@livefolio/sdk 0.2.6 → 0.2.8
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/README.md +74 -1
- package/dist/market/client.d.ts.map +1 -1
- package/dist/market/client.js +12 -1
- package/dist/market/client.js.map +1 -1
- package/dist/strategy/backtest.d.ts.map +1 -1
- package/dist/strategy/backtest.js +45 -9
- package/dist/strategy/backtest.js.map +1 -1
- package/dist/strategy/index.d.ts +1 -0
- package/dist/strategy/index.d.ts.map +1 -1
- package/dist/strategy/index.js +3 -1
- package/dist/strategy/index.js.map +1 -1
- package/dist/strategy/performance.d.ts +17 -0
- package/dist/strategy/performance.d.ts.map +1 -0
- package/dist/strategy/performance.js +57 -0
- package/dist/strategy/performance.js.map +1 -0
- package/dist/strategy/rules.d.ts.map +1 -1
- package/dist/strategy/rules.js +1 -11
- package/dist/strategy/rules.js.map +1 -1
- package/dist/strategy/types.d.ts +2 -0
- package/dist/strategy/types.d.ts.map +1 -1
- package/package.json +1 -1
package/README.md
CHANGED
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@@ -1,6 +1,6 @@
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# @livefolio/sdk
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TypeScript SDK for market data, strategy evaluation, and portfolio
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Open-source TypeScript SDK for market data, deterministic strategy evaluation and backtesting, live signal streaming, and portfolio rebalance planning.
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## Install
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@@ -51,9 +51,35 @@ import { createStrategy } from '@livefolio/sdk/strategy';
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Full method reference, arguments, return types, and usage examples: **[docs/](./docs/)**
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## What The SDK Supports Today
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The current public surface is strongest in four areas:
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- Market data: historical daily series, quotes, trading-day lookups, and tracked ticker helpers
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- Strategy engine: strategy retrieval, deterministic evaluation, pure evaluation helpers, live streaming updates, and rules compilation
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- Backtesting: DB-backed historical backtests plus performance metric helpers
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- Portfolio tooling: drift calculations, rebalance planning, and ticker-to-tradable mapping
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`livefolio.auth` is intentionally lightweight, and `livefolio.portfolio` is best described today as portfolio tooling rather than a full brokerage integration layer.
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## Community Contribution Areas
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Good areas for community contributions:
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- New indicator types and strategy primitives
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- Additional market data adapters and quote providers
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- Backtest realism improvements such as fees, slippage, taxes, and execution assumptions
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- Portfolio and rebalancing logic, including tradable mappings and execution planning
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- Broker and custodian adapters
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- Examples, docs, notebooks, and app integrations
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- Performance, caching, and test coverage improvements
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If you are evaluating where to contribute first, the highest-leverage work is usually in `market/`, `strategy/`, `portfolio/rebalance`, and the docs/examples around those modules.
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## Development
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```bash
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npm install
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npm run build # compile TypeScript → dist/
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npm test # run tests
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npm run ingest:init # backfill price_observations from Yahoo
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npm run backtest:smoke -- --linkId <strategy-link-id>
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```
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## Contributing Locally
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Most contributors only need the default local workflow:
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```bash
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git clone https://github.com/livefolio/sdk.git
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cd sdk
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npm install
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npm run build
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npm test
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```
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The test suite mocks Supabase at the boundary, so most SDK work does not require a running backend.
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If you are working on market ingestion, DB-backed backtests, or cache-through evaluation flows, set local Supabase credentials first:
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```bash
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export SUPABASE_URL=http://127.0.0.1:54321
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export SUPABASE_ANON_KEY=<local-anon-key>
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export SUPABASE_SERVICE_ROLE_KEY=<local-service-role-key>
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```
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Then you can run the data-backed workflows:
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```bash
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npm run ingest:init
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npm run ingest:daily
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npm run backtest:smoke -- --linkId <strategy-link-id>
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```
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Contributor expectations:
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- Run `npm run build` and `npm test` before opening a PR
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- Add unit tests for new exported behavior
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- Update `docs/` when adding or changing public module methods
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- Prefer narrow deterministic tests over large integration-only coverage
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## Open Source Scope
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The SDK is intended for developers building transparent, rules-based investing software. Community maintainers can use it to:
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- Fetch market data and trading calendars
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- Define, compile, evaluate, and stream rule-based strategies
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- Run deterministic backtests over historical data
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- Compute portfolio drift and generate rebalance plans
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- Integrate Livefolio-compatible strategy definitions into custom apps and research workflows
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PRs to `main` run build + tests and enforce a version bump. Merges auto-publish to npm.
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## License
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@@ -1 +1 @@
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-
{"version":3,"file":"client.d.ts","sourceRoot":"","sources":["../../src/market/client.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,EAAE,mBAAmB,EAAE,MAAM,UAAU,CAAC;AACpD,OAAO,KAAK,EAA2B,YAAY,EAAE,MAAM,SAAS,CAAC;
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{"version":3,"file":"client.d.ts","sourceRoot":"","sources":["../../src/market/client.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,EAAE,mBAAmB,EAAE,MAAM,UAAU,CAAC;AACpD,OAAO,KAAK,EAA2B,YAAY,EAAE,MAAM,SAAS,CAAC;AAsBrE,wBAAgB,YAAY,CAAC,MAAM,EAAE,mBAAmB,GAAG,YAAY,CA+FtE"}
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package/dist/market/client.js
CHANGED
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"use strict";
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Object.defineProperty(exports, "__esModule", { value: true });
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exports.createMarket = createMarket;
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function requireMarketCloseTimestamp(row) {
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const raw = row.timestamp_400pm_et;
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if (typeof raw !== 'string' || raw.length === 0) {
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throw new Error(`Missing timestamp_400pm_et for ${row.symbol} on ${row.date}. ` +
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'Price rows without a market-close timestamp cannot be evaluated safely.');
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}
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if (!Number.isFinite(new Date(raw).getTime())) {
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throw new Error(`Invalid timestamp_400pm_et for ${row.symbol} on ${row.date}: ${raw}`);
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}
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return raw;
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}
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function createMarket(client) {
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return {
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async getBatchSeries(symbols) {
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if (!out[symbol])
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out[symbol] = [];
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out[symbol].push({
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timestamp: row
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timestamp: requireMarketCloseTimestamp(row),
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value: row.price_400pm_et,
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});
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}
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{"version":3,"file":"client.js","sourceRoot":"","sources":["../../src/market/client.ts"],"names":[],"mappings":";;
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{"version":3,"file":"client.js","sourceRoot":"","sources":["../../src/market/client.ts"],"names":[],"mappings":";;AAuBA,oCA+FC;AAnHD,SAAS,2BAA2B,CAAC,GAIpC;IACC,MAAM,GAAG,GAAG,GAAG,CAAC,kBAAkB,CAAC;IACnC,IAAI,OAAO,GAAG,KAAK,QAAQ,IAAI,GAAG,CAAC,MAAM,KAAK,CAAC,EAAE,CAAC;QAChD,MAAM,IAAI,KAAK,CACb,kCAAkC,GAAG,CAAC,MAAM,OAAO,GAAG,CAAC,IAAI,IAAI;YAC/D,yEAAyE,CAC1E,CAAC;IACJ,CAAC;IAED,IAAI,CAAC,MAAM,CAAC,QAAQ,CAAC,IAAI,IAAI,CAAC,GAAG,CAAC,CAAC,OAAO,EAAE,CAAC,EAAE,CAAC;QAC9C,MAAM,IAAI,KAAK,CAAC,kCAAkC,GAAG,CAAC,MAAM,OAAO,GAAG,CAAC,IAAI,KAAK,GAAG,EAAE,CAAC,CAAC;IACzF,CAAC;IAED,OAAO,GAAG,CAAC;AACb,CAAC;AAED,SAAgB,YAAY,CAAC,MAA2B;IACtD,OAAO;QACL,KAAK,CAAC,cAAc,CAAC,OAAiB;YACpC,MAAM,EAAE,IAAI,EAAE,KAAK,EAAE,GAAG,MAAM,MAAM,CAAC,SAAS,CAAC,MAAM,CAAC,QAAQ,EAAE,EAAE,IAAI,EAAE,EAAE,OAAO,EAAE,EAAE,CAAC,CAAC;YACvF,IAAI,KAAK;gBAAE,MAAM,KAAK,CAAC;YACvB,OAAO,IAAqC,CAAC;QAC/C,CAAC;QAED,KAAK,CAAC,SAAS,CAAC,MAAc;YAC5B,MAAM,MAAM,GAAG,MAAM,IAAI,CAAC,cAAc,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC;YACnD,OAAO,MAAM,CAAC,MAAM,CAAC,CAAC;QACxB,CAAC;QAED,KAAK,CAAC,oBAAoB,CAAC,OAAiB,EAAE,SAAiB,EAAE,OAAe;YAC9E,MAAM,GAAG,GAAkC,MAAM,CAAC,WAAW,CAAC,OAAO,CAAC,GAAG,CAAC,CAAC,MAAM,EAAE,EAAE,CAAC,CAAC,MAAM,EAAE,EAAE,CAAC,CAAC,CAAC,CAAC;YACrG,IAAI,OAAO,CAAC,MAAM,KAAK,CAAC;gBAAE,OAAO,GAAG,CAAC;YAErC,MAAM,EAAE,IAAI,EAAE,KAAK,EAAE,GAAG,MAAM,MAAM;iBACjC,IAAI,CAAC,oBAAoB,CAAC;iBAC1B,MAAM,CAAC,kDAAkD,CAAC;iBAC1D,EAAE,CAAC,QAAQ,EAAE,OAAO,CAAC;iBACrB,GAAG,CAAC,MAAM,EAAE,SAAS,CAAC;iBACtB,GAAG,CAAC,MAAM,EAAE,OAAO,CAAC;iBACpB,KAAK,CAAC,MAAM,EAAE,EAAE,SAAS,EAAE,IAAI,EAAE,CAAC,CAAC;YAEtC,IAAI,KAAK;gBAAE,MAAM,IAAI,KAAK,CAAC,uCAAuC,KAAK,CAAC,OAAO,EAAE,CAAC,CAAC;YAEnF,KAAK,MAAM,GAAG,IAAI,IAAI,IAAI,EAAE,EAAE,CAAC;gBAC7B,MAAM,MAAM,GAAG,GAAG,CAAC,MAAM,CAAC;gBAC1B,IAAI,CAAC,GAAG,CAAC,MAAM,CAAC;oBAAE,GAAG,CAAC,MAAM,CAAC,GAAG,EAAE,CAAC;gBACnC,GAAG,CAAC,MAAM,CAAC,CAAC,IAAI,CAAC;oBACf,SAAS,EAAE,2BAA2B,CAAC,GAAG,CAAC;oBAC3C,KAAK,EAAE,GAAG,CAAC,cAAc;iBAC1B,CAAC,CAAC;YACL,CAAC;YAED,OAAO,GAAG,CAAC;QACb,CAAC;QAED,KAAK,CAAC,eAAe,CAAC,MAAc,EAAE,SAAiB,EAAE,OAAe;YACtE,MAAM,MAAM,GAAG,MAAM,IAAI,CAAC,oBAAoB,CAAC,CAAC,MAAM,CAAC,EAAE,SAAS,EAAE,OAAO,CAAC,CAAC;YAC7E,OAAO,MAAM,CAAC,MAAM,CAAC,CAAC;QACxB,CAAC;QAED,KAAK,CAAC,cAAc,CAAC,OAAiB;YACpC,MAAM,EAAE,IAAI,EAAE,KAAK,EAAE,GAAG,MAAM,MAAM,CAAC,SAAS,CAAC,MAAM,CAAC,OAAO,EAAE,EAAE,IAAI,EAAE,EAAE,OAAO,EAAE,EAAE,CAAC,CAAC;YACtF,IAAI,KAAK;gBAAE,MAAM,KAAK,CAAC;YACvB,OAAO,IAAmC,CAAC;QAC7C,CAAC;QAED,KAAK,CAAC,QAAQ,CAAC,MAAc;YAC3B,MAAM,MAAM,GAAG,MAAM,IAAI,CAAC,cAAc,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC;YACnD,MAAM,KAAK,GAAG,MAAM,CAAC,MAAM,CAAC,CAAC;YAC7B,IAAI,KAAK,IAAI,IAAI;gBAAE,MAAM,IAAI,KAAK,CAAC,0BAA0B,MAAM,EAAE,CAAC,CAAC;YACvE,OAAO,KAAK,CAAC;QACf,CAAC;QAED,KAAK,CAAC,cAAc,CAAC,SAAiB,EAAE,OAAe;YACrD,MAAM,EAAE,IAAI,EAAE,KAAK,EAAE,GAAG,MAAM,MAAM;iBACjC,IAAI,CAAC,cAAc,CAAC;iBACpB,MAAM,CAAC,4CAA4C,CAAC;iBACpD,GAAG,CAAC,MAAM,EAAE,SAAS,CAAC;iBACtB,GAAG,CAAC,MAAM,EAAE,OAAO,CAAC;iBACpB,KAAK,CAAC,MAAM,EAAE,EAAE,SAAS,EAAE,IAAI,EAAE,CAAC,CAAC;YAEtC,IAAI,KAAK;gBAAE,MAAM,IAAI,KAAK,CAAC,iCAAiC,KAAK,CAAC,OAAO,EAAE,CAAC,CAAC;YAE7E,OAAO,CAAC,IAAI,IAAI,EAAE,CAAC,CAAC,GAAG,CAAC,CAAC,GAAG,EAAE,EAAE,CAAC,CAAC;gBAChC,IAAI,EAAE,GAAG,CAAC,IAAI;gBACd,IAAI,EAAE,GAAG,CAAC,OAAO;gBACjB,KAAK,EAAE,GAAG,CAAC,IAAI;gBACf,aAAa,EAAE,GAAG,CAAC,SAAS;gBAC5B,cAAc,EAAE,GAAG,CAAC,KAAK;aAC1B,CAAC,CAAC,CAAC;QACN,CAAC;QAED,KAAK,CAAC,aAAa,CAAC,IAAY;YAC9B,MAAM,EAAE,IAAI,EAAE,GAAG,EAAE,KAAK,EAAE,GAAG,MAAM,MAAM;iBACtC,IAAI,CAAC,cAAc,CAAC;iBACpB,MAAM,CAAC,4CAA4C,CAAC;iBACpD,EAAE,CAAC,MAAM,EAAE,IAAI,CAAC;iBAChB,KAAK,CAAC,CAAC,CAAC;iBACR,WAAW,EAAE,CAAC;YAEjB,IAAI,KAAK,IAAI,CAAC,GAAG;gBAAE,OAAO,IAAI,CAAC;YAE/B,OAAO;gBACL,IAAI,EAAE,GAAG,CAAC,IAAI;gBACd,IAAI,EAAE,GAAG,CAAC,OAAO;gBACjB,KAAK,EAAE,GAAG,CAAC,IAAI;gBACf,aAAa,EAAE,GAAG,CAAC,SAAS;gBAC5B,cAAc,EAAE,GAAG,CAAC,KAAK;aAC1B,CAAC;QACJ,CAAC;KACF,CAAC;AACJ,CAAC"}
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{"version":3,"file":"backtest.d.ts","sourceRoot":"","sources":["../../src/strategy/backtest.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,EAGV,eAAe,EAEf,cAAc,
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{"version":3,"file":"backtest.d.ts","sourceRoot":"","sources":["../../src/strategy/backtest.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,EAGV,eAAe,EAEf,cAAc,EAGd,QAAQ,EACR,aAAa,EACd,MAAM,SAAS,CAAC;AACjB,OAAO,KAAK,EAAE,YAAY,EAA2B,MAAM,iBAAiB,CAAC;AA0f7E,wBAAsB,sBAAsB,CAC1C,MAAM,EAAE,IAAI,CAAC,YAAY,EAAE,sBAAsB,GAAG,gBAAgB,CAAC,EACrE,QAAQ,EAAE,QAAQ,EAClB,OAAO,EAAE,eAAe,GACvB,OAAO,CAAC,cAAc,CAAC,CAEzB;AAED,wBAAsB,2BAA2B,CAC/C,MAAM,EAAE,IAAI,CAAC,YAAY,EAAE,sBAAsB,GAAG,gBAAgB,CAAC,EACrE,aAAa,EAAE,aAAa,EAC5B,OAAO,EAAE,eAAe,GACvB,OAAO,CAAC,cAAc,CAAC,CAGzB;AAED,wBAAsB,QAAQ,CAAC,QAAQ,EAAE,QAAQ,EAAE,OAAO,EAAE,eAAe,GAAG,OAAO,CAAC,cAAc,CAAC,CA4VpG"}
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function maxSignalWindow(signal) {
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const right = signal.right.lookback + signal.right.delay;
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}
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function calculateLookbackBufferDays(strategy) {
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for (const namedSignal of strategy.signals) {
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}
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maxLookback = Math.max(maxLookback, maxSignalWindow(condition.signal));
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return;
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}
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if (condition.kind === 'and') {
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for (const entry of condition.args) {
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}
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return;
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}
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}
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};
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|
125
|
+
for (const allocation of strategy.allocations) {
|
|
126
|
+
visitCondition(allocation.allocation.condition);
|
|
127
|
+
}
|
|
128
|
+
return Math.ceil(maxLookback * 1.5) + 30;
|
|
129
|
+
}
|
|
130
|
+
function validateFallbackAllocation(strategy) {
|
|
131
|
+
if (strategy.allocations.length === 0) {
|
|
132
|
+
throw new Error('Strategy must include at least one allocation.');
|
|
101
133
|
}
|
|
102
134
|
}
|
|
103
135
|
function normalizeTradingDays(tradingDays, startDate, endDate) {
|
|
@@ -336,8 +368,8 @@ function isCalendarRebalanceDue(frequency, date, lastRebalancedDate) {
|
|
|
336
368
|
return date.slice(0, 7) !== lastRebalancedDate.slice(0, 7);
|
|
337
369
|
return date.slice(0, 4) !== lastRebalancedDate.slice(0, 4);
|
|
338
370
|
}
|
|
339
|
-
function getRebalanceConfig(options, allocationName) {
|
|
340
|
-
return options.allocationRebalance?.[allocationName] ?? { mode: 'on_change' };
|
|
371
|
+
function getRebalanceConfig(allocation, options, allocationName) {
|
|
372
|
+
return options.allocationRebalance?.[allocationName] ?? allocation.allocation.rebalance ?? { mode: 'on_change' };
|
|
341
373
|
}
|
|
342
374
|
function computeAllocationDriftPct(positions, pricesByPosition, targetShares, totalValue) {
|
|
343
375
|
if (!Number.isFinite(totalValue) || totalValue <= 0)
|
|
@@ -358,7 +390,7 @@ function computeAllocationDriftPct(positions, pricesByPosition, targetShares, to
|
|
|
358
390
|
}
|
|
359
391
|
async function resolveBacktestInputs(market, strategy, options) {
|
|
360
392
|
const batchSeries = options.batchSeries ??
|
|
361
|
-
(await market.getBatchSeriesFromDb((0, symbols_1.extractSymbols)(strategy), options.startDate, options.endDate));
|
|
393
|
+
(await market.getBatchSeriesFromDb((0, symbols_1.extractSymbols)(strategy), subtractDaysFromYmd(options.startDate, calculateLookbackBufferDays(strategy)), options.endDate));
|
|
362
394
|
const tradingDays = options.tradingDays ?? (await market.getTradingDays(options.startDate, options.endDate));
|
|
363
395
|
return { ...options, batchSeries, tradingDays };
|
|
364
396
|
}
|
|
@@ -382,7 +414,7 @@ async function backtest(strategy, options) {
|
|
|
382
414
|
bookkeepingMs: 0,
|
|
383
415
|
};
|
|
384
416
|
const tValidateStart = nowMs();
|
|
385
|
-
|
|
417
|
+
validateFallbackAllocation(strategy);
|
|
386
418
|
if (!options.batchSeries) {
|
|
387
419
|
throw new Error('Backtest requires batchSeries in options.');
|
|
388
420
|
}
|
|
@@ -454,7 +486,11 @@ async function backtest(strategy, options) {
|
|
|
454
486
|
const asOfDate = toDateYmd(evaluation.asOf);
|
|
455
487
|
const evaluationDue = asOfDate === currentDate;
|
|
456
488
|
const allocationChanged = previousAllocationName !== evaluation.allocation.name;
|
|
457
|
-
const
|
|
489
|
+
const currentAllocation = strategy.allocations.find((allocation) => allocation.name === evaluation.allocation.name);
|
|
490
|
+
if (!currentAllocation) {
|
|
491
|
+
throw new Error(`Evaluation selected unknown allocation: ${evaluation.allocation.name}.`);
|
|
492
|
+
}
|
|
493
|
+
const rebalanceConfig = getRebalanceConfig(currentAllocation, options, evaluation.allocation.name);
|
|
458
494
|
const lastRebalancedDate = lastRebalancedDateByAllocation.get(evaluation.allocation.name);
|
|
459
495
|
let shouldRebalance = false;
|
|
460
496
|
if (evaluationDue) {
|
|
@@ -1 +1 @@
|
|
|
1
|
-
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1
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+
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|
package/dist/strategy/index.d.ts
CHANGED
|
@@ -4,6 +4,7 @@ export { get, getMany } from './get';
|
|
|
4
4
|
export { evaluateCached } from './cache';
|
|
5
5
|
export { stream } from './stream';
|
|
6
6
|
export { backtest, backtestWithMarketData, backtestRulesWithMarketData } from './backtest';
|
|
7
|
+
export { computePerformanceMetrics } from './performance';
|
|
7
8
|
export { compileRules } from './rules';
|
|
8
9
|
export { evaluateIndicator, evaluateSignal, evaluateAllocation, evaluate, getEvaluationDate, indicatorKey, signalKey } from './evaluate';
|
|
9
10
|
export { extractSymbols, INDICATOR_SYMBOL_MAP } from './symbols';
|
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../../src/strategy/index.ts"],"names":[],"mappings":"AAAA,YAAY,EACV,cAAc,EACd,QAAQ,EACR,WAAW,EACX,oBAAoB,EACpB,MAAM,EACN,UAAU,EACV,SAAS,EACT,MAAM,EACN,OAAO,EACP,OAAO,EACP,SAAS,EACT,UAAU,EACV,OAAO,EACP,SAAS,EACT,OAAO,EACP,MAAM,EACN,UAAU,EACV,aAAa,EACb,SAAS,EACT,IAAI,EACJ,iBAAiB,EACjB,mBAAmB,EACnB,kBAAkB,EAClB,iBAAiB,EACjB,aAAa,EACb,uBAAuB,EACvB,cAAc,EACd,iBAAiB,EACjB,mBAAmB,EACnB,iBAAiB,EACjB,gBAAgB,EAChB,mBAAmB,EACnB,eAAe,EACf,oBAAoB,EACpB,uBAAuB,EACvB,cAAc,EACd,aAAa,EACb,kBAAkB,EAClB,eAAe,EACf,iBAAiB,GAClB,MAAM,SAAS,CAAC;AAEjB,OAAO,EAAE,cAAc,EAAE,MAAM,UAAU,CAAC;AAC1C,OAAO,EAAE,GAAG,EAAE,OAAO,EAAE,MAAM,OAAO,CAAC;AACrC,OAAO,EAAE,cAAc,EAAE,MAAM,SAAS,CAAC;AACzC,OAAO,EAAE,MAAM,EAAE,MAAM,UAAU,CAAC;AAClC,OAAO,EAAE,QAAQ,EAAE,sBAAsB,EAAE,2BAA2B,EAAE,MAAM,YAAY,CAAC;AAC3F,OAAO,EAAE,YAAY,EAAE,MAAM,SAAS,CAAC;AACvC,OAAO,EAAE,iBAAiB,EAAE,cAAc,EAAE,kBAAkB,EAAE,QAAQ,EAAE,iBAAiB,EAAE,YAAY,EAAE,SAAS,EAAE,MAAM,YAAY,CAAC;AACzI,OAAO,EAAE,cAAc,EAAE,oBAAoB,EAAE,MAAM,WAAW,CAAC;AACjE,OAAO,EAAE,OAAO,EAAE,eAAe,EAAE,MAAM,QAAQ,CAAC;AAElD,OAAO,EACL,+BAA+B,EAC/B,uBAAuB,EACvB,qBAAqB,EACrB,0BAA0B,EAC1B,uBAAuB,GACxB,MAAM,aAAa,CAAC;AAErB,YAAY,EACV,sBAAsB,EACtB,2BAA2B,EAC3B,4BAA4B,GAC7B,MAAM,aAAa,CAAC"}
|
|
1
|
+
{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../../src/strategy/index.ts"],"names":[],"mappings":"AAAA,YAAY,EACV,cAAc,EACd,QAAQ,EACR,WAAW,EACX,oBAAoB,EACpB,MAAM,EACN,UAAU,EACV,SAAS,EACT,MAAM,EACN,OAAO,EACP,OAAO,EACP,SAAS,EACT,UAAU,EACV,OAAO,EACP,SAAS,EACT,OAAO,EACP,MAAM,EACN,UAAU,EACV,aAAa,EACb,SAAS,EACT,IAAI,EACJ,iBAAiB,EACjB,mBAAmB,EACnB,kBAAkB,EAClB,iBAAiB,EACjB,aAAa,EACb,uBAAuB,EACvB,cAAc,EACd,iBAAiB,EACjB,mBAAmB,EACnB,iBAAiB,EACjB,gBAAgB,EAChB,mBAAmB,EACnB,eAAe,EACf,oBAAoB,EACpB,uBAAuB,EACvB,cAAc,EACd,aAAa,EACb,kBAAkB,EAClB,eAAe,EACf,iBAAiB,GAClB,MAAM,SAAS,CAAC;AAEjB,OAAO,EAAE,cAAc,EAAE,MAAM,UAAU,CAAC;AAC1C,OAAO,EAAE,GAAG,EAAE,OAAO,EAAE,MAAM,OAAO,CAAC;AACrC,OAAO,EAAE,cAAc,EAAE,MAAM,SAAS,CAAC;AACzC,OAAO,EAAE,MAAM,EAAE,MAAM,UAAU,CAAC;AAClC,OAAO,EAAE,QAAQ,EAAE,sBAAsB,EAAE,2BAA2B,EAAE,MAAM,YAAY,CAAC;AAC3F,OAAO,EAAE,yBAAyB,EAAE,MAAM,eAAe,CAAC;AAC1D,OAAO,EAAE,YAAY,EAAE,MAAM,SAAS,CAAC;AACvC,OAAO,EAAE,iBAAiB,EAAE,cAAc,EAAE,kBAAkB,EAAE,QAAQ,EAAE,iBAAiB,EAAE,YAAY,EAAE,SAAS,EAAE,MAAM,YAAY,CAAC;AACzI,OAAO,EAAE,cAAc,EAAE,oBAAoB,EAAE,MAAM,WAAW,CAAC;AACjE,OAAO,EAAE,OAAO,EAAE,eAAe,EAAE,MAAM,QAAQ,CAAC;AAElD,OAAO,EACL,+BAA+B,EAC/B,uBAAuB,EACvB,qBAAqB,EACrB,0BAA0B,EAC1B,uBAAuB,GACxB,MAAM,aAAa,CAAC;AAErB,YAAY,EACV,sBAAsB,EACtB,2BAA2B,EAC3B,4BAA4B,GAC7B,MAAM,aAAa,CAAC"}
|
package/dist/strategy/index.js
CHANGED
|
@@ -1,6 +1,6 @@
|
|
|
1
1
|
"use strict";
|
|
2
2
|
Object.defineProperty(exports, "__esModule", { value: true });
|
|
3
|
-
exports.ensureLivefolioStrategy = exports.hashLivefolioStrategyDraft = exports.deriveLivefolioLinkId = exports.hashLivefolioDefinition = exports.canonicalizeLivefolioDefinition = exports.isAtMarketClose = exports.utcToET = exports.INDICATOR_SYMBOL_MAP = exports.extractSymbols = exports.signalKey = exports.indicatorKey = exports.getEvaluationDate = exports.evaluate = exports.evaluateAllocation = exports.evaluateSignal = exports.evaluateIndicator = exports.compileRules = exports.backtestRulesWithMarketData = exports.backtestWithMarketData = exports.backtest = exports.stream = exports.evaluateCached = exports.getMany = exports.get = exports.createStrategy = void 0;
|
|
3
|
+
exports.ensureLivefolioStrategy = exports.hashLivefolioStrategyDraft = exports.deriveLivefolioLinkId = exports.hashLivefolioDefinition = exports.canonicalizeLivefolioDefinition = exports.isAtMarketClose = exports.utcToET = exports.INDICATOR_SYMBOL_MAP = exports.extractSymbols = exports.signalKey = exports.indicatorKey = exports.getEvaluationDate = exports.evaluate = exports.evaluateAllocation = exports.evaluateSignal = exports.evaluateIndicator = exports.compileRules = exports.computePerformanceMetrics = exports.backtestRulesWithMarketData = exports.backtestWithMarketData = exports.backtest = exports.stream = exports.evaluateCached = exports.getMany = exports.get = exports.createStrategy = void 0;
|
|
4
4
|
var client_1 = require("./client");
|
|
5
5
|
Object.defineProperty(exports, "createStrategy", { enumerable: true, get: function () { return client_1.createStrategy; } });
|
|
6
6
|
var get_1 = require("./get");
|
|
@@ -14,6 +14,8 @@ var backtest_1 = require("./backtest");
|
|
|
14
14
|
Object.defineProperty(exports, "backtest", { enumerable: true, get: function () { return backtest_1.backtest; } });
|
|
15
15
|
Object.defineProperty(exports, "backtestWithMarketData", { enumerable: true, get: function () { return backtest_1.backtestWithMarketData; } });
|
|
16
16
|
Object.defineProperty(exports, "backtestRulesWithMarketData", { enumerable: true, get: function () { return backtest_1.backtestRulesWithMarketData; } });
|
|
17
|
+
var performance_1 = require("./performance");
|
|
18
|
+
Object.defineProperty(exports, "computePerformanceMetrics", { enumerable: true, get: function () { return performance_1.computePerformanceMetrics; } });
|
|
17
19
|
var rules_1 = require("./rules");
|
|
18
20
|
Object.defineProperty(exports, "compileRules", { enumerable: true, get: function () { return rules_1.compileRules; } });
|
|
19
21
|
var evaluate_1 = require("./evaluate");
|
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"index.js","sourceRoot":"","sources":["../../src/strategy/index.ts"],"names":[],"mappings":";;;AA2CA,mCAA0C;AAAjC,wGAAA,cAAc,OAAA;AACvB,6BAAqC;AAA5B,0FAAA,GAAG,OAAA;AAAE,8FAAA,OAAO,OAAA;AACrB,iCAAyC;AAAhC,uGAAA,cAAc,OAAA;AACvB,mCAAkC;AAAzB,gGAAA,MAAM,OAAA;AACf,uCAA2F;AAAlF,oGAAA,QAAQ,OAAA;AAAE,kHAAA,sBAAsB,OAAA;AAAE,uHAAA,2BAA2B,OAAA;AACtE,iCAAuC;AAA9B,qGAAA,YAAY,OAAA;AACrB,uCAAyI;AAAhI,6GAAA,iBAAiB,OAAA;AAAE,0GAAA,cAAc,OAAA;AAAE,8GAAA,kBAAkB,OAAA;AAAE,oGAAA,QAAQ,OAAA;AAAE,6GAAA,iBAAiB,OAAA;AAAE,wGAAA,YAAY,OAAA;AAAE,qGAAA,SAAS,OAAA;AACpH,qCAAiE;AAAxD,yGAAA,cAAc,OAAA;AAAE,+GAAA,oBAAoB,OAAA;AAC7C,+BAAkD;AAAzC,+FAAA,OAAO,OAAA;AAAE,uGAAA,eAAe,OAAA;AAEjC,yCAMqB;AALnB,4HAAA,+BAA+B,OAAA;AAC/B,oHAAA,uBAAuB,OAAA;AACvB,kHAAA,qBAAqB,OAAA;AACrB,uHAAA,0BAA0B,OAAA;AAC1B,oHAAA,uBAAuB,OAAA"}
|
|
1
|
+
{"version":3,"file":"index.js","sourceRoot":"","sources":["../../src/strategy/index.ts"],"names":[],"mappings":";;;AA2CA,mCAA0C;AAAjC,wGAAA,cAAc,OAAA;AACvB,6BAAqC;AAA5B,0FAAA,GAAG,OAAA;AAAE,8FAAA,OAAO,OAAA;AACrB,iCAAyC;AAAhC,uGAAA,cAAc,OAAA;AACvB,mCAAkC;AAAzB,gGAAA,MAAM,OAAA;AACf,uCAA2F;AAAlF,oGAAA,QAAQ,OAAA;AAAE,kHAAA,sBAAsB,OAAA;AAAE,uHAAA,2BAA2B,OAAA;AACtE,6CAA0D;AAAjD,wHAAA,yBAAyB,OAAA;AAClC,iCAAuC;AAA9B,qGAAA,YAAY,OAAA;AACrB,uCAAyI;AAAhI,6GAAA,iBAAiB,OAAA;AAAE,0GAAA,cAAc,OAAA;AAAE,8GAAA,kBAAkB,OAAA;AAAE,oGAAA,QAAQ,OAAA;AAAE,6GAAA,iBAAiB,OAAA;AAAE,wGAAA,YAAY,OAAA;AAAE,qGAAA,SAAS,OAAA;AACpH,qCAAiE;AAAxD,yGAAA,cAAc,OAAA;AAAE,+GAAA,oBAAoB,OAAA;AAC7C,+BAAkD;AAAzC,+FAAA,OAAO,OAAA;AAAE,uGAAA,eAAe,OAAA;AAEjC,yCAMqB;AALnB,4HAAA,+BAA+B,OAAA;AAC/B,oHAAA,uBAAuB,OAAA;AACvB,kHAAA,qBAAqB,OAAA;AACrB,uHAAA,0BAA0B,OAAA;AAC1B,oHAAA,uBAAuB,OAAA"}
|
|
@@ -0,0 +1,17 @@
|
|
|
1
|
+
export interface PerformanceMetricPoint {
|
|
2
|
+
timestampMs: number;
|
|
3
|
+
value: number;
|
|
4
|
+
}
|
|
5
|
+
export interface PerformanceMetrics {
|
|
6
|
+
cagr: number;
|
|
7
|
+
maxDrawdown: number;
|
|
8
|
+
volatility: number;
|
|
9
|
+
sharpe: number;
|
|
10
|
+
periodDays: number;
|
|
11
|
+
}
|
|
12
|
+
/**
|
|
13
|
+
* Compute common backtest metrics from a time series.
|
|
14
|
+
* Returns null when there are not enough valid points to compute.
|
|
15
|
+
*/
|
|
16
|
+
export declare function computePerformanceMetrics(input: PerformanceMetricPoint[]): PerformanceMetrics | null;
|
|
17
|
+
//# sourceMappingURL=performance.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"performance.d.ts","sourceRoot":"","sources":["../../src/strategy/performance.ts"],"names":[],"mappings":"AAAA,MAAM,WAAW,sBAAsB;IACrC,WAAW,EAAE,MAAM,CAAC;IACpB,KAAK,EAAE,MAAM,CAAC;CACf;AAED,MAAM,WAAW,kBAAkB;IACjC,IAAI,EAAE,MAAM,CAAC;IACb,WAAW,EAAE,MAAM,CAAC;IACpB,UAAU,EAAE,MAAM,CAAC;IACnB,MAAM,EAAE,MAAM,CAAC;IACf,UAAU,EAAE,MAAM,CAAC;CACpB;AAMD;;;GAGG;AACH,wBAAgB,yBAAyB,CACvC,KAAK,EAAE,sBAAsB,EAAE,GAC9B,kBAAkB,GAAG,IAAI,CAmD3B"}
|
|
@@ -0,0 +1,57 @@
|
|
|
1
|
+
"use strict";
|
|
2
|
+
Object.defineProperty(exports, "__esModule", { value: true });
|
|
3
|
+
exports.computePerformanceMetrics = computePerformanceMetrics;
|
|
4
|
+
const DAY_MS = 24 * 60 * 60 * 1000;
|
|
5
|
+
const YEAR_DAYS = 365.25;
|
|
6
|
+
const TRADING_DAYS = 252;
|
|
7
|
+
/**
|
|
8
|
+
* Compute common backtest metrics from a time series.
|
|
9
|
+
* Returns null when there are not enough valid points to compute.
|
|
10
|
+
*/
|
|
11
|
+
function computePerformanceMetrics(input) {
|
|
12
|
+
if (input.length < 2)
|
|
13
|
+
return null;
|
|
14
|
+
const points = input
|
|
15
|
+
.filter((point) => Number.isFinite(point.timestampMs) && Number.isFinite(point.value))
|
|
16
|
+
.sort((a, b) => a.timestampMs - b.timestampMs);
|
|
17
|
+
if (points.length < 2)
|
|
18
|
+
return null;
|
|
19
|
+
const start = points[0].value;
|
|
20
|
+
const end = points[points.length - 1].value;
|
|
21
|
+
if (start <= 0 || end <= 0)
|
|
22
|
+
return null;
|
|
23
|
+
const years = Math.max((points[points.length - 1].timestampMs - points[0].timestampMs) / (DAY_MS * YEAR_DAYS), 1 / YEAR_DAYS);
|
|
24
|
+
const cagr = (Math.pow(end / start, 1 / years) - 1) * 100;
|
|
25
|
+
let peak = points[0].value;
|
|
26
|
+
let maxDrawdown = 0;
|
|
27
|
+
for (const point of points) {
|
|
28
|
+
peak = Math.max(peak, point.value);
|
|
29
|
+
const drawdown = ((point.value - peak) / peak) * 100;
|
|
30
|
+
if (drawdown < maxDrawdown)
|
|
31
|
+
maxDrawdown = drawdown;
|
|
32
|
+
}
|
|
33
|
+
const dailyReturns = [];
|
|
34
|
+
for (let i = 1; i < points.length; i++) {
|
|
35
|
+
const prev = points[i - 1].value;
|
|
36
|
+
const curr = points[i].value;
|
|
37
|
+
if (prev > 0 && curr > 0)
|
|
38
|
+
dailyReturns.push(curr / prev - 1);
|
|
39
|
+
}
|
|
40
|
+
let volatility = 0;
|
|
41
|
+
let sharpe = 0;
|
|
42
|
+
if (dailyReturns.length >= 2) {
|
|
43
|
+
const mean = dailyReturns.reduce((sum, value) => sum + value, 0) / dailyReturns.length;
|
|
44
|
+
const variance = dailyReturns.reduce((sum, value) => sum + (value - mean) ** 2, 0) / (dailyReturns.length - 1);
|
|
45
|
+
const std = Math.sqrt(Math.max(variance, 0));
|
|
46
|
+
volatility = std * Math.sqrt(TRADING_DAYS) * 100;
|
|
47
|
+
sharpe = std > 0 ? (mean / std) * Math.sqrt(TRADING_DAYS) : 0;
|
|
48
|
+
}
|
|
49
|
+
return {
|
|
50
|
+
cagr,
|
|
51
|
+
maxDrawdown,
|
|
52
|
+
volatility,
|
|
53
|
+
sharpe,
|
|
54
|
+
periodDays: Math.max(1, Math.round((points[points.length - 1].timestampMs - points[0].timestampMs) / DAY_MS)),
|
|
55
|
+
};
|
|
56
|
+
}
|
|
57
|
+
//# sourceMappingURL=performance.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"performance.js","sourceRoot":"","sources":["../../src/strategy/performance.ts"],"names":[],"mappings":";;AAqBA,8DAqDC;AA7DD,MAAM,MAAM,GAAG,EAAE,GAAG,EAAE,GAAG,EAAE,GAAG,IAAI,CAAC;AACnC,MAAM,SAAS,GAAG,MAAM,CAAC;AACzB,MAAM,YAAY,GAAG,GAAG,CAAC;AAEzB;;;GAGG;AACH,SAAgB,yBAAyB,CACvC,KAA+B;IAE/B,IAAI,KAAK,CAAC,MAAM,GAAG,CAAC;QAAE,OAAO,IAAI,CAAC;IAElC,MAAM,MAAM,GAAG,KAAK;SACjB,MAAM,CAAC,CAAC,KAAK,EAAE,EAAE,CAAC,MAAM,CAAC,QAAQ,CAAC,KAAK,CAAC,WAAW,CAAC,IAAI,MAAM,CAAC,QAAQ,CAAC,KAAK,CAAC,KAAK,CAAC,CAAC;SACrF,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,WAAW,GAAG,CAAC,CAAC,WAAW,CAAC,CAAC;IAEjD,IAAI,MAAM,CAAC,MAAM,GAAG,CAAC;QAAE,OAAO,IAAI,CAAC;IAEnC,MAAM,KAAK,GAAG,MAAM,CAAC,CAAC,CAAE,CAAC,KAAK,CAAC;IAC/B,MAAM,GAAG,GAAG,MAAM,CAAC,MAAM,CAAC,MAAM,GAAG,CAAC,CAAE,CAAC,KAAK,CAAC;IAC7C,IAAI,KAAK,IAAI,CAAC,IAAI,GAAG,IAAI,CAAC;QAAE,OAAO,IAAI,CAAC;IAExC,MAAM,KAAK,GAAG,IAAI,CAAC,GAAG,CACpB,CAAC,MAAM,CAAC,MAAM,CAAC,MAAM,GAAG,CAAC,CAAE,CAAC,WAAW,GAAG,MAAM,CAAC,CAAC,CAAE,CAAC,WAAW,CAAC,GAAG,CAAC,MAAM,GAAG,SAAS,CAAC,EACxF,CAAC,GAAG,SAAS,CACd,CAAC;IACF,MAAM,IAAI,GAAG,CAAC,IAAI,CAAC,GAAG,CAAC,GAAG,GAAG,KAAK,EAAE,CAAC,GAAG,KAAK,CAAC,GAAG,CAAC,CAAC,GAAG,GAAG,CAAC;IAE1D,IAAI,IAAI,GAAG,MAAM,CAAC,CAAC,CAAE,CAAC,KAAK,CAAC;IAC5B,IAAI,WAAW,GAAG,CAAC,CAAC;IACpB,KAAK,MAAM,KAAK,IAAI,MAAM,EAAE,CAAC;QAC3B,IAAI,GAAG,IAAI,CAAC,GAAG,CAAC,IAAI,EAAE,KAAK,CAAC,KAAK,CAAC,CAAC;QACnC,MAAM,QAAQ,GAAG,CAAC,CAAC,KAAK,CAAC,KAAK,GAAG,IAAI,CAAC,GAAG,IAAI,CAAC,GAAG,GAAG,CAAC;QACrD,IAAI,QAAQ,GAAG,WAAW;YAAE,WAAW,GAAG,QAAQ,CAAC;IACrD,CAAC;IAED,MAAM,YAAY,GAAa,EAAE,CAAC;IAClC,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,MAAM,CAAC,MAAM,EAAE,CAAC,EAAE,EAAE,CAAC;QACvC,MAAM,IAAI,GAAG,MAAM,CAAC,CAAC,GAAG,CAAC,CAAE,CAAC,KAAK,CAAC;QAClC,MAAM,IAAI,GAAG,MAAM,CAAC,CAAC,CAAE,CAAC,KAAK,CAAC;QAC9B,IAAI,IAAI,GAAG,CAAC,IAAI,IAAI,GAAG,CAAC;YAAE,YAAY,CAAC,IAAI,CAAC,IAAI,GAAG,IAAI,GAAG,CAAC,CAAC,CAAC;IAC/D,CAAC;IAED,IAAI,UAAU,GAAG,CAAC,CAAC;IACnB,IAAI,MAAM,GAAG,CAAC,CAAC;IACf,IAAI,YAAY,CAAC,MAAM,IAAI,CAAC,EAAE,CAAC;QAC7B,MAAM,IAAI,GAAG,YAAY,CAAC,MAAM,CAAC,CAAC,GAAG,EAAE,KAAK,EAAE,EAAE,CAAC,GAAG,GAAG,KAAK,EAAE,CAAC,CAAC,GAAG,YAAY,CAAC,MAAM,CAAC;QACvF,MAAM,QAAQ,GAAG,YAAY,CAAC,MAAM,CAAC,CAAC,GAAG,EAAE,KAAK,EAAE,EAAE,CAAC,GAAG,GAAG,CAAC,KAAK,GAAG,IAAI,CAAC,IAAI,CAAC,EAAE,CAAC,CAAC,GAAG,CAAC,YAAY,CAAC,MAAM,GAAG,CAAC,CAAC,CAAC;QAC/G,MAAM,GAAG,GAAG,IAAI,CAAC,IAAI,CAAC,IAAI,CAAC,GAAG,CAAC,QAAQ,EAAE,CAAC,CAAC,CAAC,CAAC;QAC7C,UAAU,GAAG,GAAG,GAAG,IAAI,CAAC,IAAI,CAAC,YAAY,CAAC,GAAG,GAAG,CAAC;QACjD,MAAM,GAAG,GAAG,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,IAAI,GAAG,GAAG,CAAC,GAAG,IAAI,CAAC,IAAI,CAAC,YAAY,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;IAChE,CAAC;IAED,OAAO;QACL,IAAI;QACJ,WAAW;QACX,UAAU;QACV,MAAM;QACN,UAAU,EAAE,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,IAAI,CAAC,KAAK,CAAC,CAAC,MAAM,CAAC,MAAM,CAAC,MAAM,GAAG,CAAC,CAAE,CAAC,WAAW,GAAG,MAAM,CAAC,CAAC,CAAE,CAAC,WAAW,CAAC,GAAG,MAAM,CAAC,CAAC;KAChH,CAAC;AACJ,CAAC"}
|
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"rules.d.ts","sourceRoot":"","sources":["../../src/strategy/rules.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,EAKV,aAAa,EAEb,QAAQ,EACT,MAAM,SAAS,CAAC;
|
|
1
|
+
{"version":3,"file":"rules.d.ts","sourceRoot":"","sources":["../../src/strategy/rules.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,EAKV,aAAa,EAEb,QAAQ,EACT,MAAM,SAAS,CAAC;AA+CjB,wBAAgB,YAAY,CAAC,aAAa,EAAE,aAAa,GAAG,QAAQ,CA+CnE"}
|
package/dist/strategy/rules.js
CHANGED
|
@@ -1,9 +1,6 @@
|
|
|
1
1
|
"use strict";
|
|
2
2
|
Object.defineProperty(exports, "__esModule", { value: true });
|
|
3
3
|
exports.compileRules = compileRules;
|
|
4
|
-
function isDefaultName(name) {
|
|
5
|
-
return name.trim().toLowerCase() === 'default';
|
|
6
|
-
}
|
|
7
4
|
function validateHoldingsWeights(strategyDraft) {
|
|
8
5
|
for (const allocation of strategyDraft.allocations) {
|
|
9
6
|
if (!allocation.holdings.length) {
|
|
@@ -74,14 +71,6 @@ function compileRules(strategyDraft) {
|
|
|
74
71
|
}
|
|
75
72
|
allocationNames.add(normalized);
|
|
76
73
|
}
|
|
77
|
-
const defaultAllocations = strategyDraft.allocations.filter((allocation) => isDefaultName(allocation.name));
|
|
78
|
-
if (defaultAllocations.length !== 1) {
|
|
79
|
-
throw new Error('Rule strategy must include exactly one allocation named "Default".');
|
|
80
|
-
}
|
|
81
|
-
const defaultIndex = strategyDraft.allocations.findIndex((allocation) => isDefaultName(allocation.name));
|
|
82
|
-
if (defaultIndex !== strategyDraft.allocations.length - 1) {
|
|
83
|
-
throw new Error('Allocation "Default" must be the final fallback allocation.');
|
|
84
|
-
}
|
|
85
74
|
validateHoldingsWeights(strategyDraft);
|
|
86
75
|
return {
|
|
87
76
|
linkId: strategyDraft.linkId,
|
|
@@ -93,6 +82,7 @@ function compileRules(strategyDraft) {
|
|
|
93
82
|
allocation: {
|
|
94
83
|
condition: compileRuleCondition(allocation.condition, signalByName),
|
|
95
84
|
holdings: allocation.holdings.map((holding) => ({ ...holding })),
|
|
85
|
+
rebalance: allocation.rebalance,
|
|
96
86
|
},
|
|
97
87
|
})),
|
|
98
88
|
};
|
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"rules.js","sourceRoot":"","sources":["../../src/strategy/rules.ts"],"names":[],"mappings":";;
|
|
1
|
+
{"version":3,"file":"rules.js","sourceRoot":"","sources":["../../src/strategy/rules.ts"],"names":[],"mappings":";;AAuDA,oCA+CC;AA5FD,SAAS,uBAAuB,CAAC,aAA4B;IAC3D,KAAK,MAAM,UAAU,IAAI,aAAa,CAAC,WAAW,EAAE,CAAC;QACnD,IAAI,CAAC,UAAU,CAAC,QAAQ,CAAC,MAAM,EAAE,CAAC;YAChC,MAAM,IAAI,KAAK,CAAC,eAAe,UAAU,CAAC,IAAI,sCAAsC,CAAC,CAAC;QACxF,CAAC;QACD,KAAK,MAAM,OAAO,IAAI,UAAU,CAAC,QAAQ,EAAE,CAAC;YAC1C,IAAI,CAAC,MAAM,CAAC,QAAQ,CAAC,OAAO,CAAC,MAAM,CAAC,EAAE,CAAC;gBACrC,MAAM,IAAI,KAAK,CAAC,eAAe,UAAU,CAAC,IAAI,oCAAoC,CAAC,CAAC;YACtF,CAAC;QACH,CAAC;QACD,MAAM,KAAK,GAAG,UAAU,CAAC,QAAQ,CAAC,MAAM,CAAC,CAAC,GAAG,EAAE,OAAO,EAAE,EAAE,CAAC,GAAG,GAAG,OAAO,CAAC,MAAM,EAAE,CAAC,CAAC,CAAC;QACpF,IAAI,CAAC,MAAM,CAAC,QAAQ,CAAC,KAAK,CAAC,IAAI,IAAI,CAAC,GAAG,CAAC,KAAK,GAAG,GAAG,CAAC,GAAG,IAAI,EAAE,CAAC;YAC5D,MAAM,IAAI,KAAK,CAAC,eAAe,UAAU,CAAC,IAAI,4BAA4B,CAAC,CAAC;QAC9E,CAAC;IACH,CAAC;AACH,CAAC;AAED,SAAS,oBAAoB,CAC3B,SAA8B,EAC9B,YAAiC;IAEjC,QAAQ,SAAS,CAAC,IAAI,EAAE,CAAC;QACvB,KAAK,QAAQ,CAAC,CAAC,CAAC;YACd,MAAM,MAAM,GAAG,YAAY,CAAC,GAAG,CAAC,SAAS,CAAC,UAAU,CAAC,CAAC;YACtD,IAAI,CAAC,MAAM;gBAAE,MAAM,IAAI,KAAK,CAAC,8BAA8B,SAAS,CAAC,UAAU,IAAI,CAAC,CAAC;YACrF,OAAO,EAAE,IAAI,EAAE,QAAQ,EAAE,MAAM,EAAE,CAAC;QACpC,CAAC;QACD,KAAK,KAAK,CAAC,CAAC,CAAC;YACX,MAAM,MAAM,GAAG,YAAY,CAAC,GAAG,CAAC,SAAS,CAAC,UAAU,CAAC,CAAC;YACtD,IAAI,CAAC,MAAM;gBAAE,MAAM,IAAI,KAAK,CAAC,8BAA8B,SAAS,CAAC,UAAU,IAAI,CAAC,CAAC;YACrF,OAAO,EAAE,IAAI,EAAE,KAAK,EAAE,MAAM,EAAE,CAAC;QACjC,CAAC;QACD,KAAK,KAAK;YACR,OAAO;gBACL,IAAI,EAAE,KAAK;gBACX,IAAI,EAAE,SAAS,CAAC,IAAI,CAAC,GAAG,CAAC,CAAC,GAAG,EAAE,EAAE,CAAC,oBAAoB,CAAC,GAAG,EAAE,YAAY,CAA4B,CAAC;aACtG,CAAC;QACJ,KAAK,IAAI;YACP,OAAO;gBACL,IAAI,EAAE,IAAI;gBACV,IAAI,EAAE,SAAS,CAAC,IAAI,CAAC,GAAG,CAAC,CAAC,GAAsB,EAAE,EAAE,CAAC,oBAAoB,CAAC,GAAG,EAAE,YAAY,CAAY,CAAC;aACzG,CAAC;IACN,CAAC;AACH,CAAC;AAED,SAAgB,YAAY,CAAC,aAA4B;IACvD,IAAI,aAAa,CAAC,OAAO,CAAC,MAAM,KAAK,CAAC,EAAE,CAAC;QACvC,MAAM,IAAI,KAAK,CAAC,gDAAgD,CAAC,CAAC;IACpE,CAAC;IACD,IAAI,aAAa,CAAC,WAAW,CAAC,MAAM,KAAK,CAAC,EAAE,CAAC;QAC3C,MAAM,IAAI,KAAK,CAAC,oDAAoD,CAAC,CAAC;IACxE,CAAC;IAED,MAAM,YAAY,GAAG,IAAI,GAAG,EAAkB,CAAC;IAC/C,KAAK,MAAM,MAAM,IAAI,aAAa,CAAC,OAAO,EAAE,CAAC;QAC3C,IAAI,CAAC,MAAM,CAAC,IAAI,CAAC,IAAI,EAAE,EAAE,CAAC;YACxB,MAAM,IAAI,KAAK,CAAC,iCAAiC,CAAC,CAAC;QACrD,CAAC;QACD,IAAI,YAAY,CAAC,GAAG,CAAC,MAAM,CAAC,IAAI,CAAC,EAAE,CAAC;YAClC,MAAM,IAAI,KAAK,CAAC,2BAA2B,MAAM,CAAC,IAAI,IAAI,CAAC,CAAC;QAC9D,CAAC;QACD,YAAY,CAAC,GAAG,CAAC,MAAM,CAAC,IAAI,EAAE,MAAM,CAAC,MAAM,CAAC,CAAC;IAC/C,CAAC;IAED,MAAM,eAAe,GAAG,IAAI,GAAG,EAAU,CAAC;IAC1C,KAAK,MAAM,UAAU,IAAI,aAAa,CAAC,WAAW,EAAE,CAAC;QACnD,MAAM,UAAU,GAAG,UAAU,CAAC,IAAI,CAAC,IAAI,EAAE,CAAC,WAAW,EAAE,CAAC;QACxD,IAAI,CAAC,UAAU,EAAE,CAAC;YAChB,MAAM,IAAI,KAAK,CAAC,qCAAqC,CAAC,CAAC;QACzD,CAAC;QACD,IAAI,eAAe,CAAC,GAAG,CAAC,UAAU,CAAC,EAAE,CAAC;YACpC,MAAM,IAAI,KAAK,CAAC,+BAA+B,UAAU,CAAC,IAAI,IAAI,CAAC,CAAC;QACtE,CAAC;QACD,eAAe,CAAC,GAAG,CAAC,UAAU,CAAC,CAAC;IAClC,CAAC;IAED,uBAAuB,CAAC,aAAa,CAAC,CAAC;IAEvC,OAAO;QACL,MAAM,EAAE,aAAa,CAAC,MAAM;QAC5B,IAAI,EAAE,aAAa,CAAC,IAAI;QACxB,OAAO,EAAE,aAAa,CAAC,OAAO;QAC9B,OAAO,EAAE,aAAa,CAAC,OAAO,CAAC,GAAG,CAAC,CAAC,MAAM,EAAE,EAAE,CAAC,CAAC,EAAE,GAAG,MAAM,EAAE,CAAC,CAAC;QAC/D,WAAW,EAAE,aAAa,CAAC,WAAW,CAAC,GAAG,CAAC,CAAC,UAAU,EAAE,EAAE,CAAC,CAAC;YAC1D,IAAI,EAAE,UAAU,CAAC,IAAI;YACrB,UAAU,EAAE;gBACV,SAAS,EAAE,oBAAoB,CAAC,UAAU,CAAC,SAAS,EAAE,YAAY,CAAC;gBACnE,QAAQ,EAAE,UAAU,CAAC,QAAQ,CAAC,GAAG,CAAC,CAAC,OAAO,EAAE,EAAE,CAAC,CAAC,EAAE,GAAG,OAAO,EAAE,CAAC,CAAC;gBAChE,SAAS,EAAE,UAAU,CAAC,SAAS;aAChC;SACF,CAAC,CAAC;KACJ,CAAC;AACJ,CAAC"}
|
package/dist/strategy/types.d.ts
CHANGED
|
@@ -28,6 +28,7 @@ export interface Holding {
|
|
|
28
28
|
export interface Allocation {
|
|
29
29
|
condition: Condition;
|
|
30
30
|
holdings: Holding[];
|
|
31
|
+
rebalance?: BacktestRebalanceConfig;
|
|
31
32
|
}
|
|
32
33
|
export interface SignalExpr {
|
|
33
34
|
kind: 'signal';
|
|
@@ -88,6 +89,7 @@ export interface StrategyAllocationDraft {
|
|
|
88
89
|
name: string;
|
|
89
90
|
condition: SignalNameCondition;
|
|
90
91
|
holdings: Holding[];
|
|
92
|
+
rebalance?: BacktestRebalanceConfig;
|
|
91
93
|
}
|
|
92
94
|
export interface StrategyDraft {
|
|
93
95
|
linkId: string;
|
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"types.d.ts","sourceRoot":"","sources":["../../src/strategy/types.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,EAAE,WAAW,EAAE,UAAU,EAAE,MAAM,iBAAiB,CAAC;AAM/D,MAAM,MAAM,UAAU,GAAG,GAAG,GAAG,GAAG,GAAG,GAAG,CAAC;AAEzC,MAAM,MAAM,aAAa,GACrB,KAAK,GACL,KAAK,GACL,OAAO,GACP,QAAQ,GACR,YAAY,GACZ,UAAU,GACV,KAAK,GACL,KAAK,GACL,OAAO,GACP,KAAK,GACL,KAAK,GACL,KAAK,GACL,KAAK,GACL,KAAK,GACL,KAAK,GACL,KAAK,GACL,MAAM,GACN,MAAM,GACN,MAAM,GACN,OAAO,GACP,aAAa,GACb,cAAc,GACd,aAAa,GACb,WAAW,CAAC;AAEhB,MAAM,MAAM,SAAS,GACjB,OAAO,GACP,QAAQ,GACR,SAAS,GACT,YAAY,GACZ,WAAW,GACX,gBAAgB,GAChB,cAAc,GACd,QAAQ,CAAC;AAEb,MAAM,MAAM,IAAI,GAAG,GAAG,GAAG,GAAG,GAAG,IAAI,CAAC;AAMpC,MAAM,WAAW,MAAM;IACrB,MAAM,EAAE,MAAM,CAAC;IACf,QAAQ,EAAE,MAAM,CAAC;CAClB;AAED,MAAM,WAAW,SAAS;IACxB,IAAI,EAAE,aAAa,CAAC;IACpB,MAAM,EAAE,MAAM,CAAC;IACf,QAAQ,EAAE,MAAM,CAAC;IACjB,KAAK,EAAE,MAAM,CAAC;IACd,IAAI,EAAE,IAAI,CAAC;IACX,SAAS,EAAE,MAAM,GAAG,IAAI,CAAC;CAC1B;AAED,MAAM,WAAW,MAAM;IACrB,IAAI,EAAE,SAAS,CAAC;IAChB,UAAU,EAAE,UAAU,CAAC;IACvB,KAAK,EAAE,SAAS,CAAC;IACjB,SAAS,EAAE,MAAM,CAAC;CACnB;AAED,MAAM,WAAW,OAAO;IACtB,MAAM,EAAE,MAAM,CAAC;IACf,MAAM,EAAE,MAAM,CAAC;CAChB;AAED,MAAM,WAAW,UAAU;IACzB,SAAS,EAAE,SAAS,CAAC;IACrB,QAAQ,EAAE,OAAO,EAAE,CAAC;
|
|
1
|
+
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|