@insiderfinance/totalfinance 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 +201 -0
- package/README.md +339 -0
- package/STABILITY.md +23 -0
- package/modules/backtest/dist/artifacts.d.ts +23 -0
- package/modules/backtest/dist/artifacts.d.ts.map +1 -0
- package/modules/backtest/dist/artifacts.js +22 -0
- package/modules/backtest/dist/artifacts.js.map +1 -0
- package/modules/backtest/dist/broker.d.ts +265 -0
- package/modules/backtest/dist/broker.d.ts.map +1 -0
- package/modules/backtest/dist/broker.js +1228 -0
- package/modules/backtest/dist/broker.js.map +1 -0
- package/modules/backtest/dist/costs.d.ts +67 -0
- package/modules/backtest/dist/costs.d.ts.map +1 -0
- package/modules/backtest/dist/costs.js +171 -0
- package/modules/backtest/dist/costs.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/engine.d.ts +21 -0
- package/modules/backtest/dist/cross-sectional/engine.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/engine.js +1399 -0
- package/modules/backtest/dist/cross-sectional/engine.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/folds.d.ts +134 -0
- package/modules/backtest/dist/cross-sectional/folds.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/folds.js +375 -0
- package/modules/backtest/dist/cross-sectional/folds.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/grid.d.ts +142 -0
- package/modules/backtest/dist/cross-sectional/grid.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/grid.js +394 -0
- package/modules/backtest/dist/cross-sectional/grid.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/index.d.ts +18 -0
- package/modules/backtest/dist/cross-sectional/index.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/index.js +15 -0
- package/modules/backtest/dist/cross-sectional/index.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/types.d.ts +331 -0
- package/modules/backtest/dist/cross-sectional/types.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/types.js +12 -0
- package/modules/backtest/dist/cross-sectional/types.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/validate.d.ts +22 -0
- package/modules/backtest/dist/cross-sectional/validate.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/validate.js +489 -0
- package/modules/backtest/dist/cross-sectional/validate.js.map +1 -0
- package/modules/backtest/dist/diagnostics.d.ts +16 -0
- package/modules/backtest/dist/diagnostics.d.ts.map +1 -0
- package/modules/backtest/dist/diagnostics.js +63 -0
- package/modules/backtest/dist/diagnostics.js.map +1 -0
- package/modules/backtest/dist/environment/bench.d.ts +34 -0
- package/modules/backtest/dist/environment/bench.d.ts.map +1 -0
- package/modules/backtest/dist/environment/bench.js +724 -0
- package/modules/backtest/dist/environment/bench.js.map +1 -0
- package/modules/backtest/dist/environment/environment.d.ts +5 -0
- package/modules/backtest/dist/environment/environment.d.ts.map +1 -0
- package/modules/backtest/dist/environment/environment.js +618 -0
- package/modules/backtest/dist/environment/environment.js.map +1 -0
- package/modules/backtest/dist/environment/episode.d.ts +4 -0
- package/modules/backtest/dist/environment/episode.d.ts.map +1 -0
- package/modules/backtest/dist/environment/episode.js +121 -0
- package/modules/backtest/dist/environment/episode.js.map +1 -0
- package/modules/backtest/dist/environment/episodes.d.ts +14 -0
- package/modules/backtest/dist/environment/episodes.d.ts.map +1 -0
- package/modules/backtest/dist/environment/episodes.js +644 -0
- package/modules/backtest/dist/environment/episodes.js.map +1 -0
- package/modules/backtest/dist/environment/features.d.ts +31 -0
- package/modules/backtest/dist/environment/features.d.ts.map +1 -0
- package/modules/backtest/dist/environment/features.js +157 -0
- package/modules/backtest/dist/environment/features.js.map +1 -0
- package/modules/backtest/dist/environment/index.d.ts +14 -0
- package/modules/backtest/dist/environment/index.d.ts.map +1 -0
- package/modules/backtest/dist/environment/index.js +12 -0
- package/modules/backtest/dist/environment/index.js.map +1 -0
- package/modules/backtest/dist/environment/limits.d.ts +63 -0
- package/modules/backtest/dist/environment/limits.d.ts.map +1 -0
- package/modules/backtest/dist/environment/limits.js +253 -0
- package/modules/backtest/dist/environment/limits.js.map +1 -0
- package/modules/backtest/dist/environment/reward.d.ts +5 -0
- package/modules/backtest/dist/environment/reward.d.ts.map +1 -0
- package/modules/backtest/dist/environment/reward.js +80 -0
- package/modules/backtest/dist/environment/reward.js.map +1 -0
- package/modules/backtest/dist/environment/types.d.ts +540 -0
- package/modules/backtest/dist/environment/types.d.ts.map +1 -0
- package/modules/backtest/dist/environment/types.js +2 -0
- package/modules/backtest/dist/environment/types.js.map +1 -0
- package/modules/backtest/dist/environment/validate.d.ts +23 -0
- package/modules/backtest/dist/environment/validate.d.ts.map +1 -0
- package/modules/backtest/dist/environment/validate.js +264 -0
- package/modules/backtest/dist/environment/validate.js.map +1 -0
- package/modules/backtest/dist/event-driven.d.ts +111 -0
- package/modules/backtest/dist/event-driven.d.ts.map +1 -0
- package/modules/backtest/dist/event-driven.js +325 -0
- package/modules/backtest/dist/event-driven.js.map +1 -0
- package/modules/backtest/dist/execution/conformance.d.ts +33 -0
- package/modules/backtest/dist/execution/conformance.d.ts.map +1 -0
- package/modules/backtest/dist/execution/conformance.js +269 -0
- package/modules/backtest/dist/execution/conformance.js.map +1 -0
- package/modules/backtest/dist/execution/fill-models.d.ts +35 -0
- package/modules/backtest/dist/execution/fill-models.d.ts.map +1 -0
- package/modules/backtest/dist/execution/fill-models.js +375 -0
- package/modules/backtest/dist/execution/fill-models.js.map +1 -0
- package/modules/backtest/dist/execution/fill-order.d.ts +55 -0
- package/modules/backtest/dist/execution/fill-order.d.ts.map +1 -0
- package/modules/backtest/dist/execution/fill-order.js +156 -0
- package/modules/backtest/dist/execution/fill-order.js.map +1 -0
- package/modules/backtest/dist/execution/index.d.ts +33 -0
- package/modules/backtest/dist/execution/index.d.ts.map +1 -0
- package/modules/backtest/dist/execution/index.js +27 -0
- package/modules/backtest/dist/execution/index.js.map +1 -0
- package/modules/backtest/dist/execution/intrabar.d.ts +46 -0
- package/modules/backtest/dist/execution/intrabar.d.ts.map +1 -0
- package/modules/backtest/dist/execution/intrabar.js +130 -0
- package/modules/backtest/dist/execution/intrabar.js.map +1 -0
- package/modules/backtest/dist/execution/normalized.d.ts +56 -0
- package/modules/backtest/dist/execution/normalized.d.ts.map +1 -0
- package/modules/backtest/dist/execution/normalized.js +154 -0
- package/modules/backtest/dist/execution/normalized.js.map +1 -0
- package/modules/backtest/dist/execution/policy.d.ts +84 -0
- package/modules/backtest/dist/execution/policy.d.ts.map +1 -0
- package/modules/backtest/dist/execution/policy.js +341 -0
- package/modules/backtest/dist/execution/policy.js.map +1 -0
- package/modules/backtest/dist/execution/types.d.ts +217 -0
- package/modules/backtest/dist/execution/types.d.ts.map +1 -0
- package/modules/backtest/dist/execution/types.js +8 -0
- package/modules/backtest/dist/execution/types.js.map +1 -0
- package/modules/backtest/dist/execution/validate.d.ts +35 -0
- package/modules/backtest/dist/execution/validate.d.ts.map +1 -0
- package/modules/backtest/dist/execution/validate.js +666 -0
- package/modules/backtest/dist/execution/validate.js.map +1 -0
- package/modules/backtest/dist/generated/validation-specs.d.ts +12 -0
- package/modules/backtest/dist/generated/validation-specs.d.ts.map +1 -0
- package/modules/backtest/dist/generated/validation-specs.js +1129 -0
- package/modules/backtest/dist/generated/validation-specs.js.map +1 -0
- package/modules/backtest/dist/index.d.ts +33 -0
- package/modules/backtest/dist/index.d.ts.map +1 -0
- package/modules/backtest/dist/index.js +28 -0
- package/modules/backtest/dist/index.js.map +1 -0
- package/modules/backtest/dist/options/chain.d.ts +68 -0
- package/modules/backtest/dist/options/chain.d.ts.map +1 -0
- package/modules/backtest/dist/options/chain.js +303 -0
- package/modules/backtest/dist/options/chain.js.map +1 -0
- package/modules/backtest/dist/options/engine.d.ts +28 -0
- package/modules/backtest/dist/options/engine.d.ts.map +1 -0
- package/modules/backtest/dist/options/engine.js +1859 -0
- package/modules/backtest/dist/options/engine.js.map +1 -0
- package/modules/backtest/dist/options/index.d.ts +23 -0
- package/modules/backtest/dist/options/index.d.ts.map +1 -0
- package/modules/backtest/dist/options/index.js +21 -0
- package/modules/backtest/dist/options/index.js.map +1 -0
- package/modules/backtest/dist/options/tearsheet.d.ts +77 -0
- package/modules/backtest/dist/options/tearsheet.d.ts.map +1 -0
- package/modules/backtest/dist/options/tearsheet.js +205 -0
- package/modules/backtest/dist/options/tearsheet.js.map +1 -0
- package/modules/backtest/dist/options/types.d.ts +571 -0
- package/modules/backtest/dist/options/types.d.ts.map +1 -0
- package/modules/backtest/dist/options/types.js +19 -0
- package/modules/backtest/dist/options/types.js.map +1 -0
- package/modules/backtest/dist/paper/index.d.ts +13 -0
- package/modules/backtest/dist/paper/index.d.ts.map +1 -0
- package/modules/backtest/dist/paper/index.js +12 -0
- package/modules/backtest/dist/paper/index.js.map +1 -0
- package/modules/backtest/dist/paper/paper.d.ts +8 -0
- package/modules/backtest/dist/paper/paper.d.ts.map +1 -0
- package/modules/backtest/dist/paper/paper.js +950 -0
- package/modules/backtest/dist/paper/paper.js.map +1 -0
- package/modules/backtest/dist/paper/types.d.ts +190 -0
- package/modules/backtest/dist/paper/types.d.ts.map +1 -0
- package/modules/backtest/dist/paper/types.js +3 -0
- package/modules/backtest/dist/paper/types.js.map +1 -0
- package/modules/backtest/dist/paper/validate.d.ts +9 -0
- package/modules/backtest/dist/paper/validate.d.ts.map +1 -0
- package/modules/backtest/dist/paper/validate.js +112 -0
- package/modules/backtest/dist/paper/validate.js.map +1 -0
- package/modules/backtest/dist/portfolio/adapters.d.ts +37 -0
- package/modules/backtest/dist/portfolio/adapters.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/adapters.js +555 -0
- package/modules/backtest/dist/portfolio/adapters.js.map +1 -0
- package/modules/backtest/dist/portfolio/engine.d.ts +35 -0
- package/modules/backtest/dist/portfolio/engine.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/engine.js +1300 -0
- package/modules/backtest/dist/portfolio/engine.js.map +1 -0
- package/modules/backtest/dist/portfolio/index.d.ts +12 -0
- package/modules/backtest/dist/portfolio/index.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/index.js +11 -0
- package/modules/backtest/dist/portfolio/index.js.map +1 -0
- package/modules/backtest/dist/portfolio/types.d.ts +418 -0
- package/modules/backtest/dist/portfolio/types.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/types.js +8 -0
- package/modules/backtest/dist/portfolio/types.js.map +1 -0
- package/modules/backtest/dist/portfolio/validate.d.ts +26 -0
- package/modules/backtest/dist/portfolio/validate.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/validate.js +556 -0
- package/modules/backtest/dist/portfolio/validate.js.map +1 -0
- package/modules/backtest/dist/run-artifacts.d.ts +425 -0
- package/modules/backtest/dist/run-artifacts.d.ts.map +1 -0
- package/modules/backtest/dist/run-artifacts.js +1843 -0
- package/modules/backtest/dist/run-artifacts.js.map +1 -0
- package/modules/backtest/dist/signals.d.ts +110 -0
- package/modules/backtest/dist/signals.d.ts.map +1 -0
- package/modules/backtest/dist/signals.js +207 -0
- package/modules/backtest/dist/signals.js.map +1 -0
- package/modules/backtest/dist/tearsheet.d.ts +126 -0
- package/modules/backtest/dist/tearsheet.d.ts.map +1 -0
- package/modules/backtest/dist/tearsheet.js +266 -0
- package/modules/backtest/dist/tearsheet.js.map +1 -0
- package/modules/backtest/dist/types.d.ts +175 -0
- package/modules/backtest/dist/types.d.ts.map +1 -0
- package/modules/backtest/dist/types.js +29 -0
- package/modules/backtest/dist/types.js.map +1 -0
- package/modules/backtest/dist/validate.d.ts +13 -0
- package/modules/backtest/dist/validate.d.ts.map +1 -0
- package/modules/backtest/dist/validate.js +37 -0
- package/modules/backtest/dist/validate.js.map +1 -0
- package/modules/backtest/dist/vectorized.d.ts +53 -0
- package/modules/backtest/dist/vectorized.d.ts.map +1 -0
- package/modules/backtest/dist/vectorized.js +383 -0
- package/modules/backtest/dist/vectorized.js.map +1 -0
- package/modules/backtest/dist/walk-forward.d.ts +57 -0
- package/modules/backtest/dist/walk-forward.d.ts.map +1 -0
- package/modules/backtest/dist/walk-forward.js +125 -0
- package/modules/backtest/dist/walk-forward.js.map +1 -0
- package/modules/backtest/etc/backtest.api.md +139 -0
- package/modules/backtest/src/artifacts.ts +54 -0
- package/modules/backtest/src/broker.ts +1529 -0
- package/modules/backtest/src/costs.ts +225 -0
- package/modules/backtest/src/cross-sectional/engine.ts +1608 -0
- package/modules/backtest/src/cross-sectional/folds.ts +718 -0
- package/modules/backtest/src/cross-sectional/grid.ts +646 -0
- package/modules/backtest/src/cross-sectional/index.ts +76 -0
- package/modules/backtest/src/cross-sectional/types.ts +363 -0
- package/modules/backtest/src/cross-sectional/validate.ts +906 -0
- package/modules/backtest/src/diagnostics.ts +66 -0
- package/modules/backtest/src/environment/bench.ts +1022 -0
- package/modules/backtest/src/environment/environment.ts +766 -0
- package/modules/backtest/src/environment/episode.ts +146 -0
- package/modules/backtest/src/environment/episodes.ts +786 -0
- package/modules/backtest/src/environment/features.ts +184 -0
- package/modules/backtest/src/environment/index.ts +79 -0
- package/modules/backtest/src/environment/limits.ts +383 -0
- package/modules/backtest/src/environment/reward.ts +98 -0
- package/modules/backtest/src/environment/types.ts +595 -0
- package/modules/backtest/src/environment/validate.ts +415 -0
- package/modules/backtest/src/event-driven.ts +528 -0
- package/modules/backtest/src/execution/conformance.ts +346 -0
- package/modules/backtest/src/execution/fill-models.ts +410 -0
- package/modules/backtest/src/execution/fill-order.ts +261 -0
- package/modules/backtest/src/execution/index.ts +91 -0
- package/modules/backtest/src/execution/intrabar.ts +185 -0
- package/modules/backtest/src/execution/normalized.ts +216 -0
- package/modules/backtest/src/execution/policy.ts +447 -0
- package/modules/backtest/src/execution/types.ts +239 -0
- package/modules/backtest/src/execution/validate.ts +889 -0
- package/modules/backtest/src/generated/validation-specs.ts +1132 -0
- package/modules/backtest/src/index.ts +157 -0
- package/modules/backtest/src/options/chain.ts +410 -0
- package/modules/backtest/src/options/engine.ts +2240 -0
- package/modules/backtest/src/options/index.ts +68 -0
- package/modules/backtest/src/options/tearsheet.ts +327 -0
- package/modules/backtest/src/options/types.ts +573 -0
- package/modules/backtest/src/paper/index.ts +27 -0
- package/modules/backtest/src/paper/paper.ts +1288 -0
- package/modules/backtest/src/paper/types.ts +221 -0
- package/modules/backtest/src/paper/validate.ts +168 -0
- package/modules/backtest/src/portfolio/adapters.ts +651 -0
- package/modules/backtest/src/portfolio/engine.ts +1518 -0
- package/modules/backtest/src/portfolio/index.ts +64 -0
- package/modules/backtest/src/portfolio/types.ts +456 -0
- package/modules/backtest/src/portfolio/validate.ts +861 -0
- package/modules/backtest/src/run-artifacts.ts +2873 -0
- package/modules/backtest/src/signals.ts +267 -0
- package/modules/backtest/src/tearsheet.ts +425 -0
- package/modules/backtest/src/types.ts +200 -0
- package/modules/backtest/src/validate.ts +43 -0
- package/modules/backtest/src/vectorized.ts +541 -0
- package/modules/backtest/src/walk-forward.ts +215 -0
- package/modules/calendars/dist/cboe.d.ts +15 -0
- package/modules/calendars/dist/cboe.d.ts.map +1 -0
- package/modules/calendars/dist/cboe.js +16 -0
- package/modules/calendars/dist/cboe.js.map +1 -0
- package/modules/calendars/dist/crypto.d.ts +15 -0
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- package/modules/calendars/dist/crypto.js +16 -0
- package/modules/calendars/dist/crypto.js.map +1 -0
- package/modules/calendars/dist/expirations.d.ts +35 -0
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- package/modules/calendars/dist/nyse.d.ts +11 -0
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- package/modules/calendars/src/us-market.ts +86 -0
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- package/modules/cli/src/exit-codes.ts +21 -0
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- package/modules/commodities/src/internal.ts +6 -0
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- package/modules/core/dist/artifacts/analysis-artifact.d.ts +140 -0
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/**
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* `@insiderfinance/totalfinance/performance` — return and performance metrics. Depends only on `@insiderfinance/totalfinance/core` and
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* `@insiderfinance/totalfinance/math`; importing `performance.sharpe` never drags in option pricing or other heavy
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* packages (spec §15.1).
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*/
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import { maxDrawdown, maxDrawdownFromReturns, underwater } from './drawdown.js';
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import { annualizedReturn, calmar, sortino } from './metrics.js';
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import { cumulativeReturns, equityCurve, logReturns, simpleReturns } from './returns.js';
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import { annualizedVolatility, sharpe } from './sharpe.js';
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import { analyze } from './analyze.js';
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import { expectancy, hitRate, omega, profitFactor, winLossStatistics } from './ratios.js';
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import { alpha, beta, informationRatio, trackingError, treynor } from './relative.js';
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import { exposure, turnover } from './activity.js';
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import { rollingReturn, rollingSharpe, rollingVolatility } from './rolling.js';
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export { simpleReturns, logReturns, cumulativeReturns, equityCurve, annualizedVolatility, annualizedReturn, maxDrawdown, maxDrawdownFromReturns, underwater, analyze, omega, hitRate, profitFactor, expectancy, winLossStatistics, beta, alpha, trackingError, informationRatio, turnover, exposure, rollingVolatility, rollingSharpe, rollingReturn, };
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export { sharpe, sortino, calmar, treynor };
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export * from './flow-aware.js';
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export { sectorPerformance, sectorPerformanceSnapshot } from './sector-performance.js';
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export type { SectorPerformanceMember, SectorPerformanceMemberResult, SectorPerformanceInput, SectorPerformanceSectorResult, SectorPerformanceAssumptions, SectorPerformanceReport, SectorPerformanceUniverseMember, SectorPerformanceCompletedSession, SectorClassificationObservation, SectorPerformanceCloseObservation, SectorPerformanceCutoffs, SectorPerformanceTaxonomy, SectorPerformanceSnapshotInput, SectorPerformanceSnapshotAssumptions, SectorPerformanceSessionLineage, SectorPerformanceClassificationLineage, SectorPerformanceAssignedClassificationLineage, SectorPerformanceCloseLineage, SectorPerformanceSnapshotMemberResult, SectorPerformanceExclusionReason, SectorPerformanceExclusion, SectorPerformanceSnapshotSectorResult, SectorPerformanceBlocker, SectorPerformanceReasonCount, SectorPerformanceSnapshotDiagnostics, SectorPerformanceSnapshotReport, } from './sector-performance.js';
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export type { SharpeOptions, AnnualizationOptions } from './sharpe.js';
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21
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export type { SortinoOptions } from './metrics.js';
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22
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export type { DrawdownResult } from './drawdown.js';
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23
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export type { PerformanceSummary, AnalyzeOptions, AnalyzeInput } from './analyze.js';
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24
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export type { WinLossStatistics } from './ratios.js';
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25
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export type { ExposureResult } from './activity.js';
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//# sourceMappingURL=index.d.ts.map
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/**
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* `@insiderfinance/totalfinance/performance` — return and performance metrics. Depends only on `@insiderfinance/totalfinance/core` and
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* `@insiderfinance/totalfinance/math`; importing `performance.sharpe` never drags in option pricing or other heavy
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* packages (spec §15.1).
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*/
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import { maxDrawdown, maxDrawdownFromReturns, underwater } from './drawdown.js';
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import { annualizedReturn, calmar, sortino } from './metrics.js';
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import { cumulativeReturns, equityCurve, logReturns, simpleReturns } from './returns.js';
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import { annualizedVolatility, sharpe } from './sharpe.js';
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import { analyze } from './analyze.js';
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import { expectancy, hitRate, omega, profitFactor, winLossStatistics } from './ratios.js';
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import { alpha, beta, informationRatio, trackingError, treynor } from './relative.js';
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import { exposure, turnover } from './activity.js';
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import { rollingReturn, rollingSharpe, rollingVolatility } from './rolling.js';
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export { simpleReturns, logReturns, cumulativeReturns, equityCurve, annualizedVolatility, annualizedReturn, maxDrawdown, maxDrawdownFromReturns, underwater, analyze, omega, hitRate, profitFactor, expectancy, winLossStatistics, beta, alpha, trackingError, informationRatio, turnover, exposure, rollingVolatility, rollingSharpe, rollingReturn, };
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// Bare canonical ratio names (DX2.3): the form users type first, matching `performance.sharpe(...)`.
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// C (hygiene): the suffixed `sharpeRatio`/`sortinoRatio`/`calmarRatio`/`treynorRatio` aliases are
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// gone — one name per ratio; `informationRatio` stays descriptive (there is no bare form of it).
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export { sharpe, sortino, calmar, treynor };
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export * from './flow-aware.js';
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export { sectorPerformance, sectorPerformanceSnapshot } from './sector-performance.js';
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// The eponymous `performance` namespace object was DELETED (P3.3): it duplicated the module's
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// own exports one level down (umbrella users saw `performance.performance`). Use the module namespace:
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// `import * as performance from '@insiderfinance/totalfinance/performance'`.
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//# sourceMappingURL=index.js.map
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{"version":3,"file":"index.js","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":"AAAA;;;;GAIG;AAEH,OAAO,EAAE,WAAW,EAAE,sBAAsB,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AAChF,OAAO,EAAE,gBAAgB,EAAE,MAAM,EAAE,OAAO,EAAE,MAAM,cAAc,CAAC;AACjE,OAAO,EAAE,iBAAiB,EAAE,WAAW,EAAE,UAAU,EAAE,aAAa,EAAE,MAAM,cAAc,CAAC;AACzF,OAAO,EAAE,oBAAoB,EAAE,MAAM,EAAE,MAAM,aAAa,CAAC;AAC3D,OAAO,EAAE,OAAO,EAAE,MAAM,cAAc,CAAC;AACvC,OAAO,EAAE,UAAU,EAAE,OAAO,EAAE,KAAK,EAAE,YAAY,EAAE,iBAAiB,EAAE,MAAM,aAAa,CAAC;AAC1F,OAAO,EAAE,KAAK,EAAE,IAAI,EAAE,gBAAgB,EAAE,aAAa,EAAE,OAAO,EAAE,MAAM,eAAe,CAAC;AACtF,OAAO,EAAE,QAAQ,EAAE,QAAQ,EAAE,MAAM,eAAe,CAAC;AACnD,OAAO,EAAE,aAAa,EAAE,aAAa,EAAE,iBAAiB,EAAE,MAAM,cAAc,CAAC;AAE/E,OAAO,EACL,aAAa,EACb,UAAU,EACV,iBAAiB,EACjB,WAAW,EACX,oBAAoB,EACpB,gBAAgB,EAChB,WAAW,EACX,sBAAsB,EACtB,UAAU,EACV,OAAO,EACP,KAAK,EACL,OAAO,EACP,YAAY,EACZ,UAAU,EACV,iBAAiB,EACjB,IAAI,EACJ,KAAK,EACL,aAAa,EACb,gBAAgB,EAChB,QAAQ,EACR,QAAQ,EACR,iBAAiB,EACjB,aAAa,EACb,aAAa,GACd,CAAC;AAEF,qGAAqG;AACrG,kGAAkG;AAClG,iGAAiG;AACjG,OAAO,EAAE,MAAM,EAAE,OAAO,EAAE,MAAM,EAAE,OAAO,EAAE,CAAC;AAE5C,cAAc,iBAAiB,CAAC;AAChC,OAAO,EAAE,iBAAiB,EAAE,yBAAyB,EAAE,MAAM,yBAAyB,CAAC;AAqCvF,8FAA8F;AAC9F,uGAAuG;AACvG,6EAA6E"}
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/** Annualized return, Sortino, and Calmar ratios (spec §15.1). */
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import { type AnnualizationExtra, type AnnualizationOptions, type RiskAdjustedExtra, type SharpeOptions } from './sharpe.js';
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/** Geometric annualized return from a per-period return series. */
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export declare const annualizedReturn: import("../../core/dist/index.js").SeriesFacade<[returns: ArrayLike<number>, options?: AnnualizationOptions | undefined], number | null, AnnualizationExtra>;
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export interface SortinoOptions extends SharpeOptions {
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/** Minimum acceptable per-period return (default 0). */
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targetReturn?: number;
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}
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/** Annualized Sortino ratio (downside-deviation-adjusted). */
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export declare const sortino: import("../../core/dist/index.js").SeriesFacade<[returns: ArrayLike<number>, options?: SortinoOptions | undefined], number | null, RiskAdjustedExtra>;
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/** Calmar ratio: annualized return divided by maximum drawdown. */
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export declare const calmar: import("../../core/dist/index.js").SeriesFacade<[returns: ArrayLike<number>, options?: AnnualizationOptions | undefined], number | null, AnnualizationExtra>;
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//# sourceMappingURL=metrics.d.ts.map
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{"version":3,"file":"metrics.d.ts","sourceRoot":"","sources":["../src/metrics.ts"],"names":[],"mappings":"AAAA,kEAAkE;AAYlE,OAAO,EAEL,KAAK,kBAAkB,EACvB,KAAK,oBAAoB,EACzB,KAAK,iBAAiB,EAEtB,KAAK,aAAa,EAKnB,MAAM,aAAa,CAAC;AAgBrB,mEAAmE;AACnE,eAAO,MAAM,gBAAgB,8JAoB5B,CAAC;AAEF,MAAM,WAAW,cAAe,SAAQ,aAAa;IACnD,wDAAwD;IACxD,YAAY,CAAC,EAAE,MAAM,CAAC;CACvB;AA0BD,8DAA8D;AAC9D,eAAO,MAAM,OAAO,uJAuBnB,CAAC;AAaF,mEAAmE;AACnE,eAAO,MAAM,MAAM,8JAoBlB,CAAC"}
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/** Annualized return, Sortino, and Calmar ratios (spec §15.1). */
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import { ensureFiniteWhenPresent, seriesFacade, finiteOrNull, ensureKnownKeys, } from '../../core/dist/index.js';
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import { mean } from '../../math/dist/index.js';
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import { maxDrawdown } from './drawdown.js';
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import { equityCurve } from './returns.js';
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import { ANNUALIZATION_KEYS, SHARPE_KEYS, annualizationAssumptions, degenerateAwareDiagnostics, requireSeries, riskAdjustedAssumptions, } from './sharpe.js';
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import { resolvePeriodsPerYear, resolveRiskFreeRate } from './annualization-internal.js';
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function annualizedReturnValue(returns, options) {
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requireSeries(returns, 'annualizedReturn');
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// Law 12: shared by the plain call AND `.explain()` — an unknown option teaches, never ignored.
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ensureKnownKeys('annualizedReturn', 'options', options, ANNUALIZATION_KEYS);
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// Resolved before the empty-series early return (never return on malformed input).
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const ppy = resolvePeriodsPerYear('annualizedReturn', options);
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const n = returns.length;
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if (n === 0)
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return NaN;
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let growth = 1;
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for (let i = 0; i < n; i++)
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growth *= 1 + returns[i];
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return growth ** (ppy / n) - 1;
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}
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/** Geometric annualized return from a per-period return series. */
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export const annualizedReturn = seriesFacade('annualizedReturn', (returns, options = {}) => finiteOrNull(annualizedReturnValue(returns, options)), (returns, options = {}) => {
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const value = annualizedReturnValue(returns, options);
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return {
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value: finiteOrNull(value),
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assumptions: annualizationAssumptions(resolvePeriodsPerYear('annualizedReturn', options)),
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diagnostics: degenerateAwareDiagnostics(value, 'annualizedReturn', 'the return series is empty (no periods to compound)', returns),
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};
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});
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/** Law 12 allowlist for {@link SortinoOptions} — the inherited Sharpe keys plus the target return. */
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const SORTINO_KEYS = [...SHARPE_KEYS, 'targetReturn'];
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function sortinoRatioValue(returns, options) {
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requireSeries(returns, 'sortino');
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ensureKnownKeys('sortino', 'options', options, SORTINO_KEYS);
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const ppy = resolvePeriodsPerYear('sortino', options);
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const rfPerPeriod = resolveRiskFreeRate('sortino', options) / ppy;
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ensureFiniteWhenPresent(options.targetReturn, 'targetReturn', 'sortino');
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const target = options.targetReturn ?? 0;
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const n = returns.length;
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if (n === 0)
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return NaN;
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const excess = new Array(n);
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let downSq = 0;
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for (let i = 0; i < n; i++) {
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excess[i] = returns[i] - rfPerPeriod;
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const below = Math.min(0, returns[i] - target);
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downSq += below * below;
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}
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const downsideDev = Math.sqrt(downSq / n);
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if (downsideDev === 0)
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return NaN;
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return (mean(excess) / downsideDev) * Math.sqrt(ppy);
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}
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/** Annualized Sortino ratio (downside-deviation-adjusted). */
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export const sortino = seriesFacade('sortino', (returns, options = {}) => finiteOrNull(sortinoRatioValue(returns, options)), (returns, options = {}) => {
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const value = sortinoRatioValue(returns, options);
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return {
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value: finiteOrNull(value),
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assumptions: riskAdjustedAssumptions({
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periodsPerYear: resolvePeriodsPerYear('sortino', options),
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riskFreeRate: resolveRiskFreeRate('sortino', options),
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}),
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diagnostics: degenerateAwareDiagnostics(value, 'sortino', 'no period falls below the target return (zero downside deviation) or the series is empty', returns),
|
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};
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});
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function calmarRatioValue(returns, options) {
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requireSeries(returns, 'calmar');
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ensureKnownKeys('calmar', 'options', options, ANNUALIZATION_KEYS);
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// Validate the options before the zero-drawdown early return (never return on malformed input);
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// annualizedReturnValue re-resolves the same value for its own use.
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resolvePeriodsPerYear('calmar', options);
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const dd = maxDrawdown(equityCurve(returns)).maxDrawdown;
|
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if (dd === 0)
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return NaN;
|
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return annualizedReturnValue(returns, options) / dd;
|
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}
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/** Calmar ratio: annualized return divided by maximum drawdown. */
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export const calmar = seriesFacade('calmar', (returns, options = {}) => finiteOrNull(calmarRatioValue(returns, options)), (returns, options = {}) => {
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const value = calmarRatioValue(returns, options);
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return {
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value: finiteOrNull(value),
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assumptions: annualizationAssumptions(resolvePeriodsPerYear('calmar', options)),
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diagnostics: degenerateAwareDiagnostics(value, 'calmar', 'the equity curve never draws down (max drawdown is 0) or the series is empty', returns),
|
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};
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});
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//# sourceMappingURL=metrics.js.map
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/**
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* `@insiderfinance/totalfinance/performance/ratios` — distribution- and trade-level performance ratios (spec §15.1).
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*
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* These read only a per-period return (or per-trade P&L) series: the Omega ratio, win rate, profit
|
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* factor, and expectancy. Zero-return periods are treated as neither wins nor losses. Each is a
|
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* facade (dx §2.3): plain call → the value; `.explain()` → the `Computed` envelope (with the
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* prices-as-returns plausibility guard riding `diagnostics.warnings`).
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*/
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9
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/**
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* Omega ratio at a per-period `threshold` (default 0): Σ gains above θ ÷ Σ losses below θ.
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*
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12
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* **`null`, never `Infinity`** (Law 7): with gains but no losses the ratio is unbounded, and with
|
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* neither it is undefined — both are reported as `null`, and `.explain()` carries an
|
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* `input.degenerate` warning naming the reason. A JSON payload can hold `null`; it cannot hold
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* `Infinity` (`JSON.stringify` silently corrupts it to `null` anyway, without the reason).
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*/
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export declare const omega: import("../../core/dist/index.js").SeriesFacade<[returns: ArrayLike<number>, options?: {
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threshold?: number;
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} | undefined], number | null, {
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threshold: number;
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}>;
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/** Hit rate: fraction of non-zero periods that were positive (`wins / (wins + losses)`). */
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export declare const hitRate: import("../../core/dist/index.js").SeriesFacade<[returns: ArrayLike<number>], number | null, Record<never, never>>;
|
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/**
|
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* Profit factor: gross gains ÷ gross losses.
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*
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+
* **`null`, never `Infinity`** (Law 7): a series with gains but no losses has an unbounded profit
|
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+
* factor, and a series with neither has an undefined one — both are reported as `null`, with an
|
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* `input.degenerate` warning on `.explain()` naming which case it was. (The doc used to promise
|
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* `Infinity`; the facade has always returned `null`, and `null` is the law-conform answer — a
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* caller branching on `=== Infinity` would never have matched.)
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*/
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export declare const profitFactor: import("../../core/dist/index.js").SeriesFacade<[returns: ArrayLike<number>], number | null, Record<never, never>>;
|
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/** Win/loss decomposition of a per-period return series (see {@link winLossStatistics}). */
|
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export interface WinLossStatistics {
|
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/**
|
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* Mean per-period return over ALL periods (zeros included). With `active` = the fraction of
|
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* non-zero periods, `expectancy = active · (hitRate·averageWin + (1 − hitRate)·averageLoss)`; the bare
|
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* `hitRate·averageWin + (1 − hitRate)·averageLoss` identity holds only when no period is exactly zero.
|
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*/
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expectancy: number | null;
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hitRate: number | null;
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/** Average winning return; 0 when the series has no winning periods (not NaN — disclosed here). */
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averageWin: number;
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/** Average losing return (negative); 0 when the series has no losing periods. */
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averageLoss: number;
|
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}
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+
/**
|
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* Expectancy: the mean per-period return — `null` when undefined (empty series), exactly as
|
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|
+
* `analyze().expectancy` reports it (one word, one shape). For the win/loss decomposition that explains it (hit rate, average
|
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* win/loss), use {@link winLossStatistics}.
|
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*/
|
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+
export declare const expectancy: import("../../core/dist/index.js").SeriesFacade<[returns: ArrayLike<number>], number | null, Record<never, never>>;
|
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+
export declare const winLossStatistics: import("../../core/dist/index.js").SeriesFacade<[returns: ArrayLike<number>], WinLossStatistics, Record<never, never>>;
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//# sourceMappingURL=ratios.d.ts.map
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@@ -0,0 +1 @@
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1
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+
{"version":3,"file":"ratios.d.ts","sourceRoot":"","sources":["../src/ratios.ts"],"names":[],"mappings":"AAAA;;;;;;;GAOG;AA8BH;;;;;;;GAOG;AACH,eAAO,MAAM,KAAK;gBAMS,MAAM;;eACS,MAAM;EAa/C,CAAC;AAcF,4FAA4F;AAC5F,eAAO,MAAM,OAAO,oHAgBnB,CAAC;AAeF;;;;;;;;GAQG;AACH,eAAO,MAAM,YAAY,oHAgBxB,CAAC;AAEF,4FAA4F;AAC5F,MAAM,WAAW,iBAAiB;IAChC;;;;OAIG;IACH,UAAU,EAAE,MAAM,GAAG,IAAI,CAAC;IAC1B,OAAO,EAAE,MAAM,GAAG,IAAI,CAAC;IACvB,mGAAmG;IACnG,UAAU,EAAE,MAAM,CAAC;IACnB,iFAAiF;IACjF,WAAW,EAAE,MAAM,CAAC;CACrB;AA6BD;;;;GAIG;AACH,eAAO,MAAM,UAAU,oHAiBtB,CAAC;AAoBF,eAAO,MAAM,iBAAiB,wHAoB7B,CAAC"}
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@@ -0,0 +1,168 @@
|
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|
1
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+
/**
|
|
2
|
+
* `@insiderfinance/totalfinance/performance/ratios` — distribution- and trade-level performance ratios (spec §15.1).
|
|
3
|
+
*
|
|
4
|
+
* These read only a per-period return (or per-trade P&L) series: the Omega ratio, win rate, profit
|
|
5
|
+
* factor, and expectancy. Zero-return periods are treated as neither wins nor losses. Each is a
|
|
6
|
+
* facade (dx §2.3): plain call → the value; `.explain()` → the `Computed` envelope (with the
|
|
7
|
+
* prices-as-returns plausibility guard riding `diagnostics.warnings`).
|
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8
|
+
*/
|
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9
|
+
import { CONVENTIONS_VERSION, seriesFacade, finiteOrNull, ensureKnownKeys, } from '../../core/dist/index.js';
|
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+
import { degenerateAwareDiagnostics, requireSeries } from './sharpe.js';
|
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11
|
+
/** Law 12 allowlist for omega's options — a `treshold` typo teaches, never silently ratios about 0. */
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12
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+
const OMEGA_KEYS = ['threshold'];
|
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13
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+
function omegaValue(returns, options) {
|
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14
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+
requireSeries(returns, 'omega');
|
|
15
|
+
// Law 12: shared by the plain call AND `.explain()` — an unknown option teaches, never ignored.
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16
|
+
ensureKnownKeys('omega', 'options', options, OMEGA_KEYS);
|
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17
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+
const theta = options.threshold ?? 0;
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+
let gain = 0;
|
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+
let loss = 0;
|
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+
for (let i = 0; i < returns.length; i++) {
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const d = returns[i] - theta;
|
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22
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+
if (d > 0)
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+
gain += d;
|
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24
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+
else
|
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+
loss -= d;
|
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+
}
|
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+
if (loss === 0)
|
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+
return gain > 0 ? Infinity : NaN;
|
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+
return gain / loss;
|
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+
}
|
|
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|
+
/**
|
|
32
|
+
* Omega ratio at a per-period `threshold` (default 0): Σ gains above θ ÷ Σ losses below θ.
|
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33
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+
*
|
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34
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+
* **`null`, never `Infinity`** (Law 7): with gains but no losses the ratio is unbounded, and with
|
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35
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+
* neither it is undefined — both are reported as `null`, and `.explain()` carries an
|
|
36
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+
* `input.degenerate` warning naming the reason. A JSON payload can hold `null`; it cannot hold
|
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37
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+
* `Infinity` (`JSON.stringify` silently corrupts it to `null` anyway, without the reason).
|
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38
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+
*/
|
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39
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+
export const omega = seriesFacade('omega', (returns, options = {}) => finiteOrNull(omegaValue(returns, options)), (returns, options = {}) => {
|
|
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+
const value = omegaValue(returns, options);
|
|
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+
return {
|
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42
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+
value: finiteOrNull(value),
|
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+
assumptions: { conventionsVersion: CONVENTIONS_VERSION, threshold: options.threshold ?? 0 },
|
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+
diagnostics: degenerateAwareDiagnostics(value, 'omega', 'no return deviates from the threshold (no gains and no losses to ratio) or the series is empty', returns),
|
|
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+
};
|
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+
});
|
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+
function hitRateValue(returns) {
|
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requireSeries(returns, 'hitRate');
|
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+
let wins = 0;
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50
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+
let losses = 0;
|
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+
for (let i = 0; i < returns.length; i++) {
|
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const r = returns[i];
|
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53
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+
if (r > 0)
|
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+
wins++;
|
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55
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+
else if (r < 0)
|
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+
losses++;
|
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+
}
|
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+
return wins + losses > 0 ? wins / (wins + losses) : NaN;
|
|
59
|
+
}
|
|
60
|
+
/** Hit rate: fraction of non-zero periods that were positive (`wins / (wins + losses)`). */
|
|
61
|
+
export const hitRate = seriesFacade('hitRate', (returns) => finiteOrNull(hitRateValue(returns)), (returns) => {
|
|
62
|
+
const value = hitRateValue(returns);
|
|
63
|
+
return {
|
|
64
|
+
value: finiteOrNull(value),
|
|
65
|
+
assumptions: { conventionsVersion: CONVENTIONS_VERSION },
|
|
66
|
+
diagnostics: degenerateAwareDiagnostics(value, 'hitRate', 'the series has no non-zero periods (no wins or losses to count)', returns),
|
|
67
|
+
};
|
|
68
|
+
});
|
|
69
|
+
function profitFactorValue(returns) {
|
|
70
|
+
requireSeries(returns, 'profitFactor');
|
|
71
|
+
let gains = 0;
|
|
72
|
+
let losses = 0;
|
|
73
|
+
for (let i = 0; i < returns.length; i++) {
|
|
74
|
+
const r = returns[i];
|
|
75
|
+
if (r > 0)
|
|
76
|
+
gains += r;
|
|
77
|
+
else if (r < 0)
|
|
78
|
+
losses -= r;
|
|
79
|
+
}
|
|
80
|
+
if (losses === 0)
|
|
81
|
+
return gains > 0 ? Infinity : NaN;
|
|
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|
+
return gains / losses;
|
|
83
|
+
}
|
|
84
|
+
/**
|
|
85
|
+
* Profit factor: gross gains ÷ gross losses.
|
|
86
|
+
*
|
|
87
|
+
* **`null`, never `Infinity`** (Law 7): a series with gains but no losses has an unbounded profit
|
|
88
|
+
* factor, and a series with neither has an undefined one — both are reported as `null`, with an
|
|
89
|
+
* `input.degenerate` warning on `.explain()` naming which case it was. (The doc used to promise
|
|
90
|
+
* `Infinity`; the facade has always returned `null`, and `null` is the law-conform answer — a
|
|
91
|
+
* caller branching on `=== Infinity` would never have matched.)
|
|
92
|
+
*/
|
|
93
|
+
export const profitFactor = seriesFacade('profitFactor', (returns) => finiteOrNull(profitFactorValue(returns)), (returns) => {
|
|
94
|
+
const value = profitFactorValue(returns);
|
|
95
|
+
return {
|
|
96
|
+
value: finiteOrNull(value),
|
|
97
|
+
assumptions: { conventionsVersion: CONVENTIONS_VERSION },
|
|
98
|
+
diagnostics: degenerateAwareDiagnostics(value, 'profitFactor', 'the series has no gains and no losses (all periods are zero, or it is empty)', returns),
|
|
99
|
+
};
|
|
100
|
+
});
|
|
101
|
+
function winLossStatsValue(returns) {
|
|
102
|
+
requireSeries(returns, 'winLossStatistics');
|
|
103
|
+
const n = returns.length;
|
|
104
|
+
let wins = 0;
|
|
105
|
+
let losses = 0;
|
|
106
|
+
let sumWin = 0;
|
|
107
|
+
let sumLoss = 0;
|
|
108
|
+
let sum = 0;
|
|
109
|
+
for (let i = 0; i < n; i++) {
|
|
110
|
+
const r = returns[i];
|
|
111
|
+
sum += r;
|
|
112
|
+
if (r > 0) {
|
|
113
|
+
wins++;
|
|
114
|
+
sumWin += r;
|
|
115
|
+
}
|
|
116
|
+
else if (r < 0) {
|
|
117
|
+
losses++;
|
|
118
|
+
sumLoss += r;
|
|
119
|
+
}
|
|
120
|
+
}
|
|
121
|
+
return {
|
|
122
|
+
expectancy: n > 0 ? sum / n : NaN,
|
|
123
|
+
hitRate: wins + losses > 0 ? wins / (wins + losses) : NaN,
|
|
124
|
+
averageWin: wins > 0 ? sumWin / wins : 0,
|
|
125
|
+
averageLoss: losses > 0 ? sumLoss / losses : 0,
|
|
126
|
+
};
|
|
127
|
+
}
|
|
128
|
+
/**
|
|
129
|
+
* Expectancy: the mean per-period return — `null` when undefined (empty series), exactly as
|
|
130
|
+
* `analyze().expectancy` reports it (one word, one shape). For the win/loss decomposition that explains it (hit rate, average
|
|
131
|
+
* win/loss), use {@link winLossStatistics}.
|
|
132
|
+
*/
|
|
133
|
+
export const expectancy = seriesFacade('expectancy', (returns) => finiteOrNull(winLossStatsValue(returns).expectancy), (returns) => {
|
|
134
|
+
const value = winLossStatsValue(returns).expectancy;
|
|
135
|
+
return {
|
|
136
|
+
value: finiteOrNull(value),
|
|
137
|
+
assumptions: { conventionsVersion: CONVENTIONS_VERSION },
|
|
138
|
+
diagnostics: degenerateAwareDiagnostics(value, 'expectancy', 'the return series is empty (no periods to average)', returns),
|
|
139
|
+
};
|
|
140
|
+
});
|
|
141
|
+
/**
|
|
142
|
+
* Win/loss decomposition of the expectancy. `hitRate`, `averageWin`, and `averageLoss` are computed over
|
|
143
|
+
* the NON-ZERO periods, while `expectancy` averages ALL periods — so with `active` the fraction of
|
|
144
|
+
* non-zero periods, the exact identity is
|
|
145
|
+
* `expectancy = active · (hitRate·averageWin + (1 − hitRate)·averageLoss)`. Only when the series contains
|
|
146
|
+
* no zero returns (`active = 1`) does this reduce to the classic
|
|
147
|
+
* `expectancy = hitRate·averageWin + (1 − hitRate)·averageLoss`.
|
|
148
|
+
*/
|
|
149
|
+
/** Law 7 (D3): degenerate stats report null, never NaN, so the record survives JSON. */
|
|
150
|
+
function nullSafeWinLoss(v) {
|
|
151
|
+
return {
|
|
152
|
+
...v,
|
|
153
|
+
expectancy: v.expectancy === null ? null : finiteOrNull(v.expectancy),
|
|
154
|
+
hitRate: v.hitRate === null ? null : finiteOrNull(v.hitRate),
|
|
155
|
+
};
|
|
156
|
+
}
|
|
157
|
+
export const winLossStatistics = seriesFacade('winLossStatistics', (returns) => nullSafeWinLoss(winLossStatsValue(returns)), (returns) => {
|
|
158
|
+
const value = winLossStatsValue(returns);
|
|
159
|
+
// Degenerate probe: expectancy is NaN on an empty series; hitRate is NaN when no period is
|
|
160
|
+
// non-zero. Either way the envelope must say so rather than ship a silent NaN field.
|
|
161
|
+
const probe = Number.isNaN(value.expectancy) || Number.isNaN(value.hitRate) ? NaN : 0;
|
|
162
|
+
return {
|
|
163
|
+
value: nullSafeWinLoss(value),
|
|
164
|
+
assumptions: { conventionsVersion: CONVENTIONS_VERSION },
|
|
165
|
+
diagnostics: degenerateAwareDiagnostics(probe, 'winLossStatistics', 'the series is empty (expectancy) or has no non-zero periods (hitRate)', returns),
|
|
166
|
+
};
|
|
167
|
+
});
|
|
168
|
+
//# sourceMappingURL=ratios.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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|
|
@@ -0,0 +1,33 @@
|
|
|
1
|
+
/**
|
|
2
|
+
* `@insiderfinance/totalfinance/performance/relative` — benchmark-relative performance metrics (spec §15.1).
|
|
3
|
+
*
|
|
4
|
+
* Each takes a per-period strategy return series and an aligned benchmark return series (same length,
|
|
5
|
+
* same periodicity) and reports the standard CAPM-style relationships: beta, Jensen's alpha, tracking
|
|
6
|
+
* error, the information ratio, and the Treynor ratio. Imports only `@insiderfinance/totalfinance/math` + `@insiderfinance/totalfinance/core`.
|
|
7
|
+
*
|
|
8
|
+
* Every metric here is a facade (design law #3): the plain call returns a number; `.explain()`
|
|
9
|
+
* echoes the annualization factor (and risk-free rate) where applied. `beta` applies no
|
|
10
|
+
* annualization or risk-free convention, so its envelope discloses none beyond the conventions
|
|
11
|
+
* version.
|
|
12
|
+
*/
|
|
13
|
+
import { type AnnualizationExtra, type AnnualizationOptions, type RiskAdjustedExtra, type SharpeOptions } from './sharpe.js';
|
|
14
|
+
/** Beta: sensitivity of the strategy to the benchmark, `cov(r, b) / var(b)`. */
|
|
15
|
+
export declare const beta: import("../../core/dist/index.js").SeriesFacade<[returns: ArrayLike<number>, benchmark: ArrayLike<number>], number | null, Record<never, never>>;
|
|
16
|
+
/**
|
|
17
|
+
* Annualized Jensen's alpha: the strategy's average return in excess of what its beta exposure to the
|
|
18
|
+
* benchmark would predict, `α = ppy · (r̄ − [rf_p + β·(b̄ − rf_p)])` (rf split to a per-period rate).
|
|
19
|
+
*/
|
|
20
|
+
export declare const alpha: import("../../core/dist/index.js").SeriesFacade<[returns: ArrayLike<number>, benchmark: ArrayLike<number>, options?: SharpeOptions | undefined], number | null, RiskAdjustedExtra>;
|
|
21
|
+
/** Annualized tracking error: the volatility of the active (strategy − benchmark) return series. */
|
|
22
|
+
export declare const trackingError: import("../../core/dist/index.js").SeriesFacade<[returns: ArrayLike<number>, benchmark: ArrayLike<number>, options?: AnnualizationOptions | undefined], number | null, AnnualizationExtra>;
|
|
23
|
+
/**
|
|
24
|
+
* Information ratio: annualized mean active return divided by annualized tracking error — the Sharpe
|
|
25
|
+
* ratio of the active (strategy − benchmark) return series.
|
|
26
|
+
*/
|
|
27
|
+
export declare const informationRatio: import("../../core/dist/index.js").SeriesFacade<[returns: ArrayLike<number>, benchmark: ArrayLike<number>, options?: AnnualizationOptions | undefined], number | null, AnnualizationExtra>;
|
|
28
|
+
/**
|
|
29
|
+
* Treynor ratio: excess (over risk-free) annualized return per unit of systematic risk (beta),
|
|
30
|
+
* `(annualizedReturn − rf) / β`. Uses the geometric annualized return for the numerator.
|
|
31
|
+
*/
|
|
32
|
+
export declare const treynor: import("../../core/dist/index.js").SeriesFacade<[returns: ArrayLike<number>, benchmark: ArrayLike<number>, options?: SharpeOptions | undefined], number | null, RiskAdjustedExtra>;
|
|
33
|
+
//# sourceMappingURL=relative.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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|