@insiderfinance/totalfinance 0.1.0

package/modules/performance/dist/analyze.js

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+/** A one-call performance summary (spec §15.1). */
+import { CONVENTIONS_VERSION, InputError, seriesFacade, suspiciousReturnsWarning, ensureKnownKeys, ErrorCode, WarningCode, } from '../../core/dist/index.js';
+import { maxDrawdown } from './drawdown.js';
+import { annualizedReturn, calmar, sortino } from './metrics.js';
+import { hitRate, omega, profitFactor } from './ratios.js';
+import { alpha, beta, informationRatio, trackingError, treynor } from './relative.js';
+import { equityCurve, simpleReturns } from './returns.js';
+import { requireSeries } from './sharpe.js';
+import { resolvePeriodsPerYear, resolveRiskFreeRate } from './annualization-internal.js';
+import { annualizedVolatility, sharpe } from './sharpe.js';
+/** Law 12 allowlist for {@link AnalyzeInput} — the union's two tags; anything else is a typo. */
+const ANALYZE_INPUT_KEYS = ['returns', 'equity'];
+/** Law 12 allowlist for {@link AnalyzeOptions} — a `benchMark` typo teaches, never a summary silently missing beta/alpha. */
+const ANALYZE_OPTIONS_KEYS = ['periodsPerYear', 'riskFreeRate', 'benchmark'];
+/** Summarize an equity curve (growth of capital) into the standard performance metrics. */
+function analyzeValue(input, options = {}) {
+    const anyInput = input;
+    // Law 12 on the tagged union (plain objects only — a bare series/string keeps the teaching error
+    // below): an unknown tag (`rets`, `equityCurve`) gets a did-you-mean instead of "missing field".
+    if (input !== null && typeof input === 'object' && !Array.isArray(input)) {
+        ensureKnownKeys('analyze', 'input', input, ANALYZE_INPUT_KEYS);
+    }
+    if (anyInput.returns === undefined && anyInput.equity === undefined) {
+        throw new InputError('analyze: supply { returns } (per-period decimals) or { equity } (an equity curve).', { code: ErrorCode.InputMissingField, context: {} });
+    }
+    // BOTH tags at once is a confused caller, not a choice this function should silently make (it
+    // would prefer `equity` and ignore `returns`).
+    if (anyInput.returns !== undefined && anyInput.equity !== undefined) {
+        throw new InputError('analyze: supply exactly one of { returns } or { equity }, not both — they are different units and the choice changes every metric.', { code: ErrorCode.InputWrongShape, context: {} });
+    }
+    requireSeries((anyInput.returns ?? anyInput.equity), 'analyze', anyInput.returns !== undefined ? 'returns' : 'equity');
+    const warnings = [];
+    // Law 12: an unknown option (a `benchMark` typo) teaches instead of a summary silently missing
+    // its beta/alpha block.
+    ensureKnownKeys('analyze', 'options', options, ANALYZE_OPTIONS_KEYS);
+    // Resolve the Tier-1 annualization default once, so it is echoed (not hidden) in `assumptions`
+    // — the shared resolver carries the positivity/finiteness rejection (design law #4).
+    const periodsPerYear = resolvePeriodsPerYear('analyze', options);
+    // Exact-shaped hand-offs: each metric's own Law 12 guard rejects keys outside ITS options
+    // interface (e.g. `benchmark`/`riskFreeRate` on an annualization-only metric), so the wider
+    // AnalyzeOptions must never be forwarded verbatim.
+    const annualizationOpts = { periodsPerYear };
+    const sharpeOpts = {
+        periodsPerYear,
+        ...(options.riskFreeRate !== undefined ? { riskFreeRate: options.riskFreeRate } : {}),
+    };
+    // Element-level finiteness is requireSeries' job (E4): every slot was already validated above.
+    let returns;
+    let equity;
+    let totalReturn;
+    if ('equity' in input) {
+        equity = input.equity;
+        const en = equity.length;
+        // A zero equity level before the end makes that period's return `x/0`. It used to flow through
+        // as a NaN and resurface as "annualizedReturn overflowed" — an error naming the wrong function
+        // and the wrong cause. Name the offending `equity[i]` here, where the caller can act on it.
+        // (A zero as the LAST point is a legitimate total loss: that period's return is −100%.)
+        for (let i = 0; i < en - 1; i++) {
+            if (equity[i] === 0) {
+                throw new InputError(`analyze: equity[${i}] is 0 — the return over equity[${i}] → equity[${i + 1}] divides by it and is undefined. equity is a capital LEVEL series (e.g. [100, 110, 99]); drop the zero level or pass the per-period returns as { returns }.`, {
+                    code: ErrorCode.InputOutOfRange,
+                    context: { function: 'analyze', field: 'equity', index: i },
+                });
+            }
+        }
+        // Returns-vs-equity guard (WS3.3b): a genuine equity curve is all-positive with a non-tiny mean
+        // level. Non-positive values or |mean| < 0.05 almost always mean a per-period RETURN series was
+        // passed as `equity` — surface it rather than silently reporting nonsense metrics.
+        let sum = 0;
+        let anyNonPositive = false;
+        for (let i = 0; i < en; i++) {
+            const v = equity[i];
+            sum += v;
+            if (v <= 0)
+                anyNonPositive = true;
+        }
+        const meanLevel = en > 0 ? sum / en : NaN;
+        if (anyNonPositive || Math.abs(meanLevel) < 0.05) {
+            warnings.push({
+                code: WarningCode.PerformanceSuspiciousEquityInput,
+                message: anyNonPositive
+                    ? 'analyze({ equity }) received a series with non-positive values — did you pass per-period returns as an equity curve? Use analyze({ returns }) instead.'
+                    : `analyze({ equity }) received a series with a near-zero mean level (${meanLevel.toFixed(4)}) — did you pass per-period returns as an equity curve? Use analyze({ returns }) instead.`,
+                severity: 'info',
+            });
+        }
+        returns = simpleReturns(equity);
+        totalReturn = en >= 2 ? equity[en - 1] / equity[0] - 1 : NaN;
+    }
+    else {
+        returns = Array.from(input.returns);
+        // The prices-as-returns footgun (WS-3/R6): analyze discloses it exactly like sharpe.explain.
+        const suspicious = suspiciousReturnsWarning(returns);
+        if (suspicious !== undefined)
+            warnings.push(suspicious);
+        equity = equityCurve(returns, 1); // reconstruct a growth-of-1 curve for the drawdown path
+        let growth = 1;
+        for (let i = 0; i < returns.length; i++)
+            growth *= 1 + returns[i];
+        totalReturn = returns.length > 0 ? growth - 1 : NaN;
+    }
+    const dd = maxDrawdown(equity);
+    let mean = 0;
+    for (let i = 0; i < returns.length; i++)
+        mean += returns[i];
+    mean = returns.length > 0 ? mean / returns.length : NaN;
+    // Law 7 (E3): zero return periods make every metric undefined — the summary is degenerate
+    // all-null WITH a disclosure, never a PostconditionError and never a silent NaN.
+    if (returns.length === 0) {
+        warnings.push({
+            code: WarningCode.PerformanceEmptySeries,
+            message: 'analyze: the input produced zero return periods — every metric is undefined and reported as null (drawdown is the empty-series zero record).',
+            severity: 'warn',
+            context: { periods: 0 },
+        });
+    }
+    // Law 7: a compounding overflow (astronomical "returns" — usually a unit mistake) reports
+    // null-with-reason, never an Infinity that JSON.stringify would corrupt to null silently.
+    const finiteOrDisclosedNull = (label, v) => {
+        if (Number.isFinite(v))
+            return v;
+        warnings.push({
+            code: WarningCode.PerformanceNonFiniteMetric,
+            message: `analyze: ${label} overflowed (${v}) — the input scale is inconsistent with per-period decimal returns; reported as null.`,
+            severity: 'warn',
+            context: { metric: label, value: String(v) },
+        });
+        return null;
+    };
+    const summary = {
+        periods: returns.length,
+        // On an empty series these are null under the `performance.empty_series` disclosure above —
+        // the overflow message would misdiagnose "no data" as "wrong scale".
+        totalReturn: returns.length > 0 ? finiteOrDisclosedNull('totalReturn', totalReturn) : null,
+        annualizedReturn: (() => {
+            if (returns.length === 0)
+                return null;
+            const v = annualizedReturn(returns, annualizationOpts);
+            return v === null ? finiteOrDisclosedNull('annualizedReturn', NaN) : v;
+        })(),
+        annualizedVolatility: annualizedVolatility(returns, annualizationOpts),
+        sharpe: sharpe(returns, sharpeOpts),
+        sortino: sortino(returns, sharpeOpts),
+        calmar: calmar(returns, annualizationOpts),
+        maxDrawdown: dd.maxDrawdown,
+        drawdown: dd,
+        omega: omega(returns),
+        hitRate: hitRate(returns),
+        profitFactor: profitFactor(returns),
+        expectancy: returns.length > 0 ? finiteOrDisclosedNull('expectancy', mean) : null,
+        warnings,
+        assumptions: {
+            periodsPerYear,
+            // Sharpe/Sortino/alpha/Treynor treat an unspecified risk-free rate as 0 — echo the applied value.
+            riskFreeRate: resolveRiskFreeRate('analyze', options),
+        },
+    };
+    if (options.benchmark !== undefined) {
+        summary.beta = beta(returns, options.benchmark);
+        summary.alpha = alpha(returns, options.benchmark, sharpeOpts);
+        summary.trackingError = trackingError(returns, options.benchmark, annualizationOpts);
+        summary.informationRatio = informationRatio(returns, options.benchmark, annualizationOpts);
+        summary.treynor = treynor(returns, options.benchmark, sharpeOpts);
+        summary.assumptions.benchmarkLength = options.benchmark.length;
+    }
+    // D3: scan AFTER the benchmark block so relative metrics receive the same named disclosure as
+    // the base summary. A null in a JSON payload without a reason is indistinguishable from missing.
+    const nullableMetrics = [
+        'sharpe',
+        'sortino',
+        'calmar',
+        'omega',
+        'hitRate',
+        'profitFactor',
+        ...(options.benchmark === undefined
+            ? []
+            : ['beta', 'alpha', 'trackingError', 'informationRatio', 'treynor']),
+    ];
+    const nullMetrics = nullableMetrics.filter((key) => summary[key] === null);
+    if (nullMetrics.length > 0) {
+        warnings.push({
+            code: WarningCode.PerformanceUndefinedMetric,
+            message: `analyze: ${nullMetrics.join(', ')} ${nullMetrics.length === 1 ? 'is' : 'are'} undefined for this input (degenerate dispersion/drawdown/loss profile); reported as null.`,
+            severity: 'info',
+            context: { metrics: nullMetrics },
+        });
+    }
+    return summary;
+}
+/**
+ * The performance summary facade (dx §2.3): plain call → the summary; `.explain()` → the core
+ * Computed envelope around it (the summary's own warnings ride `diagnostics.warnings`, its echoed
+ * conventions ride `assumptions`).
+ */
+export const analyze = seriesFacade('analyze', analyzeValue, (input, options = {}) => {
+    const summary = analyzeValue(input, options);
+    return {
+        value: summary,
+        assumptions: { conventionsVersion: CONVENTIONS_VERSION, ...summary.assumptions },
+        diagnostics: { warnings: summary.warnings },
+    };
+});
+//# sourceMappingURL=analyze.js.map

package/modules/performance/dist/analyze.js.map

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package/modules/performance/dist/annualization-internal.d.ts

@@ -0,0 +1,21 @@
+/**
+ * Package-internal annualization resolvers — deliberately ABSENT from the exports map (every other
+ * module in this package IS a public entrypoint, so this is the only non-public home). The
+ * statistics cluster set the precedent: shared validation plumbing lives in an `-internal` module
+ * so the public surface carries only the metrics and their conventions.
+ */
+import { type AnnualizationOptions, type SharpeOptions } from './sharpe.js';
+/**
+ * Resolve the annualization factor through the optional-scalar ladder: a PRESENT
+ * `periodsPerYear` must be a positive finite number (null is a wrong-typed value, not omission —
+ * the 350c2796 ruling); an omitted one engages the disclosed default. Every metric in the package
+ * resolves through here, so `{ periodsPerYear: null }` can never silently annualize at 252 and a
+ * string can never be echoed into `assumptions` as if it were the applied convention.
+ */
+export declare function resolvePeriodsPerYear(functionName: string, options: AnnualizationOptions): number;
+/**
+ * Resolve the applied risk-free rate: finite number when present (negative rates are real),
+ * 0 when omitted. Same ladder discipline as {@link resolvePeriodsPerYear}.
+ */
+export declare function resolveRiskFreeRate(functionName: string, options: SharpeOptions): number;
+//# sourceMappingURL=annualization-internal.d.ts.map

package/modules/performance/dist/annualization-internal.d.ts.map

@@ -0,0 +1 @@
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package/modules/performance/dist/annualization-internal.js

@@ -0,0 +1,34 @@
+/**
+ * Package-internal annualization resolvers — deliberately ABSENT from the exports map (every other
+ * module in this package IS a public entrypoint, so this is the only non-public home). The
+ * statistics cluster set the precedent: shared validation plumbing lives in an `-internal` module
+ * so the public surface carries only the metrics and their conventions.
+ */
+import { ensureFiniteWhenPresent, ErrorCode, InputError } from '../../core/dist/index.js';
+import { DEFAULT_PERIODS_PER_YEAR, } from './sharpe.js';
+/**
+ * Resolve the annualization factor through the optional-scalar ladder: a PRESENT
+ * `periodsPerYear` must be a positive finite number (null is a wrong-typed value, not omission —
+ * the 350c2796 ruling); an omitted one engages the disclosed default. Every metric in the package
+ * resolves through here, so `{ periodsPerYear: null }` can never silently annualize at 252 and a
+ * string can never be echoed into `assumptions` as if it were the applied convention.
+ */
+export function resolvePeriodsPerYear(functionName, options) {
+    ensureFiniteWhenPresent(options.periodsPerYear, 'periodsPerYear', functionName);
+    if (options.periodsPerYear !== undefined && options.periodsPerYear <= 0) {
+        throw new InputError(`${functionName}: periodsPerYear must be a positive finite number of periods per year (252 daily, 12 monthly, 52 weekly). Received ${options.periodsPerYear}.`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { function: functionName, field: 'periodsPerYear', value: options.periodsPerYear },
+        });
+    }
+    return options.periodsPerYear ?? DEFAULT_PERIODS_PER_YEAR;
+}
+/**
+ * Resolve the applied risk-free rate: finite number when present (negative rates are real),
+ * 0 when omitted. Same ladder discipline as {@link resolvePeriodsPerYear}.
+ */
+export function resolveRiskFreeRate(functionName, options) {
+    ensureFiniteWhenPresent(options.riskFreeRate, 'riskFreeRate', functionName);
+    return options.riskFreeRate ?? 0;
+}
+//# sourceMappingURL=annualization-internal.js.map

package/modules/performance/dist/annualization-internal.js.map

@@ -0,0 +1 @@
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package/modules/performance/dist/drawdown.d.ts

@@ -0,0 +1,34 @@
+/** Drawdown analytics (spec §15.1). */
+export interface DrawdownResult {
+    /** Maximum drawdown as a positive fraction (0.2 = a 20% peak-to-trough decline). */
+    maxDrawdown: number;
+    /** Index of the peak preceding the worst drawdown. */
+    peakIndex: number;
+    /** Index of the trough of the worst drawdown. */
+    troughIndex: number;
+    /** Longest underwater stretch, in periods. */
+    longestDurationPeriods: number;
+    /**
+     * Index at which equity first regained the pre-drawdown peak after the worst trough (WS3.3c).
+     * Absent when the curve never recovered by the end of the series (still underwater).
+     */
+    recoveryIndex?: number;
+}
+/**
+ * Maximum drawdown facade (dx §2.3): plain call → the `DrawdownResult`; `.explain()` → the
+ * `Computed` envelope. `equity` is a PRICE-level series by contract, so the prices-as-returns
+ * plausibility guard deliberately does not apply here.
+ */
+export declare const maxDrawdown: import("../../core/dist/index.js").SeriesFacade<[equity: ArrayLike<number>], DrawdownResult, Record<never, never>>;
+/**
+ * Per-period drawdown series (input-aligned): the fractional decline from the running peak at each
+ * index, as a non-negative number (0 at a fresh high). The series that drives an underwater chart
+ * (WS3.3c); its maximum equals `maxDrawdown(equity).maxDrawdown`.
+ */
+export declare function underwater(equity: ArrayLike<number>): number[];
+/**
+ * Maximum drawdown of the growth-of-1 equity curve implied by a per-period **return** series
+ * (WS3.3b) — the returns-input counterpart to {@link maxDrawdown}, which expects an equity curve.
+ */
+export declare function maxDrawdownFromReturns(returns: ArrayLike<number>): DrawdownResult;
+//# sourceMappingURL=drawdown.d.ts.map

package/modules/performance/dist/drawdown.d.ts.map

@@ -0,0 +1 @@
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package/modules/performance/dist/drawdown.js

@@ -0,0 +1,99 @@
+/** Drawdown analytics (spec §15.1). */
+import { CONVENTIONS_VERSION, ErrorCode, InputError, seriesFacade, } from '../../core/dist/index.js';
+import { requireSeries } from './sharpe.js';
+/** C (hygiene): a drawdown needs a series — an empty one has no peak to draw down from. */
+function requireNonEmpty(series, functionName, field) {
+    if (series.length === 0) {
+        throw new InputError(`${functionName}: ${field} must not be empty — a drawdown needs at least one observation to name a peak. e.g. ${functionName}([100, 120, 90, 110]).`, { code: ErrorCode.InputOutOfRange, context: { function: functionName, field, length: 0 } });
+    }
+}
+/** Maximum drawdown and longest underwater duration of an equity curve. */
+function maxDrawdownValue(equity) {
+    requireSeries(equity, 'maxDrawdown', 'equity');
+    requireNonEmpty(equity, 'maxDrawdown', 'equity');
+    let peak = equity.length > 0 ? equity[0] : NaN;
+    let peakIdx = 0;
+    let worst = 0;
+    let worstPeakIdx = 0;
+    let worstTroughIdx = 0;
+    let underwaterStart = 0;
+    let longest = 0;
+    for (let i = 0; i < equity.length; i++) {
+        const v = equity[i];
+        if (v >= peak) {
+            peak = v;
+            peakIdx = i;
+            underwaterStart = i;
+        }
+        else {
+            const dd = (peak - v) / peak;
+            if (dd > worst) {
+                worst = dd;
+                worstPeakIdx = peakIdx;
+                worstTroughIdx = i;
+            }
+            const duration = i - underwaterStart;
+            if (duration > longest)
+                longest = duration;
+        }
+    }
+    const result = {
+        maxDrawdown: worst,
+        peakIndex: worstPeakIdx,
+        troughIndex: worstTroughIdx,
+        longestDurationPeriods: longest,
+    };
+    // Recovery: first point after the worst trough that regains the pre-drawdown peak value.
+    if (worst > 0) {
+        const peakValue = equity[worstPeakIdx];
+        for (let j = worstTroughIdx + 1; j < equity.length; j++) {
+            if (equity[j] >= peakValue) {
+                result.recoveryIndex = j;
+                break;
+            }
+        }
+    }
+    return result;
+}
+/**
+ * Maximum drawdown facade (dx §2.3): plain call → the `DrawdownResult`; `.explain()` → the
+ * `Computed` envelope. `equity` is a PRICE-level series by contract, so the prices-as-returns
+ * plausibility guard deliberately does not apply here.
+ */
+export const maxDrawdown = seriesFacade('maxDrawdown', (equity) => maxDrawdownValue(equity), (equity) => ({
+    value: maxDrawdownValue(equity),
+    assumptions: { conventionsVersion: CONVENTIONS_VERSION },
+    diagnostics: { warnings: [] },
+}));
+/**
+ * Per-period drawdown series (input-aligned): the fractional decline from the running peak at each
+ * index, as a non-negative number (0 at a fresh high). The series that drives an underwater chart
+ * (WS3.3c); its maximum equals `maxDrawdown(equity).maxDrawdown`.
+ */
+export function underwater(equity) {
+    requireSeries(equity, 'underwater', 'equity');
+    const out = new Array(equity.length);
+    let peak = equity.length > 0 ? equity[0] : NaN;
+    for (let i = 0; i < equity.length; i++) {
+        const v = equity[i];
+        if (v > peak)
+            peak = v;
+        out[i] = peak > 0 ? (peak - v) / peak : 0;
+    }
+    return out;
+}
+/**
+ * Maximum drawdown of the growth-of-1 equity curve implied by a per-period **return** series
+ * (WS3.3b) — the returns-input counterpart to {@link maxDrawdown}, which expects an equity curve.
+ */
+export function maxDrawdownFromReturns(returns) {
+    requireSeries(returns, 'maxDrawdownFromReturns');
+    requireNonEmpty(returns, 'maxDrawdownFromReturns', 'returns');
+    const n = returns.length;
+    const equity = new Array(n + 1);
+    equity[0] = 1;
+    for (let i = 0; i < n; i++)
+        equity[i + 1] = equity[i] * (1 + returns[i]);
+    return maxDrawdown(equity);
+}
+//# sourceMappingURL=drawdown.js.map

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