@insiderfinance/totalfinance 0.1.0

package/modules/backtest/dist/cross-sectional/grid.js

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+/**
+ * `crossSectionalBacktestGrid` (Stage 4.6, FC8 Decision 4 — "the grid"): the cartesian product of
+ * declarative variations over one `crossSectionalBacktest` request, run as independent single runs
+ * of the same function with unchanged semantics, with the research-hygiene verdicts composed
+ * verbatim from `@insiderfinance/totalfinance/risk` — `researchProtocol` over the trial Sharpes,
+ * `probabilityOfBacktestOverfitting` over the per-variation return matrix, `deflatedSharpeRatio` for
+ * the best trial. The grid records the parent sweep hash and each child's run hash so one artifact
+ * can hold the whole protocol without a second copy of any math.
+ */
+import { CONVENTIONS_VERSION, ErrorCode, InputError, WarningCode, ensureKnownKeys, requireArgumentObject, warning, } from '../../../core/dist/index.js';
+import { contentHash } from '../../../core/dist/artifacts/index.js';
+import { deflatedSharpeRatio, probabilityOfBacktestOverfitting, researchProtocol, sharpeStatistics, } from '../../../risk/dist/index.js';
+import { crossSectionalBacktest } from './engine.js';
+import { requireCrossSectionalBacktestRequest } from './validate.js';
+/** Decision 9: variations one synchronous sweep runs unless the caller raises the ceiling. */
+export const CROSS_SECTIONAL_GRID_DEFAULT_MAXIMUM = 256;
+/** Decision 9: the hard ceiling on variations one synchronous sweep may run. */
+export const CROSS_SECTIONAL_GRID_CEILING = 4_096;
+const GRID_REQUEST_KEYS = [
+    'request',
+    'variations',
+    'maximumVariations',
+    'selectionMetric',
+    'hygiene',
+];
+const VARIATION_KEYS = ['path', 'values'];
+const HYGIENE_KEYS = ['splits', 'confidence'];
+const SELECTION_METRICS = [
+    'sharpe',
+    'sortino',
+    'calmar',
+    'annualizedReturn',
+    'totalReturn',
+];
+const VARIABLE_ROOTS = [
+    'signal',
+    'rebalanceSchedule',
+    'portfolioConstruction',
+    'execution',
+    'transactionCostModel',
+    'initialCapital',
+    'riskFreeRate',
+];
+const SEGMENT = /^[A-Za-z_][A-Za-z0-9_]*$/;
+const FORBIDDEN_SEGMENTS = new Set(['__proto__', 'constructor', 'prototype']);
+const EXAMPLE = "crossSectionalBacktestGrid({ request, variations: [{ path: 'portfolioConstruction.long.count', values: [20, 50, 100] }] })";
+function refuse(functionName, field, message, code = ErrorCode.InputOutOfRange, extra = {}) {
+    throw new InputError(`${functionName}: ${field} ${message} Example: ${EXAMPLE}`, {
+        code,
+        context: { function: functionName, field, ...extra },
+    });
+}
+const hasOwn = (record, key) => Object.prototype.hasOwnProperty.call(record, key);
+function presentNotNull(functionName, record, key, field) {
+    if (!hasOwn(record, key))
+        return false;
+    if (record[key] === null) {
+        refuse(functionName, field, 'is null — omit the field to leave it unset.', ErrorCode.InputWrongType);
+    }
+    return record[key] !== undefined;
+}
+/** The closed guard for the grid request; the base request is validated by the engine's own guard. */
+export function requireCrossSectionalBacktestGridRequest(functionName, label, value) {
+    requireArgumentObject(functionName, label, value);
+    const request = value;
+    ensureKnownKeys(functionName, label, request, GRID_REQUEST_KEYS);
+    requireCrossSectionalBacktestRequest(functionName, `${label}.request`, request['request']);
+    if (!Array.isArray(request['variations']) || request['variations'].length === 0) {
+        refuse(functionName, `${label}.variations`, `must be a non-empty array of { path, values }. Received ${request['variations'] === null ? 'null' : typeof request['variations']}.`, ErrorCode.InputWrongType);
+    }
+    const seen = new Set();
+    request['variations'].forEach((variation, index) => {
+        const field = `${label}.variations[${index}]`;
+        requireArgumentObject(functionName, field, variation);
+        ensureKnownKeys(functionName, field, variation, VARIATION_KEYS);
+        const { path, values } = variation;
+        if (typeof path !== 'string' || path.length === 0) {
+            refuse(functionName, `${field}.path`, 'must be a dotted path string.', ErrorCode.InputWrongType);
+        }
+        const segments = path.split('.');
+        for (const segment of segments) {
+            if (!SEGMENT.test(segment) || FORBIDDEN_SEGMENTS.has(segment)) {
+                refuse(functionName, `${field}.path`, `has an invalid segment '${segment}' — segments are identifiers separated by dots.`, ErrorCode.InputWrongType, { path });
+            }
+        }
+        if (!VARIABLE_ROOTS.includes(segments[0])) {
+            refuse(functionName, `${field}.path`, `starts at '${segments[0]}', which a grid may not vary — vary ${VARIABLE_ROOTS.map((r) => `'${r}'`).join(', ')}; the dataset, the universe, the window, the annualization, and the seed are the same for every variation.`, ErrorCode.InputInvalidEnum, { path });
+        }
+        if (seen.has(path)) {
+            refuse(functionName, `${field}.path`, `repeats '${path}'; each path is one axis.`, ErrorCode.InputOutOfRange, { path });
+        }
+        seen.add(path);
+        if (!Array.isArray(values) || values.length === 0) {
+            refuse(functionName, `${field}.values`, `must be a non-empty array of declarative values. Received ${values === null ? 'null' : typeof values}.`, ErrorCode.InputWrongType);
+        }
+        values.forEach((candidate, valueIndex) => {
+            if (candidate === undefined || typeof candidate === 'function') {
+                refuse(functionName, `${field}.values[${valueIndex}]`, `must be a declarative value (a grid is replayable); received ${candidate === undefined ? 'undefined' : 'a function'}.`, ErrorCode.InputWrongType, { path });
+            }
+        });
+    });
+    if (presentNotNull(functionName, request, 'maximumVariations', `${label}.maximumVariations`)) {
+        const maximum = request['maximumVariations'];
+        if (!Number.isSafeInteger(maximum) ||
+            maximum < 1 ||
+            maximum > CROSS_SECTIONAL_GRID_CEILING) {
+            refuse(functionName, `${label}.maximumVariations`, `must be an integer in [1, ${CROSS_SECTIONAL_GRID_CEILING}]. Received ${String(maximum)}.`);
+        }
+    }
+    if (presentNotNull(functionName, request, 'selectionMetric', `${label}.selectionMetric`)) {
+        if (!SELECTION_METRICS.includes(request['selectionMetric'])) {
+            refuse(functionName, `${label}.selectionMetric`, `must be one of ${SELECTION_METRICS.map((m) => `'${m}'`).join(' | ')}. Received ${JSON.stringify(request['selectionMetric'])}.`, ErrorCode.InputInvalidEnum);
+        }
+    }
+    if (presentNotNull(functionName, request, 'hygiene', `${label}.hygiene`)) {
+        requireArgumentObject(functionName, `${label}.hygiene`, request['hygiene']);
+        const hygiene = request['hygiene'];
+        ensureKnownKeys(functionName, `${label}.hygiene`, hygiene, HYGIENE_KEYS);
+        if (presentNotNull(functionName, hygiene, 'splits', `${label}.hygiene['splits']`)) {
+            const splits = hygiene['splits'];
+            if (!Number.isSafeInteger(splits) ||
+                splits < 4 ||
+                splits > 16 ||
+                splits % 2 !== 0) {
+                refuse(functionName, `${label}.hygiene['splits']`, `must be an even integer in [4, 16]. Received ${String(splits)}.`);
+            }
+        }
+        if (presentNotNull(functionName, hygiene, 'confidence', `${label}.hygiene['confidence']`)) {
+            const confidence = hygiene['confidence'];
+            if (typeof confidence !== 'number' || !(confidence > 0 && confidence < 1)) {
+                refuse(functionName, `${label}.hygiene['confidence']`, `must be a number in (0, 1). Received ${String(confidence)}.`);
+            }
+        }
+    }
+    return value;
+}
+/** Copy-on-write along one path: every other reference is shared, which is safe because no engine mutates its inputs (Decision 12). */
+/** Set a dotted path on a plain object copy (shared with the out-of-sample verbs). */
+export function withPath(target, segments, value) {
+    if (segments.length === 0)
+        return value;
+    const [head, ...rest] = segments;
+    const base = target !== null && typeof target === 'object' && !Array.isArray(target)
+        ? target
+        : {};
+    return { ...base, [head]: withPath(base[head], rest, value) };
+}
+function describeParameters(parameters) {
+    return Object.entries(parameters)
+        .map(([path, value]) => `${path}=${JSON.stringify(value)}`)
+        .join(', ');
+}
+/** The grid's summary row for one run (shared with the out-of-sample verbs). */
+export function summarizeCrossSectionalRun(run) {
+    const performance = run.performance;
+    const rebalances = run.rebalances;
+    let turnover = 0;
+    let costs = 0;
+    for (const row of rebalances) {
+        turnover += row.turnover;
+        costs += row.costs;
+    }
+    return {
+        periods: performance.periods,
+        totalReturn: performance.totalReturn,
+        annualizedReturn: performance.annualizedReturn,
+        annualizedVolatility: performance.annualizedVolatility,
+        sharpe: performance.sharpe,
+        sortino: performance.sortino,
+        calmar: performance.calmar,
+        maxDrawdown: performance.maxDrawdown,
+        hitRate: performance.hitRate,
+        finalValue: run.finalValue,
+        rebalanceCount: run.diagnostics.rebalanceCount,
+        tradeCount: run.trades.length,
+        fillCount: run.diagnostics.fillCount,
+        meanTurnover: rebalances.length > 0 ? turnover / rebalances.length : null,
+        totalCosts: costs,
+        cappedGoalCount: run.diagnostics.cappedGoalCount,
+        violatedGoalCount: run.diagnostics.violatedGoalCount,
+        warningCount: run.diagnostics.warnings.length,
+    };
+}
+function degenerate(field, message, context) {
+    return warning(WarningCode.DegenerateInput, message, 'warn', { field, ...context });
+}
+/**
+ * Run the cartesian product of `variations` over `request` — each point one `crossSectionalBacktest`
+ * call — and compose the research-hygiene verdicts. Every child run is returned whole and
+ * index-aligned with `variations`; `sweepId` is the parent hash over the axes and the child hashes.
+ */
+export function crossSectionalBacktestGrid(gridRequest) {
+    const functionName = 'crossSectionalBacktestGrid';
+    const { request, variations, maximumVariations = CROSS_SECTIONAL_GRID_DEFAULT_MAXIMUM, selectionMetric = 'sharpe', hygiene = {}, } = requireCrossSectionalBacktestGridRequest(functionName, 'request', gridRequest);
+    const confidence = hygiene.confidence ?? 0.95;
+    const periodsPerYear = request.periodsPerYear ?? 252;
+    const riskFreeRate = request.riskFreeRate ?? 0;
+    // ---- the product ---------------------------------------------------------------------------------
+    let variationCount = 1;
+    for (const axis of variations)
+        variationCount *= axis.values.length;
+    if (variationCount > maximumVariations) {
+        refuse(functionName, 'request.variations', `would run ${variationCount} variations, above maximumVariations=${maximumVariations} — trim an axis or raise maximumVariations (at most ${CROSS_SECTIONAL_GRID_CEILING}).`, ErrorCode.BacktestGridTooLarge, { variationCount, maximumVariations });
+    }
+    const axes = variations.map((axis) => ({
+        path: axis.path,
+        segments: axis.path.split('.'),
+        values: axis.values,
+    }));
+    const warnings = [];
+    const rows = [];
+    const runs = [];
+    const trialSharpes = [];
+    let degenerateTrialCount = 0;
+    for (let index = 0; index < variationCount; index += 1) {
+        // the last axis varies fastest
+        let remainder = index;
+        const parameters = {};
+        let applied = request;
+        for (let a = axes.length - 1; a >= 0; a -= 1) {
+            const axis = axes[a];
+            const valueIndex = remainder % axis.values.length;
+            remainder = Math.floor(remainder / axis.values.length);
+            parameters[axis.path] = axis.values[valueIndex];
+        }
+        for (const axis of axes)
+            applied = withPath(applied, axis.segments, parameters[axis.path]);
+        let run;
+        try {
+            run = crossSectionalBacktest(applied);
+        }
+        catch (error) {
+            const original = error;
+            throw new InputError(`${functionName}: variation #${index} (${describeParameters(parameters)}) refused — ${original.message ?? String(error)}`, {
+                code: original.code ?? ErrorCode.InputOutOfRange,
+                context: { function: functionName, variation: index, parameters },
+            });
+        }
+        let trialSharpe = 0;
+        let trialSharpeDegenerate = false;
+        // A variation with no Sharpe — too few returns (a typed refusal) or zero variance (C hygiene:
+        // `sharpe: null` beside its diagnostic) — records a 0 trial Sharpe and is flagged degenerate.
+        let noSharpe = null;
+        try {
+            const statistics = sharpeStatistics(run.returns, { riskFreeRate });
+            if (statistics.sharpe === null)
+                noSharpe = statistics.diagnostics.warnings[0]?.message ?? 'its returns have zero variance';
+            else
+                trialSharpe = statistics.sharpe;
+        }
+        catch (error) {
+            noSharpe = error.message;
+        }
+        if (noSharpe !== null) {
+            trialSharpeDegenerate = true;
+            degenerateTrialCount += 1;
+            warnings.push(degenerate(`variations[${index}]`, `variation #${index} (${describeParameters(parameters)}) has no Sharpe — ${noSharpe}; its trial Sharpe is recorded as 0.`, { variation: index, parameters }));
+        }
+        trialSharpes.push(trialSharpe);
+        runs.push(run);
+        rows.push({
+            index,
+            parameters,
+            runId: run.runId,
+            metrics: summarizeCrossSectionalRun(run),
+            trialSharpe,
+            trialSharpeDegenerate,
+        });
+    }
+    // ---- the best trial ------------------------------------------------------------------------------
+    let best = null;
+    for (const row of rows) {
+        const value = row.metrics[selectionMetric];
+        if (value === null || !Number.isFinite(value))
+            continue;
+        if (best === null || value > best.value)
+            best = { index: row.index, runId: row.runId, metric: selectionMetric, value };
+    }
+    // ---- hygiene, verbatim from @insiderfinance/totalfinance/risk --------------------------------------------------------
+    const skippedHygiene = [];
+    let protocol = null;
+    let deflated = null;
+    let overfitting = null;
+    let splitsUsed = null;
+    const bestRow = best === null ? null : rows[best.index];
+    if (bestRow === null) {
+        skippedHygiene.push({
+            block: 'researchProtocol',
+            reason: `no variation carries '${selectionMetric}'.`,
+        });
+        skippedHygiene.push({
+            block: 'deflatedSharpe',
+            reason: `no variation carries '${selectionMetric}'.`,
+        });
+    }
+    else if (bestRow.trialSharpeDegenerate) {
+        const reason = `the best trial (#${bestRow.index}) has a degenerate return series.`;
+        skippedHygiene.push({ block: 'researchProtocol', reason });
+        skippedHygiene.push({ block: 'deflatedSharpe', reason });
+    }
+    else if (variationCount < 2) {
+        // one trial is a pre-registered hypothesis: the protocol's PSR is the verdict, nothing deflates
+        protocol = researchProtocol({
+            returns: runs[bestRow.index].returns,
+            confidence,
+            periodsPerYear,
+            riskFreeRate,
+        });
+        skippedHygiene.push({
+            block: 'deflatedSharpe',
+            reason: 'fewer than two variations — there was no selection to deflate.',
+        });
+    }
+    else {
+        const bestReturns = runs[bestRow.index].returns;
+        protocol = researchProtocol({
+            returns: bestReturns,
+            trials: { trialSharpes },
+            confidence,
+            periodsPerYear,
+            riskFreeRate,
+        });
+        deflated = deflatedSharpeRatio(sharpeStatistics(bestReturns, { riskFreeRate }), {
+            trialSharpes,
+        });
+    }
+    const periods = runs[0].returns.length;
+    const aligned = runs.every((run) => run.returns.length === periods);
+    if (variationCount < 2) {
+        skippedHygiene.push({
+            block: 'backtestOverfitting',
+            reason: 'fewer than two variations — there was no selection to test.',
+        });
+    }
+    else if (!aligned) {
+        skippedHygiene.push({
+            block: 'backtestOverfitting',
+            reason: 'the variations produced return series of different lengths.',
+        });
+    }
+    else {
+        const requested = hygiene.splits;
+        const chosen = requested ?? (periods >= 16 ? 16 : periods - (periods % 2));
+        if (chosen < 4 || periods < chosen) {
+            skippedHygiene.push({
+                block: 'backtestOverfitting',
+                reason: `${periods} periods are fewer than the ${chosen} CSCV blocks${requested === undefined ? '' : ' requested'}.`,
+            });
+        }
+        else {
+            const matrix = [];
+            for (let t = 0; t < periods; t += 1)
+                matrix.push(runs.map((run) => run.returns[t]));
+            overfitting = probabilityOfBacktestOverfitting(matrix, { splits: chosen });
+            splitsUsed = chosen;
+        }
+    }
+    for (const skipped of skippedHygiene) {
+        warnings.push(degenerate(`hygiene.${skipped.block}`, `${skipped.block} was not computed: ${skipped.reason}`, { block: skipped.block }));
+    }
+    const sweepId = contentHash({
+        axes: axes.map((axis) => ({ path: axis.path, values: axis.values })),
+        runIds: rows.map((row) => row.runId),
+    });
+    return {
+        sweepId,
+        variations: rows,
+        runs,
+        best,
+        hygiene: {
+            trialSharpes,
+            researchProtocol: protocol,
+            backtestOverfitting: overfitting,
+            deflatedSharpe: deflated,
+        },
+        assumptions: {
+            conventionsVersion: CONVENTIONS_VERSION,
+            variationCount,
+            maximumVariations,
+            selectionMetric,
+            periodsPerYear,
+            riskFreeRate,
+            paths: axes.map((axis) => axis.path),
+            hygiene: { splits: splitsUsed, confidence, degenerateTrialSharpe: 0 },
+        },
+        diagnostics: {
+            warnings,
+            variationCount,
+            degenerateTrialCount,
+            skippedHygiene,
+        },
+    };
+}
+//# sourceMappingURL=grid.js.map

package/modules/backtest/dist/cross-sectional/grid.js.map

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package/modules/backtest/dist/cross-sectional/index.d.ts

@@ -0,0 +1,18 @@
+/**
+ * `@insiderfinance/totalfinance/backtest/cross-sectional` — point-in-time cross-sectional strategies (Stage 4.6, FC8
+ * Decision 4). One verb, {@link crossSectionalBacktest}, over a returns dataset, a universe
+ * history, one signal, a rebalance schedule, and a portfolio construction; every decision is a
+ * `@insiderfinance/totalfinance/research` call, every quantity `@insiderfinance/totalfinance/portfolio`'s allocator, every fill a
+ * `NormalizedFill` folded by the FC7 reducer, every performance number `@insiderfinance/totalfinance/performance`.
+ * `crossSectionalBacktestGrid` runs the cartesian product of declarative variations as independent
+ * calls of the same function and composes the research-hygiene verdicts; the run artifacts live in
+ * `@insiderfinance/totalfinance/backtest/artifacts`.
+ */
+export { crossSectionalBacktest } from './engine.js';
+export { CROSS_SECTIONAL_GRID_CEILING, CROSS_SECTIONAL_GRID_DEFAULT_MAXIMUM, crossSectionalBacktestGrid, requireCrossSectionalBacktestGridRequest, } from './grid.js';
+export type { CrossSectionalBacktestGridRequest, CrossSectionalBacktestGridResult, GridAssumptions, GridDiagnostics, GridHygiene, GridSelectionMetric, GridSummaryMetrics, GridVariation, GridVariationRow, } from './grid.js';
+export { CROSS_SECTIONAL_WINDOW_CEILING, crossSectionalPurgedFolds, crossSectionalWalkForward, requireCrossSectionalPurgedFoldsRequest, requireCrossSectionalWalkForwardRequest, } from './folds.js';
+export type { CrossSectionalOutOfSampleResult, CrossSectionalPurgedFoldsRequest, CrossSectionalWalkForwardRequest, OutOfSampleAssumptions, OutOfSampleDiagnostics, OutOfSampleHygiene, OutOfSampleWindowRow, SessionSpan, } from './folds.js';
+export { CROSS_SECTIONAL_POSITION_CEILING, CROSS_SECTIONAL_ROW_CEILING, requireCrossSectionalBacktestRequest, } from './validate.js';
+export type { AttributionRow, BenchmarkComparison, CrossSectionalAssumptions, CrossSectionalAttribution, CrossSectionalBacktestRequest, CrossSectionalBacktestResult, CrossSectionalDataset, CrossSectionalDiagnostics, CrossSectionalSignal, HoldingReason, HoldingRow, Neutrality, PortfolioConstruction, RebalanceFrequency, RebalanceGoal, RebalanceRow, RebalanceSchedule, ShortSideSelection, SideSelection, SignalContext, SignalRow, WeightContext, WeightingMethod, } from './types.js';
+//# sourceMappingURL=index.d.ts.map

package/modules/backtest/dist/cross-sectional/index.d.ts.map

@@ -0,0 +1 @@
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package/modules/backtest/dist/cross-sectional/index.js

@@ -0,0 +1,15 @@
+/**
+ * `@insiderfinance/totalfinance/backtest/cross-sectional` — point-in-time cross-sectional strategies (Stage 4.6, FC8
+ * Decision 4). One verb, {@link crossSectionalBacktest}, over a returns dataset, a universe
+ * history, one signal, a rebalance schedule, and a portfolio construction; every decision is a
+ * `@insiderfinance/totalfinance/research` call, every quantity `@insiderfinance/totalfinance/portfolio`'s allocator, every fill a
+ * `NormalizedFill` folded by the FC7 reducer, every performance number `@insiderfinance/totalfinance/performance`.
+ * `crossSectionalBacktestGrid` runs the cartesian product of declarative variations as independent
+ * calls of the same function and composes the research-hygiene verdicts; the run artifacts live in
+ * `@insiderfinance/totalfinance/backtest/artifacts`.
+ */
+export { crossSectionalBacktest } from './engine.js';
+export { CROSS_SECTIONAL_GRID_CEILING, CROSS_SECTIONAL_GRID_DEFAULT_MAXIMUM, crossSectionalBacktestGrid, requireCrossSectionalBacktestGridRequest, } from './grid.js';
+export { CROSS_SECTIONAL_WINDOW_CEILING, crossSectionalPurgedFolds, crossSectionalWalkForward, requireCrossSectionalPurgedFoldsRequest, requireCrossSectionalWalkForwardRequest, } from './folds.js';
+export { CROSS_SECTIONAL_POSITION_CEILING, CROSS_SECTIONAL_ROW_CEILING, requireCrossSectionalBacktestRequest, } from './validate.js';
+//# sourceMappingURL=index.js.map

package/modules/backtest/dist/cross-sectional/index.js.map

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