@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/risk` — risk & portfolio analytics (spec §12.2). Depends only on `@insiderfinance/totalfinance/core`,
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* `@insiderfinance/totalfinance/math` and `@insiderfinance/totalfinance/performance`; importing a VaR helper never drags in option pricing.
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*
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* Four pillars, each also available as a focused sub-path import:
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* • `./var` VaR / CVaR (parametric · historical · Monte-Carlo) + portfolio decomposition
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* • `./scenario` stress & scenario testing with Greeks-Taylor P&L explain
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* • `./factor` factor / PCA exposure
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* • `./optimize` min-variance · max-Sharpe · mean-variance · risk parity · HRP · Kelly
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*
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* Return/performance metrics (Sharpe, Sortino, drawdown, …) live in `@insiderfinance/totalfinance/performance`
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* (the nested namespace re-export was removed in P3.3 — one namespace level per concept).
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*/
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export { valueAtRisk, expectedShortfall, valueAtRiskReport, portfolioVariance, portfolioVolatility, riskContributions, diversificationRatio, portfolioVaR, } from './value-at-risk.js';
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export type { VaRMethod, VaROptions, VaRResult, RiskContributionRow, RiskContributionsResult, ParametricPortfolioVaROptions, ParametricPortfolioVaRInput, MonteCarloPortfolioVaRInput, PortfolioVaRResult, MonteCarloPortfolioVaRResult, HistoricalPortfolioVaROptions, HistoricalPortfolioVaRInput, HistoricalPortfolioVaRResult, PortfolioVaRInput, PortfolioVaROutput, } from './value-at-risk.js';
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export { shock, scenario, taylorPnl, stressTest, scenarioGrid } from './scenario.js';
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export type { ShockKind, ShockFactor, Shock, Scenario, PositionGreeks, Position, PnlAttribution, TaylorPnlResult, PositionScenarioResult, ScenarioResult, StressOptions, StressTestResult, ResolvedGridShock, ScenarioGridResult, } from './scenario.js';
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export { explainPnl, explainPositionPnl, explainPortfolioPnl } from './pnl-explain.js';
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export type { PnlMove, PnlExplain, PnlMarket, LegPnlExplain, PositionPnlExplain, PortfolioPnlItem, PortfolioPnlExplain, ExplainPnlInput, ExplainPositionPnlInput, } from './pnl-explain.js';
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export type { StrategyLegKind, StrategyLeg, StrategyOptionLeg, StrategyStockLeg, StrategyMarkToMarketMarket, StrategyLegValuation, StrategyMarkToMarketResult, StrategyPayoffMetrics, StrategyPosition, } from './strategy-shape.js';
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export { analyzeBook } from './book.js';
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export type { BookPosition, BookOptions, BookGreeks, PositionRisk, UnderlyingRisk, BookRisk, } from './book.js';
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export { bookVaR } from './book-var.js';
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export type { BookVaRPosition, BookVaROptions, UnderlyingRiskFactor, BookVaRComponent, BookVaRMethodResult, BookVaRResult, } from './book-var.js';
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export { covariance, meanReturns } from './covariance.js';
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export type { CovarianceInput, CovarianceOptions, CovarianceValue, CovarianceResult, MeanReturnsInput, } from './covariance.js';
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export { pca, factorExposure, covarianceToCorrelation } from './factor.js';
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export type { PcaComponent, PcaResult, FactorExposureResult } from './factor.js';
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export { factorAttribution, brinsonAttribution, linkAttribution } from './attribution.js';
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export type { FactorSeries, FactorAttributionInput, FactorContribution, FactorAttribution, BrinsonSegment, SegmentEffect, BrinsonAttributionOptions, BrinsonAttribution, AttributionPeriod, LinkAttributionOptions, LinkingCoefficient, LinkedAttribution, } from './attribution.js';
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export { concentration, liquidity, marketImpact, margin, nakedCallMargin, nakedPutMargin, optionsMargin, aggregateGreeks, betaWeightedDelta, } from './portfolio.js';
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export type { AggregateGreeksResult, ConcentrationResult, ConcentrationValues, LiquidityPosition, LiquidityResult, MarketImpactInput, MarketImpactResult, MarginResult, NakedMarginInput, NakedMarginOptions, NakedMarginResult, OptionMarginLeg, OptionsMarginOptions, OptionsMarginResult, PortfolioGreeks, BetaWeightedPosition, BetaWeightedDeltaResult, } from './portfolio.js';
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export { minVariance, maxSharpe, meanVariance, riskParity, hrp, kelly, blackLitterman, conditionalValueAtRiskOptimize, } from './optimize.js';
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export type { OptimizeConstraints, OptimizeResult, MaxSharpeOptions, MeanVarianceOptions, KellyOptions, GroupConstraint, TurnoverConstraint, BlackLittermanView, BlackLittermanOptions, BlackLittermanResult, CVaROptimizeOptions, CVaROptimizeResult, } from './optimize.js';
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export { estimateExpectedReturns } from './expected-returns.js';
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export type { EstimateExpectedReturnsInput, ExpectedReturnsMethod, HistoricalMeanExpectedReturnsInput, ExponentiallyWeightedExpectedReturnsInput, CapitalAssetPricingExpectedReturnsInput, SuppliedExpectedReturnsInput, ExpectedReturnsValue, ExpectedReturnsResult, } from './expected-returns.js';
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export { efficientFrontier } from './frontier.js';
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export type { EfficientFrontierGrid, EfficientFrontierGridKind, EfficientFrontierInput, EfficientFrontierResult, EfficientFrontierValue, FrontierPoint, FrontierPortfolio, } from './frontier.js';
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export { sharpeStatistics, probabilisticSharpeRatio, deflatedSharpeRatio, adjustPValues, walkForwardSplits, purgedKFold, parameterSweepDiagnostics, checkLeakage, survivorshipWarning, probabilityOfBacktestOverfitting, } from './research.js';
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export type { SharpeStatistics, SharpeStatisticsReport, ProbabilisticSharpeResult, DeflatedSharpeResult, LeakageIssue, LeakageReport, MultipleTestMethod, MultipleTestOptions, MultipleTestResult, Split, WalkForwardOptions, PurgedKFoldOptions, ParameterSweepResult, SurvivorshipContext, BacktestOverfittingProbabilityOptions, BacktestOverfittingProbabilityResult, } from './research.js';
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export { researchProtocol } from './research-protocol.js';
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export type { ResearchProtocolInput, ResearchVerdict } from './research-protocol.js';
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export { kellyBet, shrunkKelly, costAwareKelly } from './kelly.js';
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export type { KellyBetInput, KellySizing, BinaryEdge, EdgeOutcome, ShrunkKellyInput, ShrunkKelly, CostAwareKellyInput, CostAwareKelly, } from './kelly.js';
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export { fitGeneralizedParetoTail, extremeValueTailRisk, drawdownAtRisk, spectralRisk, meanExcessPlot, } from './evt.js';
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export type { GeneralizedParetoFit, GeneralizedParetoFitOptions, ExtremeValueTailRisk, DrawdownAtRisk, SpectralRisk, MeanExcessPlotOptions, MeanExcessPoint, MeanExcessPlot, } from './evt.js';
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//# sourceMappingURL=index.d.ts.map
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{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":"AAAA;;;;;;;;;;;;GAYG;AAEH,OAAO,EACL,WAAW,EACX,iBAAiB,EACjB,iBAAiB,EACjB,iBAAiB,EACjB,mBAAmB,EACnB,iBAAiB,EACjB,oBAAoB,EACpB,YAAY,GACb,MAAM,oBAAoB,CAAC;AAC5B,YAAY,EACV,SAAS,EACT,UAAU,EACV,SAAS,EACT,mBAAmB,EACnB,uBAAuB,EACvB,6BAA6B,EAC7B,2BAA2B,EAC3B,2BAA2B,EAC3B,kBAAkB,EAClB,4BAA4B,EAC5B,6BAA6B,EAC7B,2BAA2B,EAC3B,4BAA4B,EAC5B,iBAAiB,EACjB,kBAAkB,GACnB,MAAM,oBAAoB,CAAC;AAE5B,OAAO,EAAE,KAAK,EAAE,QAAQ,EAAE,SAAS,EAAE,UAAU,EAAE,YAAY,EAAE,MAAM,eAAe,CAAC;AACrF,YAAY,EACV,SAAS,EACT,WAAW,EACX,KAAK,EACL,QAAQ,EACR,cAAc,EACd,QAAQ,EACR,cAAc,EACd,eAAe,EACf,sBAAsB,EACtB,cAAc,EACd,aAAa,EACb,gBAAgB,EAChB,iBAAiB,EACjB,kBAAkB,GACnB,MAAM,eAAe,CAAC;AAEvB,OAAO,EAAE,UAAU,EAAE,kBAAkB,EAAE,mBAAmB,EAAE,MAAM,kBAAkB,CAAC;AACvF,YAAY,EACV,OAAO,EACP,UAAU,EACV,SAAS,EACT,aAAa,EACb,kBAAkB,EAClB,gBAAgB,EAChB,mBAAmB,EACnB,eAAe,EACf,uBAAuB,GACxB,MAAM,kBAAkB,CAAC;AAG1B,YAAY,EACV,eAAe,EACf,WAAW,EACX,iBAAiB,EACjB,gBAAgB,EAChB,0BAA0B,EAC1B,oBAAoB,EACpB,0BAA0B,EAC1B,qBAAqB,EACrB,gBAAgB,GACjB,MAAM,qBAAqB,CAAC;AAC7B,OAAO,EAAE,WAAW,EAAE,MAAM,WAAW,CAAC;AACxC,YAAY,EACV,YAAY,EACZ,WAAW,EACX,UAAU,EACV,YAAY,EACZ,cAAc,EACd,QAAQ,GACT,MAAM,WAAW,CAAC;AACnB,OAAO,EAAE,OAAO,EAAE,MAAM,eAAe,CAAC;AACxC,YAAY,EACV,eAAe,EACf,cAAc,EACd,oBAAoB,EACpB,gBAAgB,EAChB,mBAAmB,EACnB,aAAa,GACd,MAAM,eAAe,CAAC;AAEvB,OAAO,EAAE,UAAU,EAAE,WAAW,EAAE,MAAM,iBAAiB,CAAC;AAC1D,YAAY,EACV,eAAe,EACf,iBAAiB,EACjB,eAAe,EACf,gBAAgB,EAChB,gBAAgB,GACjB,MAAM,iBAAiB,CAAC;AAEzB,OAAO,EAAE,GAAG,EAAE,cAAc,EAAE,uBAAuB,EAAE,MAAM,aAAa,CAAC;AAC3E,YAAY,EAAE,YAAY,EAAE,SAAS,EAAE,oBAAoB,EAAE,MAAM,aAAa,CAAC;AAEjF,OAAO,EAAE,iBAAiB,EAAE,kBAAkB,EAAE,eAAe,EAAE,MAAM,kBAAkB,CAAC;AAC1F,YAAY,EACV,YAAY,EACZ,sBAAsB,EACtB,kBAAkB,EAClB,iBAAiB,EACjB,cAAc,EACd,aAAa,EACb,yBAAyB,EACzB,kBAAkB,EAClB,iBAAiB,EACjB,sBAAsB,EACtB,kBAAkB,EAClB,iBAAiB,GAClB,MAAM,kBAAkB,CAAC;AAE1B,OAAO,EACL,aAAa,EACb,SAAS,EACT,YAAY,EACZ,MAAM,EACN,eAAe,EACf,cAAc,EACd,aAAa,EACb,eAAe,EACf,iBAAiB,GAClB,MAAM,gBAAgB,CAAC;AACxB,YAAY,EACV,qBAAqB,EACrB,mBAAmB,EACnB,mBAAmB,EACnB,iBAAiB,EACjB,eAAe,EACf,iBAAiB,EACjB,kBAAkB,EAClB,YAAY,EACZ,gBAAgB,EAChB,kBAAkB,EAClB,iBAAiB,EACjB,eAAe,EACf,oBAAoB,EACpB,mBAAmB,EACnB,eAAe,EACf,oBAAoB,EACpB,uBAAuB,GACxB,MAAM,gBAAgB,CAAC;AAExB,OAAO,EACL,WAAW,EACX,SAAS,EACT,YAAY,EACZ,UAAU,EACV,GAAG,EACH,KAAK,EACL,cAAc,EACd,8BAA8B,GAC/B,MAAM,eAAe,CAAC;AACvB,YAAY,EACV,mBAAmB,EACnB,cAAc,EACd,gBAAgB,EAChB,mBAAmB,EACnB,YAAY,EACZ,eAAe,EACf,kBAAkB,EAClB,kBAAkB,EAClB,qBAAqB,EACrB,oBAAoB,EACpB,mBAAmB,EACnB,kBAAkB,GACnB,MAAM,eAAe,CAAC;AAGvB,OAAO,EAAE,uBAAuB,EAAE,MAAM,uBAAuB,CAAC;AAChE,YAAY,EACV,4BAA4B,EAC5B,qBAAqB,EACrB,kCAAkC,EAClC,yCAAyC,EACzC,uCAAuC,EACvC,4BAA4B,EAC5B,oBAAoB,EACpB,qBAAqB,GACtB,MAAM,uBAAuB,CAAC;AAC/B,OAAO,EAAE,iBAAiB,EAAE,MAAM,eAAe,CAAC;AAClD,YAAY,EACV,qBAAqB,EACrB,yBAAyB,EACzB,sBAAsB,EACtB,uBAAuB,EACvB,sBAAsB,EACtB,aAAa,EACb,iBAAiB,GAClB,MAAM,eAAe,CAAC;AAIvB,OAAO,EACL,gBAAgB,EAChB,wBAAwB,EACxB,mBAAmB,EACnB,aAAa,EACb,iBAAiB,EACjB,WAAW,EACX,yBAAyB,EACzB,YAAY,EACZ,mBAAmB,EACnB,gCAAgC,GACjC,MAAM,eAAe,CAAC;AACvB,YAAY,EACV,gBAAgB,EAChB,sBAAsB,EACtB,yBAAyB,EACzB,oBAAoB,EACpB,YAAY,EACZ,aAAa,EACb,kBAAkB,EAClB,mBAAmB,EACnB,kBAAkB,EAClB,KAAK,EACL,kBAAkB,EAClB,kBAAkB,EAClB,oBAAoB,EACpB,mBAAmB,EACnB,qCAAqC,EACrC,oCAAoC,GACrC,MAAM,eAAe,CAAC;AAEvB,OAAO,EAAE,gBAAgB,EAAE,MAAM,wBAAwB,CAAC;AAC1D,YAAY,EAAE,qBAAqB,EAAE,eAAe,EAAE,MAAM,wBAAwB,CAAC;AAGrF,OAAO,EAAE,QAAQ,EAAE,WAAW,EAAE,cAAc,EAAE,MAAM,YAAY,CAAC;AACnE,YAAY,EACV,aAAa,EACb,WAAW,EACX,UAAU,EACV,WAAW,EACX,gBAAgB,EAChB,WAAW,EACX,mBAAmB,EACnB,cAAc,GACf,MAAM,YAAY,CAAC;AAGpB,OAAO,EACL,wBAAwB,EACxB,oBAAoB,EACpB,cAAc,EACd,YAAY,EACZ,cAAc,GACf,MAAM,UAAU,CAAC;AAClB,YAAY,EACV,oBAAoB,EACpB,2BAA2B,EAC3B,oBAAoB,EACpB,cAAc,EACd,YAAY,EACZ,qBAAqB,EACrB,eAAe,EACf,cAAc,GACf,MAAM,UAAU,CAAC"}
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/**
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* `@insiderfinance/totalfinance/risk` — risk & portfolio analytics (spec §12.2). Depends only on `@insiderfinance/totalfinance/core`,
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* `@insiderfinance/totalfinance/math` and `@insiderfinance/totalfinance/performance`; importing a VaR helper never drags in option pricing.
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*
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* Four pillars, each also available as a focused sub-path import:
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* • `./var` VaR / CVaR (parametric · historical · Monte-Carlo) + portfolio decomposition
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* • `./scenario` stress & scenario testing with Greeks-Taylor P&L explain
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* • `./factor` factor / PCA exposure
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* • `./optimize` min-variance · max-Sharpe · mean-variance · risk parity · HRP · Kelly
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*
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* Return/performance metrics (Sharpe, Sortino, drawdown, …) live in `@insiderfinance/totalfinance/performance`
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* (the nested namespace re-export was removed in P3.3 — one namespace level per concept).
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*/
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export { valueAtRisk, expectedShortfall, valueAtRiskReport, portfolioVariance, portfolioVolatility, riskContributions, diversificationRatio, portfolioVaR, } from './value-at-risk.js';
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export { shock, scenario, taylorPnl, stressTest, scenarioGrid } from './scenario.js';
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export { explainPnl, explainPositionPnl, explainPortfolioPnl } from './pnl-explain.js';
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export { analyzeBook } from './book.js';
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export { bookVaR } from './book-var.js';
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// The covariance on-ramp (D11): returns → covariance()/meanReturns() → optimizer.
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export { covariance, meanReturns } from './covariance.js';
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export { pca, factorExposure, covarianceToCorrelation } from './factor.js';
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// Return attribution: factor P&L (regression) + Brinson (allocation/selection/interaction).
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export { factorAttribution, brinsonAttribution, linkAttribution } from './attribution.js';
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export { concentration, liquidity, marketImpact, margin, nakedCallMargin, nakedPutMargin, optionsMargin, aggregateGreeks, betaWeightedDelta, } from './portfolio.js';
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export { minVariance, maxSharpe, meanVariance, riskParity, hrp, kelly, blackLitterman, conditionalValueAtRiskOptimize, } from './optimize.js';
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// Risk-side portfolio construction (FC7 slice 4): explicit-method expected returns and the
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// constrained efficient frontier composed over the optimizers above.
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export { estimateExpectedReturns } from './expected-returns.js';
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export { efficientFrontier } from './frontier.js';
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// Research hygiene (spec §15.5): probabilistic/deflated Sharpe, multiple-testing correction,
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// walk-forward & purged/embargoed CV, sweep diagnostics, leakage & survivorship warnings.
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export { sharpeStatistics, probabilisticSharpeRatio, deflatedSharpeRatio, adjustPValues, walkForwardSplits, purgedKFold, parameterSweepDiagnostics, checkLeakage, survivorshipWarning, probabilityOfBacktestOverfitting, } from './research.js';
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// Research-protocol pack (Tier 3, agent-native): hypothesis → deflated Sharpe → OOS → honest verdict.
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export { researchProtocol } from './research-protocol.js';
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// Kelly bet-sizing pack (Tier 2, Sizing): edge → growth-optimal fraction, sized sanely (fractional,
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// drawdown-capped, multi-period growth). Distinct from the portfolio `kelly()` in optimize.ts.
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export { kellyBet, shrunkKelly, costAwareKelly } from './kelly.js';
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// EVT tail-risk pack (Tier 2, Tail machinery): GPD peaks-over-threshold fit + extreme VaR/ES vs
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// empirical/normal, drawdown-at-risk (CDaR), and a coherent spectral risk measure.
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export { fitGeneralizedParetoTail, extremeValueTailRisk, drawdownAtRisk, spectralRisk, meanExcessPlot, } from './evt.js';
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// The nested `performance` namespace re-export was DELETED (P3.3, one namespace level):
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// import performance metrics from '@insiderfinance/totalfinance/performance' or the umbrella's `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;;;;;;;;;;;;GAYG;AAEH,OAAO,EACL,WAAW,EACX,iBAAiB,EACjB,iBAAiB,EACjB,iBAAiB,EACjB,mBAAmB,EACnB,iBAAiB,EACjB,oBAAoB,EACpB,YAAY,GACb,MAAM,oBAAoB,CAAC;AAmB5B,OAAO,EAAE,KAAK,EAAE,QAAQ,EAAE,SAAS,EAAE,UAAU,EAAE,YAAY,EAAE,MAAM,eAAe,CAAC;AAkBrF,OAAO,EAAE,UAAU,EAAE,kBAAkB,EAAE,mBAAmB,EAAE,MAAM,kBAAkB,CAAC;AAyBvF,OAAO,EAAE,WAAW,EAAE,MAAM,WAAW,CAAC;AASxC,OAAO,EAAE,OAAO,EAAE,MAAM,eAAe,CAAC;AASxC,kFAAkF;AAClF,OAAO,EAAE,UAAU,EAAE,WAAW,EAAE,MAAM,iBAAiB,CAAC;AAS1D,OAAO,EAAE,GAAG,EAAE,cAAc,EAAE,uBAAuB,EAAE,MAAM,aAAa,CAAC;AAE3E,4FAA4F;AAC5F,OAAO,EAAE,iBAAiB,EAAE,kBAAkB,EAAE,eAAe,EAAE,MAAM,kBAAkB,CAAC;AAgB1F,OAAO,EACL,aAAa,EACb,SAAS,EACT,YAAY,EACZ,MAAM,EACN,eAAe,EACf,cAAc,EACd,aAAa,EACb,eAAe,EACf,iBAAiB,GAClB,MAAM,gBAAgB,CAAC;AAqBxB,OAAO,EACL,WAAW,EACX,SAAS,EACT,YAAY,EACZ,UAAU,EACV,GAAG,EACH,KAAK,EACL,cAAc,EACd,8BAA8B,GAC/B,MAAM,eAAe,CAAC;AAevB,2FAA2F;AAC3F,qEAAqE;AACrE,OAAO,EAAE,uBAAuB,EAAE,MAAM,uBAAuB,CAAC;AAWhE,OAAO,EAAE,iBAAiB,EAAE,MAAM,eAAe,CAAC;AAWlD,6FAA6F;AAC7F,0FAA0F;AAC1F,OAAO,EACL,gBAAgB,EAChB,wBAAwB,EACxB,mBAAmB,EACnB,aAAa,EACb,iBAAiB,EACjB,WAAW,EACX,yBAAyB,EACzB,YAAY,EACZ,mBAAmB,EACnB,gCAAgC,GACjC,MAAM,eAAe,CAAC;AAmBvB,sGAAsG;AACtG,OAAO,EAAE,gBAAgB,EAAE,MAAM,wBAAwB,CAAC;AAE1D,oGAAoG;AACpG,+FAA+F;AAC/F,OAAO,EAAE,QAAQ,EAAE,WAAW,EAAE,cAAc,EAAE,MAAM,YAAY,CAAC;AAWnE,gGAAgG;AAChG,mFAAmF;AACnF,OAAO,EACL,wBAAwB,EACxB,oBAAoB,EACpB,cAAc,EACd,YAAY,EACZ,cAAc,GACf,MAAM,UAAU,CAAC;AAYlB,wFAAwF;AACxF,8GAA8G"}
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{"version":3,"file":"input-description.d.ts","sourceRoot":"","sources":["../src/input-description.ts"],"names":[],"mappings":"AAAA,4FAA4F;AAC5F,wBAAgB,kBAAkB,CAAC,KAAK,EAAE,OAAO,GAAG,MAAM,CAazD"}
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/** Describe an untrusted boundary value without invoking coercion, getters, or `toJSON`. */
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export function describeInputValue(value) {
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if (value === null)
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return 'null';
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return JSON.stringify(value);
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if (typeof value === 'number') {
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if (Number.isNaN(value))
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return 'NaN';
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if (value === Number.POSITIVE_INFINITY)
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return 'Infinity';
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if (value === Number.NEGATIVE_INFINITY)
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return '-Infinity';
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return String(value);
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}
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if (typeof value === 'boolean')
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return value ? 'true' : 'false';
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/**
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* Kelly bet-sizing pack (spec: `docs/specs/kelly-sizing.md`, roadmap Tier 2 → Sizing). One call that
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* turns a trade's edge — a binary win/loss bet, a discrete payoff distribution, a Gaussian `μ/σ²`, or a
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* raw return sample — into a sane position size: the growth-optimal fraction `f*`, then scaled down by
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* fractional-Kelly (half by default), an explicit drawdown budget, and a hard cap, with the
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* growth/drawdown tradeoff and the fat-tail correction disclosed.
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*
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* This is the single-bankroll bet-sizing question, orthogonal to the portfolio `kelly()` in
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* `optimize.ts` (which allocates `Σ⁻¹μ` weights across correlated assets). Full Kelly maximizes long-run
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* log-growth `g(f) = E[ln(1 + f·r)]`; the drawdown model is the running-minimum law of the wealth GBM.
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*/
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import { type Diagnostics } from '../../core/dist/index.js';
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/** A binary win/loss bet, amounts expressed per unit staked. */
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export interface BinaryEdge {
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/** Probability of the winning outcome, in (0, 1). */
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winProbability: number;
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/** Gain per unit staked on a win (e.g. 2 = win 2× the stake). Must be > 0. */
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winAmount: number;
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/** Loss per unit staked on a loss (e.g. 1 = lose the stake). Default 1. Must be > 0. */
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lossAmount?: number;
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}
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/** One outcome of a discrete payoff distribution, P&L per unit staked. */
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export interface EdgeOutcome {
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/** Probability of this outcome, in [0, 1]; the set must sum to 1. */
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probability: number;
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/** P&L per unit staked (positive = gain, negative = loss). */
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payoff: number;
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}
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/** Inputs for {@link kellyBet}. Supply the edge exactly one of four ways. */
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export interface KellyBetInput {
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edge: {
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binary: BinaryEdge;
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} | {
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outcomes: EdgeOutcome[];
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} | {
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gaussian: {
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mean: number;
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variance: number;
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};
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} | {
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returns: ArrayLike<number>;
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};
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/** Fraction of full Kelly to apply (0.5 = half-Kelly). Default 0.5. Must be > 0. */
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fraction?: number;
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/** Cap the applied Kelly multiple so `P(ever falling to toFraction of starting bankroll) ≤ maxProbability`. */
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drawdownLimit?: {
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toFraction: number;
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maxProbability: number;
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};
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/** Hard cap on the recommended fraction of bankroll (e.g. 1 = no leverage). Must be > 0. */
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maxFraction?: number;
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/** Optional horizonPeriods (periods) for the growth projection. Must be > 0 when given. */
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horizonPeriods?: number;
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}
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/** The sizing verdict. */
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export interface KellySizing {
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/**
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* `f*` — the growth-optimal fraction of bankroll. `null` when the edge has **no downside**, so
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* log-growth increases without bound and there is no finite unconstrained optimum (finite-success
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* law — never `Infinity`; a `risk.kelly_unbounded` diagnostic explains it).
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*/
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fullKelly: number | null;
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/**
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* The recommended fraction after the fractional/drawdown/max caps (≥ 0). `null` only for a
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* no-downside edge with **no** explicit cap — a finite recommendation then requires a `maxFraction`.
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*/
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recommendedFraction: number | null;
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/** `κ = recommendedFraction / fullKelly` — the applied Kelly multiple (0 when there's no edge);
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* `null` when `fullKelly` is null (undefined against a non-existent optimum). */
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appliedFraction: number | null;
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/** Expected per-period log-growth at the recommended fraction; `null` when there is none. */
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growthRate: number | null;
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/** Expected per-period log-growth at full Kelly (the maximum); `null` for a no-downside edge. */
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growthRateFull: number | null;
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/** `ln 2 / growthRate` — periods to double at the recommended fraction (`Infinity` when growth ≤ 0,
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* `null` when there is no finite recommendation). */
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periodsToDouble: number | null;
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/** `P(wealth ever falls to toFraction of the starting bankroll)` at the recommended fraction (continuous model). */
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drawdownRisk: {
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toFraction: number;
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probability: number;
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};
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/** Which cap set the recommended fraction (`no-downside` = unbounded edge with no cap supplied). */
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bindingConstraint: 'fraction' | 'drawdown-limit' | 'max-fraction' | 'no-edge' | 'no-downside';
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/** Returns path only: the Gaussian `μ/σ²` estimate, for comparison with the exact empirical `f*`. */
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gaussianKelly?: number;
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/** Present when `horizonPeriods` is given: the median wealth projection over the horizonPeriods. */
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horizonGrowth?: {
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horizonPeriods: number;
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logGrowth: number;
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growthMultiple: number;
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};
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/** Prose an agent relays. */
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rationale: string;
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assumptions: {
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conventionsVersion: string;
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fraction: number;
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drawdownModel: 'continuous-gbm';
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edgeType: 'binary' | 'outcomes' | 'gaussian' | 'returns';
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};
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diagnostics: Diagnostics;
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}
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/**
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* Size a single bet by the Kelly criterion — compute the growth-optimal fraction from the edge, then
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* scale it down sanely (half-Kelly by default, a drawdown budget, a hard cap) with the growth, the
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* drawdown risk, and the fat-tail correction all disclosed. See `docs/specs/kelly-sizing.md`.
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*/
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export declare function kellyBet(input: KellyBetInput): KellySizing;
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/** Input for {@link shrunkKelly}. */
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export interface ShrunkKellyInput {
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/** Estimated per-period expected (excess) returns μ̂, one per asset. */
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mean: number[];
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/** Estimated covariance Σ̂ (n×n, symmetric positive-definite). */
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covariance: number[][];
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/** Number of observations T the estimates came from. Must be > 0. */
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sampleSize: number;
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/** Extra fractional-Kelly multiplier applied on top of the estimation shrinkage (e.g. 0.5). Default 1. */
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fraction?: number;
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}
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/** The estimation-error-shrunk Kelly book. */
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export interface ShrunkKelly {
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/** Estimation-error shrinkage factor `c* ∈ [0, 1]`. */
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shrinkage: number;
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/** The applied scaling `fraction · c*`. */
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appliedScaling: number;
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/** Shrunk Kelly weights `fraction · c* · Σ̂⁻¹μ̂`. */
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weights: number[];
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/** Naive plug-in Kelly weights `Σ̂⁻¹μ̂` (before any shrinkage). */
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naiveWeights: number[];
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/** In-sample squared Sharpe `θ̂² = μ̂ᵀΣ̂⁻¹μ̂` (biased high). */
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inSampleSharpeSquared: number;
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/** Bias-corrected out-of-sample squared Sharpe `θ̂² − n/T` (may be ≤ 0). */
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correctedSharpeSquared: number;
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/** Expected out-of-sample log-growth at the applied scaling. */
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expectedGrowth: number;
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/** Expected out-of-sample log-growth of the naive (unshrunk) book — often negative. */
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naiveExpectedGrowth: number;
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assumptions: {
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conventionsVersion: string;
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assets: number;
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sampleSize: number;
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fraction: number;
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};
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diagnostics: Diagnostics;
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}
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/**
|
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* Estimation-error-shrunk portfolio Kelly. The plug-in weights `Σ̂⁻¹μ̂` overbet because `μ̂`/`Σ̂` are
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* estimated from a finite sample; this scales them by the growth-optimal factor
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* `c* = max(0, 1 − (n/T)/θ̂²)` (`θ̂² = μ̂ᵀΣ̂⁻¹μ̂`), returns a zero book when the estimated edge is
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* indistinguishable from sampling noise (`n/T ≥ θ̂²`), and discloses the biased-vs-corrected Sharpe and
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* the naive book's (often negative) expected out-of-sample growth. See `docs/specs/shrunk-kelly.md`.
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*/
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export declare function shrunkKelly(input: ShrunkKellyInput): ShrunkKelly;
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/** Input for {@link costAwareKelly}. */
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export interface CostAwareKellyInput {
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/** The per-period edge: a Gaussian mean/variance, or a return sample (μ, σ² computed from it). */
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edge: {
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gaussian: {
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mean: number;
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variance: number;
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};
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} | {
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returns: ArrayLike<number>;
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};
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/** Per-period holding cost per unit of position (financing / borrow / carry). Default 0. */
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holdingCost?: number;
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/** One-time round-trip cost per unit of position (entry + exit). Default 0. Requires `horizonPeriods`. */
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|
+
roundTripCost?: number;
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/** Expected holding periods, to amortize `roundTripCost`. Required when `roundTripCost > 0`. */
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horizonPeriods?: number;
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/** Fractional-Kelly multiplier applied to `netKelly`. Default 0.5. Must be > 0. */
|
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fraction?: number;
|
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173
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+
}
|
|
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|
+
/** The cost-aware sizing verdict. */
|
|
175
|
+
export interface CostAwareKelly {
|
|
176
|
+
/** Per-period cost drag `c = holdingCost + roundTripCost/horizonPeriods`. */
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|
+
costPerPeriod: number;
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178
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+
/** `μ/σ²` — the growth-optimal fraction ignoring costs; `null` when the edge has zero variance (C hygiene). */
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179
|
+
grossKelly: number | null;
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180
|
+
/** `max(0, (μ−c)/σ²)` — the cost-aware growth-optimal fraction; `null` with `grossKelly`. */
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|
+
netKelly: number | null;
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+
/** `fraction · netKelly` — the recommended size after fractional-Kelly; `null` with `grossKelly`. */
|
|
183
|
+
recommendedFraction: number | null;
|
|
184
|
+
/** `μ` — the cost at which the edge vanishes. */
|
|
185
|
+
breakevenCost: number;
|
|
186
|
+
/** Whether the net edge is positive (`c < μ`). */
|
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187
|
+
isProfitable: boolean;
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188
|
+
/** `μ²/(2σ²)` — expected log-growth at gross Kelly with no costs; `null` with `grossKelly`. */
|
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|
+
grossGrowth: number | null;
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190
|
+
/** `(μ−c)²/(2σ²)` — expected log-growth at net Kelly (the achievable optimum with costs); `null` with `grossKelly`. */
|
|
191
|
+
netGrowth: number | null;
|
|
192
|
+
/** `grossGrowth − netGrowth` — the log-growth the costs cost you; `null` with `grossKelly`. */
|
|
193
|
+
growthDrag: number | null;
|
|
194
|
+
/** Log-growth of naively betting gross Kelly while paying costs (`≤ netGrowth`); `null` with `grossKelly`. */
|
|
195
|
+
ignoringCostsGrowth: number | null;
|
|
196
|
+
/** The edge mean `μ` used. */
|
|
197
|
+
mean: number;
|
|
198
|
+
/** The edge variance `σ²` used. */
|
|
199
|
+
variance: number;
|
|
200
|
+
/** Prose an agent relays. */
|
|
201
|
+
rationale: string;
|
|
202
|
+
assumptions: {
|
|
203
|
+
conventionsVersion: string;
|
|
204
|
+
fraction: number;
|
|
205
|
+
edgeType: 'gaussian' | 'returns';
|
|
206
|
+
};
|
|
207
|
+
diagnostics: Diagnostics;
|
|
208
|
+
}
|
|
209
|
+
/**
|
|
210
|
+
* Cost-aware Kelly for a continuous edge. Costs — a per-period holding cost plus an amortized round-trip
|
|
211
|
+
* cost, `c = holdingCost + roundTripCost/horizonPeriods` — reduce the drift (`μ → μ − c`, variance unchanged),
|
|
212
|
+
* so the growth-optimal size shrinks to `netKelly = max(0, (μ−c)/σ²)` and below the breakeven cost `μ`
|
|
213
|
+
* the edge is not worth betting. Reports gross vs net Kelly, the growth drag, the penalty for naively
|
|
214
|
+
* betting gross while paying costs, and refuses a losing bet. See `docs/specs/cost-aware-kelly.md`.
|
|
215
|
+
*/
|
|
216
|
+
export declare function costAwareKelly(input: CostAwareKellyInput): CostAwareKelly;
|
|
217
|
+
//# sourceMappingURL=kelly.d.ts.map
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+
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