w-trade-solve 1.0.5 → 2.0.2

package/test/unit-estimKeys.test.mjs

@@ -4,7 +4,9 @@ import path from 'path'
 import estimKeys from '../src/estimKeys.mjs'
 import readStrategies from '../src/readStrategies.mjs'
 import genTid from '../src/genTid.mjs'
-import cont from '../src/cont.mjs'
+import genStrategyFileName from '../src/genStrategyFileName.mjs'
+import calcLevelNumTrade from '../src/calcLevelNumTrade.mjs'
+import calcFitness from '../src/calcFitness.mjs'
 import ott from '../src/ott.mjs'
 import { buildFdTmp, buildFdData, name, symbol, interval } from './unit-setup.mjs'
 
@@ -15,7 +17,10 @@ import { buildFdTmp, buildFdData, name, symbol, interval } from './unit-setup.mj
 //    各key門檻由rang(-2,2,40)之41點各自平移+10與-10為82點, 解值>0代表'>'條件、<0代表'<'條件, 還原時扣除平移值
 //    以opt.methodOml指定之演算法求解(預設PSO), 各次以runStrategy回測並經calcFitness計算適應值
 //    滿足thNumTrade、thRWin與thREquivalentCumuProfitOrLossFinalNormYear三門檻者, 以genStrategyFileName存入fdData
-//    同tkid(tid+級距)已有策略時, 僅於等效年化盈虧更佳時抽換並刪除較差者, 故同tkid恆僅一檔
+//    檔名為tkid之純函數(雜湊格式), 同tkid已有策略時僅於等效年化盈虧更佳時原地覆寫, 故同tkid恆僅一檔
+//    策略檔內容除策略本體與summary、fitness外, 另落地tkid、numTrade、levelNumTrade、keys與solve區塊使欄位自足
+//    opt.funRunStrategyCustom可注入自訂評估核心(回傳{summary}), 求解全程改用之
+//    opt.useRunStrategyBeforeSave為true時存檔前重跑回測, 檔內numTrade/levelNumTrade/tkid/fitness皆由重跑之summary重新衍生(genRes同源)
 //    fdData不存在時自動建立
 
 
@@ -116,6 +121,34 @@ describe('estimKeys', function() {
             })
         })
 
+        it('策略檔內容欄位自足: 含tkid、numTrade、levelNumTrade與keys, 識別不依賴檔名', function() {
+            let ss = readStrategies(d.fdData, { readContent: true })
+            ss.forEach((s) => {
+                let c = s.data
+                assert.strictEqual(c.numTrade, Number(c.summary.numTrade))
+                assert.strictEqual(c.levelNumTrade, calcLevelNumTrade(Number(c.summary.numTrade)))
+                assert.strictEqual(c.tkid, `${c.tid}:${c.levelNumTrade}`)
+                assert.deepStrictEqual(c.keys, keys)
+                assert.strictEqual(c.fitness, calcFitness(c.settings, c.summary)) //fitness與summary同源
+            })
+        })
+
+        it('策略檔內容含solve區塊, 記錄求解時間窗、演算法與三門檻等求解條件', function() {
+            let ss = readStrategies(d.fdData, { readContent: true })
+            ss.forEach((s) => {
+                let c = s.data
+                assert.strictEqual(c.solve.timeStart, d.timeStart)
+                assert.strictEqual(c.solve.timeEnd, d.timeEnd)
+                assert.strictEqual(c.solve.methodOml, 'PSO') //未給methodOml時採PSO, 記錄實際採用者
+                assert.strictEqual(c.solve.thNumTrade, optBase.thNumTrade)
+                assert.strictEqual(c.solve.thRWin, optBase.thRWin)
+                assert.strictEqual(c.solve.thREquivalentCumuProfitOrLossFinalNormYear, optBase.thREquivalentCumuProfitOrLossFinalNormYear)
+                assert.deepStrictEqual(c.solve.thsTp, optBase.thsTp)
+                assert.deepStrictEqual(c.solve.thsSl, optBase.thsSl)
+                assert.match(c.solve.timeSolved, /^\d{4}-\d{2}-\d{2}T\d{2}:\d{2}:\d{2}$/)
+            })
+        })
+
         it('策略檔內之conds各元素為{key,sym,th}, key取自keys, sym為>或<, th落於[-2,2]', function() {
             let ss = readStrategies(d.fdData, { readContent: true })
             ss.forEach((s) => {
@@ -173,6 +206,191 @@ describe('estimKeys', function() {
 
     })
 
+    describe('自訂評估核心funRunStrategyCustom', function() {
+
+        let keys = ['btc_4hr_ma_1day']
+        let d = null
+
+        before(function() {
+            d = buildFdData(fdTmp, 'custom', keys, { n: 20 })
+        })
+
+        //optQuick: 縮小求解量之共用設定
+        let optQuick = {
+            ...optBase,
+            Np: 8,
+            NContiguous: 5,
+            UseRepeat: false,
+            UseImmigration: false,
+        }
+
+        //smStub: 過三門檻之固定精簡summary(含契約要求之numTrade/rWin/uEquityFinal/eqYr四欄)
+        let smStub = {
+            numTrade: 10,
+            rWin: '60.00%',
+            uEquityFinal: 1005,
+            rEquivalentCumuProfitOrLossFinalNormYear: '20.00%',
+            rTradeAllMax: '1.00%',
+        }
+
+        //call: 以獨立策略資料夾執行求解並讀回策略檔
+        let call = async (tag, extra = {}) => {
+            let fdData = path.resolve(fdTmp, 'custom', `s-${tag}`)
+            let m = await estimKeys(ott, name, symbol, interval, d.fdOhlc, d.fdParam, d.timeStart, d.timeEnd, 'long', keys, fdData, {
+                ...optQuick,
+                ...extra,
+            })
+            let ss = readStrategies(fdData, { readContent: true })
+            return { m, ss }
+        }
+
+        it('注入後求解全程改用自訂函數, 並收到{ott,strategy,funGetSeries}', async function() {
+            let nCall = 0
+            let gotShape = false
+            let { m, ss } = await call('inject', {
+                funRunStrategyCustom: async ({ ott, strategy, funGetSeries }) => {
+                    nCall++
+                    if (!gotShape) {
+                        gotShape = typeof ott === 'function' && typeof funGetSeries === 'function' && Array.isArray(strategy.conds) && strategy.mode === 'long'
+                    }
+                    return { summary: smStub }
+                },
+            })
+            assert.ok(nCall > 0, '自訂函數未被呼叫')
+            assert.strictEqual(nCall, m.stopExecutions, '自訂函數呼叫次數須等於核心分析次數')
+            assert.ok(gotShape, '自訂函數收到之引數形式非預期')
+            assert.strictEqual(ss.length, 1, 'stub固定summary故同tkid恆僅一檔')
+        })
+
+        it('預設不重跑, 存檔即為自訂函數之summary, 衍生欄位與之同源', async function() {
+            let { ss } = await call('nosave-rerun', {
+                funRunStrategyCustom: async () => {
+                    return { summary: smStub }
+                },
+            })
+            let c = ss[0].data
+            assert.deepStrictEqual(c.summary, smStub)
+            assert.strictEqual(c.numTrade, 10)
+            assert.strictEqual(c.levelNumTrade, calcLevelNumTrade(10))
+            assert.strictEqual(c.tkid, `${c.tid}:${calcLevelNumTrade(10)}`)
+            assert.strictEqual(c.fitness, calcFitness(c.settings, smStub))
+        })
+
+        it('useRunStrategyBeforeSave為true時存檔前重跑runStrategy, 落地完整官方summary且全部衍生欄位同源', async function() {
+            //stub僅首次評估放行門檻: 官方重跑之numTrade級距與stub可能不同, 若後續評估再查同檔會觸發tkid不一致throw(該防護屬預期行為), 故僅存檔一次
+            let nCall = 0
+            let { ss } = await call('save-rerun', {
+                funRunStrategyCustom: async () => {
+                    nCall++
+                    if (nCall === 1) {
+                        return { summary: smStub }
+                    }
+                    return { summary: { ...smStub, numTrade: 0 } } //不過thNumTrade門檻
+                },
+                useRunStrategyBeforeSave: true,
+            })
+            assert.ok(ss.length >= 1)
+            ss.forEach((s) => {
+                let c = s.data
+                //官方summary具stub沒有的完整欄位
+                assert.ok('rSharpe' in c.summary, '落地summary須為官方完整欄位')
+                assert.ok('rDrawdownMax' in c.summary)
+                //檔內衍生欄位由重跑之summary重新衍生(genRes同源)
+                assert.strictEqual(c.numTrade, Number(c.summary.numTrade))
+                assert.strictEqual(c.levelNumTrade, calcLevelNumTrade(Number(c.summary.numTrade)))
+                assert.strictEqual(c.tkid, `${c.tid}:${c.levelNumTrade}`)
+                assert.strictEqual(c.fitness, calcFitness(c.settings, c.summary))
+            })
+        })
+
+        it('funRunStrategyCustomBeforeSave給定時, 存檔前改用該函數', async function() {
+            let smSave = { ...smStub, rEquivalentCumuProfitOrLossFinalNormYear: '33.00%', numTrade: 12 }
+            let { ss } = await call('save-custom', {
+                funRunStrategyCustom: async () => {
+                    return { summary: smStub }
+                },
+                useRunStrategyBeforeSave: true,
+                funRunStrategyCustomBeforeSave: async () => {
+                    return { summary: smSave }
+                },
+            })
+            let c = ss[0].data
+            assert.deepStrictEqual(c.summary, smSave)
+            assert.strictEqual(c.numTrade, 12) //由重跑summary重新衍生
+            assert.strictEqual(c.fitness, calcFitness(c.settings, smSave))
+        })
+
+        it('重跑結果跨級距時, 檔名以重跑summary重算, 檔名與檔內同源', async function() {
+            //stub級距11(numTrade 10), 重跑回傳級距12(numTrade 30) → 檔案應落在級距12檔名
+            let smSave = { ...smStub, numTrade: 30, rEquivalentCumuProfitOrLossFinalNormYear: '33.00%' }
+            let nCall = 0
+            let { ss } = await call('save-relevel', {
+                funRunStrategyCustom: async () => {
+                    nCall++
+                    return { summary: nCall === 1 ? smStub : { ...smStub, numTrade: 0 } } //僅首次放行, 避免後續評估以級距11舊檔名再查
+                },
+                useRunStrategyBeforeSave: true,
+                funRunStrategyCustomBeforeSave: async () => {
+                    return { summary: smSave }
+                },
+            })
+            assert.strictEqual(ss.length, 1)
+            assert.match(ss[0].name, /^long_12_[0-9a-f]{16}\.json$/, `檔名 ${ss[0].name} 須為重跑之級距12`)
+            let c = ss[0].data
+            assert.strictEqual(c.numTrade, 30)
+            assert.strictEqual(c.levelNumTrade, 12)
+            assert.strictEqual(c.tkid, `${c.tid}:12`)
+        })
+
+        it('跨級距且新檔名已有更佳者時, 放棄本次寫入', async function() {
+            //預置級距12檔案(eqYr 50%), 重跑回傳級距12但eqYr 33%較差 → 不得覆寫
+            let fdData = path.resolve(fdTmp, 'custom', 's-relevel-keep')
+            fs.mkdirSync(fdData, { recursive: true })
+            let tid = genTid(name, '4hr', 'long', keys)
+            let smBetter = { numTrade: 30, rWin: '70.00%', uEquityFinal: 1010, rEquivalentCumuProfitOrLossFinalNormYear: '50.00%' }
+            let fnBetter = genStrategyFileName(name, '4hr', 'long', keys, {}, smBetter)
+            fs.writeFileSync(path.resolve(fdData, fnBetter), JSON.stringify({
+                tid,
+                tkid: `${tid}:12`,
+                name,
+                interval: '4hr',
+                summary: smBetter,
+            }), 'utf8')
+
+            let smSave = { ...smStub, numTrade: 30, rEquivalentCumuProfitOrLossFinalNormYear: '33.00%' }
+            let nCall = 0
+            await estimKeys(ott, name, symbol, interval, d.fdOhlc, d.fdParam, d.timeStart, d.timeEnd, 'long', keys, fdData, {
+                ...optQuick,
+                funRunStrategyCustom: async () => {
+                    nCall++
+                    return { summary: nCall === 1 ? smStub : { ...smStub, numTrade: 0 } }
+                },
+                useRunStrategyBeforeSave: true,
+                funRunStrategyCustomBeforeSave: async () => {
+                    return { summary: smSave }
+                },
+            })
+
+            let ss = readStrategies(fdData, { readContent: true })
+            assert.strictEqual(ss.length, 1, '不得產生新檔')
+            assert.strictEqual(ss[0].data.summary.rEquivalentCumuProfitOrLossFinalNormYear, '50.00%', '既有更佳者不得被覆寫')
+        })
+
+        it('未開useRunStrategyBeforeSave時, funRunStrategyCustomBeforeSave不生效', async function() {
+            let smSave = { ...smStub, rEquivalentCumuProfitOrLossFinalNormYear: '33.00%' }
+            let { ss } = await call('save-custom-off', {
+                funRunStrategyCustom: async () => {
+                    return { summary: smStub }
+                },
+                funRunStrategyCustomBeforeSave: async () => {
+                    return { summary: smSave }
+                },
+            })
+            assert.deepStrictEqual(ss[0].data.summary, smStub)
+        })
+
+    })
+
     describe('omlPSO設定傳遞', function() {
 
         //opt除estimKeys自身欄位外皆原樣傳遞至omlPSO, 兩者欄位名稱無重疊
@@ -488,14 +706,13 @@ describe('estimKeys', function() {
 
     describe('策略檔名規則', function() {
 
-        it('檔名恰可由dlmPkgs切為3段', function() {
+        it('檔名為雜湊格式`${mode}_${levelNumTrade}_${hash16}.json`, 長度固定不受keys個數影響', function() {
             //由求解階段所產生之檔案驗證
             let fdData = path.resolve(fdTmp, 'solve', 'data-strategy')
             let fns = fs.readdirSync(fdData)
             assert.ok(fns.length > 0)
             fns.forEach((fn) => {
-                assert.strictEqual(fn.slice(0, -5).split(cont.dlmPkgs).length, 3, `檔名 ${fn}`)
-                assert.ok(fn.endsWith('.json'), `檔名 ${fn}`)
+                assert.match(fn, /^long_\d+_[0-9a-f]{16}\.json$/, `檔名 ${fn}`)
             })
         })
 

package/test/unit-genStrategyFileName.test.mjs

@@ -1,39 +1,61 @@
 import assert from 'assert'
+import crypto from 'crypto'
 import genStrategyFileName from '../src/genStrategyFileName.mjs'
 import genTid from '../src/genTid.mjs'
 import calcLevelNumTrade from '../src/calcLevelNumTrade.mjs'
-import cont from '../src/cont.mjs'
 
 
 //規格來源: src/genStrategyFileName.mjs
 //  genStrategyFileName(coin, interval, mode, keys, settings, summary):
-//    檔名為`${tid}${cont.dlmPkgs}${levelNumTrade}${cont.dlmPkgs}${rEquivalentCumuProfitOrLossFinalNormYear}.json`
+//    檔名為`${mode}_${levelNumTrade}_${hash}.json`
+//    hash為md5(`${coin}:${interval}:${tid}:${levelNumTrade}`)取前16碼(64bits)
 //    tid由genTid(coin, interval, mode, keys)產生
 //    levelNumTrade由calcLevelNumTrade(cint(summary.numTrade))產生
-//    rEquivalentCumuProfitOrLossFinalNormYear直接取自summary, 未經轉換
+//    檔名為(coin,interval,tid,levelNumTrade)之純函數, 與求解結果(等效年化盈虧)無關, 故同tkid恆對應同一檔名
+//    hash輸入含coin與interval, 使genTid剔除幣種與週期後相同之tid不致跨幣種/跨週期碰撞
 //    settings未參與檔名組成
 
 
-let p = cont.dlmPkgs
+let p = '_'
 
 
 let settings = { uIni: 1000, uTrade: 1, rTakeProfit: 0.05, rStopLoss: 0.03, rFee: 0.0005 }
 
 
+//buildFn: 依規格自行組出預期檔名
+let buildFn = (coin, interval, mode, keys, numTrade) => {
+    let tid = genTid(coin, interval, mode, keys)
+    let levelNumTrade = calcLevelNumTrade(numTrade)
+    let hash = crypto.createHash('md5').update(`${coin}:${interval}:${tid}:${levelNumTrade}`, 'utf8').digest('hex').slice(0, 16)
+    return `${mode}${p}${levelNumTrade}${p}${hash}.json`
+}
+
+
 describe('genStrategyFileName', function() {
 
-    it('檔名由tid、級距與等效年化盈虧以dlmPkgs串接並附.json', function() {
+    it('檔名為mode、級距與雜湊16碼以底線串接並附.json', function() {
         let keys = ['btc_price_4hr_ma_1day']
         let summary = { numTrade: 30, rEquivalentCumuProfitOrLossFinalNormYear: '31.25%' }
         let fn = genStrategyFileName('btc', '4hr', 'long', keys, settings, summary)
-        assert.strictEqual(fn, `long${cont.dlmSeps}p_ma_1day${p}12${p}31.25%.json`)
+        //tid為'long ║ p_ma_1day', 級距12, hash=md5('btc:4hr:long ║ p_ma_1day:12')前16碼
+        assert.strictEqual(fn, 'long_12_9fce6961e8f56493.json')
     })
 
-    it('tid段與genTid之輸出一致', function() {
+    it('檔名符合`${mode}_${levelNumTrade}_${hash16}.json`樣式', function() {
         let keys = ['btc_index_rsi_4hr', 'btc_price_4hr_ma_1day']
         let summary = { numTrade: 8, rEquivalentCumuProfitOrLossFinalNormYear: '5%' }
         let fn = genStrategyFileName('btc', '4hr', 'short', keys, settings, summary)
-        assert.strictEqual(fn.split(p)[0], genTid('btc', '4hr', 'short', keys))
+        assert.match(fn, /^short_2_[0-9a-f]{16}\.json$/)
+    })
+
+    it('雜湊段依規格為md5(`${coin}:${interval}:${tid}:${levelNumTrade}`)前16碼, 可由genTid與calcLevelNumTrade重組', function() {
+        let keys = ['btc_index_rsi_4hr', 'btc_price_4hr_ma_1day']
+        let nums = [0, 3, 30, 120, 3500, 9000]
+        nums.forEach((numTrade) => {
+            let summary = { numTrade, rEquivalentCumuProfitOrLossFinalNormYear: '1%' }
+            let fn = genStrategyFileName('btc', '4hr', 'long', keys, settings, summary)
+            assert.strictEqual(fn, buildFn('btc', '4hr', 'long', keys, numTrade), `numTrade[${numTrade}]`)
+        })
     })
 
     it('級距段與calcLevelNumTrade之輸出一致', function() {
@@ -46,11 +68,12 @@ describe('genStrategyFileName', function() {
         })
     })
 
-    it('等效年化盈虧原樣帶入, 含負值與%符號', function() {
+    it('等效年化盈虧不影響檔名, 同tkid恆對應同一檔名', function() {
+        //此為O(1)直查與原地覆寫之基礎: 同tkid之新舊策略檔名相同
         let keys = ['aa']
-        let summary = { numTrade: 30, rEquivalentCumuProfitOrLossFinalNormYear: '-71.17%' }
-        let fn = genStrategyFileName('btc', '4hr', 'long', keys, settings, summary)
-        assert.strictEqual(fn, `long${cont.dlmSeps}aa${p}12${p}-71.17%.json`)
+        let a = genStrategyFileName('btc', '4hr', 'long', keys, settings, { numTrade: 30, rEquivalentCumuProfitOrLossFinalNormYear: '10%' })
+        let b = genStrategyFileName('btc', '4hr', 'long', keys, settings, { numTrade: 30, rEquivalentCumuProfitOrLossFinalNormYear: '-71.17%' })
+        assert.strictEqual(a, b)
     })
 
     it('settings不影響檔名', function() {
@@ -66,14 +89,30 @@ describe('genStrategyFileName', function() {
         let a = genStrategyFileName('btc', '4hr', 'long', keys, settings, { numTrade: 20, rEquivalentCumuProfitOrLossFinalNormYear: '10%' })
         let b = genStrategyFileName('btc', '4hr', 'long', keys, settings, { numTrade: 30, rEquivalentCumuProfitOrLossFinalNormYear: '10%' })
         assert.notStrictEqual(a, b)
-        assert.strictEqual(a.split(p)[0], b.split(p)[0]) //tid相同
     })
 
-    it('檔名恰可由dlmPkgs切為3段', function() {
-        let keys = ['btc_price_4hr_ma_1day', 'btc_index_rsi_4hr']
-        let summary = { numTrade: 30, rEquivalentCumuProfitOrLossFinalNormYear: '31.25%' }
+    it('不同幣種或週期之同組keys檔名不同, 不因genTid剔除幣種與週期而碰撞', function() {
+        //genTid('eth','4hr',...,['eth_price_4hr_ma_1day'])與genTid('btc','4hr',...,['btc_price_4hr_ma_1day'])同為'long ║ p_ma_1day',
+        //  hash輸入含coin與interval, 故檔名仍不同
+        let summary = { numTrade: 30, rEquivalentCumuProfitOrLossFinalNormYear: '10%' }
+        let a = genStrategyFileName('eth', '4hr', 'long', ['eth_price_4hr_ma_1day'], settings, summary)
+        let b = genStrategyFileName('btc', '4hr', 'long', ['btc_price_4hr_ma_1day'], settings, summary)
+        let c = genStrategyFileName('btc', '1hr', 'long', ['btc_price_1hr_ma_1day'], settings, summary)
+        assert.strictEqual(genTid('eth', '4hr', 'long', ['eth_price_4hr_ma_1day']), genTid('btc', '4hr', 'long', ['btc_price_4hr_ma_1day'])) //tid確實相同
+        assert.notStrictEqual(a, b)
+        assert.notStrictEqual(b, c)
+    })
+
+    it('keys個數多且名稱長時檔名長度仍固定, 不受NTFS單檔名段255字元上限影響', function() {
+        //舊式檔名隨keys個數線性成長, 7因子已達約240字元; 雜湊檔名恆為`${mode}_${級距}_${16碼}.json`
+        let keys = []
+        for (let i = 0; i < 20; i++) {
+            keys.push(`btc_price_4hr_someVeryLongIndicatorName${i}_15day`)
+        }
+        let summary = { numTrade: 30, rEquivalentCumuProfitOrLossFinalNormYear: '10%' }
         let fn = genStrategyFileName('btc', '4hr', 'long', keys, settings, summary)
-        assert.strictEqual(fn.split(p).length, 3)
+        assert.match(fn, /^long_12_[0-9a-f]{16}\.json$/)
+        assert.ok(fn.length <= 40, `檔名長度 ${fn.length} 須固定短`)
     })
 
     it('summary.numTrade非數值時先經cint轉為0, 級距為0', function() {