w-trade-solve 1.0.1

package/.editorconfig

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+root = true
+
+[*]
+charset = utf-8
+indent_style = space
+indent_size = 4
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+insert_final_newline = true
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package/.eslintignore

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+/build/
+/config/
+/dist/

package/.eslintrc.js

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+        'browser': true,
+        'es6': true,
+        'mocha': true
+    },
+    'extends': ['plugin:vue/base', 'plugin:vue/essential', 'standard'],
+    'plugins': [
+        'vue'
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+    },
+    'parser': 'vue-eslint-parser',
+    'parserOptions': {
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+        'sourceType': 'module',
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package/.jsdoc

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+{
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+    },
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+        "include": ["src/", "server/"],
+        "includePattern": ".+\\.(js(doc|x)?|mjs|vue)$",
+        "excludePattern": "(node_modules/|docs)"
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+        "encoding": "utf8",
+        "destination": "docs/",
+        "recurse": true,
+        "verbose": true
+    },
+    "templates": {
+        "cleverLinks": false,
+        "monospaceLinks": false
+    }
+}

package/README.md

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+# w-trade-solve
+A tool for solve trade params.
+
+![language](https://img.shields.io/badge/language-JavaScript-orange.svg) 
+[![npm version](http://img.shields.io/npm/v/w-trade-solve.svg?style=flat)](https://npmjs.org/package/w-trade-solve) 
+[![license](https://img.shields.io/npm/l/w-trade-solve.svg?style=flat)](https://npmjs.org/package/w-trade-solve) 
+[![npm download](https://img.shields.io/npm/dt/w-trade-solve.svg)](https://npmjs.org/package/w-trade-solve) 
+[![npm download](https://img.shields.io/npm/dm/w-trade-solve.svg)](https://npmjs.org/package/w-trade-solve) 
+[![jsdelivr download](https://img.shields.io/jsdelivr/npm/hm/w-trade-solve.svg)](https://www.jsdelivr.com/package/npm/w-trade-solve)
+
+## Documentation
+To view documentation or get support, visit [docs](https://yuda-lyu.github.io/w-trade-solve/global.html).
+
+## Installation
+
+### Using npm(ES6 module):
+```alias
+npm i w-trade-solve
+```
+
+#### Example:
+> **Link:** [[dev source code](https://github.com/yuda-lyu/w-trade-solve/blob/master/g.mjs)]
+```alias
+import fs from 'fs'
+import path from 'path'
+import ott from 'w-trade-solve/src/ott.mjs' //時區時間函數由外部傳入, 可用src/ott.mjs或自行以dayjs包裝
+import wts from 'w-trade-solve'
+
+
+async function test() {
+
+    //示範用資料夾, fdOhlc 放 K 線序列, fdParam 放指標參數序列, 各以 `${key}.json` 儲存
+    //  fdData 為求得策略之儲存資料夾, 不存在時由 estimKeys 自動建立
+    let fdOhlc = './tmp/data-ohlc'
+    let fdParam = './tmp/data-param'
+    let fdData = './tmp/data-strategy'
+    fs.rmSync(fdData, { recursive: true, force: true })
+    fs.mkdirSync(fdOhlc, { recursive: true })
+    fs.mkdirSync(fdParam, { recursive: true })
+
+    //st, 設定物件, 由 opt.keySettings 指定取用之鍵
+    //  name 與 interval 用於組出 K 線序列 key(`${name}_price_${interval}`)與縮寫 tid
+    let st = {
+        btc4hr: {
+            name: 'btc',
+            symbol: 'BTCUSDT',
+            interval: '4hr',
+        },
+    }
+
+    //arrOhlc 與 arrParam, 20 根 4hr K 線與對應之指標序列(以 sin/cos 合成之示範資料)
+    let arrOhlc = []
+    let arrParam = []
+    let c = 100
+    for (let i = 0; i < 20; i++) {
+        let time = new Date(Date.UTC(2020, 0, 1) + i * 4 * 3600 * 1000).toISOString().slice(0, 19)
+        let o = c
+        c = c + Math.sin(i * 0.31) * 2 + Math.cos(i * 0.11) * 1.5
+        arrOhlc.push({ time, Open: o, High: Math.max(o, c) + 1, Low: Math.min(o, c) - 1, Close: c })
+        arrParam.push({ time, param: Math.sin(i * 0.17) })
+    }
+    fs.writeFileSync(path.resolve(fdOhlc, 'btc_price_4hr.json'), JSON.stringify(arrOhlc), 'utf8')
+    fs.writeFileSync(path.resolve(fdParam, 'btc_4hr_ma_1day.json'), JSON.stringify(arrParam), 'utf8')
+
+    //keys, 待率定門檻之指標 key, 各 key 於 fdParam 內須有對應之 `${key}.json`
+    let keys = ['btc_4hr_ma_1day']
+
+    //estimKeys, 以 omlPSO 率定[止損, 止盈, 各 key 門檻], 逐次以 runStrategy 回測並取 fitness 最小者
+    //  滿足 thNumTrade / thRWin / thREquivalentCumuProfitOrLossFinalNormYear 三門檻之參數組會存入 fdData
+    let m = await wts.estimKeys(ott, st, fdOhlc, fdParam, arrOhlc[0].time, arrOhlc[19].time, 'long', keys, fdData, {
+        keySettings: 'btc4hr',
+        thsTp: [3], //止盈候選(%), 僅給 1 點使示範較快收斂
+        thsSl: [2], //止損候選(%)
+        thNumTrade: 5, //至少 5 筆交易才存檔
+        thRWin: 0.5, //勝率至少 50% 才存檔
+        thREquivalentCumuProfitOrLossFinalNormYear: 0, //等效年化盈虧至少 0 才存檔
+    })
+
+    //設計變數為[止損, 止盈, 各 key 門檻], 故個數為 2 + keys 個數
+    //  各 key 門檻之解值帶有平移量 10, 大於 0 代表'>'條件、小於 0 代表'<'條件, 還原時扣除平移量
+    //  estimKeys 為隨機求解, 故以下各數值每次執行皆不同, 僅結構固定
+    console.log(m.bestSolution.ps.length, m.bestSolution.ps)
+    // => 3 [
+    //   { ind: 0, value: 0.02 },
+    //   { ind: 0, value: 0.03 },
+    //   { ind: 63, value: -9.799999999999999 }
+    // ]
+
+    //readStrategies, 讀回 fdData 內之策略, tkid 為`${tid}:${交易次數級距}`, 同 tkid 僅保留等效年化盈虧最佳者
+    let ss = wts.readStrategies(fdData, { readContent: true })
+    console.log(ss.map((s) => {
+        return `${s.tkid} → ${s.rEquivalentCumuProfitOrLossFinalNormYear}`
+    }))
+    // => [
+    //   'long ║ ma_1day:1 → 194.67%',
+    //   'long ║ ma_1day:11 → 839.50%',
+    //   'long ║ ma_1day:2 → 644.83%'
+    // ]
+
+    //策略內容含還原後之 conds(門檻已扣除平移量)與回測所用之 settings
+    console.log(ss[0].data.conds, ss[0].data.settings)
+    // => [ { key: 'btc_4hr_ma_1day', sym: '<', th: 0.3 } ] {
+    //   uIni: 1000,
+    //   uTrade: 1,
+    //   rTakeProfit: 0.03,
+    //   rStopLoss: 0.02,
+    //   rFee: 0.0005
+    // }
+
+    //genTid, 策略種類識別碼, 僅由 mode 與 keys 決定, 並將 `${name}_`、`${interval}_` 等樣式縮寫
+    console.log(wts.genTid('btc', '4hr', 'long', keys))
+    // => 'long ║ ma_1day'
+
+    //calcLevelNumTrade, 交易次數之級距代碼, 使不同交易次數規模之策略各自保留最佳者
+    console.log(wts.calcLevelNumTrade(3), wts.calcLevelNumTrade(30), wts.calcLevelNumTrade(300))
+    // => 1 12 102
+
+    //genStrategyFileName, 策略儲存檔名, 為`${tid} ⊙ ${級距} ⊙ ${等效年化盈虧}.json`
+    console.log(wts.genStrategyFileName('btc', '4hr', 'long', keys, {}, { numTrade: 30, rEquivalentCumuProfitOrLossFinalNormYear: '31.25%' }))
+    // => 'long ║ ma_1day ⊙ 12 ⊙ 31.25%.json'
+
+    //calcFitness, 求解所用之目標函數值, 越小越佳, 由勝率(權重 2)與等效年化盈虧(權重 1)組成
+    console.log(wts.calcFitness({ uIni: 1000 }, { numTrade: 30, uEquityFinal: 1200, rWin: '60%', rEquivalentCumuProfitOrLossFinalNormYear: '25%' }))
+    // => 1.3
+
+}
+test()
+    .catch((err) => {
+        console.log('catch', err)
+    })
+
+```

package/SECURITY.md

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+# Security Policy
+
+## Reporting a Vulnerability
+
+Please report security issues to `firsemisphere@gmail.com`

package/babel.config.js

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+module.exports = {
+    'presets': [
+        ['@babel/preset-env', {
+            'useBuiltIns': 'entry',
+            'corejs': 3
+        }]
+    ],
+    'plugins': [
+        '@babel/plugin-transform-runtime',
+        '@babel/plugin-proposal-export-default-from',
+        // '@babel/plugin-syntax-import-assertions', //已被棄用
+        // '@babel/plugin-proposal-nullish-coalescing-operator', //browser與nodejs已支援
+        // '@babel/plugin-proposal-object-rest-spread', //browser與nodejs已支援
+        // '@babel/plugin-proposal-optional-chaining', //browser與nodejs已支援
+    ]
+}

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

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+/*!
+ * w-trade-solve v1.0.1
+ * (c) 2018-2021 yuda-lyu(semisphere)
+ * Released under the MIT License.
+ */
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+   *  MIT Licence
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