import flatten from 'lodash-es/flatten.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 isestr from 'wsemi/src/isestr.mjs'
import pmSeries from 'wsemi/src/pmSeries.mjs'
import runStrategy from './runStrategy.mjs'
import calcSummary from './calcSummary.mjs'
/**
* 執行多策略回測
*
* 逐策略呼叫runStrategy(withSummary:false)，各單附加策略sid後合併並依timeStart排序
* 以各策略settings.uIni總和為初始資金呼叫calcSummary統計合併摘要
* 個別策略執行失敗(如時間點無參數無法下單)時強制略過
*
* 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 {Array} strategies 輸入策略陣列，各元素需含sid與runStrategy之strategy欄位
* @param {Function} funGetSeries 輸入序列查詢async函數，依key回傳時間序列陣列
* @param {Object} [opt={}] 輸入設定物件，預設{}
* @param {Boolean} [opt.withCalcOrderProfitOrLoss=true] 輸入是否經calcOrders結算訂單布林值，預設true
* @param {Boolean} [opt.withSummary=true] 輸入是否計算統計摘要布林值，預設true
* @returns {Promise} 回傳Promise，resolve為{orders,summary}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 },
* ]
*
* let arrSig = [
* { time: '2020-01-01T00:00:00', param: 1 },
* { time: '2020-01-01T04:00:00', param: 0 },
* { time: '2020-01-01T08:00:00', param: 1 },
* { time: '2020-01-01T12:00:00', param: 0 },
* { time: '2020-01-01T16:00:00', param: 0 },
* { time: '2020-01-01T20:00:00', param: 0 },
* ]
*
* let funGetSeries = async (key) => {
* if (key === 'btc') {
* return arrOhlc
* }
* if (key === 'sig') {
* return arrSig
* }
* throw new Error(`invalid key[${key}]`)
* }
*
* let settings = { uIni: 1000, uTrade: 100, rTakeProfit: 0.05, rStopLoss: 0.03, rFee: 0.0005 }
* let strategies = [
* { sid: 's1', mode: 'long', keyOhlc: 'btc', conds: [{ key: 'sig', sym: '>', th: 0.5, opr: 'and' }], settings },
* { sid: 's2', mode: 'short', keyOhlc: 'btc', conds: [{ key: 'sig', sym: '<', th: 0.5, opr: 'and' }], settings },
* ]
*
* let rr = await runStrategies(ott, strategies, funGetSeries)
* console.log(rr.orders.map((o) => `${o.sid} ${o.timeStart} ${o.mode} ${o.modeResult || 'unsettled'}`))
* // => [
* // 's1 2020-01-01T00:00:00 long profit',
* // 's2 2020-01-01T04:00:00 short profit',
* // 's1 2020-01-01T08:00:00 long loss',
* // 's2 2020-01-01T12:00:00 short loss',
* // 's2 2020-01-01T16:00:00 short loss',
* // 's2 2020-01-01T20:00:00 short unsettled'
* // ]
* console.log(rr.summary.uIni, rr.summary.numTrade, rr.summary.rWin)
* // => 2000 6 40.00%
*
*/
let runStrategies = async (ott, strategies, funGetSeries, opt = {}) => {
//withCalcOrderProfitOrLoss
let withCalcOrderProfitOrLoss = get(opt, 'withCalcOrderProfitOrLoss', true)
//withSummary
let withSummary = get(opt, 'withSummary', true)
//uIniAll, ordersAll
let uIniAll = 0
let ordersAll = []
let r = null
await pmSeries(strategies, async(strategy, k) => {
//有些策略因為時間點無參數故無法計算, 代表無法下單, 故強制略過
try {
//runStrategy
r = await runStrategy(ott, strategy, funGetSeries, { withCalcOrderProfitOrLoss, withSummary: false })
//uIni
let uIni = get(strategy, 'settings.uIni', '')
if (!isNumber(uIni)) {
throw new Error(`uIni[${uIni}] is not a number`)
}
// console.log(' ', 'uIni =', uIni, 'numTrade =', strategy.summary.numTrade)
//累加初始金額(本金)
uIniAll += uIni
//add sid, push
if (size(r.orders) >= 1) {
//各單額外儲存策略sid
r.orders = map(r.orders, (o) => {
o.sid = strategy.sid
return o
})
//push
ordersAll.push(r.orders)
}
}
catch (err) {
// console.log(err)
}
})
ordersAll = flatten(ordersAll)
// console.log('ordersAll', ordersAll)
//sortBy
if (size(ordersAll) >= 2) {
ordersAll = sortBy(ordersAll, 'timeStart')
}
// console.log('size(ordersAll)', size(ordersAll))
//timeOhlcStart, timeOhlcEnd
let timeOhlcStart = get(r, 'summary.timeOhlcStart', '') //各策略ohlc起訖時間皆相同, 取最後r內的timeOhlcStart來使用
let timeOhlcEnd = get(r, 'summary.timeOhlcEnd', '') //各策略ohlc起訖時間皆相同, 取最後r內的timeOhlcEnd來使用
//check
if (!isestr(timeOhlcStart)) {
throw new Error(`invalid timeOhlcStart`)
}
if (!isestr(timeOhlcEnd)) {
throw new Error(`invalid timeOhlcEnd`)
}
//summary
let summary = {
timeTest: ott().format('YYYY-MM-DDTHH:mm:ssZ'),
timeOhlcStart,
timeOhlcEnd,
}
//withSummary
if (withSummary) {
summary = await calcSummary(ott, uIniAll, ordersAll, timeOhlcStart, timeOhlcEnd)
}
//rr
let rr = {
orders: ordersAll,
summary,
}
return rr
}
export default runStrategies