){let r=i[t.timeStart][f];!r||r.win<0||!r.timeEnd||(s&&r.timeEnd>=s||(t.timeEnd=r.timeEnd,t.priceEnd=1===r.win?t.priceTakeProfit:t.priceStopLoss,t.uProfitOrLoss=ai(t.mode,t.uTrade,t.priceStart,t.priceEnd,t.uFee),t.rProfitOrLoss=t.uProfitOrLoss/t.uTrade,m+=t.uProfitOrLoss,t.uCumuProfitOrLoss=m,t.rCumuProfitOrLoss=vo(t.uCumuProfitOrLoss/u*100,2)+"%",p+=t.uProfitOrLoss,t.uEquity=p,t.modeResult=t.uProfitOrLoss<0?"loss":"profit"))}return h}}},buildStrategyFastSession:(t,r={})=>{let e=Gt(r,"mode","");if("long"!==e&&"short"!==e)throw new Error(`invalid opt.mode[${e}] not 'long' or 'short'`);let n=Gt(r,"arrOhlc",null);if(!cn(n))throw new Error("invalid opt.arrOhlc");let o=Gt(r,"serieses",null);if(!ho(o))throw new Error("invalid opt.serieses");let i=n.length,u=new Array(i),a=new Float64Array(i),s=new Map;for(let t=0;t<i;t++){let r=n[t];u[t]=r.time,a[t]=r.Close,s.set(r.time,t)}let l=i>0?u[0]:"",f=i>0?u[i-1]:"",c={};for(let t of Object.keys(o)){let r=new Float64Array(i).fill(NaN);for(let e of o[t]){let t=s.get(e.time);void 0!==t&&(r[t]=e.param)}c[t]=r}let d=new Map,h=(t,r)=>{let o=`${t}_${r}`,i=d.get(o);return i||(i=ui(n,{tp:t,sl:r,mode:e}),d.set(o,i)),i},p=Gt(r,"tpsls",[]);if(cn(p))for(let t of p)h(t.tp,t.sl);return{evaluate:(r={},n={})=>{let o=Gt(r,"conds",[]);if(!cn(o))throw new Error("invalid conds");let s=Gt(r,"tp",null),d=Gt(r,"sl",null),p=Gt(r,"settings",{}),m=Gt(p,"uIni",1e3),y=Gt(p,"uTrade",1),v=Gt(p,"rFee",5e-4),b=v*y,g=Gt(n,"withOrders",!1),w=h(s,d),O=w.win,S=w.hold,j=o.map(t=>{let r=Gt(t,"key",""),e=c[r];if(!e)throw new Error(`invalid cond.key[${r}] not in opt.serieses`);let n=Gt(t,"sym",">"),o=Gt(t,"th",0),i=Gt(t,"opr",null);return"and"!==i&&"or"!==i&&(i="and"),{arr:e,gt:">"===n,th:o,isOr:"or"===i}}),E=[],_=m,$=0;for(let t=0;t<i;t++){let r=!1,n=!0,o=!1,i=!1;for(let e of j){let u=e.arr[t];if(Number.isNaN(u)){r=!0;break}let a=e.gt?u>e.th:u<e.th;e.isOr?(o=!0,i=i||a):n=n&&a}if(r||!n||o&&!i)continue;let l,f=a[t],c=O[t];if(l=g?{mode:e,timeStart:u[t],priceStart:f,uTrade:y,rTakeProfit:s,priceTakeProfit:"long"===e?(1+s)*f:(1-s)*f,rStopLoss:d,priceStopLoss:"long"===e?(1-d)*f:(1+d)*f,timeEnd:"",priceEnd:"",modeResult:"",rFee:v,uFee:b,uProfitOrLoss:"",rProfitOrLoss:"",uCumuProfitOrLoss:"",rCumuProfitOrLoss:"",uEquity:"",uTradeAll:"",rTradeAll:""}:{timeStart:u[t],timeEnd:"",uTrade:y,uProfitOrLoss:"",uEquity:"",modeResult:""},c>=0){let r;r=1===c?"long"===e?(1+s)*f:(1-s)*f:"long"===e?(1-d)*f:(1+d)*f;let n=ai(e,y,f,r,b);$+=n,_+=n,l.timeEnd=u[t+S[t]],l.uProfitOrLoss=n,l.uEquity=_,l.modeResult=n<0?"loss":"profit",g&&(l.priceEnd=r,l.rProfitOrLoss=n/y,l.uCumuProfitOrLoss=$,l.rCumuProfitOrLoss=vo($/m*100,2)+"%")}E.push(l)}let T=Qo(t,m,E,l,f,{skipSort:!0});return g?{orders:E,summary:T}:T}}}};return si});
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