@livefolio/sdk 0.2.13 → 0.3.0

package/dist/strategy/types.d.ts

@@ -1,200 +0,0 @@
-import type { Observation, TradingDay } from '../market/types';
-export type Comparison = '>' | '<' | '=';
-export type IndicatorType = 'SMA' | 'EMA' | 'Price' | 'Return' | 'Volatility' | 'Drawdown' | 'RSI' | 'VIX' | 'VIX3M' | 'T3M' | 'T6M' | 'T1Y' | 'T2Y' | 'T3Y' | 'T5Y' | 'T7Y' | 'T10Y' | 'T20Y' | 'T30Y' | 'Month' | 'Day of Week' | 'Day of Month' | 'Day of Year' | 'Threshold';
-export type Frequency = 'Daily' | 'Weekly' | 'Monthly' | 'Bi-monthly' | 'Quarterly' | 'Every 4 Months' | 'Semiannually' | 'Yearly';
-export type Unit = '%' | '$' | null;
-export interface Ticker {
-    symbol: string;
-    leverage: number;
-}
-export interface Indicator {
-    type: IndicatorType;
-    ticker: Ticker;
-    lookback: number;
-    delay: number;
-    unit: Unit;
-    threshold: number | null;
-}
-export interface Signal {
-    left: Indicator;
-    comparison: Comparison;
-    right: Indicator;
-    tolerance: number;
-}
-export interface Holding {
-    ticker: Ticker;
-    weight: number;
-}
-export interface Allocation {
-    condition: Condition;
-    holdings: Holding[];
-    rebalance?: BacktestRebalanceConfig;
-}
-export interface SignalExpr {
-    kind: 'signal';
-    signal: Signal;
-}
-export interface NotExpr {
-    kind: 'not';
-    signal: Signal;
-}
-export type UnaryExpr = SignalExpr | NotExpr;
-export interface AndExpr {
-    kind: 'and';
-    args: UnaryExpr[];
-}
-export interface OrExpr {
-    kind: 'or';
-    args: AndExpr[];
-}
-export type Condition = OrExpr | AndExpr | UnaryExpr;
-export interface Trading {
-    frequency: Frequency;
-    offset: number;
-}
-export interface Strategy {
-    linkId: string;
-    name: string;
-    trading: Trading;
-    allocations: Record<string, Allocation>;
-    signals: Record<string, Signal>;
-    narrative?: unknown;
-    definition?: unknown;
-    backtest?: unknown;
-    backtestRefreshedAt?: string | null;
-}
-export interface SignalNameExpr {
-    kind: 'signal';
-    signalName: string;
-}
-export interface NotSignalNameExpr {
-    kind: 'not';
-    signalName: string;
-}
-export type SignalNameUnaryExpr = SignalNameExpr | NotSignalNameExpr;
-export interface SignalNameAndExpr {
-    kind: 'and';
-    args: SignalNameUnaryExpr[];
-}
-export interface SignalNameOrExpr {
-    kind: 'or';
-    args: SignalNameAndExpr[];
-}
-export type SignalNameCondition = SignalNameOrExpr | SignalNameAndExpr | SignalNameUnaryExpr;
-export interface StrategyAllocationDraft {
-    name: string;
-    condition: SignalNameCondition;
-    holdings: Holding[];
-    rebalance?: BacktestRebalanceConfig;
-}
-export interface StrategyDraft {
-    linkId: string;
-    name: string;
-    trading: Trading;
-    signals: {
-        name: string;
-        signal: Signal;
-    }[];
-    allocations: StrategyAllocationDraft[];
-}
-export interface EvaluationOptions {
-    at: Date;
-    batchSeries: Record<string, Observation[]>;
-    tradingDays?: ReadonlySet<string>;
-    previousSignalStates?: Record<string, boolean>;
-    previousIndicatorMetadata?: Record<string, unknown>;
-}
-export interface IndicatorEvaluation {
-    timestamp: string;
-    value: number;
-    metadata?: unknown;
-}
-export interface AllocationEvaluation {
-    name: string;
-    holdings: Holding[];
-}
-export interface StrategyEvaluation {
-    asOf: Date;
-    allocation: AllocationEvaluation;
-    signals: Record<string, boolean>;
-    indicators: Record<string, IndicatorEvaluation>;
-}
-export interface StreamObservation {
-    symbol: string;
-    timestamp: string;
-    value: number;
-}
-export interface BacktestOptions {
-    startDate: string;
-    endDate: string;
-    initialCapital?: number;
-    batchSeries?: Record<string, Observation[]>;
-    tradingDays?: TradingDay[];
-    allocationRebalance?: Record<string, BacktestRebalanceConfig>;
-    debug?: boolean | BacktestDebugOptions;
-}
-export interface BacktestDebugOptions {
-    logEveryDays?: number;
-}
-export type BacktestRebalanceConfig = {
-    mode: 'on_change';
-} | {
-    mode: 'drift';
-    driftPct: number;
-} | {
-    mode: 'calendar';
-    frequency: 'Daily' | 'Monthly' | 'Yearly';
-};
-export interface BacktestTrade {
-    date: string;
-    ticker: string;
-    leverage: number;
-    shares: number;
-    price: number;
-    value: number;
-    action: 'buy' | 'sell';
-    allocation: string;
-}
-export interface BacktestTimeseries {
-    dates: string[];
-    portfolio: number[];
-    cash: number[];
-    drawdownPct: number[];
-    allocation: string[];
-}
-export interface BacktestSummary {
-    initialValue: number;
-    finalValue: number;
-    totalReturnPct: number;
-    cagrPct: number;
-    maxDrawdownPct: number;
-    annualizedVolatilityPct: number;
-    sharpeRatio: number;
-    tradeCount: number;
-}
-export interface BacktestAnnualTax {
-    year: number;
-    shortTermRealizedGains: number;
-    longTermRealizedGains: number;
-}
-export interface BacktestResult {
-    timeseries: BacktestTimeseries;
-    summary: BacktestSummary;
-    trades: BacktestTrade[];
-    annualTax: BacktestAnnualTax[];
-}
-export interface StrategyModule {
-    get(linkId: string): Promise<Strategy | null>;
-    getMany(linkIds: string[]): Promise<Record<string, Strategy>>;
-    evaluate(strategy: Strategy, at: Date): Promise<StrategyEvaluation>;
-    evaluateIndicator(indicator: Indicator, options: EvaluationOptions): IndicatorEvaluation;
-    evaluateSignal(signal: Signal, options: EvaluationOptions): boolean;
-    evaluateAllocation(allocation: Allocation, options: EvaluationOptions): boolean;
-    getEvaluationDate(trading: Trading, options: EvaluationOptions): Date;
-    extractSymbols(strategy: Strategy): string[];
-    compileRules(strategyDraft: StrategyDraft): Strategy;
-    backtestRules(strategyDraft: StrategyDraft, options: BacktestOptions): Promise<BacktestResult>;
-    stream(strategy: Strategy, observation: StreamObservation | StreamObservation[]): Promise<StrategyEvaluation>;
-    backtest(strategy: Strategy, options: BacktestOptions): Promise<BacktestResult>;
-}
-//# sourceMappingURL=types.d.ts.map

package/dist/strategy/types.d.ts.map

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package/dist/strategy/types.js

@@ -1,3 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-//# sourceMappingURL=types.js.map

package/dist/strategy/types.js.map

@@ -1 +0,0 @@
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package/dist/types.d.ts

@@ -1,4 +0,0 @@
-import type { SupabaseClient } from '@supabase/supabase-js';
-import type { Database } from '@livefolio/db';
-export type TypedSupabaseClient = SupabaseClient<Database>;
-//# sourceMappingURL=types.d.ts.map

package/dist/types.d.ts.map

@@ -1 +0,0 @@
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package/dist/types.js

@@ -1,3 +0,0 @@
-"use strict";
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package/dist/types.js.map

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