@livefolio/sdk 0.2.3 → 0.2.5

package/dist/strategy/types.d.ts

@@ -1,4 +1,4 @@
-import type { Observation } from '../market/types';
+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';
@@ -66,6 +66,36 @@ export interface Strategy {
     allocations: NamedAllocation[];
     signals: NamedSignal[];
 }
+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[];
+}
+export interface StrategyDraft {
+    linkId: string;
+    name: string;
+    trading: Trading;
+    signals: NamedSignal[];
+    allocations: StrategyAllocationDraft[];
+}
 export interface EvaluationOptions {
     at: Date;
     batchSeries: Record<string, Observation[]>;
@@ -95,8 +125,61 @@ export interface StreamObservation {
 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>;
@@ -107,6 +190,8 @@ export interface StrategyModule {
     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>;
 }

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

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package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@livefolio/sdk",
-  "version": "0.2.3",
+  "version": "0.2.5",
   "description": "Livefolio SDK — market data, strategy evaluation, and portfolio management",
   "main": "dist/index.js",
   "types": "dist/index.d.ts",
@@ -33,7 +33,11 @@
     "build": "tsc",
     "clean": "rm -rf dist",
     "test": "vitest run",
-    "test:watch": "vitest"
+    "test:watch": "vitest",
+    "ingest:init": "node scripts/ingest-price-observations.cjs --mode init",
+    "ingest:daily": "node scripts/ingest-price-observations.cjs --mode daily",
+    "backtest:smoke": "node scripts/backtest-smoke.cjs",
+    "prepare": "npm run build"
   },
   "dependencies": {
     "@livefolio/db": "*",