w-trade-solve 1.0.1

package/test/unit-genTid.test.mjs

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+import assert from 'assert'
+import genTid from '../src/genTid.mjs'
+import cont from '../src/cont.mjs'
+
+
+//規格來源: src/genTid.mjs
+//  genTid(coin, interval, mode, keys): 以cont.dlmSeps串接mode與各key, 再進行縮寫替換
+//    縮寫替換依序為: 剔除`${coin}_`、剔除`${interval}_`、'price_'轉'p_'、'index_'轉'i_'、
+//      'Ohlc_'轉'o_'、'Close_'轉'c_'、'Volumn_'轉'v_'
+//    tid僅由mode與keys決定, 未含門檻
+
+
+let d = cont.dlmSeps
+
+
+describe('genTid', function() {
+
+    it('以dlmSeps串接mode與各key', function() {
+        //無任何可替換樣式時, 僅單純串接
+        let tid = genTid('btc', '4hr', 'long', ['aa', 'bb'])
+        assert.strictEqual(tid, `long${d}aa${d}bb`)
+    })
+
+    it('剔除key內之coin前綴與interval前綴(各帶底線)', function() {
+        let tid = genTid('btc', '4hr', 'long', ['btc_ma', '4hr_rsi'])
+        assert.strictEqual(tid, `long${d}ma${d}rsi`)
+    })
+
+    it('price_轉p_, index_轉i_', function() {
+        let tid = genTid('btc', '4hr', 'long', ['btc_price_4hr_ma_1day', 'btc_index_rsi_4hr'])
+        assert.strictEqual(tid, `long${d}p_ma_1day${d}i_rsi_4hr`)
+    })
+
+    it('Ohlc_轉o_, Close_轉c_, Volumn_轉v_', function() {
+        let tid = genTid('btc', '4hr', 'long', ['Ohlc_a', 'Close_b', 'Volumn_c'])
+        assert.strictEqual(tid, `long${d}o_a${d}c_b${d}v_c`)
+    })
+
+    it('mode為short時開頭為short', function() {
+        let tid = genTid('btc', '4hr', 'short', ['btc_index_rsi_4hr'])
+        assert.strictEqual(tid, `short${d}i_rsi_4hr`)
+    })
+
+    it('keys為空陣列時僅回傳mode', function() {
+        let tid = genTid('btc', '4hr', 'long', [])
+        assert.strictEqual(tid, 'long')
+    })
+
+    it('同組keys不論順序以外之任何門檻皆對應同一tid, 故tid可代表策略種類', function() {
+        //genTid未取用門檻, 故僅keys相同即同tid
+        let keys = ['btc_price_4hr_ma_1day']
+        assert.strictEqual(genTid('btc', '4hr', 'long', keys), genTid('btc', '4hr', 'long', keys))
+    })
+
+    it('keys順序不同時tid不同', function() {
+        let a = genTid('btc', '4hr', 'long', ['btc_ma', 'btc_rsi'])
+        let b = genTid('btc', '4hr', 'long', ['btc_rsi', 'btc_ma'])
+        assert.notStrictEqual(a, b)
+    })
+
+    it('coin為空字串時替換樣式退化為底線, 將剔除全部底線', function() {
+        //替換樣式為`${coin}_`, coin為''時樣式即'_'
+        let tid = genTid('', '4hr', 'long', ['btc_ma_1day'])
+        assert.strictEqual(tid, `long${d}btcma1day`)
+    })
+
+    it('key未含coin前綴時不受剔除影響', function() {
+        let tid = genTid('eth', '1hr', 'long', ['btc_ma'])
+        assert.strictEqual(tid, `long${d}btc_ma`)
+    })
+
+})

package/test/unit-p2r.test.mjs

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+import assert from 'assert'
+import p2r from '../src/p2r.mjs'
+
+
+//規格來源: src/p2r.mjs
+//  p2r(p): 轉換百分比字串為比例數值
+//    先經wsemi cstr轉字串, 未含'%'時回傳0(涵蓋無任何交易之空字串)
+//    含'%'時剔除第1個'%'後經wsemi cdbl轉數值, 再除以100
+
+
+describe('p2r', function() {
+
+    it('百分比字串轉為比例數值', function() {
+        assert.strictEqual(p2r('31.25%'), 0.3125)
+        assert.strictEqual(p2r('100%'), 1)
+        assert.strictEqual(p2r('0%'), 0)
+    })
+
+    it('負百分比字串轉為負比例數值', function() {
+        assert.strictEqual(p2r('-5%'), -0.05)
+        assert.strictEqual(p2r('-71.17%'), -0.7117)
+    })
+
+    it('未含%之字串回傳0', function() {
+        //w-trade-backtest於無任何交易時各比例欄位為空字串
+        assert.strictEqual(p2r(''), 0)
+        assert.strictEqual(p2r('50'), 0)
+        assert.strictEqual(p2r('abc'), 0)
+    })
+
+    it('非字串輸入先經cstr轉字串後判斷, 無%故回傳0', function() {
+        assert.strictEqual(p2r(50), 0)
+        assert.strictEqual(p2r(null), 0)
+        assert.strictEqual(p2r(undefined), 0)
+    })
+
+    it('超過100%之字串可轉為大於1之比例', function() {
+        assert.strictEqual(p2r('250%'), 2.5)
+    })
+
+    it('%前非數值時經cdbl轉為0', function() {
+        assert.strictEqual(p2r('abc%'), 0)
+    })
+
+    it('與calcFitness之用法一致: 勝率百分比字串轉為[0,1]比例', function() {
+        //calcFitness以p2r轉rWin後限縮至[0,1]
+        assert.strictEqual(p2r('60%'), 0.6)
+        assert.strictEqual(p2r('12.5%'), 0.125)
+    })
+
+})

package/test/unit-readStrategies.test.mjs

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+import assert from 'assert'
+import fs from 'fs'
+import path from 'path'
+import readStrategies from '../src/readStrategies.mjs'
+import genStrategyFileName from '../src/genStrategyFileName.mjs'
+import genTid from '../src/genTid.mjs'
+import cont from '../src/cont.mjs'
+import { buildFdTmp } from './unit-setup.mjs'
+
+
+//規格來源: src/readStrategies.mjs
+//  readStrategies(fd, opt): 列舉fd第1層之檔案並解析策略資訊
+//    fd非資料夾時回傳[], 資料夾內無檔案時回傳[]
+//    僅列檔案, 資料夾不列入(fsTreeFolder預設levelLimit=1, 故子資料夾內檔案亦不列入)
+//    主檔名以wsemi replace剔除全部'.json'後, 依cont.dlmPkgs切段, 依序為tid、levelNumTrade與
+//      rEquivalentCumuProfitOrLossFinalNormYear, 三者皆為字串, 缺段者為空字串
+//    切不出tid(非wsemi isestr判定之有效字串)者略過
+//    tid再依cont.dlmSeps切段, 首段為mode, 其餘為ps
+//    tkid為`${tid}:${levelNumTrade}`
+//    opt.readContent為true時以data提供檔案內容, 內容非合法json時data為null
+
+
+let fdTmp = buildFdTmp('readStrategies')
+
+
+let settings = { uIni: 1000 }
+
+
+//buildFd: 建立空資料夾並回傳路徑
+let buildFd = (fd) => {
+    let p = path.resolve(fdTmp, fd)
+    fs.mkdirSync(p, { recursive: true })
+    return p
+}
+
+
+//writeStrategy: 以genStrategyFileName之規則寫出策略檔
+let writeStrategy = (fdData, keys, numTrade, rEq, content = {}) => {
+    let fn = genStrategyFileName('btc', '4hr', 'long', keys, settings, {
+        numTrade,
+        rEquivalentCumuProfitOrLossFinalNormYear: rEq,
+    })
+    fs.writeFileSync(path.resolve(fdData, fn), JSON.stringify(content), 'utf8')
+    return fn
+}
+
+
+describe('readStrategies', function() {
+
+    after(function() {
+        fs.rmSync(fdTmp, { recursive: true, force: true })
+    })
+
+    describe('檔名解析', function() {
+
+        it('讀出genStrategyFileName所寫之策略檔, 各欄位可由檔名反解', function() {
+            let fd = buildFd('basic')
+            let keys = ['btc_price_4hr_ma_1day']
+            let fn = writeStrategy(fd, keys, 30, '31.25%')
+
+            let ss = readStrategies(fd)
+            assert.strictEqual(ss.length, 1)
+
+            let tid = genTid('btc', '4hr', 'long', keys)
+            assert.strictEqual(ss[0].name, fn)
+            assert.strictEqual(ss[0].tid, tid)
+            assert.strictEqual(ss[0].levelNumTrade, '12')
+            assert.strictEqual(ss[0].tkid, `${tid}:12`)
+            assert.strictEqual(ss[0].rEquivalentCumuProfitOrLossFinalNormYear, '31.25%')
+        })
+
+        it('levelNumTrade與等效年化盈虧皆為字串, 未轉型', function() {
+            let fd = buildFd('str')
+            writeStrategy(fd, ['aa'], 30, '31.25%')
+
+            let ss = readStrategies(fd)
+            assert.strictEqual(typeof ss[0].levelNumTrade, 'string')
+            assert.strictEqual(typeof ss[0].rEquivalentCumuProfitOrLossFinalNormYear, 'string')
+        })
+
+        it('tid再依dlmSeps拆為mode與ps', function() {
+            let fd = buildFd('modeps')
+            //keys經genTid縮寫後為p_ma_1day與i_rsi_4hr
+            writeStrategy(fd, ['btc_price_4hr_ma_1day', 'btc_index_rsi_4hr'], 30, '10%')
+
+            let ss = readStrategies(fd)
+            assert.strictEqual(ss[0].mode, 'long')
+            assert.deepStrictEqual(ss[0].ps, ['p_ma_1day', 'i_rsi_4hr'])
+        })
+
+        it('單一key時ps僅一元素', function() {
+            let fd = buildFd('ps1')
+            writeStrategy(fd, ['btc_price_4hr_ma_1day'], 30, '10%')
+
+            let ss = readStrategies(fd)
+            assert.deepStrictEqual(ss[0].ps, ['p_ma_1day'])
+        })
+
+        it('等效年化盈虧為負值時亦可正確反解', function() {
+            let fd = buildFd('neg')
+            writeStrategy(fd, ['aa'], 30, '-71.17%')
+
+            let ss = readStrategies(fd)
+            assert.strictEqual(ss[0].rEquivalentCumuProfitOrLossFinalNormYear, '-71.17%')
+        })
+
+        it('path為絕對路徑, 即使fd以相對路徑給予', function() {
+            let fd = buildFd('abs')
+            let fn = writeStrategy(fd, ['aa'], 30, '10%')
+
+            let fdRel = path.relative(process.cwd(), fd)
+            let ss = readStrategies(fdRel)
+            assert.strictEqual(ss[0].path, path.resolve(fd, fn))
+            assert.ok(path.isAbsolute(ss[0].path))
+        })
+
+        it('同tid不同級距之策略檔各自為一筆, tkid不同', function() {
+            let fd = buildFd('levels')
+            let keys = ['aa']
+            writeStrategy(fd, keys, 20, '10%') //級距11
+            writeStrategy(fd, keys, 30, '20%') //級距12
+
+            let ss = readStrategies(fd)
+            assert.strictEqual(ss.length, 2)
+
+            let tid = genTid('btc', '4hr', 'long', keys)
+            let tkids = ss.map((v) => {
+                return v.tkid
+            }).sort()
+            assert.deepStrictEqual(tkids, [`${tid}:11`, `${tid}:12`].sort())
+            assert.strictEqual(ss[0].tid, ss[1].tid)
+        })
+
+        it('與genStrategyFileName可往返: 由讀回之欄位可重組原檔名', function() {
+            let fd = buildFd('roundtrip')
+            let keys = ['btc_price_4hr_ma_1day', 'btc_index_rsi_4hr']
+            let fn = writeStrategy(fd, keys, 300, '8.5%')
+
+            let ss = readStrategies(fd)
+            let s = ss[0]
+            let fnRebuild = `${s.tid}${cont.dlmPkgs}${s.levelNumTrade}${cont.dlmPkgs}${s.rEquivalentCumuProfitOrLossFinalNormYear}.json`
+            assert.strictEqual(fnRebuild, fn)
+        })
+
+    })
+
+    describe('非策略檔名之處理', function() {
+
+        it('不符檔名規則者仍列入, 缺少之段為空字串', function() {
+            //僅要求切得出tid, 故單段檔名亦成立
+            let fd = buildFd('loose')
+            fs.writeFileSync(path.resolve(fd, 'plain.json'), '{}', 'utf8')
+
+            let ss = readStrategies(fd)
+            assert.strictEqual(ss.length, 1)
+            assert.strictEqual(ss[0].tid, 'plain')
+            assert.strictEqual(ss[0].levelNumTrade, '')
+            assert.strictEqual(ss[0].rEquivalentCumuProfitOrLossFinalNormYear, '')
+            assert.strictEqual(ss[0].tkid, 'plain:')
+        })
+
+        it('非json副檔名之檔案亦列入, 主檔名未剔除副檔名', function() {
+            //僅剔除'.json', 故'.txt'留在tid內
+            let fd = buildFd('ext')
+            fs.writeFileSync(path.resolve(fd, 'foo.txt'), 'x', 'utf8')
+
+            let ss = readStrategies(fd)
+            assert.strictEqual(ss.length, 1)
+            assert.strictEqual(ss[0].tid, 'foo.txt')
+        })
+
+        it('檔名內多處.json皆被剔除', function() {
+            let fd = buildFd('multi')
+            fs.writeFileSync(path.resolve(fd, 'a.jsonb.json'), '{}', 'utf8')
+
+            let ss = readStrategies(fd)
+            assert.strictEqual(ss[0].tid, 'ab')
+        })
+
+        it('主檔名剔除.json後為空字串者被略過', function() {
+            let fd = buildFd('emptyname')
+            writeStrategy(fd, ['aa'], 30, '10%')
+            fs.writeFileSync(path.resolve(fd, '.json'), '{}', 'utf8')
+
+            let ss = readStrategies(fd)
+            assert.strictEqual(ss.length, 1)
+            assert.notStrictEqual(ss[0].tid, '')
+        })
+
+    })
+
+    describe('列舉範圍', function() {
+
+        it('僅列第1層, 子資料夾與其內檔案皆不列入', function() {
+            let fd = buildFd('nested')
+            writeStrategy(fd, ['aa'], 30, '10%')
+            let fdSub = path.resolve(fd, 'sub')
+            fs.mkdirSync(fdSub, { recursive: true })
+            writeStrategy(fdSub, ['bb'], 30, '10%')
+
+            let ss = readStrategies(fd)
+            assert.strictEqual(ss.length, 1)
+            assert.deepStrictEqual(ss[0].ps, ['aa'])
+        })
+
+        it('空資料夾回傳空陣列', function() {
+            let fd = buildFd('empty')
+            assert.deepStrictEqual(readStrategies(fd), [])
+        })
+
+        it('僅含子資料夾而無檔案時回傳空陣列', function() {
+            let fd = buildFd('onlysub')
+            fs.mkdirSync(path.resolve(fd, 'sub'), { recursive: true })
+            assert.deepStrictEqual(readStrategies(fd), [])
+        })
+
+        it('資料夾不存在時回傳空陣列', function() {
+            assert.deepStrictEqual(readStrategies(path.resolve(fdTmp, 'not-exist-folder')), [])
+        })
+
+        it('fd非有效字串時回傳空陣列', function() {
+            assert.deepStrictEqual(readStrategies(''), [])
+            assert.deepStrictEqual(readStrategies(null), [])
+            assert.deepStrictEqual(readStrategies(123), [])
+        })
+
+    })
+
+    describe('讀取內容', function() {
+
+        it('預設不讀取內容, 無data欄位', function() {
+            let fd = buildFd('nodata')
+            writeStrategy(fd, ['aa'], 30, '10%', { tid: 'x', fitness: 1.5 })
+
+            let ss = readStrategies(fd)
+            assert.strictEqual(ss[0].data, undefined)
+        })
+
+        it('opt.readContent為true時以data提供檔案內容', function() {
+            let fd = buildFd('data')
+            let content = { tid: 'x', fitness: 1.5, summary: { numTrade: 30 } }
+            writeStrategy(fd, ['aa'], 30, '10%', content)
+
+            let ss = readStrategies(fd, { readContent: true })
+            assert.deepStrictEqual(ss[0].data, content)
+        })
+
+        it('內容非合法json時data為null', function() {
+            let fd = buildFd('badjson')
+            fs.writeFileSync(path.resolve(fd, 'bad.json'), 'not-a-json', 'utf8')
+
+            let ss = readStrategies(fd, { readContent: true })
+            assert.strictEqual(ss[0].data, null)
+        })
+
+    })
+
+})

package/test/unit-setup.mjs

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+import fs from 'fs'
+import path from 'path'
+
+
+//共用fixtures與工具, 各unit-*.test.mjs引用
+//  本檔不帶.test.中綴, 不會被mocha當測試檔抓取
+
+
+//buildFdTmp: 暫存根資料夾, 各測試檔獨立使用./test/tmp-unit-{函數名}, 結束時整夾刪除,
+//  各檔不共用父層, 故平行測試(mocha --parallel)時互不干擾
+let buildFdTmp = (name) => path.resolve(`./test/tmp-unit-${name}`)
+
+
+//st: estim系列所需之設定物件, 以keySettings為鍵取用
+let keySettings = 'btc4hr'
+let buildSt = () => {
+    return {
+        [keySettings]: {
+            name: 'btc',
+            symbol: 'BTCUSDT',
+            interval: '4hr',
+        },
+    }
+}
+
+
+//keyOhlc: 依estimKeys內`${name}_price_${interval}`規則組出之K線序列key
+let keyOhlc = 'btc_price_4hr'
+
+
+//tBase, tStep: 基準起始時間2020-01-01T00:00:00, 每根K線間隔4小時
+let tBase = Date.UTC(2020, 0, 1)
+let tStep = 4 * 3600 * 1000
+
+
+//genTimes: 產生n根K線之時間字串序列, 格式'2020-01-01T00:00:00'
+let genTimes = (n, opt = {}) => {
+    let base = opt.base !== undefined ? opt.base : tBase
+    let ts = []
+    for (let i = 0; i < n; i++) {
+        ts.push(new Date(base + i * tStep).toISOString().slice(0, 19))
+    }
+    return ts
+}
+
+
+//genArrOhlc: 以sin/cos合成之確定性K線(不用Math.random以確保可重現)
+//  Open為前一根Close, High/Low各外擴1, 故止盈止損皆有機會觸發
+let genArrOhlc = (n, opt = {}) => {
+    let ts = genTimes(n, opt)
+    let c = opt.start !== undefined ? opt.start : 100
+    let arr = []
+    for (let i = 0; i < n; i++) {
+        let o = c
+        c = Math.max(1, c + Math.sin(i * 0.31) * 2 + Math.cos(i * 0.11) * 1.5)
+        arr.push({
+            time: ts[i],
+            Open: o,
+            High: Math.max(o, c) + 1,
+            Low: Math.min(o, c) - 1,
+            Close: c,
+        })
+    }
+    return arr
+}
+
+
+//genArrParam: 以sin合成之確定性指標序列, 值域[-1,1]落於estimKeys門檻範圍[-2,2]內
+let genArrParam = (n, opt = {}) => {
+    let ts = genTimes(n, opt)
+    let phase = opt.phase !== undefined ? opt.phase : 0
+    let arr = []
+    for (let i = 0; i < n; i++) {
+        arr.push({
+            time: ts[i],
+            param: Math.sin(i * 0.17 + phase),
+        })
+    }
+    return arr
+}
+
+
+//buildFdData: 於fdTmp/fd內建立data-ohlc(keyOhlc.json)與data-param(各keysParam一檔)與data-strategy
+//  keysParam為[{key, phase}]或[key]
+let buildFdData = (fdTmp, fd, keysParam, opt = {}) => {
+    let n = opt.n !== undefined ? opt.n : 30
+
+    let fdOhlc = path.resolve(fdTmp, fd, 'data-ohlc')
+    let fdParam = path.resolve(fdTmp, fd, 'data-param')
+    let fdData = path.resolve(fdTmp, fd, 'data-strategy')
+    fs.mkdirSync(fdOhlc, { recursive: true })
+    fs.mkdirSync(fdParam, { recursive: true })
+
+    let arrOhlc = genArrOhlc(n, opt)
+    fs.writeFileSync(path.resolve(fdOhlc, `${keyOhlc}.json`), JSON.stringify(arrOhlc), 'utf8')
+
+    keysParam.forEach((v, i) => {
+        let key = typeof v === 'string' ? v : v.key
+        let arrParam = genArrParam(n, { ...opt, phase: i * 0.5 })
+        fs.writeFileSync(path.resolve(fdParam, `${key}.json`), JSON.stringify(arrParam), 'utf8')
+    })
+
+    let timeStart = arrOhlc[0].time
+    let timeEnd = arrOhlc[n - 1].time
+
+    return { fdOhlc, fdParam, fdData, timeStart, timeEnd, arrOhlc }
+}
+
+
+export {
+    buildFdTmp,
+    keySettings,
+    buildSt,
+    keyOhlc,
+    genTimes,
+    genArrOhlc,
+    genArrParam,
+    buildFdData
+}

package/toolg/addVersion.mjs

@@ -0,0 +1,4 @@
+import addVersion from 'w-package-tools/src/addVersion.mjs'
+
+
+addVersion()

package/toolg/cleanFolder.mjs

@@ -0,0 +1,5 @@
+import cleanFolder from 'w-package-tools/src/cleanFolder.mjs'
+
+
+cleanFolder('dist')
+cleanFolder('docs')

package/toolg/gDistRollup.mjs

@@ -0,0 +1,37 @@
+// import path from 'path'
+import rollupFiles from 'w-package-tools/src/rollupFiles.mjs'
+
+
+let fdSrc = './src'
+let fdTar = './dist'
+
+
+async function rp() {
+
+    await rollupFiles({ //rollupFiles預設會clean folder
+        fns: 'WTradeSolve.mjs',
+        fdSrc,
+        fdTar,
+        nameDistType: 'kebabCase',
+        runin: 'nodejs', //本套件以fs讀寫策略檔與掃描資料夾, 僅能於nodejs執行
+        // bNodePolyfill: true,
+        // bMinify: false,
+        globals: {
+            path: 'path',
+            fs: 'fs',
+        },
+        external: [
+            'path',
+            'fs',
+        ],
+    })
+        .catch((err) => {
+            console.log(err)
+        })
+
+}
+rp()
+    .catch((err) => {
+        console.log(err)
+    })
+

package/toolg/gDocsExams.mjs

@@ -0,0 +1,48 @@
+import fs from 'fs'
+import _ from 'lodash-es'
+import getFiles from 'w-package-tools/src/getFiles.mjs'
+import getPks from 'w-package-tools/src/getPks.mjs'
+
+
+let fdSrc = './examples/'
+let fdTar = './docs/examples/'
+
+
+function main() {
+    //把example裡面cdn更換, 再複製到docs的example內, 作為日後發佈為靜態網站
+
+    //pks
+    let pks = getPks()
+
+    //url
+    let url = `https://cdn.jsdelivr.net/npm/w-trade-solve@${pks.version}/dist/w-trade-solve.umd.js`
+
+    //mkdirSync
+    if (!fs.existsSync(fdTar)) {
+        fs.mkdirSync(fdTar)
+    }
+
+    //getFiles
+    let ltfs = getFiles(fdSrc)
+
+    _.each(ltfs, function(v) {
+
+        //fn
+        let fn = fdSrc + v
+
+        //c
+        let c = fs.readFileSync(fn, 'utf8')
+
+        //replace
+        let r
+        r = `../dist/w-trade-solve.umd.js`
+        c = c.replace(r, url)
+
+        //write
+        //console.log(c)
+        fs.writeFileSync(fdTar + v, c, 'utf8')
+
+    })
+
+}
+// main()

package/toolg/modifyReadme.mjs

@@ -0,0 +1,4 @@
+import modifyReadme from 'w-package-tools/src/modifyReadme.mjs'
+
+
+modifyReadme()