@helloxiaohu/plugin-stock-backtest-sim 0.0.1

package/README.md

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+# Stock Backtest & Simulation Plugin
+
+Run momentum backtests and stress tests on custom price series.

package/dist/index.d.ts

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+import type { XpertPlugin } from '@xpert-ai/plugin-sdk';
+import { z } from 'zod';
+declare const ConfigSchema: z.ZodObject<{
+    defaultFeeRate: z.ZodDefault<z.ZodOptional<z.ZodNumber>>;
+    defaultSlippageRate: z.ZodDefault<z.ZodOptional<z.ZodNumber>>;
+    defaultRebalanceDays: z.ZodDefault<z.ZodOptional<z.ZodNumber>>;
+}, "strip", z.ZodTypeAny, {
+    defaultFeeRate?: number;
+    defaultSlippageRate?: number;
+    defaultRebalanceDays?: number;
+}, {
+    defaultFeeRate?: number;
+    defaultSlippageRate?: number;
+    defaultRebalanceDays?: number;
+}>;
+declare const plugin: XpertPlugin<z.infer<typeof ConfigSchema>>;
+export default plugin;
+//# sourceMappingURL=index.d.ts.map

package/dist/index.d.ts.map

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package/dist/index.js

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+import { readFileSync } from 'fs';
+import { fileURLToPath } from 'url';
+import { dirname, join } from 'path';
+import { z } from 'zod';
+import { StockBacktestSimPlugin } from './lib/stock-backtest-sim.plugin.js';
+import { icon } from './lib/types.js';
+const __filename = fileURLToPath(import.meta.url);
+const __dirname = dirname(__filename);
+const packageJson = JSON.parse(readFileSync(join(__dirname, '../package.json'), 'utf8'));
+const ConfigSchema = z.object({
+    defaultFeeRate: z.number().min(0).max(0.01).optional().default(0.0005),
+    defaultSlippageRate: z.number().min(0).max(0.01).optional().default(0.0005),
+    defaultRebalanceDays: z.number().int().min(1).max(60).optional().default(5)
+});
+const plugin = {
+    meta: {
+        name: packageJson.name,
+        version: packageJson.version,
+        category: 'tools',
+        icon: {
+            type: 'image',
+            value: icon
+        },
+        displayName: 'Stock Backtest & Simulation',
+        description: 'Run historical backtests and scenario stress simulation for stock strategies',
+        keywords: ['backtest', 'simulation', 'stress test', '回测', '仿真'],
+        author: 'XpertAI Team',
+    },
+    config: {
+        schema: ConfigSchema,
+    },
+    register(ctx) {
+        ctx.logger.log('register stock-backtest-sim plugin');
+        return { module: StockBacktestSimPlugin, global: true };
+    },
+    async onStart(ctx) {
+        ctx.logger.log('stock-backtest-sim plugin started');
+    },
+    async onStop(ctx) {
+        ctx.logger.log('stock-backtest-sim plugin stopped');
+    },
+};
+export default plugin;
+//# sourceMappingURL=index.js.map

package/dist/index.js.map

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package/dist/lib/backtest-engine.d.ts

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+import { PricePoint, StressPosition, SymbolSeries } from './types.js';
+interface BacktestOptions {
+    initialCapital: number;
+    lookbackDays?: number;
+    rebalanceEveryDays?: number;
+    topN?: number;
+    feeRate?: number;
+    slippageRate?: number;
+    maxSingleWeight?: number;
+    cashReserveRatio?: number;
+    benchmarkSeries?: PricePoint[];
+}
+interface EquityPoint {
+    date: string;
+    equity: number;
+}
+interface TradeLog {
+    date: string;
+    code: string;
+    side: 'buy' | 'sell';
+    quantity: number;
+    midPrice: number;
+    price: number;
+    amount: number;
+    fee: number;
+    slippageCost: number;
+}
+interface AttributionRow {
+    code: string;
+    pnl: number;
+    contribution: number;
+    endingValue: number;
+}
+export declare function runMomentumBacktest(series: SymbolSeries[], options: BacktestOptions): {
+    summary: {
+        startDate: string;
+        endDate: string;
+        initialCapital: number;
+        finalCapital: number;
+        totalReturn: number;
+        annualizedReturn: number;
+        annualizedVolatility: number;
+        sharpe: number;
+        maxDrawdown: number;
+        tradeCount: number;
+        benchmarkTotalReturn: number;
+        excessReturn: number;
+    };
+    benchmark: {
+        benchmarkTotalReturn: number;
+        benchmarkAnnualizedReturn: number;
+        excessReturn: number;
+        beta: number;
+        alphaAnnualized: number;
+        trackingError: number;
+        informationRatio: number;
+    };
+    costBreakdown: {
+        turnover: number;
+        totalFees: number;
+        totalSlippageCost: number;
+        totalCost: number;
+    };
+    attribution: AttributionRow[];
+    equityCurve: EquityPoint[];
+    trades: TradeLog[];
+};
+export declare function runStressTest(positions: StressPosition[], scenarios: Array<{
+    name: string;
+    marketShock: number;
+    betaScale?: number;
+    perSymbolShock?: Record<string, number>;
+}>): {
+    baseValue: number;
+    scenarios: {
+        name: string;
+        marketShock: number;
+        pnl: number;
+        stressedValue: number;
+        returnRate: number;
+    }[];
+};
+export {};
+//# sourceMappingURL=backtest-engine.d.ts.map

package/dist/lib/backtest-engine.d.ts.map

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package/dist/lib/backtest-engine.js

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+const SQRT_252 = Math.sqrt(252);
+function safePrice(value) {
+    return Number.isFinite(value) && value > 0 ? value : 0;
+}
+function alignSeries(series) {
+    const minLen = Math.min(...series.map((item) => item.prices.length));
+    if (!Number.isFinite(minLen) || minLen <= 1) {
+        return { dates: [], closesByCode: {} };
+    }
+    const trimmed = series.map((item) => ({
+        code: item.code.toUpperCase(),
+        prices: item.prices.slice(-minLen)
+    }));
+    const dates = trimmed[0].prices.map((item) => item.date);
+    const closesByCode = {};
+    for (const item of trimmed) {
+        closesByCode[item.code] = item.prices.map((point) => safePrice(point.close));
+    }
+    return { dates, closesByCode };
+}
+function portfolioValue(holdings, prices, cash) {
+    let value = cash;
+    for (const item of holdings.values()) {
+        const price = prices[item.code] || 0;
+        value += item.quantity * price;
+    }
+    return value;
+}
+function mean(values) {
+    if (values.length === 0)
+        return 0;
+    return values.reduce((sum, item) => sum + item, 0) / values.length;
+}
+function sampleVariance(values) {
+    if (values.length <= 1)
+        return 0;
+    const m = mean(values);
+    return values.reduce((sum, item) => sum + (item - m) * (item - m), 0) / (values.length - 1);
+}
+function annualizedReturn(totalReturn, days) {
+    if (!Number.isFinite(totalReturn) || days <= 0)
+        return 0;
+    return Math.pow(1 + totalReturn, 252 / days) - 1;
+}
+function computeBenchmarkStats(equityCurve, benchmarkSeries, strategyAnnualizedReturn) {
+    if (!benchmarkSeries || benchmarkSeries.length < 2 || equityCurve.length < 2) {
+        return null;
+    }
+    const benchmarkByDate = new Map();
+    for (const point of benchmarkSeries) {
+        const close = safePrice(point.close);
+        if (close > 0) {
+            benchmarkByDate.set(point.date, close);
+        }
+    }
+    const alignedBenchmark = [];
+    for (const point of equityCurve) {
+        const close = benchmarkByDate.get(point.date);
+        if (close && close > 0) {
+            alignedBenchmark.push({ date: point.date, close });
+        }
+    }
+    if (alignedBenchmark.length < 2) {
+        return null;
+    }
+    const benchStart = alignedBenchmark[0].close;
+    const benchEnd = alignedBenchmark[alignedBenchmark.length - 1].close;
+    const benchmarkTotalReturn = benchStart > 0 ? benchEnd / benchStart - 1 : 0;
+    const benchmarkAnnualizedReturn = annualizedReturn(benchmarkTotalReturn, alignedBenchmark.length - 1);
+    const strategyReturns = [];
+    const benchmarkReturns = [];
+    for (let i = 1; i < alignedBenchmark.length; i++) {
+        const date = alignedBenchmark[i].date;
+        const prevDate = alignedBenchmark[i - 1].date;
+        const strategyNow = equityCurve.find((item) => item.date === date)?.equity || 0;
+        const strategyPrev = equityCurve.find((item) => item.date === prevDate)?.equity || 0;
+        const benchNow = alignedBenchmark[i].close;
+        const benchPrev = alignedBenchmark[i - 1].close;
+        if (strategyNow > 0 && strategyPrev > 0 && benchNow > 0 && benchPrev > 0) {
+            strategyReturns.push(strategyNow / strategyPrev - 1);
+            benchmarkReturns.push(benchNow / benchPrev - 1);
+        }
+    }
+    if (strategyReturns.length < 2 || benchmarkReturns.length < 2) {
+        return {
+            benchmarkTotalReturn,
+            benchmarkAnnualizedReturn,
+            excessReturn: strategyAnnualizedReturn - benchmarkAnnualizedReturn,
+            beta: null,
+            alphaAnnualized: null,
+            trackingError: null,
+            informationRatio: null
+        };
+    }
+    const strategyMean = mean(strategyReturns);
+    const benchmarkMean = mean(benchmarkReturns);
+    const benchmarkVar = sampleVariance(benchmarkReturns);
+    let covariance = 0;
+    for (let i = 0; i < strategyReturns.length; i++) {
+        covariance += (strategyReturns[i] - strategyMean) * (benchmarkReturns[i] - benchmarkMean);
+    }
+    covariance = covariance / Math.max(1, strategyReturns.length - 1);
+    const beta = benchmarkVar > 0 ? covariance / benchmarkVar : 0;
+    const alphaAnnualized = strategyAnnualizedReturn - beta * benchmarkAnnualizedReturn;
+    const excessDaily = strategyReturns.map((value, idx) => value - benchmarkReturns[idx]);
+    const trackingErrorDaily = Math.sqrt(Math.max(0, sampleVariance(excessDaily)));
+    const trackingError = trackingErrorDaily * SQRT_252;
+    const informationRatio = trackingErrorDaily > 0 ? (mean(excessDaily) / trackingErrorDaily) * SQRT_252 : 0;
+    return {
+        benchmarkTotalReturn,
+        benchmarkAnnualizedReturn,
+        excessReturn: strategyAnnualizedReturn - benchmarkAnnualizedReturn,
+        beta,
+        alphaAnnualized,
+        trackingError,
+        informationRatio
+    };
+}
+export function runMomentumBacktest(series, options) {
+    const lookbackDays = options.lookbackDays ?? 20;
+    const rebalanceEveryDays = options.rebalanceEveryDays ?? 5;
+    const topN = options.topN ?? 3;
+    const feeRate = options.feeRate ?? 0.0005;
+    const slippageRate = options.slippageRate ?? 0.0005;
+    const maxSingleWeight = options.maxSingleWeight ?? 0.4;
+    const cashReserveRatio = options.cashReserveRatio ?? 0.05;
+    const aligned = alignSeries(series.filter((item) => item.prices.length > lookbackDays + 2));
+    if (aligned.dates.length <= lookbackDays + 1) {
+        throw new Error('not_enough_price_history');
+    }
+    let cash = options.initialCapital;
+    const holdings = new Map();
+    const equityCurve = [];
+    const trades = [];
+    let totalFees = 0;
+    let totalSlippageCost = 0;
+    let turnover = 0;
+    const pnlLedger = new Map();
+    const updateLedger = (code, side, quantity, netCashEffect) => {
+        const key = code.toUpperCase();
+        const current = pnlLedger.get(key) || { buyCost: 0, sellProceeds: 0, quantity: 0 };
+        if (side === 'buy') {
+            current.buyCost += Math.max(0, -netCashEffect);
+            current.quantity += quantity;
+        }
+        else {
+            current.sellProceeds += Math.max(0, netCashEffect);
+            current.quantity -= quantity;
+        }
+        pnlLedger.set(key, current);
+    };
+    for (let day = lookbackDays; day < aligned.dates.length; day++) {
+        const date = aligned.dates[day];
+        const dailyPrices = {};
+        for (const [code, closes] of Object.entries(aligned.closesByCode)) {
+            dailyPrices[code] = closes[day];
+        }
+        if ((day - lookbackDays) % rebalanceEveryDays === 0) {
+            const momentum = Object.entries(aligned.closesByCode)
+                .map(([code, closes]) => {
+                const past = closes[day - lookbackDays];
+                const now = closes[day];
+                if (past <= 0 || now <= 0)
+                    return { code, score: Number.NEGATIVE_INFINITY };
+                return { code, score: (now - past) / past };
+            })
+                .filter((item) => Number.isFinite(item.score) && item.score > 0)
+                .sort((a, b) => b.score - a.score)
+                .slice(0, topN);
+            const selectedCodes = new Set(momentum.map((item) => item.code));
+            const totalEquityBefore = portfolioValue(holdings, dailyPrices, cash);
+            const investable = totalEquityBefore * (1 - cashReserveRatio);
+            const baseWeight = momentum.length > 0 ? Math.min(maxSingleWeight, 1 / momentum.length) : 0;
+            const targetValueByCode = {};
+            for (const item of momentum) {
+                targetValueByCode[item.code] = investable * baseWeight;
+            }
+            for (const [code, holding] of Array.from(holdings.entries())) {
+                if (selectedCodes.has(code))
+                    continue;
+                const midPrice = dailyPrices[code] || 0;
+                if (midPrice <= 0 || holding.quantity <= 0)
+                    continue;
+                const tradePrice = midPrice * (1 - slippageRate);
+                const amount = holding.quantity * tradePrice;
+                const fee = amount * feeRate;
+                const slippageCost = holding.quantity * Math.max(0, midPrice - tradePrice);
+                const netCash = amount - fee;
+                cash += netCash;
+                totalFees += fee;
+                totalSlippageCost += slippageCost;
+                turnover += amount;
+                updateLedger(code, 'sell', holding.quantity, netCash);
+                trades.push({ date, code, side: 'sell', quantity: holding.quantity, midPrice, price: tradePrice, amount, fee, slippageCost });
+                holdings.delete(code);
+            }
+            for (const [code, targetValue] of Object.entries(targetValueByCode)) {
+                const midPrice = dailyPrices[code] || 0;
+                if (midPrice <= 0)
+                    continue;
+                const currentQty = holdings.get(code)?.quantity || 0;
+                const currentValue = currentQty * midPrice;
+                const delta = targetValue - currentValue;
+                if (Math.abs(delta) < midPrice)
+                    continue;
+                if (delta < 0) {
+                    const qtyToSell = Math.min(currentQty, Math.floor(Math.abs(delta) / midPrice));
+                    if (qtyToSell <= 0)
+                        continue;
+                    const tradePrice = midPrice * (1 - slippageRate);
+                    const amount = qtyToSell * tradePrice;
+                    const fee = amount * feeRate;
+                    const slippageCost = qtyToSell * Math.max(0, midPrice - tradePrice);
+                    const netCash = amount - fee;
+                    cash += netCash;
+                    totalFees += fee;
+                    totalSlippageCost += slippageCost;
+                    turnover += amount;
+                    holdings.set(code, { code, quantity: currentQty - qtyToSell });
+                    if ((holdings.get(code)?.quantity || 0) <= 0)
+                        holdings.delete(code);
+                    updateLedger(code, 'sell', qtyToSell, netCash);
+                    trades.push({ date, code, side: 'sell', quantity: qtyToSell, midPrice, price: tradePrice, amount, fee, slippageCost });
+                }
+                else {
+                    const qtyToBuy = Math.floor(delta / midPrice);
+                    if (qtyToBuy <= 0)
+                        continue;
+                    const tradePrice = midPrice * (1 + slippageRate);
+                    const amount = qtyToBuy * tradePrice;
+                    const fee = amount * feeRate;
+                    const slippageCost = qtyToBuy * Math.max(0, tradePrice - midPrice);
+                    const totalCost = amount + fee;
+                    if (totalCost > cash)
+                        continue;
+                    cash -= totalCost;
+                    totalFees += fee;
+                    totalSlippageCost += slippageCost;
+                    turnover += amount;
+                    holdings.set(code, { code, quantity: currentQty + qtyToBuy });
+                    updateLedger(code, 'buy', qtyToBuy, -totalCost);
+                    trades.push({ date, code, side: 'buy', quantity: qtyToBuy, midPrice, price: tradePrice, amount, fee, slippageCost });
+                }
+            }
+        }
+        const equity = portfolioValue(holdings, dailyPrices, cash);
+        equityCurve.push({ date, equity });
+    }
+    const first = equityCurve[0]?.equity || options.initialCapital;
+    const last = equityCurve[equityCurve.length - 1]?.equity || first;
+    const totalReturn = first > 0 ? last / first - 1 : 0;
+    const dailyReturns = [];
+    for (let i = 1; i < equityCurve.length; i++) {
+        const prev = equityCurve[i - 1].equity;
+        const now = equityCurve[i].equity;
+        if (prev > 0)
+            dailyReturns.push(now / prev - 1);
+    }
+    const dailyVol = Math.sqrt(Math.max(0, sampleVariance(dailyReturns)));
+    const annualVol = dailyVol * SQRT_252;
+    const annualReturn = annualizedReturn(totalReturn, Math.max(1, dailyReturns.length));
+    const sharpe = annualVol > 0 ? annualReturn / annualVol : 0;
+    let peak = equityCurve[0]?.equity || 0;
+    let maxDrawdown = 0;
+    for (const point of equityCurve) {
+        peak = Math.max(peak, point.equity);
+        if (peak > 0) {
+            maxDrawdown = Math.max(maxDrawdown, (peak - point.equity) / peak);
+        }
+    }
+    const finalPrices = equityCurve.length > 0
+        ? Object.fromEntries(Object.entries(aligned.closesByCode).map(([code, values]) => [code, values[values.length - 1] || 0]))
+        : {};
+    const attribution = [];
+    for (const [code, stats] of pnlLedger.entries()) {
+        const endingValue = Math.max(0, stats.quantity) * (finalPrices[code] || 0);
+        const pnl = stats.sellProceeds + endingValue - stats.buyCost;
+        attribution.push({
+            code,
+            pnl,
+            contribution: options.initialCapital > 0 ? pnl / options.initialCapital : 0,
+            endingValue
+        });
+    }
+    attribution.sort((a, b) => b.pnl - a.pnl);
+    const benchmark = computeBenchmarkStats(equityCurve, options.benchmarkSeries, annualReturn);
+    return {
+        summary: {
+            startDate: equityCurve[0]?.date || null,
+            endDate: equityCurve[equityCurve.length - 1]?.date || null,
+            initialCapital: options.initialCapital,
+            finalCapital: last,
+            totalReturn,
+            annualizedReturn: annualReturn,
+            annualizedVolatility: annualVol,
+            sharpe,
+            maxDrawdown,
+            tradeCount: trades.length,
+            benchmarkTotalReturn: benchmark?.benchmarkTotalReturn ?? null,
+            excessReturn: benchmark?.excessReturn ?? null
+        },
+        benchmark,
+        costBreakdown: {
+            turnover,
+            totalFees,
+            totalSlippageCost,
+            totalCost: totalFees + totalSlippageCost
+        },
+        attribution,
+        equityCurve,
+        trades: trades.slice(-200)
+    };
+}
+export function runStressTest(positions, scenarios) {
+    const baseValue = positions.reduce((sum, item) => sum + Math.max(0, item.quantity * item.price), 0);
+    const results = scenarios.map((scenario) => {
+        let pnl = 0;
+        for (const position of positions) {
+            const code = position.code.toUpperCase();
+            const beta = Number.isFinite(position.beta) ? Number(position.beta) : 1;
+            const betaScale = Number.isFinite(scenario.betaScale) ? Number(scenario.betaScale) : 1;
+            const symbolShock = scenario.perSymbolShock?.[code] ?? scenario.marketShock * beta * betaScale;
+            pnl += position.quantity * position.price * symbolShock;
+        }
+        const stressedValue = baseValue + pnl;
+        return {
+            name: scenario.name,
+            marketShock: scenario.marketShock,
+            pnl,
+            stressedValue,
+            returnRate: baseValue > 0 ? pnl / baseValue : 0
+        };
+    });
+    return {
+        baseValue,
+        scenarios: results
+    };
+}
+//# sourceMappingURL=backtest-engine.js.map

package/dist/lib/backtest-engine.js.map

@@ -0,0 +1 @@
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package/dist/lib/market-data-adapter.d.ts

@@ -0,0 +1,12 @@
+import { SymbolSeries } from './types.js';
+interface AdapterOptions {
+    timeoutMs?: number;
+}
+export declare class MarketDataAdapter {
+    private timeoutMs;
+    constructor(options?: AdapterOptions);
+    fetchDailySeries(code: string, count?: number): Promise<SymbolSeries>;
+    fetchSeriesBatch(codes: string[], count?: number): Promise<SymbolSeries[]>;
+}
+export {};
+//# sourceMappingURL=market-data-adapter.d.ts.map

package/dist/lib/market-data-adapter.d.ts.map

@@ -0,0 +1 @@
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package/dist/lib/market-data-adapter.js

@@ -0,0 +1,98 @@
+const SINA_KLINE_URL = 'https://quotes.sina.cn/cn/api/json_v2.php/CN_MarketDataService.getKLineData';
+function detectMarket(code) {
+    const normalized = code.trim().toLowerCase();
+    if (normalized.startsWith('sh'))
+        return 'sh';
+    if (normalized.startsWith('sz'))
+        return 'sz';
+    if (normalized.startsWith('hk'))
+        return 'hk';
+    const clean = normalized.replace(/^(sh|sz|hk)/, '');
+    if (/^6\d{5}$/.test(clean))
+        return 'sh';
+    if (/^(0|3)\d{5}$/.test(clean))
+        return 'sz';
+    if (/^\d{5}$/.test(clean))
+        return 'hk';
+    return 'sh';
+}
+function formatSinaSymbol(code) {
+    const normalized = code.trim().toLowerCase();
+    if (/^(sh|sz|hk)\w+/.test(normalized))
+        return normalized;
+    const clean = normalized.replace(/^(sh|sz|hk)/, '');
+    const market = detectMarket(clean);
+    if (market === 'hk')
+        return `hk${clean.padStart(5, '0')}`;
+    if (market === 'sh')
+        return `sh${clean.padStart(6, '0')}`;
+    return `sz${clean.padStart(6, '0')}`;
+}
+function normalizeCode(code) {
+    return code.trim().toUpperCase().replace(/^(SH|SZ|HK)/, '');
+}
+function parsePricePoints(raw) {
+    if (!Array.isArray(raw))
+        return [];
+    return raw
+        .map((item) => ({
+        date: String(item?.day || item?.date || ''),
+        close: Number(item?.close || 0)
+    }))
+        .filter((item) => item.date && Number.isFinite(item.close) && item.close > 0);
+}
+export class MarketDataAdapter {
+    constructor(options = {}) {
+        this.timeoutMs = options.timeoutMs ?? 10000;
+    }
+    async fetchDailySeries(code, count = 200) {
+        const symbol = formatSinaSymbol(code);
+        const params = new URLSearchParams({
+            symbol,
+            scale: '240',
+            datalen: String(Math.max(30, Math.min(1000, Math.floor(count))))
+        });
+        const controller = new AbortController();
+        const timer = setTimeout(() => controller.abort(), this.timeoutMs);
+        try {
+            const response = await fetch(`${SINA_KLINE_URL}?${params.toString()}`, {
+                method: 'GET',
+                headers: {
+                    'User-Agent': 'Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36',
+                    'Referer': 'https://finance.sina.com.cn'
+                },
+                signal: controller.signal
+            });
+            if (!response.ok) {
+                throw new Error(`http_${response.status}`);
+            }
+            const payload = await response.json();
+            const prices = parsePricePoints(payload);
+            if (prices.length < 30) {
+                throw new Error('insufficient_series_points');
+            }
+            return {
+                code: normalizeCode(code),
+                prices
+            };
+        }
+        finally {
+            clearTimeout(timer);
+        }
+    }
+    async fetchSeriesBatch(codes, count = 200) {
+        const uniqueCodes = Array.from(new Set(codes.map((item) => item.trim()).filter(Boolean)));
+        const results = await Promise.all(uniqueCodes.map(async (code) => {
+            try {
+                return await this.fetchDailySeries(code, count);
+            }
+            catch (error) {
+                const message = String(error?.message || 'unknown');
+                console.warn(`[stock-backtest-sim] fetch series failed for ${code}: ${message}`);
+                return null;
+            }
+        }));
+        return results.filter((item) => !!item);
+    }
+}
+//# sourceMappingURL=market-data-adapter.js.map

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