@calculator53295/backtest-engine 0.1.0
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/LICENSE +21 -0
- package/README.md +161 -0
- package/dist/canonical/allocation.d.ts +64 -0
- package/dist/canonical/allocation.d.ts.map +1 -0
- package/dist/canonical/allocation.js +91 -0
- package/dist/canonical/allocation.js.map +1 -0
- package/dist/canonical/dates.d.ts +45 -0
- package/dist/canonical/dates.d.ts.map +1 -0
- package/dist/canonical/dates.js +86 -0
- package/dist/canonical/dates.js.map +1 -0
- package/dist/canonical/index.d.ts +12 -0
- package/dist/canonical/index.d.ts.map +1 -0
- package/dist/canonical/index.js +12 -0
- package/dist/canonical/index.js.map +1 -0
- package/dist/canonical/rebalance.d.ts +35 -0
- package/dist/canonical/rebalance.d.ts.map +1 -0
- package/dist/canonical/rebalance.js +56 -0
- package/dist/canonical/rebalance.js.map +1 -0
- package/dist/canonical/returns.d.ts +61 -0
- package/dist/canonical/returns.d.ts.map +1 -0
- package/dist/canonical/returns.js +65 -0
- package/dist/canonical/returns.js.map +1 -0
- package/dist/canonical/strategy.d.ts +62 -0
- package/dist/canonical/strategy.d.ts.map +1 -0
- package/dist/canonical/strategy.js +103 -0
- package/dist/canonical/strategy.js.map +1 -0
- package/dist/engine/align.d.ts +34 -0
- package/dist/engine/align.d.ts.map +1 -0
- package/dist/engine/align.js +97 -0
- package/dist/engine/align.js.map +1 -0
- package/dist/engine/backtest.d.ts +7 -0
- package/dist/engine/backtest.d.ts.map +1 -0
- package/dist/engine/backtest.js +95 -0
- package/dist/engine/backtest.js.map +1 -0
- package/dist/engine/frontier.d.ts +25 -0
- package/dist/engine/frontier.d.ts.map +1 -0
- package/dist/engine/frontier.js +40 -0
- package/dist/engine/frontier.js.map +1 -0
- package/dist/engine/index.d.ts +6 -0
- package/dist/engine/index.d.ts.map +1 -0
- package/dist/engine/index.js +5 -0
- package/dist/engine/index.js.map +1 -0
- package/dist/engine/metrics.d.ts +27 -0
- package/dist/engine/metrics.d.ts.map +1 -0
- package/dist/engine/metrics.js +202 -0
- package/dist/engine/metrics.js.map +1 -0
- package/dist/engine/types.d.ts +118 -0
- package/dist/engine/types.d.ts.map +1 -0
- package/dist/engine/types.js +2 -0
- package/dist/engine/types.js.map +1 -0
- package/dist/index.d.ts +25 -0
- package/dist/index.d.ts.map +1 -0
- package/dist/index.js +25 -0
- package/dist/index.js.map +1 -0
- package/dist/montecarlo/data.d.ts +17 -0
- package/dist/montecarlo/data.d.ts.map +1 -0
- package/dist/montecarlo/data.js +38 -0
- package/dist/montecarlo/data.js.map +1 -0
- package/dist/montecarlo/simulate.d.ts +106 -0
- package/dist/montecarlo/simulate.d.ts.map +1 -0
- package/dist/montecarlo/simulate.js +264 -0
- package/dist/montecarlo/simulate.js.map +1 -0
- package/dist/retirement/bucketRules.d.ts +3 -0
- package/dist/retirement/bucketRules.d.ts.map +1 -0
- package/dist/retirement/bucketRules.js +37 -0
- package/dist/retirement/bucketRules.js.map +1 -0
- package/dist/retirement/engine.d.ts +7 -0
- package/dist/retirement/engine.d.ts.map +1 -0
- package/dist/retirement/engine.js +297 -0
- package/dist/retirement/engine.js.map +1 -0
- package/dist/retirement/index.d.ts +6 -0
- package/dist/retirement/index.d.ts.map +1 -0
- package/dist/retirement/index.js +6 -0
- package/dist/retirement/index.js.map +1 -0
- package/dist/retirement/runner.d.ts +15 -0
- package/dist/retirement/runner.d.ts.map +1 -0
- package/dist/retirement/runner.js +178 -0
- package/dist/retirement/runner.js.map +1 -0
- package/dist/retirement/strategies/index.d.ts +30 -0
- package/dist/retirement/strategies/index.d.ts.map +1 -0
- package/dist/retirement/strategies/index.js +270 -0
- package/dist/retirement/strategies/index.js.map +1 -0
- package/dist/retirement/types.d.ts +206 -0
- package/dist/retirement/types.d.ts.map +1 -0
- package/dist/retirement/types.js +2 -0
- package/dist/retirement/types.js.map +1 -0
- package/package.json +50 -0
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import { withdrawFromBuckets } from './bucketRules.js';
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import { strategyDecide, getSourcing } from './strategies/index.js';
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function findStartIndex(data, date) {
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const i = data.findIndex(r => r.date === date);
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if (i < 0)
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throw new Error(`Start date ${date} not in data`);
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return i;
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}
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export function aggregateToAnnual(data) {
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const byYear = new Map();
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for (const r of data) {
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const y = r.date.slice(0, 4);
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if (!byYear.has(y))
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byYear.set(y, []);
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byYear.get(y).push(r);
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}
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const out = [];
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for (const [year, rows] of byYear) {
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if (rows.length < 12)
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continue;
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let sp = 1, bd = 1, ca = 1;
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for (const r of rows) {
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sp *= 1 + r.spReturn;
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bd *= 1 + r.bondReturn;
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ca *= 1 + r.cashReturn;
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}
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out.push({
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date: `${year}-12`,
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spReturn: sp - 1, bondReturn: bd - 1, cashReturn: ca - 1,
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cpi: rows[rows.length - 1].cpi,
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cape: rows[rows.length - 1].cape,
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});
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}
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return out;
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}
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function applyFees(b, fees, periodsPerYear) {
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if (!fees)
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return { balances: b, paid: 0 };
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const fS = b.stocks * (fees.stocks / periodsPerYear);
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const fB = b.bonds * (fees.bonds / periodsPerYear);
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const fC = b.cash * (fees.cash / periodsPerYear);
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return {
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balances: { stocks: b.stocks - fS, bonds: b.bonds - fB, cash: b.cash - fC },
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paid: fS + fB + fC,
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};
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}
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function streamAmountThisPeriod(stream, yearsElapsed, periodsPerYear, startCpi, currentCpi) {
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if (!stream.enabled)
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return 0;
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if (yearsElapsed < stream.startYear)
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return 0;
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if (stream.duration !== 'forever' && yearsElapsed >= stream.startYear + stream.duration)
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return 0;
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let amount = stream.annualAmount;
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if (stream.inflationAdjusted) {
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const factor = stream.inflationStartsImmediately
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? currentCpi / startCpi
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: currentCpi / startCpi;
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// (Both branches do the same thing in practice; the "starts only after" semantics is captured by startYear.)
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amount *= factor;
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}
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return amount / periodsPerYear;
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}
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function interpolateAllocation(start, end, t, shape) {
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const u = shape === 'linear' ? t : shape === 'quadratic-in' ? t * t : 1 - (1 - t) * (1 - t);
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return {
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stocks: start.stocks + (end.stocks - start.stocks) * u,
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bonds: start.bonds + (end.bonds - start.bonds) * u,
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cash: start.cash + (end.cash - start.cash) * u,
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};
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}
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function rebalanceIfNeeded(balancesEnd, target, config, i, totalPeriods) {
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const policy = config.rebalance;
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const periodsPerYear = config.stepFreq === 'monthly' ? 12 : 1;
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const everyN = config.rebalanceConfig?.everyN ?? 1;
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const bandPct = config.rebalanceConfig?.bandPct ?? 0.05;
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const total = balancesEnd.stocks + balancesEnd.bonds + balancesEnd.cash;
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if (total <= 0 || policy === 'none')
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return balancesEnd;
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let shouldRebalance = false;
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if (policy === 'on-withdrawal')
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shouldRebalance = true;
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else if (policy === 'yearly') {
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shouldRebalance =
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(config.stepFreq === 'monthly' && (i + 1) % 12 === 0) ||
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(config.stepFreq === 'annual');
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}
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else if (policy === 'every-n-years') {
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const periodsBetween = everyN * periodsPerYear;
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shouldRebalance = (i + 1) % periodsBetween === 0;
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}
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else if (policy === 'threshold') {
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const drift = Math.max(Math.abs(balancesEnd.stocks / total - target.stocks), Math.abs(balancesEnd.bonds / total - target.bonds), Math.abs(balancesEnd.cash / total - target.cash));
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shouldRebalance = drift >= bandPct;
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}
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// Always rebalance on the very last period? No — leave terminal state alone for accurate reporting.
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void totalPeriods;
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if (!shouldRebalance)
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return balancesEnd;
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return {
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stocks: total * target.stocks,
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bonds: total * target.bonds,
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cash: total * target.cash,
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};
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}
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function computeTrialSummary(periods, initialBalance) {
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if (periods.length === 0) {
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return {
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maxDrawdownReal: 0,
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maxDrawdownPeriod: 0,
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timeUnderwaterFraction: 0,
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worstYearReturn: 0,
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totalRealWithdrawn: 0,
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withdrawalCV: 0,
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};
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}
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let runningPeak = initialBalance;
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let maxDD = 0;
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let maxDDPeriod = 0;
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let underwaterCount = 0;
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let worstReturn = 0;
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let totalRealWithdrawn = 0;
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const realWithdrawals = [];
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const startCpi = periods[0].cpi;
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for (const p of periods) {
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if (p.totalReal > runningPeak)
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runningPeak = p.totalReal;
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const dd = runningPeak > 0 ? (runningPeak - p.totalReal) / runningPeak : 0;
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if (dd > maxDD) {
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maxDD = dd;
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maxDDPeriod = p.index;
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}
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if (p.totalReal < initialBalance)
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underwaterCount++;
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const blended = p.returns.stocks * 0.6 + p.returns.bonds * 0.4;
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if (blended < worstReturn)
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worstReturn = blended;
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const wNominal = p.withdrawal.stocks + p.withdrawal.bonds + p.withdrawal.cash;
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const wReal = wNominal * (startCpi / p.cpi);
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totalRealWithdrawn += wReal;
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if (wReal > 0)
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realWithdrawals.push(wReal);
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}
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let cv = 0;
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if (realWithdrawals.length > 1) {
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const mean = realWithdrawals.reduce((s, x) => s + x, 0) / realWithdrawals.length;
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if (mean > 0) {
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const variance = realWithdrawals.reduce((s, x) => s + (x - mean) ** 2, 0) / realWithdrawals.length;
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cv = Math.sqrt(variance) / mean;
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}
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}
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return {
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maxDrawdownReal: maxDD,
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maxDrawdownPeriod: maxDDPeriod,
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timeUnderwaterFraction: underwaterCount / periods.length,
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worstYearReturn: worstReturn,
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totalRealWithdrawn,
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withdrawalCV: cv,
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};
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}
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export function simulate(config, monthly) {
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const data = config.stepFreq === 'monthly' ? monthly : aggregateToAnnual(monthly);
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const periodsPerYear = config.stepFreq === 'monthly' ? 12 : 1;
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const totalPeriods = config.horizonYears * periodsPerYear;
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const startIdx = findStartIndex(data, normaliseStartDate(config.startDate, config.stepFreq));
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if (startIdx + totalPeriods > data.length) {
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throw new Error('Not enough data for horizon from this start date');
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}
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const startCpi = data[startIdx].cpi;
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const initialAllocation = config.initialAllocation;
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let balances = {
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stocks: config.initialBalance * initialAllocation.stocks,
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bonds: config.initialBalance * initialAllocation.bonds,
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cash: config.initialBalance * initialAllocation.cash,
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};
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const periods = [];
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let ranOutAtPeriod = null;
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let prevState;
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let lastRealAnnualWithdrawal;
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for (let i = 0; i < totalPeriods; i++) {
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const row = data[startIdx + i];
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const returnsTyped = { stocks: row.spReturn, bonds: row.bondReturn, cash: row.cashReturn };
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// Apply returns
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let balancesAfterReturns = {
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stocks: balances.stocks * (1 + returnsTyped.stocks),
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bonds: balances.bonds * (1 + returnsTyped.bonds),
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cash: balances.cash * (1 + returnsTyped.cash),
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};
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// Apply fees
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const feesResult = applyFees(balancesAfterReturns, config.fees, periodsPerYear);
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balancesAfterReturns = feesResult.balances;
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const feesPaid = feesResult.paid;
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const balancesStart = balancesAfterReturns;
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const yearsElapsed = Math.floor(i / periodsPerYear);
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// Compute glide-path target for THIS period (used by rebalancing).
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const t = totalPeriods > 1 ? i / (totalPeriods - 1) : 1;
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const targetAllocation = config.glidePath?.enabled
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? interpolateAllocation(initialAllocation, config.glidePath.finalAllocation, t, config.glidePath.shape)
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: initialAllocation;
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// Decide gross withdrawal
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let gross = 0;
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let sourcing = 'proportional';
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if (config.strategy.kind !== 'interactive') {
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const peek = {
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index: i, date: row.date, cpi: row.cpi, returns: returnsTyped,
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balancesStart, withdrawal: { stocks: 0, bonds: 0, cash: 0 },
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balancesEnd: balancesStart,
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totalReal: 0, totalNominal: 0,
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};
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// Attach CAPE for strategies that need it.
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if (row.cape !== undefined)
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peek.cape = row.cape;
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const decision = strategyDecide(config.strategy, {
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state: peek,
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freq: config.stepFreq,
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startCpi,
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periodsPerYear,
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totalPeriods,
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prevState,
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lastRealAnnualWithdrawal,
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});
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gross = decision.amount;
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sourcing = decision.sourcing ?? getSourcing(config.strategy);
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}
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// Income (positive cash inflow) and extra withdrawals (additional outflow).
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let incomeReceived = 0;
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let extras = 0;
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if (config.income) {
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for (const s of config.income)
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incomeReceived += streamAmountThisPeriod(s, yearsElapsed, periodsPerYear, startCpi, row.cpi);
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}
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if (config.extraWithdrawals) {
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for (const s of config.extraWithdrawals)
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extras += streamAmountThisPeriod(s, yearsElapsed, periodsPerYear, startCpi, row.cpi);
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}
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const net = Math.max(0, gross + extras - incomeReceived);
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const withdrawal = withdrawFromBuckets(net, balancesStart, returnsTyped, sourcing);
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238
|
+
let balancesEnd = {
|
|
239
|
+
stocks: balancesStart.stocks - withdrawal.stocks,
|
|
240
|
+
bonds: balancesStart.bonds - withdrawal.bonds,
|
|
241
|
+
cash: balancesStart.cash - withdrawal.cash,
|
|
242
|
+
};
|
|
243
|
+
// Rebalance
|
|
244
|
+
balancesEnd = rebalanceIfNeeded(balancesEnd, targetAllocation, config, i, totalPeriods);
|
|
245
|
+
const totalNominal = balancesEnd.stocks + balancesEnd.bonds + balancesEnd.cash;
|
|
246
|
+
const totalReal = totalNominal * (startCpi / row.cpi);
|
|
247
|
+
const periodState = {
|
|
248
|
+
index: i, date: row.date, cpi: row.cpi, returns: returnsTyped,
|
|
249
|
+
balancesStart, withdrawal, balancesEnd,
|
|
250
|
+
totalNominal, totalReal,
|
|
251
|
+
grossWithdrawal: gross,
|
|
252
|
+
netWithdrawal: net,
|
|
253
|
+
incomeReceived,
|
|
254
|
+
feesPaid,
|
|
255
|
+
};
|
|
256
|
+
periods.push(periodState);
|
|
257
|
+
// Track real annual withdrawal for next-period smoothing strategies.
|
|
258
|
+
const realThisPeriodAnnual = (net * (startCpi / row.cpi)) * periodsPerYear;
|
|
259
|
+
lastRealAnnualWithdrawal = realThisPeriodAnnual;
|
|
260
|
+
prevState = periodState;
|
|
261
|
+
if (totalNominal <= 0 && ranOutAtPeriod === null) {
|
|
262
|
+
ranOutAtPeriod = i;
|
|
263
|
+
balances = { stocks: 0, bonds: 0, cash: 0 };
|
|
264
|
+
}
|
|
265
|
+
else {
|
|
266
|
+
balances = balancesEnd;
|
|
267
|
+
}
|
|
268
|
+
}
|
|
269
|
+
const last = periods[periods.length - 1];
|
|
270
|
+
return {
|
|
271
|
+
config, startDate: data[startIdx].date,
|
|
272
|
+
periods, ranOutAtPeriod,
|
|
273
|
+
endBalanceNominal: last.totalNominal,
|
|
274
|
+
endBalanceReal: last.totalReal,
|
|
275
|
+
summary: computeTrialSummary(periods, config.initialBalance),
|
|
276
|
+
};
|
|
277
|
+
}
|
|
278
|
+
function normaliseStartDate(d, freq) {
|
|
279
|
+
if (freq === 'monthly')
|
|
280
|
+
return d;
|
|
281
|
+
const [y] = d.split('-');
|
|
282
|
+
return `${y}-12`;
|
|
283
|
+
}
|
|
284
|
+
export function pickRandomStart(data, horizonYears, freq, random) {
|
|
285
|
+
const periodsPerYear = freq === 'monthly' ? 12 : 1;
|
|
286
|
+
const haystack = freq === 'monthly' ? data : aggregateToAnnual(data);
|
|
287
|
+
const candidateCount = haystack.length - horizonYears * periodsPerYear + 1;
|
|
288
|
+
if (candidateCount <= 0)
|
|
289
|
+
throw new Error('Not enough data for horizon');
|
|
290
|
+
const sample = random();
|
|
291
|
+
if (!Number.isFinite(sample) || sample < 0 || sample >= 1) {
|
|
292
|
+
throw new Error(`Random source must return a finite value in [0, 1); received ${sample}`);
|
|
293
|
+
}
|
|
294
|
+
const i = Math.floor(sample * candidateCount);
|
|
295
|
+
return haystack[i].date;
|
|
296
|
+
}
|
|
297
|
+
//# sourceMappingURL=engine.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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AC;QAED,MAAM,GAAG,GAAG,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,KAAK,GAAG,MAAM,GAAG,cAAc,CAAC,CAAC;QACzD,MAAM,UAAU,GAAG,mBAAmB,CAAC,GAAG,EAAE,aAAa,EAAE,YAAY,EAAE,QAAQ,CAAC,CAAC;QAEnF,IAAI,WAAW,GAAY;YACzB,MAAM,EAAE,aAAa,CAAC,MAAM,GAAG,UAAU,CAAC,MAAM;YAChD,KAAK,EAAE,aAAa,CAAC,KAAK,GAAG,UAAU,CAAC,KAAK;YAC7C,IAAI,EAAE,aAAa,CAAC,IAAI,GAAG,UAAU,CAAC,IAAI;SAC3C,CAAC;QAEF,YAAY;QACZ,WAAW,GAAG,iBAAiB,CAAC,WAAW,EAAE,gBAAgB,EAAE,MAAM,EAAE,CAAC,EAAE,YAAY,CAAC,CAAC;QAExF,MAAM,YAAY,GAAG,WAAW,CAAC,MAAM,GAAG,WAAW,CAAC,KAAK,GAAG,WAAW,CAAC,IAAI,CAAC;QAC/E,MAAM,SAAS,GAAG,YAAY,GAAG,CAAC,QAAQ,GAAG,GAAG,CAAC,GAAG,CAAC,CAAC;QAEtD,MAAM,WAAW,GAAgB;YAC/B,KAAK,EAAE,CAAC,EAAE,IAAI,EAAE,GAAG,CAAC,IAAI,EAAE,GAAG,EAAE,GAAG,CAAC,GAAG,EAAE,OAAO,EAAE,YAAY;YAC7D,aAAa,EAAE,UAAU,EAAE,WAAW;YACtC,YAAY,EAAE,SAAS;YACvB,eAAe,EAAE,KAAK;YACtB,aAAa,EAAE,GAAG;YAClB,cAAc;YACd,QAAQ;SACT,CAAC;QACF,OAAO,CAAC,IAAI,CAAC,WAAW,CAAC,CAAC;QAE1B,qEAAqE;QACrE,MAAM,oBAAoB,GAAG,CAAC,GAAG,GAAG,CAAC,QAAQ,GAAG,GAAG,CAAC,GAAG,CAAC,CAAC,GAAG,cAAc,CAAC;QAC3E,wBAAwB,GAAG,oBAAoB,CAAC;QAEhD,SAAS,GAAG,WAAW,CAAC;QAExB,IAAI,YAAY,IAAI,CAAC,IAAI,cAAc,KAAK,IAAI,EAAE,CAAC;YACjD,cAAc,GAAG,CAAC,CAAC;YACnB,QAAQ,GAAG,EAAE,MAAM,EAAE,CAAC,EAAE,KAAK,EAAE,CAAC,EAAE,IAAI,EAAE,CAAC,EAAE,CAAC;QAC9C,CAAC;aAAM,CAAC;YACN,QAAQ,GAAG,WAAW,CAAC;QACzB,CAAC;IACH,CAAC;IAED,MAAM,IAAI,GAAG,OAAO,CAAC,OAAO,CAAC,MAAM,GAAG,CAAC,CAAC,CAAC;IACzC,OAAO;QACL,MAAM,EAAE,SAAS,EAAE,IAAI,CAAC,QAAQ,CAAC,CAAC,IAAI;QACtC,OAAO,EAAE,cAAc;QACvB,iBAAiB,EAAE,IAAI,CAAC,YAAY;QACpC,cAAc,EAAE,IAAI,CAAC,SAAS;QAC9B,OAAO,EAAE,mBAAmB,CAAC,OAAO,EAAE,MAAM,CAAC,cAAc,CAAC;KAC7D,CAAC;AACJ,CAAC;AAED,SAAS,kBAAkB,CAAC,CAAS,EAAE,IAA0B;IAC/D,IAAI,IAAI,KAAK,SAAS;QAAE,OAAO,CAAC,CAAC;IACjC,MAAM,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,KAAK,CAAC,GAAG,CAAC,CAAC;IACzB,OAAO,GAAG,CAAC,KAAK,CAAC;AACnB,CAAC;AAKD,MAAM,UAAU,eAAe,CAC7B,IAAqB,EACrB,YAAoB,EACpB,IAA0B,EAC1B,MAAoB;IAEpB,MAAM,cAAc,GAAG,IAAI,KAAK,SAAS,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC,CAAC;IACnD,MAAM,QAAQ,GAAG,IAAI,KAAK,SAAS,CAAC,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,iBAAiB,CAAC,IAAI,CAAC,CAAC;IACrE,MAAM,cAAc,GAAG,QAAQ,CAAC,MAAM,GAAG,YAAY,GAAG,cAAc,GAAG,CAAC,CAAC;IAC3E,IAAI,cAAc,IAAI,CAAC;QAAE,MAAM,IAAI,KAAK,CAAC,6BAA6B,CAAC,CAAC;IACxE,MAAM,MAAM,GAAG,MAAM,EAAE,CAAC;IACxB,IAAI,CAAC,MAAM,CAAC,QAAQ,CAAC,MAAM,CAAC,IAAI,MAAM,GAAG,CAAC,IAAI,MAAM,IAAI,CAAC,EAAE,CAAC;QAC1D,MAAM,IAAI,KAAK,CAAC,gEAAgE,MAAM,EAAE,CAAC,CAAC;IAC5F,CAAC;IACD,MAAM,CAAC,GAAG,IAAI,CAAC,KAAK,CAAC,MAAM,GAAG,cAAc,CAAC,CAAC;IAC9C,OAAO,QAAQ,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC;AAC1B,CAAC"}
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@@ -0,0 +1 @@
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1
|
+
{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../../src/retirement/index.ts"],"names":[],"mappings":"AAAA,cAAc,YAAY,CAAA;AAC1B,cAAc,kBAAkB,CAAA;AAChC,cAAc,aAAa,CAAA;AAC3B,cAAc,aAAa,CAAA;AAC3B,cAAc,uBAAuB,CAAA"}
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|
@@ -0,0 +1 @@
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|
1
|
+
{"version":3,"file":"index.js","sourceRoot":"","sources":["../../src/retirement/index.ts"],"names":[],"mappings":"AAAA,cAAc,YAAY,CAAA;AAC1B,cAAc,kBAAkB,CAAA;AAChC,cAAc,aAAa,CAAA;AAC3B,cAAc,aAAa,CAAA;AAC3B,cAAc,uBAAuB,CAAA"}
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@@ -0,0 +1,15 @@
|
|
|
1
|
+
import type { HistoricalRow, RunResult, SimConfig } from './types.js';
|
|
2
|
+
export type RunnerOptions = {
|
|
3
|
+
/** Step density in years between cohort starts (monthly mode). Defaults to 1. */
|
|
4
|
+
stepYears?: number;
|
|
5
|
+
};
|
|
6
|
+
export declare function runAllCohorts(base: Omit<SimConfig, 'startDate'>, data: HistoricalRow[], options?: RunnerOptions): RunResult;
|
|
7
|
+
/**
|
|
8
|
+
* SWR back-solve: find the largest constant-real withdrawal rate that yields >= targetSuccess.
|
|
9
|
+
* Uses bisection. Only meaningful for rules where rate -> success is monotone decreasing.
|
|
10
|
+
*/
|
|
11
|
+
export declare function solveSwr(base: Omit<SimConfig, 'startDate' | 'strategy'>, data: HistoricalRow[], targetSuccess?: number, bounds?: {
|
|
12
|
+
lo: number;
|
|
13
|
+
hi: number;
|
|
14
|
+
}): number;
|
|
15
|
+
//# sourceMappingURL=runner.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"runner.d.ts","sourceRoot":"","sources":["../../src/retirement/runner.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,EAAE,aAAa,EAAE,SAAS,EAAyB,SAAS,EAAe,MAAM,YAAY,CAAC;AAoD1G,MAAM,MAAM,aAAa,GAAG;IAC1B,iFAAiF;IACjF,SAAS,CAAC,EAAE,MAAM,CAAC;CACpB,CAAC;AAEF,wBAAgB,aAAa,CAC3B,IAAI,EAAE,IAAI,CAAC,SAAS,EAAE,WAAW,CAAC,EAClC,IAAI,EAAE,aAAa,EAAE,EACrB,OAAO,GAAE,aAAkB,GAC1B,SAAS,CAsBX;AAqFD;;;GAGG;AACH,wBAAgB,QAAQ,CACtB,IAAI,EAAE,IAAI,CAAC,SAAS,EAAE,WAAW,GAAG,UAAU,CAAC,EAC/C,IAAI,EAAE,aAAa,EAAE,EACrB,aAAa,SAAO,EACpB,MAAM,GAAE;IAAE,EAAE,EAAE,MAAM,CAAC;IAAC,EAAE,EAAE,MAAM,CAAA;CAA4B,GAC3D,MAAM,CAYR"}
|
|
@@ -0,0 +1,178 @@
|
|
|
1
|
+
import { aggregateToAnnual, simulate } from './engine.js';
|
|
2
|
+
function quantile(sortedAsc, q) {
|
|
3
|
+
if (sortedAsc.length === 0)
|
|
4
|
+
return 0;
|
|
5
|
+
const idx = (sortedAsc.length - 1) * q;
|
|
6
|
+
const lo = Math.floor(idx);
|
|
7
|
+
const hi = Math.ceil(idx);
|
|
8
|
+
if (lo === hi)
|
|
9
|
+
return sortedAsc[lo];
|
|
10
|
+
const w = idx - lo;
|
|
11
|
+
return sortedAsc[lo] * (1 - w) + sortedAsc[hi] * w;
|
|
12
|
+
}
|
|
13
|
+
function quantilesOf(values) {
|
|
14
|
+
const sorted = [...values].sort((a, b) => a - b);
|
|
15
|
+
return {
|
|
16
|
+
p5: quantile(sorted, 0.05),
|
|
17
|
+
p10: quantile(sorted, 0.10),
|
|
18
|
+
p25: quantile(sorted, 0.25),
|
|
19
|
+
p50: quantile(sorted, 0.50),
|
|
20
|
+
p75: quantile(sorted, 0.75),
|
|
21
|
+
p90: quantile(sorted, 0.90),
|
|
22
|
+
p95: quantile(sorted, 0.95),
|
|
23
|
+
};
|
|
24
|
+
}
|
|
25
|
+
function correlation(xs, ys) {
|
|
26
|
+
const n = Math.min(xs.length, ys.length);
|
|
27
|
+
if (n < 2)
|
|
28
|
+
return 0;
|
|
29
|
+
let sx = 0, sy = 0;
|
|
30
|
+
for (let i = 0; i < n; i++) {
|
|
31
|
+
sx += xs[i];
|
|
32
|
+
sy += ys[i];
|
|
33
|
+
}
|
|
34
|
+
const mx = sx / n, my = sy / n;
|
|
35
|
+
let num = 0, dx = 0, dy = 0;
|
|
36
|
+
for (let i = 0; i < n; i++) {
|
|
37
|
+
const a = xs[i] - mx, b = ys[i] - my;
|
|
38
|
+
num += a * b;
|
|
39
|
+
dx += a * a;
|
|
40
|
+
dy += b * b;
|
|
41
|
+
}
|
|
42
|
+
if (dx === 0 || dy === 0)
|
|
43
|
+
return 0;
|
|
44
|
+
return num / Math.sqrt(dx * dy);
|
|
45
|
+
}
|
|
46
|
+
function median(values) {
|
|
47
|
+
if (values.length === 0)
|
|
48
|
+
return 0;
|
|
49
|
+
const sorted = [...values].sort((a, b) => a - b);
|
|
50
|
+
return quantile(sorted, 0.5);
|
|
51
|
+
}
|
|
52
|
+
function mean(values) {
|
|
53
|
+
if (values.length === 0)
|
|
54
|
+
return 0;
|
|
55
|
+
return values.reduce((s, x) => s + x, 0) / values.length;
|
|
56
|
+
}
|
|
57
|
+
export function runAllCohorts(base, data, options = {}) {
|
|
58
|
+
const trials = [];
|
|
59
|
+
const horizonMonths = base.horizonYears * 12;
|
|
60
|
+
const stepYears = options.stepYears ?? 1;
|
|
61
|
+
if (base.stepFreq === 'annual') {
|
|
62
|
+
const annualData = aggregateToAnnual(data);
|
|
63
|
+
for (let i = 0; i + base.horizonYears <= annualData.length; i += stepYears) {
|
|
64
|
+
const cfg = { ...base, startDate: annualData[i].date };
|
|
65
|
+
try {
|
|
66
|
+
trials.push(simulate(cfg, data));
|
|
67
|
+
}
|
|
68
|
+
catch { /* not enough data */ }
|
|
69
|
+
}
|
|
70
|
+
}
|
|
71
|
+
else {
|
|
72
|
+
for (let i = 0; i + horizonMonths < data.length; i += 12 * stepYears) {
|
|
73
|
+
const cfg = { ...base, startDate: data[i].date };
|
|
74
|
+
try {
|
|
75
|
+
trials.push(simulate(cfg, data));
|
|
76
|
+
}
|
|
77
|
+
catch { /* not enough data */ }
|
|
78
|
+
}
|
|
79
|
+
}
|
|
80
|
+
const summary = summarize(trials, base.horizonYears, base.stepFreq === 'monthly' ? 12 : 1);
|
|
81
|
+
const configHash = hashConfig(base);
|
|
82
|
+
return { trials, summary, configHash };
|
|
83
|
+
}
|
|
84
|
+
function summarize(trials, horizonYears, periodsPerYear) {
|
|
85
|
+
if (trials.length === 0) {
|
|
86
|
+
const zero = { p5: 0, p10: 0, p25: 0, p50: 0, p75: 0, p90: 0, p95: 0 };
|
|
87
|
+
return {
|
|
88
|
+
count: 0, successRate: 0,
|
|
89
|
+
endBalanceReal: zero, endBalanceNominal: zero,
|
|
90
|
+
withdrawalRealByYear: [], balanceRealByYear: [],
|
|
91
|
+
timeToRuin: [], medianMaxDrawdown: 0, meanMaxDrawdown: 0, medianTimeUnderwater: 0,
|
|
92
|
+
worstCohortStart: '', bestCohortStart: '',
|
|
93
|
+
sequenceRiskScore: 0, withdrawalVolatility: 0, startDates: [],
|
|
94
|
+
};
|
|
95
|
+
}
|
|
96
|
+
const successes = trials.filter(t => t.ranOutAtPeriod === null);
|
|
97
|
+
const endsReal = trials.map(t => t.endBalanceReal);
|
|
98
|
+
const endsNominal = trials.map(t => t.endBalanceNominal);
|
|
99
|
+
// Per-year quantiles for withdrawals (real) and balance (real).
|
|
100
|
+
const withdrawalRealByYear = [];
|
|
101
|
+
const balanceRealByYear = [];
|
|
102
|
+
for (let y = 0; y < horizonYears; y++) {
|
|
103
|
+
const wValues = [];
|
|
104
|
+
const bValues = [];
|
|
105
|
+
for (const t of trials) {
|
|
106
|
+
// Sum withdrawals across periods within year y
|
|
107
|
+
let yearW = 0;
|
|
108
|
+
let lastBal = null;
|
|
109
|
+
for (let k = 0; k < periodsPerYear; k++) {
|
|
110
|
+
const p = t.periods[y * periodsPerYear + k];
|
|
111
|
+
if (!p)
|
|
112
|
+
break;
|
|
113
|
+
const startCpi = t.periods[0].cpi;
|
|
114
|
+
const wNominal = p.withdrawal.stocks + p.withdrawal.bonds + p.withdrawal.cash;
|
|
115
|
+
yearW += wNominal * (startCpi / p.cpi);
|
|
116
|
+
lastBal = p.totalReal;
|
|
117
|
+
}
|
|
118
|
+
wValues.push(yearW);
|
|
119
|
+
if (lastBal !== null)
|
|
120
|
+
bValues.push(lastBal);
|
|
121
|
+
}
|
|
122
|
+
withdrawalRealByYear.push(quantilesOf(wValues));
|
|
123
|
+
balanceRealByYear.push(quantilesOf(bValues));
|
|
124
|
+
}
|
|
125
|
+
const timeToRuin = trials.filter(t => t.ranOutAtPeriod !== null).map(t => t.ranOutAtPeriod);
|
|
126
|
+
const maxDDs = trials.map(t => t.summary?.maxDrawdownReal ?? 0);
|
|
127
|
+
const underwaterFractions = trials.map(t => t.summary?.timeUnderwaterFraction ?? 0);
|
|
128
|
+
const cvs = trials.map(t => t.summary?.withdrawalCV ?? 0);
|
|
129
|
+
// First-decade return for each cohort (real, blended 60/40).
|
|
130
|
+
const firstDecadeReturns = trials.map(t => {
|
|
131
|
+
const decadeEnd = Math.min(t.periods.length, 10 * periodsPerYear);
|
|
132
|
+
let acc = 1;
|
|
133
|
+
for (let k = 0; k < decadeEnd; k++) {
|
|
134
|
+
const r = t.periods[k].returns;
|
|
135
|
+
acc *= 1 + (r.stocks * 0.6 + r.bonds * 0.4);
|
|
136
|
+
}
|
|
137
|
+
return acc - 1;
|
|
138
|
+
});
|
|
139
|
+
const sortedByEnd = [...trials].sort((a, b) => a.endBalanceReal - b.endBalanceReal);
|
|
140
|
+
return {
|
|
141
|
+
count: trials.length,
|
|
142
|
+
successRate: successes.length / trials.length,
|
|
143
|
+
endBalanceReal: quantilesOf(endsReal),
|
|
144
|
+
endBalanceNominal: quantilesOf(endsNominal),
|
|
145
|
+
withdrawalRealByYear,
|
|
146
|
+
balanceRealByYear,
|
|
147
|
+
timeToRuin,
|
|
148
|
+
medianMaxDrawdown: median(maxDDs),
|
|
149
|
+
meanMaxDrawdown: mean(maxDDs),
|
|
150
|
+
medianTimeUnderwater: median(underwaterFractions),
|
|
151
|
+
worstCohortStart: sortedByEnd[0].startDate,
|
|
152
|
+
bestCohortStart: sortedByEnd[sortedByEnd.length - 1].startDate,
|
|
153
|
+
sequenceRiskScore: correlation(firstDecadeReturns, endsReal),
|
|
154
|
+
withdrawalVolatility: median(cvs),
|
|
155
|
+
startDates: trials.map(t => t.startDate),
|
|
156
|
+
};
|
|
157
|
+
}
|
|
158
|
+
function hashConfig(c) {
|
|
159
|
+
// Lightweight stable hash — used to skip duplicate runs in live-tweak.
|
|
160
|
+
return JSON.stringify(c).split('').reduce((h, ch) => ((h << 5) - h + ch.charCodeAt(0)) | 0, 0).toString(36);
|
|
161
|
+
}
|
|
162
|
+
/**
|
|
163
|
+
* SWR back-solve: find the largest constant-real withdrawal rate that yields >= targetSuccess.
|
|
164
|
+
* Uses bisection. Only meaningful for rules where rate -> success is monotone decreasing.
|
|
165
|
+
*/
|
|
166
|
+
export function solveSwr(base, data, targetSuccess = 0.95, bounds = { lo: 0.005, hi: 0.12 }) {
|
|
167
|
+
let { lo, hi } = bounds;
|
|
168
|
+
for (let iter = 0; iter < 18; iter++) {
|
|
169
|
+
const mid = (lo + hi) / 2;
|
|
170
|
+
const result = runAllCohorts({ ...base, strategy: { kind: 'constant-dollar', annualAmount: base.initialBalance * mid, inflationAdjusted: true, sourcing: 'proportional' } }, data);
|
|
171
|
+
if (result.summary.successRate >= targetSuccess)
|
|
172
|
+
lo = mid;
|
|
173
|
+
else
|
|
174
|
+
hi = mid;
|
|
175
|
+
}
|
|
176
|
+
return lo;
|
|
177
|
+
}
|
|
178
|
+
//# sourceMappingURL=runner.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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@@ -0,0 +1,30 @@
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|
|
1
|
+
import type { BucketSourcing, PeriodState, StepFreq, StrategyKind, WithdrawalStrategy } from '../types.js';
|
|
2
|
+
export type Decision = {
|
|
3
|
+
amount: number;
|
|
4
|
+
sourcing: BucketSourcing;
|
|
5
|
+
};
|
|
6
|
+
export type StrategyContext = {
|
|
7
|
+
state: PeriodState;
|
|
8
|
+
freq: StepFreq;
|
|
9
|
+
startCpi: number;
|
|
10
|
+
periodsPerYear: number;
|
|
11
|
+
/** Total horizon in periods (used by 1/N, VPW). */
|
|
12
|
+
totalPeriods: number;
|
|
13
|
+
/** Prior period (for strategies that need lagged data). Undefined on first period. */
|
|
14
|
+
prevState?: PeriodState;
|
|
15
|
+
/** Last computed real (inflation-adjusted) annual withdrawal — used by smoothing rules. */
|
|
16
|
+
lastRealAnnualWithdrawal?: number;
|
|
17
|
+
};
|
|
18
|
+
export type StrategyDef = {
|
|
19
|
+
kind: StrategyKind;
|
|
20
|
+
/** Domain defaults; presentation metadata remains in the consuming app. */
|
|
21
|
+
defaults: WithdrawalStrategy;
|
|
22
|
+
/** Returns the gross withdrawal amount for the period (PRE income/extras adjustment). */
|
|
23
|
+
decide: (strategy: WithdrawalStrategy, ctx: StrategyContext) => Decision;
|
|
24
|
+
};
|
|
25
|
+
export declare const STRATEGY_REGISTRY: Record<StrategyKind, StrategyDef>;
|
|
26
|
+
export declare function getStrategyDef(kind: StrategyKind): StrategyDef;
|
|
27
|
+
export declare function strategyDecide(strategy: WithdrawalStrategy, ctx: StrategyContext): Decision;
|
|
28
|
+
/** Helper to extract the sourcing field from any strategy that has one. */
|
|
29
|
+
export declare function getSourcing(strategy: WithdrawalStrategy): BucketSourcing;
|
|
30
|
+
//# sourceMappingURL=index.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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|