import each from 'lodash-es/each.js'
import filter from 'lodash-es/filter.js'
import get from 'lodash-es/get.js'
import isNumber from 'lodash-es/isNumber.js'
import map from 'lodash-es/map.js'
import size from 'lodash-es/size.js'
import sortBy from 'lodash-es/sortBy.js'
import dig from 'wsemi/src/dig.mjs'
import haskey from 'wsemi/src/haskey.mjs'
import isestr from 'wsemi/src/isestr.mjs'
import ispnum from 'wsemi/src/ispnum.mjs'
/**
* 統計全部訂單之回測摘要
*
* 統計交易次數、勝率、最大回撤、最大持倉、夏普值、最終權益與各盈虧比例等欄位
* 訂單需先經calcOrders結算(含uEquity)與calcOrdersRatio計算(含dayHold與rProfitOrLossDay，夏普值計算所需)
* uIni非正數或timeOhlcStart、timeOhlcEnd非有效字串時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 {Number} uIni 輸入初始資金正數
* @param {Array} ordersAll 輸入已結算訂單陣列
* @param {String} timeOhlcStart 輸入回測起始秒時間字串
* @param {String} timeOhlcEnd 輸入回測結束秒時間字串
* @returns {Object} 回傳回測摘要物件
* @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 },
* ]
*
* //ordersSubmit, 4張下單: 前3張分別於後續K棒觸發止盈或止損, 第4張未觸發(未平倉)
* let kpDef = { uTrade: 100, timeEnd: '', priceEnd: '', modeResult: '', uFee: 0.05 }
* let ordersSubmit = [
* { mode: 'long', timeStart: '2020-01-01T00:00:00', priceStart: 100, priceTakeProfit: 105, priceStopLoss: 97, ...kpDef },
* { mode: 'long', timeStart: '2020-01-01T04:00:00', priceStart: 105, priceTakeProfit: 110.25, priceStopLoss: 101.85, ...kpDef },
* { mode: 'short', timeStart: '2020-01-01T08:00:00', priceStart: 103, priceTakeProfit: 97.85, priceStopLoss: 106.09, ...kpDef },
* { mode: 'long', timeStart: '2020-01-01T16:00:00', priceStart: 93, priceTakeProfit: 105, priceStopLoss: 85, ...kpDef },
* ]
*
* let orders = await calcOrders(arrOhlc, ordersSubmit, { uIni: 1000 })
* orders = calcOrdersRatio(ott, orders)
* let summary = calcOrdersSummary(ott, 1000, orders, '2020-01-01T00:00:00', '2020-01-01T20:00:00')
* console.log(summary)
* // => {
* // btDays: 0,
* // btYears: '0.0',
* // numTrade: 4,
* // numTradeFin: 3,
* // numTradeUnsettled: 1,
* // uTradeAllMax: 200,
* // rTradeAllMax: '20.00%',
* // numTradeAllMax: 2,
* // uDrawdownMax: 3.1000000000000227,
* // rDrawdownMax: '0.31%',
* // rEquivalentDrawdownMax: '1.51%',
* // rSharpe: 7.675814289051032,
* // rWin: '66.67%',
* // uEquityFinal: 1006.6999999999999,
* // uCumuProfitOrLossFinal: 6.700000000000006,
* // rCumuProfitOrLossFinal: '0.67%',
* // rCumuProfitOrLossFinalNormYear: '0.00%',
* // rEquivalentCumuProfitOrLossFinal: '3.35%',
* // rEquivalentCumuProfitOrLossFinalNormYear: '0.00%'
* // }
*
*/
let calcOrdersSummary = (ott, uIni, ordersAll, timeOhlcStart, timeOhlcEnd) => {
if (!ispnum(uIni)) {
throw new Error(`uIni[${uIni}] is not a positive number`)
}
if (!isestr(timeOhlcStart)) {
throw new Error(`invalid timeOhlcStart[${timeOhlcStart}]`)
}
if (!isestr(timeOhlcEnd)) {
throw new Error(`invalid timeOhlcEnd[${timeOhlcEnd}]`)
}
//sortBy, 已或未平倉訂單一定有timeStart欄位
ordersAll = sortBy(ordersAll, 'timeStart')
let ordersFin = []
let ordersUnsettled = []
each(ordersAll, (o) => {
if (isestr(o.modeResult)) {
ordersFin.push(o)
}
else {
ordersUnsettled.push(o)
}
})
let numTrade = size(ordersAll) //總交易次數
let numTradeFin = size(ordersFin) //總已完成交易次數
let numTradeUnsettled = size(ordersUnsettled) //總未完成交易次數
let rWin = dig(size(filter(ordersAll, { modeResult: 'profit' })) / numTradeFin * 100, 2) + '%' //單位為%
let uDrawdownMax = 0 //最大回撤金額(USDT)
let rDrawdownMax = '' //最大回撤比例(%)
let rEquivalentDrawdownMax = '' //等效最大回撤比例(%)
let uEquityFinal = 0 //最終權益(USDT)
let uCumuProfitOrLossFinal = '' //最終盈虧(USDT)
let rCumuProfitOrLossFinal = '' //最終盈虧比例(%)
let rEquivalentCumuProfitOrLossFinal = '' //最終等效盈虧比例(%)
let uTradeAllMax = 0 //最大持倉金額(USDT)
let rTradeAllMax = '' //最大持倉比例(%)
let numTradeAllMax = 0 //最大持倉筆數(同時持有的部位數)
let rSharpe = 0 //夏普值
let uMax = uIni //最大盈虧(USDT)
let uMaxMax = uIni //最大回撤時之最大盈虧(USDT)
//kpTrade(持倉金額變化), kpCount(持倉筆數變化)
let kpTrade = {}
let kpCount = {}
each(ordersAll, (o) => {
//須已平倉單才能計算最大回撤
if (isestr(o.modeResult)) {
//uMax
uMax = Math.max(uMax, o.uEquity)
//uDrawdownMax, rDrawdownMax
let uDrawdown = uMax - o.uEquity
let rDrawdown = dig(uDrawdown / uMax * 100, 2) + '%' //單位為%
if (uDrawdown > uDrawdownMax) {
uDrawdownMax = uDrawdown
uMaxMax = uMax
rDrawdownMax = rDrawdown
}
}
//已或未平倉皆可計算最大持倉
if (true) {
//dir, 持倉方向
let dir = null
// dir = o.mode === 'long' ? 1 : -1 //long為正而short為負, 可抵銷
dir = 1 //long與short皆為1(皆會增加持倉)
// console.log('o.mode', o.mode, dir)
//下單就增加持倉
if (isestr(o.timeStart)) {
if (!haskey(kpTrade, o.timeStart)) {
kpTrade[o.timeStart] = 0
}
kpTrade[o.timeStart] += dir * o.uTrade
// console.log('o.timeStart', kpTrade[o.timeStart])
if (!haskey(kpCount, o.timeStart)) {
kpCount[o.timeStart] = 0
}
kpCount[o.timeStart] += 1 //開倉筆數+1
}
//結單就減少持倉
if (isestr(o.timeEnd)) {
if (!haskey(kpTrade, o.timeEnd)) {
kpTrade[o.timeEnd] = 0
}
kpTrade[o.timeEnd] -= dir * o.uTrade
// console.log('o.timeEnd', kpTrade[o.timeEnd])
if (!haskey(kpCount, o.timeEnd)) {
kpCount[o.timeEnd] = 0
}
kpCount[o.timeEnd] -= 1 //平倉筆數-1
}
}
})
// console.log('kpTrade(未累計)', kpTrade)
//計算累計持倉
if (true) {
//trades, 轉陣列與排序
let trades = []
each(kpTrade, (uTradeAll, time) => {
if (!isNumber(uTradeAll)) {
console.log('time', time)
throw new Error(`invalid uTradeAll[${uTradeAll}]`)
}
trades.push({ time, uTradeAll })
})
trades = sortBy(trades, 'time')
// console.log('trades', trades)
//紀錄累計值
let uAccm = 0
let _trades = map(trades, (item) => {
uAccm += item.uTradeAll
return {
...item,
uAccm,
}
})
// console.log('_trades', _trades)
//_kpTrade
let _kpTrade = {}
each(_trades, (v) => {
_kpTrade[v.time] = v.uAccm
})
//update
kpTrade = _kpTrade
}
// console.log('kpTrade(累計)', kpTrade)
//計算累計持倉筆數(與kpTrade累計同款)
if (true) {
//counts, 轉陣列與排序
let counts = []
each(kpCount, (numTradeAll, time) => {
if (!isNumber(numTradeAll)) {
console.log('time', time)
throw new Error(`invalid numTradeAll[${numTradeAll}]`)
}
counts.push({ time, numTradeAll })
})
counts = sortBy(counts, 'time')
//紀錄累計值
let nAccm = 0
let _counts = map(counts, (item) => {
nAccm += item.numTradeAll
return {
...item,
nAccm,
}
})
//_kpCount
let _kpCount = {}
each(_counts, (v) => {
_kpCount[v.time] = v.nAccm
})
//update
kpCount = _kpCount
}
// console.log('kpCount(累計)', kpCount)
//計算當前持倉金額與最大當前持倉金額
ordersAll = map(ordersAll, (o) => {
//當前持倉金額(USDT), 以下單時間計算
let uTradeAll = get(kpTrade, o.timeStart, null)
if (!isNumber(uTradeAll)) {
throw new Error(`invalid uTradeAll`)
}
uTradeAll = Math.abs(uTradeAll) //做多或空皆會持有倉位, 負倉位(當前持倉金額)代表多空可抵銷, 故此處一律取絕對值顯示
o.uTradeAll = uTradeAll
//當前持倉金額佔比(%), 以下單時間計算
let rTradeAll = dig(o.uTradeAll / uIni * 100, 2) + '%' //單位為%
o.rTradeAll = rTradeAll
//uTradeAllMax, rTradeAllMax
if (uTradeAllMax < o.uTradeAll) {
uTradeAllMax = o.uTradeAll
rTradeAllMax = o.rTradeAll
}
//當前持倉筆數(同時持有的部位數), 以下單時間計算
let numTradeAll = get(kpCount, o.timeStart, null)
if (!isNumber(numTradeAll)) {
throw new Error(`invalid numTradeAll`)
}
o.numTradeAll = numTradeAll
//numTradeAllMax
if (numTradeAllMax < o.numTradeAll) {
numTradeAllMax = o.numTradeAll
}
return o
})
// console.log('ordersAll', ordersAll[size(ordersAll) - 1], size(ordersAll))
//uEquityFinal, uCumuProfitOrLossFinal, rCumuProfitOrLossFinal
if (true) {
let ind = size(ordersFin) - 1
uEquityFinal = get(ordersFin, `${ind}.uEquity`, '') //最終權益(USDT)
uCumuProfitOrLossFinal = get(ordersFin, `${ind}.uCumuProfitOrLoss`, '') //最終盈虧(USDT)
rCumuProfitOrLossFinal = get(ordersFin, `${ind}.rCumuProfitOrLoss`, '') //最終盈虧比例(%)
}
//rEquivalentDrawdown, 使用最大回撤時之最大盈虧, 扣掉初始資金, 再基於全部交易後才能得知的最大持倉, 換算出等效最大回撤比例
if (true) {
let v
if ((uMaxMax - uIni + uTradeAllMax) > 0) {
v = uDrawdownMax / (uMaxMax - uIni + uTradeAllMax)
}
else {
v = 0
}
rEquivalentDrawdownMax = dig(v * 100, 2) + '%' //單位為%
// console.log('uDrawdownMax', uDrawdownMax)
// console.log('uMaxMax', uMaxMax)
// console.log('uMaxMax - uIni', uMaxMax - uIni)
// console.log('uMaxMax - uIni + uTradeAllMax', uMaxMax - uIni + uTradeAllMax)
}
//rEquivalentCumuProfitOrLossFinal
if (uTradeAllMax > 0 && isNumber(uCumuProfitOrLossFinal)) {
rEquivalentCumuProfitOrLossFinal = uCumuProfitOrLossFinal / uTradeAllMax
}
else {
rEquivalentCumuProfitOrLossFinal = 0
}
rEquivalentCumuProfitOrLossFinal = dig((rEquivalentCumuProfitOrLossFinal) * 100, 2) + '%' //單位為%
//rSharpe
if (true) {
let rAvgProfitOrLossDay = 0
let rStdProfitOrLossDay = 0
//rAvgProfitOrLossDay, 加權平均日盈虧比例(加權日均報酬), 把所有交易攤平成連續的日報酬
let rrW = 0
let rrD = 0
each(ordersFin, (o) => {
let rW = o.rProfitOrLossDay * o.dayHold
rrW += rW
let rD = o.dayHold
rrD += rD
})
if (rrD > 0) {
rAvgProfitOrLossDay = rrW / rrD
}
//rStdProfitOrLossDay, 加權日盈虧比例標準差(加權日標準差)
let rtW = 0
each(ordersFin, (o) => {
let diff = o.rProfitOrLossDay - rAvgProfitOrLossDay
let rW = o.dayHold * (diff * diff)
rtW += rW
})
if (rrD > 1) {
rStdProfitOrLossDay = Math.sqrt(rtW / (rrD - 1))
}
//rSharpe, 夏普值
if (rStdProfitOrLossDay > 0) {
rSharpe = (rAvgProfitOrLossDay / rStdProfitOrLossDay) * Math.sqrt(252)
}
if (rSharpe < -10) {
rSharpe = -10
}
if (rSharpe > 10) {
rSharpe = 10
}
}
// console.log('rSharpe', rSharpe)
let tStart = ott(timeOhlcStart)
let tEnd = ott(timeOhlcEnd)
//回測時長日
let btDays = tEnd.diff(tStart, 'day')
//回測時長年
let btYears = btDays / 365
//年化報酬率
let rCumuProfitOrLossFinalNormYear = ''
if (true) {
let v
if (uIni === 0 || btYears === 0) {
v = 0
}
else {
v = (uEquityFinal - uIni) / uIni / btYears
}
rCumuProfitOrLossFinalNormYear = `${dig(v * 100, 2)}%`
}
// let rCumuProfitOrLossFinalNormYear = `${dig((uEquityFinal - uIni) / uIni / btYears * 100, 2)}%`
//等效年化報酬率
let rEquivalentCumuProfitOrLossFinalNormYear = ''
if (true) {
let v
if (uTradeAllMax === 0 || btYears === 0) {
v = 0
}
else {
v = (uEquityFinal - uIni) / uTradeAllMax / btYears
}
rEquivalentCumuProfitOrLossFinalNormYear = `${dig(v * 100, 2)}%`
}
// let rEquivalentCumuProfitOrLossFinalNormYear = `${dig((uEquityFinal - uIni) / uTradeAllMax / btYears * 100, 2)}%`
//summary
let summary = {
btDays,
btYears: dig(btYears, 1),
numTrade,
numTradeFin,
numTradeUnsettled,
uTradeAllMax,
rTradeAllMax,
numTradeAllMax,
uDrawdownMax,
rDrawdownMax,
rEquivalentDrawdownMax,
rSharpe,
rWin,
uEquityFinal,
uCumuProfitOrLossFinal,
rCumuProfitOrLossFinal,
rCumuProfitOrLossFinalNormYear,
rEquivalentCumuProfitOrLossFinal,
rEquivalentCumuProfitOrLossFinalNormYear,
}
return summary
}
export default calcOrdersSummary