165 lines
7.3 KiB
JavaScript
165 lines
7.3 KiB
JavaScript
// ═══════════════════════════════════════════════════════════
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// backtest.js — 機械式策略回測（純函式，吃 marketdata 的歷史點）
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// 策略：
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// buyhold 買進持有（基準）
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// dca 定期定額（每月投入固定金額）
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// sma 均線趨勢（短均 > 長均在場、否則空手）
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// dip 逢大跌進場（距歷史高點回落 X% 才買進後續抱）
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// 皆以 adjclose（還原股價）計算，初始資金 10,000。
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// 輸出權益曲線與統計（總報酬、年化、最大回撤、在場比例、交易次數、勝率），
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// 並附「買進持有」基準供對照。本工具僅供學習，過去績效不代表未來。
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// ═══════════════════════════════════════════════════════════
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const CAPITAL = 10000;
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export const STRATEGIES = {
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buyhold: { label: '買進持有', params: [] },
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dca: { label: '定期定額（每月）', params: [{ key: 'monthly', label: '每月投入', def: 1000, min: 1 }] },
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sma: { label: '均線趨勢（短>長在場）', params: [
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{ key: 'short', label: '短均線(日)', def: 50, min: 2 },
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{ key: 'long', label: '長均線(日)', def: 200, min: 3 },
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] },
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dip: { label: '逢大跌進場（回落%後買進）', params: [
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{ key: 'drop', label: '距高點回落%', def: 15, min: 1 },
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] },
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};
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function sma(vals, i, n) {
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if (i + 1 < n) return null;
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let s = 0; for (let k = i - n + 1; k <= i; k++) s += vals[k];
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return s / n;
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}
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function yearsBetween(a, b) { return Math.max((new Date(b) - new Date(a)) / (365.25 * 86400000), 1 / 365.25); }
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function maxDrawdown(curve) {
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let peak = -Infinity, mdd = 0;
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for (const p of curve) { if (p.val > peak) peak = p.val; const dd = (p.val - peak) / peak; if (dd < mdd) mdd = dd; }
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return -mdd * 100; // 正的百分比
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}
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function statsFrom(curve, { trades = 1, roundTrips = [], inDays = null } = {}) {
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const first = curve[0].val, last = curve[curve.length - 1].val;
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const yrs = yearsBetween(curve[0].date, curve[curve.length - 1].date);
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const totalReturn = (last / first - 1) * 100;
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const cagr = (Math.pow(last / first, 1 / yrs) - 1) * 100;
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const wins = roundTrips.filter(r => r > 0).length;
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return {
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finalValue: last,
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totalReturn,
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cagr,
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maxDrawdown: maxDrawdown(curve),
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trades,
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winRate: roundTrips.length ? (wins / roundTrips.length) * 100 : null,
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exposure: inDays != null ? (inDays / curve.length) * 100 : 100,
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};
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}
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// 買進持有：期初一次投入 CAPITAL
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function buyHold(points) {
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const a0 = points[0].adjclose;
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return points.map(p => ({ date: p.date, val: CAPITAL * (p.adjclose / a0) }));
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}
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// 定期定額：每月第一個交易日投入固定金額；基準＝同總額在期初一次買進
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function runDca(points, monthly) {
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let shares = 0, invested = 0, lastMonth = '';
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const equity = [];
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for (const p of points) {
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const m = p.date.slice(0, 7);
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if (m !== lastMonth) { shares += monthly / p.adjclose; invested += monthly; lastMonth = m; }
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equity.push({ date: p.date, val: shares * p.adjclose, invested });
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}
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// 正規化成「以總投入為基底」：把曲線換成相對總投入的價值，期初基底=首次投入
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const totalInvested = invested;
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const a0 = points[0].adjclose;
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const benchmark = points.map(p => ({ date: p.date, val: totalInvested * (p.adjclose / a0) }));
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// DCA 報酬以總投入為分母
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const last = equity[equity.length - 1].val;
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const yrs = yearsBetween(points[0].date, points[points.length - 1].date);
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const stats = {
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finalValue: last,
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totalReturn: (last / totalInvested - 1) * 100,
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cagr: (Math.pow(Math.max(last / totalInvested, 0.0001), 1 / yrs) - 1) * 100,
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maxDrawdown: maxDrawdown(equity.map(e => ({ val: e.val, date: e.date }))),
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trades: equity.filter((e, i) => i === 0 || e.invested !== equity[i - 1].invested).length,
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winRate: null,
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exposure: 100,
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invested: totalInvested,
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};
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return {
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equity: equity.map(e => ({ date: e.date, val: e.val })),
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benchmark,
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stats,
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benchStats: statsFrom(benchmark),
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note: `共投入 ${stats.trades} 期、合計 ${Math.round(totalInvested).toLocaleString()} 元；基準線為「同總額在期初一次買進」。`,
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};
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}
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// 在場/空手型策略的共用模擬器：signal[i] = 是否該在場
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function simulateSignal(points, signal) {
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let cash = CAPITAL, shares = 0, holding = false, buyPrice = 0, inDays = 0, trades = 0;
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const roundTrips = [];
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const equity = [];
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for (let i = 0; i < points.length; i++) {
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const px = points[i].adjclose;
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const want = signal[i];
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if (want && !holding) { shares = cash / px; cash = 0; holding = true; buyPrice = px; trades++; }
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else if (!want && holding) { cash = shares * px; shares = 0; holding = false; roundTrips.push((px / buyPrice - 1)); }
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if (holding) inDays++;
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equity.push({ date: points[i].date, val: holding ? shares * px : cash });
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}
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return { equity, trades, roundTrips, inDays };
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}
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function runSma(points, short, long) {
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short = Math.max(2, Math.round(short)); long = Math.max(short + 1, Math.round(long));
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const vals = points.map(p => p.adjclose);
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const signal = points.map((_, i) => {
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const s = sma(vals, i, short), l = sma(vals, i, long);
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return (s != null && l != null) ? s > l : false;
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});
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const sim = simulateSignal(points, signal);
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return {
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equity: sim.equity,
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benchmark: buyHold(points),
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stats: statsFrom(sim.equity, { trades: sim.trades, roundTrips: sim.roundTrips, inDays: sim.inDays }),
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benchStats: statsFrom(buyHold(points)),
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note: `${short}/${long} 日均線：短均上穿長均才在場，否則空手。`,
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};
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}
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function runDip(points, dropPct) {
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const drop = Math.max(1, dropPct) / 100;
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let peak = -Infinity, entered = false;
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const signal = points.map(p => {
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if (p.adjclose > peak) peak = p.adjclose;
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if (!entered && (p.adjclose / peak - 1) <= -drop) entered = true; // 一旦回落達標即進場，之後續抱
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return entered;
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});
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const sim = simulateSignal(points, signal);
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return {
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equity: sim.equity,
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benchmark: buyHold(points),
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stats: statsFrom(sim.equity, { trades: sim.trades, roundTrips: sim.roundTrips, inDays: sim.inDays }),
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benchStats: statsFrom(buyHold(points)),
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note: `先空手等待，距歷史高點回落達 ${dropPct}% 才一次買進並續抱到期末（對照「直接買進持有」）。`,
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};
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}
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// 主入口：points 需含 adjclose；params 為策略參數
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export function runBacktest(points, { strategy = 'buyhold', monthly, short, long, drop } = {}) {
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if (!Array.isArray(points) || points.length < 3) throw new Error('歷史資料不足以回測');
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const meta = STRATEGIES[strategy] || STRATEGIES.buyhold;
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let out;
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if (strategy === 'dca') out = runDca(points, monthly > 0 ? monthly : 1000);
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else if (strategy === 'sma') out = runSma(points, short || 50, long || 200);
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else if (strategy === 'dip') out = runDip(points, drop || 15);
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else {
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const eq = buyHold(points);
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out = { equity: eq, benchmark: null, stats: statsFrom(eq), benchStats: null, note: '期初一次投入並持有到期末。' };
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}
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return {
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strategy, strategyLabel: meta.label,
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from: points[0].date, to: points[points.length - 1].date,
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capital: CAPITAL,
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...out,
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};
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}
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