@samsmith2121/synthetic-leverage-engine 0.1.0 → 0.1.1

package/dist/src/simulator/adapters.d.ts

@@ -1,5 +1,5 @@
 import { DayInput, EngineConfig } from '../types';
-import { SimulatorBacktestRequest, SimulatorDay, SimulatorMonteCarloRequest } from './types';
+import { SimulatorBacktestRequest, SimulatorDiagnosticsRequest, SimulatorDay, SimulatorMonteCarloRequest } from './types';
 export interface PreparedSimulatorRun {
     sourceDays: SimulatorDay[];
     engineDays: DayInput[];
@@ -7,3 +7,4 @@ export interface PreparedSimulatorRun {
 }
 export declare function prepareSimulatorBacktest(request: SimulatorBacktestRequest): PreparedSimulatorRun;
 export declare function prepareSimulatorMonteCarlo(request: SimulatorMonteCarloRequest): PreparedSimulatorRun;
+export declare function prepareSimulatorDiagnostics(request: SimulatorDiagnosticsRequest): PreparedSimulatorRun[];

package/dist/src/simulator/adapters.js

@@ -2,6 +2,7 @@
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.prepareSimulatorBacktest = prepareSimulatorBacktest;
 exports.prepareSimulatorMonteCarlo = prepareSimulatorMonteCarlo;
+exports.prepareSimulatorDiagnostics = prepareSimulatorDiagnostics;
 const costs_1 = require("../costs");
 const signal_1 = require("../signal");
 const DEFAULT_BUILTIN_RATE_ANNUAL = 0.04;
@@ -11,6 +12,9 @@ function prepareSimulatorBacktest(request) {
 function prepareSimulatorMonteCarlo(request) {
     return prepareSimulatorRun(request.days, request.config, request.strategy);
 }
+function prepareSimulatorDiagnostics(request) {
+    return request.strategies.map((strategy) => prepareSimulatorRun(request.days, request.config, strategy));
+}
 function prepareSimulatorRun(sourceDays, simulatorConfig, simulatorStrategy) {
     const targetSignals = (0, signal_1.buildThresholdSignalTargets)(sourceDays, simulatorStrategy);
     const engineDays = sourceDays.map((day, index) => buildEngineDay({

package/dist/src/simulator/index.d.ts

@@ -1,4 +1,5 @@
-import type { SimulatorBacktestRequest, SimulatorBacktestResponse, SimulatorMonteCarloRequest, SimulatorMonteCarloResponse } from './types';
-export type { SimulatorAnnualReturnPoint, SimulatorBacktestRequest, SimulatorBacktestResponse, SimulatorBacktestSeries, SimulatorBacktestSummary, SimulatorConfig, SimulatorDay, SimulatorMonteCarloPoint, SimulatorMonteCarloRequest, SimulatorMonteCarloResponse, SimulatorStrategy, SimulatorWarning, } from './types';
+import type { SimulatorBacktestRequest, SimulatorBacktestResponse, SimulatorDiagnosticsRequest, SimulatorDiagnosticsResponse, SimulatorMonteCarloRequest, SimulatorMonteCarloResponse } from './types';
+export type { SimulatorAnnualReturnPoint, SimulatorBacktestRequest, SimulatorBacktestResponse, SimulatorBacktestSeries, SimulatorBacktestSummary, SimulatorConfig, SimulatorDay, SimulatorDiagnosticsRequest, SimulatorDiagnosticsResponse, SimulatorDiagnosticsRow, SimulatorMonteCarloPoint, SimulatorMonteCarloRequest, SimulatorMonteCarloResponse, SimulatorStrategy, SimulatorWarning, } from './types';
 export declare function runSingleBacktest(request: SimulatorBacktestRequest): SimulatorBacktestResponse;
 export declare function runMonteCarlo(request: SimulatorMonteCarloRequest): SimulatorMonteCarloResponse;
+export declare function runDiagnostics(request: SimulatorDiagnosticsRequest): SimulatorDiagnosticsResponse;

package/dist/src/simulator/index.js

@@ -2,6 +2,8 @@
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.runSingleBacktest = runSingleBacktest;
 exports.runMonteCarlo = runMonteCarlo;
+exports.runDiagnostics = runDiagnostics;
+const analysis_1 = require("../analysis");
 const backtest_1 = require("../backtest");
 const adapters_1 = require("./adapters");
 const monte_carlo_1 = require("./monte-carlo");
@@ -29,3 +31,33 @@ function runMonteCarlo(request) {
         initialEquity: request.config.initialEquity,
     });
 }
+function runDiagnostics(request) {
+    const preparedRuns = (0, adapters_1.prepareSimulatorDiagnostics)(request);
+    return {
+        diagnosticsRows: preparedRuns.map((prepared, index) => {
+            const result = (0, backtest_1.runFixedBacktest)(prepared.engineDays, prepared.engineConfig);
+            return mapDiagnosticsRow(request.strategies[index], (0, analysis_1.buildStrategyDiagnostics)(result, totalInvested(result, request.config.initialEquity)));
+        }),
+    };
+}
+function totalInvested(result, initialEquity) {
+    return initialEquity + result.daily.reduce((sum, day) => sum + day.contribution, 0);
+}
+function mapDiagnosticsRow(strategy, diagnostics) {
+    return {
+        strategy_name: strategy.name,
+        pct_days_cash: diagnostics.exposure.pctDaysCash,
+        pct_days_one_x: diagnostics.exposure.pctDaysOneX,
+        pct_days_leveraged: diagnostics.exposure.pctDaysLeveraged,
+        average_applied_leverage: diagnostics.exposure.averageAppliedLeverage,
+        total_switches: diagnostics.transitions.totalSwitches,
+        total_cost: diagnostics.costs.totalCost,
+        trade_cost_share: diagnostics.costs.tradeCostShare,
+        borrow_cost_share: diagnostics.costs.borrowCostShare,
+        er_cost_share: diagnostics.costs.erCostShare,
+        max_drawdown: diagnostics.drawdown.maxDrawdown,
+        max_drawdown_duration_days: diagnostics.drawdown.maxDrawdownDurationDays,
+        outperform_pct: diagnostics.benchmarkRelative?.outperformPct ?? null,
+        excess_twr_cagr: diagnostics.benchmarkRelative?.excessTwrCagr ?? null,
+    };
+}

package/dist/src/simulator/types.d.ts

@@ -109,3 +109,27 @@ export interface SimulatorMonteCarloResponse {
         warnings: SimulatorWarning[];
     };
 }
+export interface SimulatorDiagnosticsRow {
+    strategy_name: string;
+    pct_days_cash: number;
+    pct_days_one_x: number;
+    pct_days_leveraged: number;
+    average_applied_leverage: number;
+    total_switches: number;
+    total_cost: number;
+    trade_cost_share: number;
+    borrow_cost_share: number;
+    er_cost_share: number;
+    max_drawdown: number;
+    max_drawdown_duration_days: number;
+    outperform_pct: number | null;
+    excess_twr_cagr: number | null;
+}
+export interface SimulatorDiagnosticsRequest {
+    days: SimulatorDay[];
+    config: SimulatorConfig;
+    strategies: SimulatorStrategy[];
+}
+export interface SimulatorDiagnosticsResponse {
+    diagnosticsRows: SimulatorDiagnosticsRow[];
+}

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@samsmith2121/synthetic-leverage-engine",
-  "version": "0.1.0",
+  "version": "0.1.1",
   "type": "commonjs",
   "main": "./dist/src/index.js",
   "types": "./dist/src/index.d.ts",