@calculator53295/backtest-engine 0.1.0

package/dist/retirement/strategies/index.js

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+// Convert annual real $ withdrawal to per-period amount given inflation + freq.
+function perPeriod(annualNominal, periodsPerYear) {
+    return annualNominal / periodsPerYear;
+}
+// --------------------- constant-dollar ---------------------
+const constantDollar = {
+    kind: 'constant-dollar',
+    defaults: { kind: 'constant-dollar', annualAmount: 40_000, inflationAdjusted: true, sourcing: 'proportional' },
+    decide(strategy, ctx) {
+        const s = strategy;
+        const factor = s.inflationAdjusted ? ctx.state.cpi / ctx.startCpi : 1;
+        return { amount: perPeriod(s.annualAmount * factor, ctx.periodsPerYear), sourcing: s.sourcing };
+    },
+};
+// --------------------- percent-of-portfolio ---------------------
+const percentPortfolio = {
+    kind: 'percent-of-portfolio',
+    defaults: { kind: 'percent-of-portfolio', annualPct: 0.04, sourcing: 'proportional' },
+    decide(strategy, ctx) {
+        const s = strategy;
+        const b = ctx.state.balancesStart;
+        const total = b.stocks + b.bonds + b.cash;
+        const inflationFactor = ctx.state.cpi / ctx.startCpi;
+        let amountNominal = total * s.annualPct;
+        if (s.floorReal && s.floorReal > 0)
+            amountNominal = Math.max(amountNominal, s.floorReal * inflationFactor);
+        if (s.ceilingReal && s.ceilingReal > 0)
+            amountNominal = Math.min(amountNominal, s.ceilingReal * inflationFactor);
+        return { amount: perPeriod(amountNominal, ctx.periodsPerYear), sourcing: s.sourcing };
+    },
+};
+// --------------------- one-over-n ---------------------
+const oneOverN = {
+    kind: 'one-over-n',
+    defaults: { kind: 'one-over-n', sourcing: 'proportional' },
+    decide(strategy, ctx) {
+        const s = strategy;
+        const b = ctx.state.balancesStart;
+        const total = b.stocks + b.bonds + b.cash;
+        const periodsLeft = Math.max(1, ctx.totalPeriods - ctx.state.index);
+        return { amount: total / periodsLeft, sourcing: s.sourcing };
+    },
+};
+// --------------------- VPW ---------------------
+// Bogleheads-style: withdrawal rate rises with age. Simple closed-form (no lookup table dep).
+// rate(age, horizon) ≈ 1 / annuityFactor(periodsLeft, realRate)
+// We use a fixed real discount rate of 5% — close to the published table for 60/40.
+const vpw = {
+    kind: 'vpw',
+    defaults: { kind: 'vpw', currentAge: 65, endAge: 100, sourcing: 'proportional' },
+    decide(strategy, ctx) {
+        const s = strategy;
+        const b = ctx.state.balancesStart;
+        const total = b.stocks + b.bonds + b.cash;
+        const yearsElapsed = Math.floor(ctx.state.index / ctx.periodsPerYear);
+        const age = s.currentAge + yearsElapsed;
+        const yearsLeft = Math.max(1, s.endAge - age);
+        const r = 0.05; // real discount rate
+        // Annuity-due-ish factor: (1 - (1+r)^-n) / r
+        const annuityFactor = (1 - Math.pow(1 + r, -yearsLeft)) / r;
+        const annualRate = 1 / annuityFactor;
+        return { amount: perPeriod(total * annualRate, ctx.periodsPerYear), sourcing: s.sourcing };
+    },
+};
+// --------------------- Guyton-Klinger ---------------------
+// Implements the three rules in simplified form:
+//   - Withdrawal rule: inflation-adjust the prior real withdrawal each year.
+//   - Capital preservation: if current withdrawal rate > (1+guardrailCutPct) * initial, cut by cutAdjustPct.
+//   - Prosperity rule: if current rate < (1-guardrailRaisePct) * initial, raise by raiseAdjustPct.
+//   - Inflation rule: cap CPI growth (e.g. 6%) and skip the bump after a loss year if enabled.
+const guytonKlinger = {
+    kind: 'guyton-klinger',
+    defaults: {
+        kind: 'guyton-klinger',
+        initialPct: 0.05,
+        guardrailRaisePct: 0.20,
+        guardrailCutPct: 0.20,
+        raiseAdjustPct: 0.10,
+        cutAdjustPct: 0.10,
+        inflationCap: 0.06,
+        skipInflationAfterLoss: true,
+        sourcing: 'proportional',
+    },
+    decide(strategy, ctx) {
+        const s = strategy;
+        const b = ctx.state.balancesStart;
+        const total = b.stocks + b.bonds + b.cash;
+        const inflationFactor = ctx.state.cpi / ctx.startCpi;
+        // initial real annual $ is initialPct of the starting portfolio (we re-derive each call —
+        // ctx doesn't carry it, but in real $ at startCpi that's effectively constant per cohort).
+        // We approximate "initial real $" as initialPct * total / (factor) at year 0; otherwise we
+        // use lastRealAnnualWithdrawal.
+        if (ctx.state.index === 0 || ctx.lastRealAnnualWithdrawal === undefined) {
+            const initialAnnual = total * s.initialPct;
+            return { amount: perPeriod(initialAnnual, ctx.periodsPerYear), sourcing: s.sourcing };
+        }
+        const prevRealAnnual = ctx.lastRealAnnualWithdrawal;
+        // Inflation rule: bump prior withdrawal by min(cpi-growth, cap). Skip if last period had a portfolio loss.
+        const prevCpi = ctx.prevState?.cpi ?? ctx.state.cpi;
+        const cpiGrowth = Math.min(s.inflationCap, Math.max(0, (ctx.state.cpi - prevCpi) / prevCpi));
+        let postLoss = false;
+        if (s.skipInflationAfterLoss && ctx.prevState) {
+            const prevReturns = ctx.prevState.returns;
+            const blended = prevReturns.stocks * 0.6 + prevReturns.bonds * 0.4;
+            postLoss = blended < 0;
+        }
+        let nextRealAnnual = prevRealAnnual * (1 + (postLoss ? 0 : cpiGrowth));
+        // Capital preservation / prosperity (apply on the nominal current rate vs initial rate).
+        const currentNominal = nextRealAnnual * inflationFactor;
+        const currentRate = currentNominal / total;
+        const upperGuardrail = s.initialPct * (1 + s.guardrailCutPct);
+        const lowerGuardrail = s.initialPct * (1 - s.guardrailRaisePct);
+        // Capital preservation only fires in the first ~15 years of horizon (per GK).
+        const yearsElapsed = ctx.state.index / ctx.periodsPerYear;
+        const yearsLeft = ctx.totalPeriods / ctx.periodsPerYear - yearsElapsed;
+        if (currentRate > upperGuardrail && yearsLeft > 15) {
+            nextRealAnnual *= (1 - s.cutAdjustPct);
+        }
+        else if (currentRate < lowerGuardrail) {
+            nextRealAnnual *= (1 + s.raiseAdjustPct);
+        }
+        const annualNominal = nextRealAnnual * inflationFactor;
+        return { amount: perPeriod(annualNominal, ctx.periodsPerYear), sourcing: s.sourcing };
+    },
+};
+// --------------------- CAPE-based ---------------------
+// rate = multiplier + capeWeight / CAPE (Kitces).
+const capeBased = {
+    kind: 'cape-based',
+    defaults: { kind: 'cape-based', multiplier: 0.0175, capeWeight: 0.50, floorPct: 0.025, ceilingPct: 0.08, sourcing: 'proportional' },
+    decide(strategy, ctx) {
+        const s = strategy;
+        const b = ctx.state.balancesStart;
+        const total = b.stocks + b.bonds + b.cash;
+        // CAPE not present? Fall back to multiplier alone — won't crash.
+        const cape = ctx.state.cape;
+        let rate = s.multiplier + (cape && cape > 0 ? s.capeWeight / cape : 0);
+        if (s.floorPct)
+            rate = Math.max(s.floorPct, rate);
+        if (s.ceilingPct)
+            rate = Math.min(s.ceilingPct, rate);
+        return { amount: perPeriod(total * rate, ctx.periodsPerYear), sourcing: s.sourcing };
+    },
+};
+// --------------------- 95% rule ---------------------
+const ninetyFive = {
+    kind: '95-percent',
+    defaults: { kind: '95-percent', initialPct: 0.05, floorMultiplier: 0.95, sourcing: 'proportional' },
+    decide(strategy, ctx) {
+        const s = strategy;
+        const b = ctx.state.balancesStart;
+        const total = b.stocks + b.bonds + b.cash;
+        const inflationFactor = ctx.state.cpi / ctx.startCpi;
+        const pctAnnual = total * s.initialPct;
+        if (ctx.lastRealAnnualWithdrawal === undefined) {
+            return { amount: perPeriod(pctAnnual, ctx.periodsPerYear), sourcing: s.sourcing };
+        }
+        const floorAnnualNominal = ctx.lastRealAnnualWithdrawal * s.floorMultiplier * inflationFactor;
+        const annualNominal = Math.max(pctAnnual, floorAnnualNominal);
+        return { amount: perPeriod(annualNominal, ctx.periodsPerYear), sourcing: s.sourcing };
+    },
+};
+// --------------------- Endowment ---------------------
+// withdrawal = alpha * (initialPct * total) + (1-alpha) * prior real withdrawal (inflation-adjusted).
+const endowment = {
+    kind: 'endowment',
+    defaults: { kind: 'endowment', initialPct: 0.05, alpha: 0.30, sourcing: 'proportional' },
+    decide(strategy, ctx) {
+        const s = strategy;
+        const b = ctx.state.balancesStart;
+        const total = b.stocks + b.bonds + b.cash;
+        const inflationFactor = ctx.state.cpi / ctx.startCpi;
+        const pctAnnual = total * s.initialPct;
+        if (ctx.lastRealAnnualWithdrawal === undefined) {
+            return { amount: perPeriod(pctAnnual, ctx.periodsPerYear), sourcing: s.sourcing };
+        }
+        const priorAnnualNominal = ctx.lastRealAnnualWithdrawal * inflationFactor;
+        const annual = s.alpha * pctAnnual + (1 - s.alpha) * priorAnnualNominal;
+        return { amount: perPeriod(annual, ctx.periodsPerYear), sourcing: s.sourcing };
+    },
+};
+// --------------------- Vanguard Dynamic Spending ---------------------
+// Bound the YoY change in real withdrawal to a ceiling/floor.
+const vanguardDynamic = {
+    kind: 'vanguard-dynamic',
+    defaults: { kind: 'vanguard-dynamic', initialPct: 0.05, ceilingPct: 0.05, floorPct: 0.025, sourcing: 'proportional' },
+    decide(strategy, ctx) {
+        const s = strategy;
+        const b = ctx.state.balancesStart;
+        const total = b.stocks + b.bonds + b.cash;
+        const inflationFactor = ctx.state.cpi / ctx.startCpi;
+        const pctAnnual = total * s.initialPct;
+        if (ctx.lastRealAnnualWithdrawal === undefined) {
+            return { amount: perPeriod(pctAnnual, ctx.periodsPerYear), sourcing: s.sourcing };
+        }
+        // Compute real annual implied by pctAnnual:
+        const pctRealAnnual = pctAnnual / inflationFactor;
+        const maxReal = ctx.lastRealAnnualWithdrawal * (1 + s.ceilingPct);
+        const minReal = ctx.lastRealAnnualWithdrawal * (1 - s.floorPct);
+        const realAnnual = Math.max(minReal, Math.min(maxReal, pctRealAnnual));
+        return { amount: perPeriod(realAnnual * inflationFactor, ctx.periodsPerYear), sourcing: s.sourcing };
+    },
+};
+// --------------------- Legacy adapters ---------------------
+const legacyFixedReal = {
+    kind: 'fixed-real',
+    defaults: { kind: 'fixed-real', annualAmount: 40_000, sourcing: 'proportional' },
+    decide(strategy, ctx) {
+        const s = strategy;
+        const inflation = ctx.state.cpi / ctx.startCpi;
+        return { amount: perPeriod(s.annualAmount * inflation, ctx.periodsPerYear), sourcing: s.sourcing };
+    },
+};
+const legacyFixedPct = {
+    kind: 'fixed-pct',
+    defaults: { kind: 'fixed-pct', annualPct: 0.04, sourcing: 'proportional' },
+    decide(strategy, ctx) {
+        const s = strategy;
+        const b = ctx.state.balancesStart;
+        const total = b.stocks + b.bonds + b.cash;
+        return { amount: perPeriod(total * s.annualPct, ctx.periodsPerYear), sourcing: s.sourcing };
+    },
+};
+const legacyGuardrails = {
+    kind: 'guardrails',
+    defaults: { kind: 'guardrails', initialPct: 0.04, sourcing: 'proportional' },
+    decide(strategy, ctx) {
+        const s = strategy;
+        const b = ctx.state.balancesStart;
+        const total = b.stocks + b.bonds + b.cash;
+        const inflation = ctx.state.cpi / ctx.startCpi;
+        return { amount: perPeriod(total * (s.initialPct * inflation), ctx.periodsPerYear), sourcing: s.sourcing };
+    },
+};
+const interactive = {
+    kind: 'interactive',
+    defaults: { kind: 'interactive' },
+    decide() {
+        throw new Error('Interactive strategy must be driven by Play Mode, not the engine.');
+    },
+};
+export const STRATEGY_REGISTRY = {
+    'constant-dollar': constantDollar,
+    'percent-of-portfolio': percentPortfolio,
+    'one-over-n': oneOverN,
+    vpw,
+    'guyton-klinger': guytonKlinger,
+    'cape-based': capeBased,
+    '95-percent': ninetyFive,
+    endowment,
+    'vanguard-dynamic': vanguardDynamic,
+    'fixed-real': legacyFixedReal,
+    'fixed-pct': legacyFixedPct,
+    guardrails: legacyGuardrails,
+    interactive,
+};
+export function getStrategyDef(kind) {
+    return STRATEGY_REGISTRY[kind];
+}
+export function strategyDecide(strategy, ctx) {
+    const def = STRATEGY_REGISTRY[strategy.kind];
+    return def.decide(strategy, ctx);
+}
+/** Helper to extract the sourcing field from any strategy that has one. */
+export function getSourcing(strategy) {
+    if ('sourcing' in strategy)
+        return strategy.sourcing;
+    return 'proportional';
+}
+//# sourceMappingURL=index.js.map

package/dist/retirement/strategies/index.js.map

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package/dist/retirement/types.d.ts

@@ -0,0 +1,206 @@
+export type Buckets = {
+    stocks: number;
+    bonds: number;
+    cash: number;
+};
+export type Allocation = Buckets;
+export type Returns = Buckets;
+export type StepFreq = 'monthly' | 'annual';
+export type RebalancePolicy = 'none' | 'yearly' | 'every-n-years' | 'on-withdrawal' | 'threshold';
+export type RebalanceConfig = {
+    policy: RebalancePolicy;
+    everyN?: number;
+    bandPct?: number;
+};
+export type BucketSourcing = 'proportional' | 'cash-first' | 'stocks-first' | 'bonds-first' | 'best-performer';
+export type LegacyConstantDollarStrategy = {
+    kind: 'fixed-real';
+    annualAmount: number;
+    sourcing: BucketSourcing;
+};
+export type LegacyPercentStrategy = {
+    kind: 'fixed-pct';
+    annualPct: number;
+    sourcing: BucketSourcing;
+};
+export type LegacyGuardrailsStrategy = {
+    kind: 'guardrails';
+    initialPct: number;
+    sourcing: BucketSourcing;
+    raiseThreshold?: number;
+    cutThreshold?: number;
+};
+export type InteractiveStrategy = {
+    kind: 'interactive';
+};
+export type ConstantDollarStrategy = {
+    kind: 'constant-dollar';
+    annualAmount: number;
+    inflationAdjusted: boolean;
+    sourcing: BucketSourcing;
+};
+export type PercentPortfolioStrategy = {
+    kind: 'percent-of-portfolio';
+    annualPct: number;
+    floorReal?: number;
+    ceilingReal?: number;
+    sourcing: BucketSourcing;
+};
+export type OneOverNStrategy = {
+    kind: 'one-over-n';
+    sourcing: BucketSourcing;
+};
+export type VpwStrategy = {
+    kind: 'vpw';
+    currentAge: number;
+    endAge: number;
+    sourcing: BucketSourcing;
+};
+export type GuytonKlingerStrategy = {
+    kind: 'guyton-klinger';
+    initialPct: number;
+    guardrailRaisePct: number;
+    guardrailCutPct: number;
+    raiseAdjustPct: number;
+    cutAdjustPct: number;
+    inflationCap: number;
+    skipInflationAfterLoss: boolean;
+    sourcing: BucketSourcing;
+};
+export type CapeBasedStrategy = {
+    kind: 'cape-based';
+    multiplier: number;
+    capeWeight: number;
+    floorPct?: number;
+    ceilingPct?: number;
+    sourcing: BucketSourcing;
+};
+export type NinetyFivePercentStrategy = {
+    kind: '95-percent';
+    initialPct: number;
+    floorMultiplier: number;
+    sourcing: BucketSourcing;
+};
+export type EndowmentStrategy = {
+    kind: 'endowment';
+    alpha: number;
+    initialPct: number;
+    sourcing: BucketSourcing;
+};
+export type VanguardDynamicStrategy = {
+    kind: 'vanguard-dynamic';
+    initialPct: number;
+    ceilingPct: number;
+    floorPct: number;
+    sourcing: BucketSourcing;
+};
+export type WithdrawalStrategy = LegacyConstantDollarStrategy | LegacyPercentStrategy | LegacyGuardrailsStrategy | InteractiveStrategy | ConstantDollarStrategy | PercentPortfolioStrategy | OneOverNStrategy | VpwStrategy | GuytonKlingerStrategy | CapeBasedStrategy | NinetyFivePercentStrategy | EndowmentStrategy | VanguardDynamicStrategy;
+export type StrategyKind = WithdrawalStrategy['kind'];
+export type CashflowStream = {
+    id: string;
+    name: string;
+    annualAmount: number;
+    startYear: number;
+    duration: number | 'forever';
+    inflationAdjusted: boolean;
+    inflationStartsImmediately: boolean;
+    enabled: boolean;
+};
+export type IncomeStream = CashflowStream;
+export type ExtraWithdrawal = CashflowStream;
+export type GlidePath = {
+    enabled: boolean;
+    finalAllocation: Allocation;
+    shape: 'linear' | 'quadratic-in' | 'quadratic-out';
+};
+export type FeeConfig = {
+    stocks: number;
+    bonds: number;
+    cash: number;
+};
+export type PeriodState = {
+    index: number;
+    date: string;
+    cpi: number;
+    returns: Returns;
+    balancesStart: Buckets;
+    withdrawal: Buckets;
+    balancesEnd: Buckets;
+    totalReal: number;
+    totalNominal: number;
+    grossWithdrawal?: number;
+    netWithdrawal?: number;
+    incomeReceived?: number;
+    feesPaid?: number;
+};
+export type SimConfig = {
+    startDate: string;
+    horizonYears: number;
+    stepFreq: StepFreq;
+    initialBalance: number;
+    initialAllocation: Allocation;
+    strategy: WithdrawalStrategy;
+    rebalance: RebalancePolicy;
+    rebalanceConfig?: RebalanceConfig;
+    fees?: FeeConfig;
+    glidePath?: GlidePath;
+    income?: IncomeStream[];
+    extraWithdrawals?: ExtraWithdrawal[];
+};
+export type TrialSummary = {
+    maxDrawdownReal: number;
+    maxDrawdownPeriod: number;
+    timeUnderwaterFraction: number;
+    worstYearReturn: number;
+    totalRealWithdrawn: number;
+    withdrawalCV: number;
+};
+export type TrialResult = {
+    config: SimConfig;
+    startDate: string;
+    periods: PeriodState[];
+    ranOutAtPeriod: number | null;
+    endBalanceReal: number;
+    endBalanceNominal: number;
+    summary?: TrialSummary;
+};
+export type Quantiles = {
+    p5: number;
+    p10: number;
+    p25: number;
+    p50: number;
+    p75: number;
+    p90: number;
+    p95: number;
+};
+export type RunSummary = {
+    count: number;
+    successRate: number;
+    endBalanceReal: Quantiles;
+    endBalanceNominal: Quantiles;
+    withdrawalRealByYear: Quantiles[];
+    balanceRealByYear: Quantiles[];
+    timeToRuin: number[];
+    medianMaxDrawdown: number;
+    meanMaxDrawdown: number;
+    medianTimeUnderwater: number;
+    worstCohortStart: string;
+    bestCohortStart: string;
+    sequenceRiskScore: number;
+    withdrawalVolatility: number;
+    startDates: string[];
+};
+export type RunResult = {
+    trials: TrialResult[];
+    summary: RunSummary;
+    configHash: string;
+};
+export type HistoricalRow = {
+    date: string;
+    spReturn: number;
+    bondReturn: number;
+    cashReturn: number;
+    cpi: number;
+    cape?: number;
+};
+//# sourceMappingURL=types.d.ts.map

package/dist/retirement/types.d.ts.map

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package/dist/retirement/types.js

@@ -0,0 +1,2 @@
+export {};
+//# sourceMappingURL=types.js.map

package/dist/retirement/types.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"types.js","sourceRoot":"","sources":["../../src/retirement/types.ts"],"names":[],"mappings":""}

package/package.json

@@ -0,0 +1,50 @@
+{
+  "name": "@calculator53295/backtest-engine",
+  "version": "0.1.0",
+  "description": "Pure TypeScript backtest and retirement-simulation engine with zero runtime dependencies: daily TWR/IRR backtesting, Monte Carlo retirement simulation, and a historical cohort engine with nine withdrawal strategies.",
+  "license": "MIT",
+  "author": "Calculator5329",
+  "repository": {
+    "type": "git",
+    "url": "git+https://github.com/Calculator5329/finance-kit.git",
+    "directory": "packages/backtest-engine"
+  },
+  "homepage": "https://github.com/Calculator5329/finance-kit/tree/main/packages/backtest-engine#readme",
+  "bugs": {
+    "url": "https://github.com/Calculator5329/finance-kit/issues"
+  },
+  "type": "module",
+  "sideEffects": false,
+  "main": "./dist/index.js",
+  "types": "./dist/index.d.ts",
+  "exports": {
+    ".": {
+      "types": "./dist/index.d.ts",
+      "import": "./dist/index.js"
+    },
+    "./retirement": {
+      "types": "./dist/retirement/index.d.ts",
+      "import": "./dist/retirement/index.js"
+    }
+  },
+  "files": [
+    "dist"
+  ],
+  "publishConfig": {
+    "access": "public"
+  },
+  "scripts": {
+    "build": "tsc --build",
+    "typecheck": "tsc -p tsconfig.test.json"
+  },
+  "dependencies": {},
+  "keywords": [
+    "backtest",
+    "twr",
+    "irr",
+    "monte-carlo",
+    "retirement",
+    "withdrawal-strategies",
+    "portfolio"
+  ]
+}