@stvy/fund-indicators 1.0.0 → 1.0.2

package/dist/risk.js

@@ -1,502 +0,0 @@
-"use strict";
-/**
- * 风险与绩效指标模块
- * 包含：波动率、最大回撤、VaR、CVaR、夏普比率、索提诺、卡尔玛、特雷诺、Omega 等
- */
-var __createBinding = (this && this.__createBinding) || (Object.create ? (function(o, m, k, k2) {
-    if (k2 === undefined) k2 = k;
-    var desc = Object.getOwnPropertyDescriptor(m, k);
-    if (!desc || ("get" in desc ? !m.__esModule : desc.writable || desc.configurable)) {
-      desc = { enumerable: true, get: function() { return m[k]; } };
-    }
-    Object.defineProperty(o, k2, desc);
-}) : (function(o, m, k, k2) {
-    if (k2 === undefined) k2 = k;
-    o[k2] = m[k];
-}));
-var __setModuleDefault = (this && this.__setModuleDefault) || (Object.create ? (function(o, v) {
-    Object.defineProperty(o, "default", { enumerable: true, value: v });
-}) : function(o, v) {
-    o["default"] = v;
-});
-var __importStar = (this && this.__importStar) || function (mod) {
-    if (mod && mod.__esModule) return mod;
-    var result = {};
-    if (mod != null) for (var k in mod) if (k !== "default" && Object.prototype.hasOwnProperty.call(mod, k)) __createBinding(result, mod, k);
-    __setModuleDefault(result, mod);
-    return result;
-};
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.benchmarkMetrics = exports.informationRatio = exports.trackingError = exports.calculateAlpha = exports.calculateBeta = exports.performanceMetrics = exports.consecutiveWinLoss = exports.profitFactor = exports.profitLossRatio = exports.winRate = exports.omegaRatio = exports.treynorRatio = exports.calmarRatio = exports.sortinoRatio = exports.sharpeRatio = exports.riskMetrics = exports.calculateCVaR = exports.calculateVaR = exports.maxDrawdownDuration = exports.maxDrawdown = exports.volatilityCone = exports.rollingVolatility = exports.downsideVolatility = exports.annualizedVolatility = exports.totalReturn = exports.annualizeReturn = exports.navToReturns = void 0;
-const ss = __importStar(require("simple-statistics"));
-const jstat_1 = require("jstat");
-// ============================================================
-// 辅助函数
-// ============================================================
-const TRADING_DAYS_PER_YEAR = 242; // A股年交易日数
-/** 净值序列 → 日收益率序列 */
-function navToReturns(nav) {
-    const returns = [];
-    for (let i = 1; i < nav.length; i++) {
-        returns.push((nav[i] - nav[i - 1]) / nav[i - 1]);
-    }
-    return returns;
-}
-exports.navToReturns = navToReturns;
-/** 日收益率 → 年化收益率（几何平均） */
-function annualizeReturn(dailyReturns) {
-    if (dailyReturns.length === 0)
-        return 0;
-    // 几何年化 = (1 + 累计收益) ^ (242/n) - 1
-    const cumulative = dailyReturns.reduce((acc, r) => acc * (1 + r), 1);
-    const years = dailyReturns.length / TRADING_DAYS_PER_YEAR;
-    if (years <= 0 || cumulative <= 0)
-        return 0;
-    return Math.pow(cumulative, 1 / years) - 1;
-}
-exports.annualizeReturn = annualizeReturn;
-/** 累计收益率 */
-function totalReturn(nav) {
-    if (nav.length < 2)
-        return 0;
-    return (nav[nav.length - 1] - nav[0]) / nav[0];
-}
-exports.totalReturn = totalReturn;
-// ============================================================
-// 波动率
-// ============================================================
-/** 年化波动率 */
-function annualizedVolatility(returns) {
-    if (returns.length < 2)
-        return 0;
-    return ss.standardDeviation(returns) * Math.sqrt(TRADING_DAYS_PER_YEAR);
-}
-exports.annualizedVolatility = annualizedVolatility;
-/** 下行波动率（年化），只计算负收益 */
-function downsideVolatility(returns, riskFreeRate = 0) {
-    const downsideReturns = returns.filter((r) => r < riskFreeRate / TRADING_DAYS_PER_YEAR);
-    if (downsideReturns.length < 2)
-        return 0;
-    // 对低于无风险利率的收益计算标准差
-    const deviations = downsideReturns.map((r) => Math.pow(r - riskFreeRate / TRADING_DAYS_PER_YEAR, 2));
-    const meanSqDev = deviations.reduce((a, b) => a + b, 0) / returns.length; // 注意分母用总天数
-    return Math.sqrt(meanSqDev) * Math.sqrt(TRADING_DAYS_PER_YEAR);
-}
-exports.downsideVolatility = downsideVolatility;
-/**
- * 滚动波动率
- * @param returns 日收益率
- * @param window 滚动窗口大小
- */
-function rollingVolatility(returns, window = 20) {
-    const result = [];
-    for (let i = 0; i < returns.length; i++) {
-        if (i < window - 1) {
-            result.push(null);
-        }
-        else {
-            const slice = returns.slice(i - window + 1, i + 1);
-            result.push(ss.standardDeviation(slice) * Math.sqrt(TRADING_DAYS_PER_YEAR));
-        }
-    }
-    return result;
-}
-exports.rollingVolatility = rollingVolatility;
-/**
- * 波动率锥 - 不同时间窗口的波动率分位数分布
- * @param returns 日收益率
- * @param windows 要分析的时间窗口列表
- * @param quantiles 要计算的分位数列表
- */
-function volatilityCone(returns, windows = [5, 10, 20, 60, 120], quantiles = [0.1, 0.25, 0.5, 0.75, 0.9]) {
-    const cone = new Map();
-    for (const w of windows) {
-        const vols = [];
-        for (let i = w - 1; i < returns.length; i++) {
-            const slice = returns.slice(i - w + 1, i + 1);
-            vols.push(ss.standardDeviation(slice) * Math.sqrt(TRADING_DAYS_PER_YEAR));
-        }
-        const sorted = [...vols].sort((a, b) => a - b);
-        const qMap = new Map();
-        for (const q of quantiles) {
-            qMap.set(q, ss.quantileSorted(sorted, q));
-        }
-        cone.set(w, qMap);
-    }
-    return cone;
-}
-exports.volatilityCone = volatilityCone;
-// ============================================================
-// 最大回撤
-// ============================================================
-/**
- * 最大回撤分析
- * @param nav 净值序列
- * @param dates 可选日期序列
- */
-function maxDrawdown(nav, dates) {
-    if (nav.length < 2) {
-        return {
-            maxDrawdown: 0, peakIndex: 0, troughIndex: 0,
-            peakDate: null, troughDate: null, recoveryDate: null,
-            durationDays: 0, recoveryDays: null, drawdownSeries: [],
-        };
-    }
-    const drawdownSeries = [];
-    let peak = nav[0];
-    let peakIdx = 0;
-    let maxDD = 0;
-    let maxPeakIdx = 0;
-    let maxTroughIdx = 0;
-    for (let i = 0; i < nav.length; i++) {
-        if (nav[i] > peak) {
-            peak = nav[i];
-            peakIdx = i;
-        }
-        const dd = (nav[i] - peak) / peak;
-        drawdownSeries.push(dd);
-        if (dd < maxDD) {
-            maxDD = dd;
-            maxPeakIdx = peakIdx;
-            maxTroughIdx = i;
-        }
-    }
-    // 寻找恢复点
-    let recoveryIdx = null;
-    const peakValue = nav[maxPeakIdx];
-    for (let i = maxTroughIdx + 1; i < nav.length; i++) {
-        if (nav[i] >= peakValue) {
-            recoveryIdx = i;
-            break;
-        }
-    }
-    return {
-        maxDrawdown: maxDD,
-        peakIndex: maxPeakIdx,
-        troughIndex: maxTroughIdx,
-        peakDate: dates ? dates[maxPeakIdx] ?? null : null,
-        troughDate: dates ? dates[maxTroughIdx] ?? null : null,
-        recoveryDate: recoveryIdx != null && dates ? dates[recoveryIdx] ?? null : null,
-        durationDays: maxTroughIdx - maxPeakIdx,
-        recoveryDays: recoveryIdx != null ? recoveryIdx - maxTroughIdx : null,
-        drawdownSeries,
-    };
-}
-exports.maxDrawdown = maxDrawdown;
-/**
- * 最大回撤持续天数（从峰顶到下一次创新高）
- */
-function maxDrawdownDuration(nav) {
-    let maxDuration = 0;
-    let currentDuration = 0;
-    let peak = nav[0];
-    for (let i = 0; i < nav.length; i++) {
-        if (nav[i] >= peak) {
-            peak = nav[i];
-            currentDuration = 0;
-        }
-        else {
-            currentDuration++;
-            maxDuration = Math.max(maxDuration, currentDuration);
-        }
-    }
-    return maxDuration;
-}
-exports.maxDrawdownDuration = maxDrawdownDuration;
-// ============================================================
-// VaR / CVaR
-// ============================================================
-/**
- * VaR（在险价值）
- * @param returns 日收益率
- * @param confidence 置信度（默认 0.95）
- * @param method 计算方法：'historical'（历史模拟）| 'parametric'（参数法/正态假设）
- */
-function calculateVaR(returns, confidence = 0.95, method = 'historical') {
-    if (returns.length < 2)
-        return 0;
-    if (method === 'historical') {
-        const sorted = [...returns].sort((a, b) => a - b);
-        return ss.quantileSorted(sorted, 1 - confidence);
-    }
-    else {
-        // 参数法（正态分布假设）
-        const mean = ss.mean(returns);
-        const std = ss.standardDeviation(returns);
-        const z = jstat_1.jStat.normal.inv(1 - confidence, 0, 1);
-        return mean + z * std;
-    }
-}
-exports.calculateVaR = calculateVaR;
-/**
- * CVaR / Expected Shortfall（条件在险价值 / 预期亏损）
- * @param returns 日收益率
- * @param confidence 置信度（默认 0.95）
- */
-function calculateCVaR(returns, confidence = 0.95) {
-    if (returns.length < 2)
-        return 0;
-    const varValue = calculateVaR(returns, confidence, 'historical');
-    const tailReturns = returns.filter((r) => r <= varValue);
-    if (tailReturns.length === 0)
-        return varValue;
-    return ss.mean(tailReturns);
-}
-exports.calculateCVaR = calculateCVaR;
-// ============================================================
-// 风险指标汇总
-// ============================================================
-/**
- * 一次性计算所有风险指标
- * @param nav 净值序列
- * @param riskFreeRate 年化无风险利率（默认 0.025 = 2.5%）
- */
-function riskMetrics(nav, riskFreeRate = 0.025) {
-    const returns = navToReturns(nav);
-    const dd = maxDrawdown(nav);
-    return {
-        annualizedVolatility: annualizedVolatility(returns),
-        downsideVolatility: downsideVolatility(returns, riskFreeRate),
-        maxDrawdown: dd.maxDrawdown,
-        maxDrawdownDuration: maxDrawdownDuration(nav),
-        var95: calculateVaR(returns, 0.95),
-        var99: calculateVaR(returns, 0.99),
-        cvar95: calculateCVaR(returns, 0.95),
-        cvar99: calculateCVaR(returns, 0.99),
-    };
-}
-exports.riskMetrics = riskMetrics;
-// ============================================================
-// 绩效指标
-// ============================================================
-/**
- * 夏普比率 = (年化收益 - 无风险利率) / 年化波动率
- */
-function sharpeRatio(nav, riskFreeRate = 0.025) {
-    const returns = navToReturns(nav);
-    const annReturn = annualizeReturn(returns);
-    const annVol = annualizedVolatility(returns);
-    if (annVol === 0)
-        return 0;
-    return (annReturn - riskFreeRate) / annVol;
-}
-exports.sharpeRatio = sharpeRatio;
-/**
- * 索提诺比率 = (年化收益 - 无风险利率) / 下行波动率
- */
-function sortinoRatio(nav, riskFreeRate = 0.025) {
-    const returns = navToReturns(nav);
-    const annReturn = annualizeReturn(returns);
-    const dv = downsideVolatility(returns, riskFreeRate);
-    if (dv === 0)
-        return 0;
-    return (annReturn - riskFreeRate) / dv;
-}
-exports.sortinoRatio = sortinoRatio;
-/**
- * 卡尔玛比率 = 年化收益 / |最大回撤|
- */
-function calmarRatio(nav) {
-    const returns = navToReturns(nav);
-    const annReturn = annualizeReturn(returns);
-    const dd = maxDrawdown(nav);
-    if (dd.maxDrawdown === 0)
-        return 0;
-    return annReturn / Math.abs(dd.maxDrawdown);
-}
-exports.calmarRatio = calmarRatio;
-/**
- * 特雷诺比率 = (年化收益 - 无风险利率) / Beta
- * @param nav 基金净值
- * @param benchmarkNav 基准净值
- * @param riskFreeRate 无风险利率
- */
-function treynorRatio(nav, benchmarkNav, riskFreeRate = 0.025) {
-    const fundReturns = navToReturns(nav);
-    const benchReturns = navToReturns(benchmarkNav);
-    const minLen = Math.min(fundReturns.length, benchReturns.length);
-    const fRet = fundReturns.slice(-minLen);
-    const bRet = benchReturns.slice(-minLen);
-    const beta = calculateBeta(fRet, bRet);
-    if (beta === 0)
-        return null;
-    const annReturn = annualizeReturn(fRet);
-    return (annReturn - riskFreeRate) / beta;
-}
-exports.treynorRatio = treynorRatio;
-/**
- * Omega 比率 = 加权上行收益 / 加权下行亏损
- * @param nav 净值序列
- * @param threshold 阈值（默认 0）
- */
-function omegaRatio(nav, threshold = 0) {
-    const returns = navToReturns(nav);
-    const dailyThreshold = threshold / TRADING_DAYS_PER_YEAR;
-    let gains = 0;
-    let losses = 0;
-    for (const r of returns) {
-        if (r > dailyThreshold)
-            gains += r - dailyThreshold;
-        else
-            losses += dailyThreshold - r;
-    }
-    if (losses === 0)
-        return gains > 0 ? Infinity : 0;
-    return gains / losses;
-}
-exports.omegaRatio = omegaRatio;
-/** 胜率 = 正收益天数 / 总天数 */
-function winRate(returns) {
-    if (returns.length === 0)
-        return 0;
-    const wins = returns.filter((r) => r > 0).length;
-    return wins / returns.length;
-}
-exports.winRate = winRate;
-/** 盈亏比 = 平均盈利 / 平均亏损的绝对值 */
-function profitLossRatio(returns) {
-    const wins = returns.filter((r) => r > 0);
-    const losses = returns.filter((r) => r < 0);
-    if (losses.length === 0)
-        return wins.length > 0 ? Infinity : 0;
-    const avgWin = wins.length > 0 ? ss.mean(wins) : 0;
-    const avgLoss = Math.abs(ss.mean(losses));
-    if (avgLoss === 0)
-        return 0;
-    return avgWin / avgLoss;
-}
-exports.profitLossRatio = profitLossRatio;
-/** 利润因子 = 总盈利 / 总亏损 */
-function profitFactor(returns) {
-    const totalWins = returns.filter((r) => r > 0).reduce((a, b) => a + b, 0);
-    const totalLosses = Math.abs(returns.filter((r) => r < 0).reduce((a, b) => a + b, 0));
-    if (totalLosses === 0)
-        return totalWins > 0 ? Infinity : 0;
-    return totalWins / totalLosses;
-}
-exports.profitFactor = profitFactor;
-/** 最大连续盈利/亏损天数 */
-function consecutiveWinLoss(returns) {
-    let maxWins = 0, maxLosses = 0;
-    let curWins = 0, curLosses = 0;
-    for (const r of returns) {
-        if (r > 0) {
-            curWins++;
-            curLosses = 0;
-            maxWins = Math.max(maxWins, curWins);
-        }
-        else if (r < 0) {
-            curLosses++;
-            curWins = 0;
-            maxLosses = Math.max(maxLosses, curLosses);
-        }
-        else {
-            curWins = 0;
-            curLosses = 0;
-        }
-    }
-    return { maxWins, maxLosses };
-}
-exports.consecutiveWinLoss = consecutiveWinLoss;
-/**
- * 一次性计算所有绩效指标
- * @param nav 净值序列
- * @param riskFreeRate 年化无风险利率
- */
-function performanceMetrics(nav, riskFreeRate = 0.025) {
-    const returns = navToReturns(nav);
-    const consec = consecutiveWinLoss(returns);
-    const dd = maxDrawdown(nav);
-    const annReturn = annualizeReturn(returns);
-    const annVol = annualizedVolatility(returns);
-    const dv = downsideVolatility(returns, riskFreeRate);
-    return {
-        totalReturn: totalReturn(nav),
-        annualizedReturn: annReturn,
-        sharpeRatio: annVol > 0 ? (annReturn - riskFreeRate) / annVol : 0,
-        sortinoRatio: dv > 0 ? (annReturn - riskFreeRate) / dv : 0,
-        calmarRatio: dd.maxDrawdown !== 0 ? annReturn / Math.abs(dd.maxDrawdown) : 0,
-        treynorRatio: null, // 需要基准数据，单独计算
-        omegaRatio: omegaRatio(nav),
-        winRate: winRate(returns),
-        profitLossRatio: profitLossRatio(returns),
-        profitFactor: profitFactor(returns),
-        maxConsecutiveWins: consec.maxWins,
-        maxConsecutiveLosses: consec.maxLosses,
-    };
-}
-exports.performanceMetrics = performanceMetrics;
-// ============================================================
-// 相对基准指标（Alpha / Beta / 跟踪误差 / 信息比率）
-// ============================================================
-/** Beta 系数 */
-function calculateBeta(fundReturns, benchmarkReturns) {
-    const minLen = Math.min(fundReturns.length, benchmarkReturns.length);
-    const f = fundReturns.slice(-minLen);
-    const b = benchmarkReturns.slice(-minLen);
-    const cov = ss.sampleCovariance(f, b);
-    const bVar = ss.variance(b);
-    return bVar > 0 ? cov / bVar : 0;
-}
-exports.calculateBeta = calculateBeta;
-/** Alpha（年化超额收益） */
-function calculateAlpha(fundReturns, benchmarkReturns, riskFreeRate = 0.025) {
-    const minLen = Math.min(fundReturns.length, benchmarkReturns.length);
-    const f = fundReturns.slice(-minLen);
-    const b = benchmarkReturns.slice(-minLen);
-    const fAnnReturn = annualizeReturn(f);
-    const bAnnReturn = annualizeReturn(b);
-    const beta = calculateBeta(f, b);
-    return fAnnReturn - (riskFreeRate + beta * (bAnnReturn - riskFreeRate));
-}
-exports.calculateAlpha = calculateAlpha;
-/** 跟踪误差（年化） */
-function trackingError(fundReturns, benchmarkReturns) {
-    const minLen = Math.min(fundReturns.length, benchmarkReturns.length);
-    const f = fundReturns.slice(-minLen);
-    const b = benchmarkReturns.slice(-minLen);
-    const excessReturns = f.map((r, i) => r - b[i]);
-    return ss.standardDeviation(excessReturns) * Math.sqrt(TRADING_DAYS_PER_YEAR);
-}
-exports.trackingError = trackingError;
-/** 信息比率 = 超额收益 / 跟踪误差 */
-function informationRatio(fundReturns, benchmarkReturns) {
-    const minLen = Math.min(fundReturns.length, benchmarkReturns.length);
-    const f = fundReturns.slice(-minLen);
-    const b = benchmarkReturns.slice(-minLen);
-    const excessReturns = f.map((r, i) => r - b[i]);
-    const meanExcess = ss.mean(excessReturns) * TRADING_DAYS_PER_YEAR;
-    const te = ss.standardDeviation(excessReturns) * Math.sqrt(TRADING_DAYS_PER_YEAR);
-    return te > 0 ? meanExcess / te : 0;
-}
-exports.informationRatio = informationRatio;
-/**
- * 一次性计算所有相对基准指标
- * @param fundNav 基金净值序列
- * @param benchmarkNav 基准净值序列（如沪深300净值）
- * @param riskFreeRate 年化无风险利率
- */
-function benchmarkMetrics(fundNav, benchmarkNav, riskFreeRate = 0.025) {
-    const fundReturns = navToReturns(fundNav);
-    const benchReturns = navToReturns(benchmarkNav);
-    const minLen = Math.min(fundReturns.length, benchReturns.length);
-    const f = fundReturns.slice(-minLen);
-    const b = benchReturns.slice(-minLen);
-    const beta = calculateBeta(f, b);
-    const alpha = calculateAlpha(f, b, riskFreeRate);
-    const te = trackingError(f, b);
-    const ir = te > 0 ? informationRatio(f, b) : 0;
-    const corr = ss.sampleCorrelation(f, b);
-    // R² = correlation²
-    const rSquared = corr * corr;
-    return {
-        alpha,
-        beta,
-        trackingError: te,
-        informationRatio: ir,
-        correlation: corr,
-        rSquared,
-    };
-}
-exports.benchmarkMetrics = benchmarkMetrics;
-//# sourceMappingURL=risk.js.map

package/dist/risk.js.map

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

@@ -1,78 +0,0 @@
-/**
- * 统计特征模块
- * 包含：偏度、峰度、赫斯特指数、自相关、Jarque-Bera 检验等
- */
-import { NavSeries, ReturnSeries, StatisticalFeatures, HurstResult, AutocorrelationResult } from './types';
-/**
- * 计算收益率的完整统计特征
- * @param nav 净值序列（自动转换为收益率）
- */
-export declare function statisticalFeatures(nav: NavSeries): StatisticalFeatures;
-/**
- * 计算净值序列（而非收益率）的统计特征
- * @param nav 净值序列
- */
-export declare function navStatisticalFeatures(nav: NavSeries): StatisticalFeatures;
-/**
- * 赫斯特指数 - 通过 R/S 分析（重极差分析）计算
- *
- * 结果解读：
- * - H > 0.5：趋势性（persistent），过去涨未来大概率继续涨
- * - H < 0.5：均值回归（anti-persistent），过去涨未来大概率回落
- * - H ≈ 0.5：随机游走，无可预测性
- *
- * @param nav 净值序列
- * @param minWindowSize 最小窗口大小（默认16）
- * @param maxWindowSize 最大窗口大小（默认为序列长度的1/2）
- * @param numPoints 采样点数（默认10）
- */
-export declare function hurstExponent(nav: NavSeries, minWindowSize?: number, maxWindowSize?: number, numPoints?: number): HurstResult;
-/**
- * 计算收益率序列的自相关系数（ACF）
- * @param nav 净值序列
- * @param maxLag 最大滞后阶数（默认20）
- */
-export declare function autocorrelation(nav: NavSeries, maxLag?: number): AutocorrelationResult;
-/**
- * Ljung-Box 检验 - 检测自相关的统计显著性
- * @param returns 收益率序列
- * @param maxLag 最大滞后阶数
- * @returns Q 统计量和 p 值近似
- */
-export declare function ljungBoxTest(returns: ReturnSeries, maxLag?: number): {
-    qStatistic: number;
-    approximatePValue: number;
-};
-/**
- * 收益率分位数分析
- * @param nav 净值序列
- * @param quantiles 要计算的分位数列表
- */
-export declare function returnQuantiles(nav: NavSeries, quantiles?: number[]): Map<number, number>;
-/**
- * 偏度的滚动计算
- * @param returns 收益率序列
- * @param window 滚动窗口
- */
-export declare function rollingSkewness(returns: ReturnSeries, window?: number): (number | null)[];
-/**
- * 峰度的滚动计算
- * @param returns 收益率序列
- * @param window 滚动窗口
- */
-export declare function rollingKurtosis(returns: ReturnSeries, window?: number): (number | null)[];
-/**
- * GARCH(1,1) 波动率预测 - 简化版
- * 使用矩估计法近似参数，非最大似然估计
- *
- * @param returns 收益率序列
- * @returns 条件方差序列和预测的下一期方差
- */
-export declare function garch11(returns: ReturnSeries): {
-    conditionalVariance: number[];
-    nextPeriodForecast: number;
-    omega: number;
-    alpha: number;
-    beta: number;
-};
-//# sourceMappingURL=statistics.d.ts.map

package/dist/statistics.d.ts.map

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