@stvy/fund-indicators 1.0.0 → 1.0.5

package/test/index.test.ts

@@ -0,0 +1,355 @@
+/**
+ * 基金指标工具库 - 验证测试
+ * 使用模拟净值数据验证所有指标的计算
+ */
+
+import * as indicators from '../src/index';
+
+// ============================================================
+// 生成模拟净值数据
+// ============================================================
+
+function generateMockNav(days: number = 500, startNav: number = 1.0, seed: number = 42): number[] {
+  const nav: number[] = [startNav];
+  let s = seed;
+  const random = () => {
+    s = (s * 1103515245 + 12345) & 0x7fffffff;
+    return s / 0x7fffffff;
+  };
+
+  for (let i = 1; i < days; i++) {
+    // 模拟一个有趋势和波动的净值序列
+    const trend = 0.0003; // 日均涨幅 ~0.03%（年化约7%）
+    const volatility = 0.015; // 日波动率 ~1.5%
+    const r1 = random();
+    const r2 = random();
+    // Box-Muller 正态分布
+    const z = Math.sqrt(-2 * Math.log(r1 || 0.001)) * Math.cos(2 * Math.PI * r2);
+    const dailyReturn = trend + volatility * z;
+    nav.push(nav[i - 1] * (1 + dailyReturn));
+  }
+  return nav;
+}
+
+function generateBenchmarkNav(days: number = 500): number[] {
+  return generateMockNav(days, 1.0, 123);
+}
+
+// ============================================================
+// 测试工具
+// ============================================================
+
+let passed = 0;
+let failed = 0;
+
+function assert(condition: boolean, message: string) {
+  if (condition) {
+    passed++;
+    console.log(`  [PASS] ${message}`);
+  } else {
+    failed++;
+    console.log(`  [FAIL] ${message}`);
+  }
+}
+
+function section(name: string) {
+  console.log(`\n${'='.repeat(60)}`);
+  console.log(`  ${name}`);
+  console.log('='.repeat(60));
+}
+
+// ============================================================
+// 运行测试
+// ============================================================
+
+const nav = generateMockNav(500);
+const benchmarkNav = generateBenchmarkNav(500);
+
+console.log(`\n模拟数据: ${nav.length} 天净值`);
+console.log(`起始净值: ${nav[0].toFixed(4)}, 最新净值: ${nav[nav.length - 1].toFixed(4)}`);
+console.log(`累计收益: ${(indicators.totalReturn(nav) * 100).toFixed(2)}%\n`);
+
+// ---- 技术指标 ----
+section('技术指标 - 均线');
+
+const sma20 = indicators.sma(nav, 20);
+assert(sma20.values.length === nav.length, 'SMA 输出长度与输入一致');
+assert(sma20.current != null, `SMA(20) 当前值: ${sma20.current?.toFixed(4)}`);
+assert(sma20.values[0] === null, 'SMA 前 N-1 个为 null');
+
+const ema20 = indicators.ema(nav, 20);
+assert(ema20.current != null, `EMA(20) 当前值: ${ema20.current?.toFixed(4)}`);
+
+const kama10 = indicators.kama(nav, 10);
+assert(kama10.current != null, `KAMA(10) 当前值: ${kama10.current?.toFixed(4)}`);
+
+const demaResult = indicators.dema(nav, 20);
+assert(demaResult.current != null, `DEMA(20) 当前值: ${demaResult.current?.toFixed(4)}`);
+
+// ---- MACD ----
+section('技术指标 - MACD');
+
+const macdResult = indicators.macd(nav);
+assert(macdResult.currentDIF != null, `MACD DIF: ${macdResult.currentDIF?.toFixed(6)}`);
+assert(macdResult.currentDEA != null, `MACD DEA: ${macdResult.currentDEA?.toFixed(6)}`);
+assert(macdResult.currentHistogram != null, `MACD 柱状线: ${macdResult.currentHistogram?.toFixed(6)}`);
+
+// ---- RSI ----
+section('技术指标 - RSI');
+
+const rsi14 = indicators.rsi(nav, 14);
+assert(rsi14.current != null && rsi14.current >= 0 && rsi14.current <= 100,
+  `RSI(14): ${rsi14.current?.toFixed(2)}（范围 0-100）`);
+
+// ---- KDJ ----
+section('技术指标 - KDJ');
+
+const kdjResult = indicators.kdj(nav);
+assert(kdjResult.currentK != null, `KDJ K: ${kdjResult.currentK?.toFixed(2)}`);
+assert(kdjResult.currentD != null, `KDJ D: ${kdjResult.currentD?.toFixed(2)}`);
+assert(kdjResult.currentJ != null, `KDJ J: ${kdjResult.currentJ?.toFixed(2)}`);
+
+// ---- 布林带 ----
+section('技术指标 - 布林带');
+
+const bb = indicators.bollingerBands(nav);
+assert(bb.middle[nav.length - 1] != null, '布林带中轨有值');
+assert(bb.upper[nav.length - 1] != null && bb.lower[nav.length - 1] != null,
+  `布林带: 上轨=${bb.upper[nav.length - 1]?.toFixed(4)}, 下轨=${bb.lower[nav.length - 1]?.toFixed(4)}`);
+
+const lastBB_U = bb.upper[nav.length - 1]!;
+const lastBB_L = bb.lower[nav.length - 1]!;
+const lastBB_M = bb.middle[nav.length - 1]!;
+assert(lastBB_U > lastBB_M && lastBB_M > lastBB_L, '上轨 > 中轨 > 下轨');
+
+// ---- 通道 ----
+section('技术指标 - 通道');
+
+const dc = indicators.donchianChannel(nav, 20);
+assert(dc.upper[nav.length - 1] != null, `唐奇安通道上轨: ${dc.upper[nav.length - 1]?.toFixed(4)}`);
+
+const kc = indicators.keltnerChannel(nav);
+assert(kc.upper[nav.length - 1] != null, `肯特纳通道上轨: ${kc.upper[nav.length - 1]?.toFixed(4)}`);
+
+// ---- 其他技术指标 ----
+section('技术指标 - 其他');
+
+const adxResult = indicators.adx(nav);
+assert(adxResult.currentADX != null, `ADX: ${adxResult.currentADX?.toFixed(2)}`);
+
+const cciResult = indicators.cci(nav);
+assert(cciResult.current != null, `CCI: ${cciResult.current?.toFixed(2)}`);
+
+const rocResult = indicators.roc(nav, 12);
+assert(rocResult.current != null, `ROC(12): ${rocResult.current?.toFixed(4)}`);
+
+const momResult = indicators.momentum(nav, 10);
+assert(momResult.current != null, `Momentum(10): ${momResult.current?.toFixed(4)}`);
+
+const biasResult = indicators.bias(nav, 20);
+assert(biasResult.current != null, `BIAS(20): ${biasResult.current?.toFixed(4)}%`);
+
+const trixResult = indicators.trix(nav, 12);
+assert(trixResult.current != null, `TRIX(12): ${trixResult.current?.toFixed(4)}`);
+
+const pctile = indicators.navPercentile(nav);
+assert(pctile >= 0 && pctile <= 100, `净值百分位: ${pctile.toFixed(2)}%`);
+
+// ---- 均线交叉 ----
+section('均线交叉信号');
+
+const crossSignal = indicators.detectCrossSignal(sma20, ema20);
+console.log(`  最近交叉信号: ${crossSignal.type} (index: ${crossSignal.index})`);
+
+const alignment = indicators.detectMAAlignment([
+  indicators.sma(nav, 5),
+  indicators.sma(nav, 10),
+  indicators.sma(nav, 20),
+  indicators.sma(nav, 60),
+]);
+console.log(`  均线排列: ${alignment.alignment}, 发散度: ${alignment.divergence.toFixed(6)}`);
+
+// ---- 风险指标 ----
+section('风险与波动指标');
+
+const returns = indicators.navToReturns(nav);
+assert(returns.length === nav.length - 1, `收益率序列长度: ${returns.length}`);
+
+const annVol = indicators.annualizedVolatility(returns);
+assert(annVol > 0, `年化波动率: ${(annVol * 100).toFixed(2)}%`);
+
+const ddVol = indicators.downsideVolatility(returns);
+assert(ddVol > 0, `下行波动率: ${(ddVol * 100).toFixed(2)}%`);
+
+const dd = indicators.maxDrawdown(nav);
+assert(dd.maxDrawdown < 0, `最大回撤: ${(dd.maxDrawdown * 100).toFixed(2)}%`);
+assert(dd.durationDays >= 0, `回撤持续天数: ${dd.durationDays}`);
+
+const var95 = indicators.calculateVaR(returns, 0.95);
+assert(var95 < 0, `VaR(95%): ${(var95 * 100).toFixed(4)}%`);
+
+const cvar95 = indicators.calculateCVaR(returns, 0.95);
+assert(cvar95 <= var95, `CVaR(95%): ${(cvar95 * 100).toFixed(4)}%`);
+
+const rm = indicators.riskMetrics(nav);
+assert(rm.var99 < rm.var95, `VaR(99%) < VaR(95%): ${(rm.var99 * 100).toFixed(4)}% < ${(rm.var95 * 100).toFixed(4)}%`);
+
+// ---- 绩效指标 ----
+section('绩效评价指标');
+
+const sharpe = indicators.sharpeRatio(nav);
+console.log(`  夏普比率: ${sharpe.toFixed(4)}`);
+
+const sortino = indicators.sortinoRatio(nav);
+console.log(`  索提诺比率: ${sortino.toFixed(4)}`);
+
+const calmar = indicators.calmarRatio(nav);
+console.log(`  卡尔玛比率: ${calmar.toFixed(4)}`);
+
+const omega = indicators.omegaRatio(nav);
+console.log(`  Omega 比率: ${omega.toFixed(4)}`);
+
+const wr = indicators.winRate(returns);
+console.log(`  胜率: ${(wr * 100).toFixed(2)}%`);
+
+const plr = indicators.profitLossRatio(returns);
+console.log(`  盈亏比: ${plr.toFixed(4)}`);
+
+const pf = indicators.profitFactor(returns);
+console.log(`  利润因子: ${pf.toFixed(4)}`);
+
+const consec = indicators.consecutiveWinLoss(returns);
+console.log(`  最大连续盈利: ${consec.maxWins} 天, 最大连续亏损: ${consec.maxLosses} 天`);
+
+const pm = indicators.performanceMetrics(nav);
+assert(pm.sharpeRatio !== 0 || pm.annualizedReturn === 0, '绩效指标汇总计算成功');
+
+// ---- 基准对比 ----
+section('基准对比指标（Alpha/Beta/跟踪误差）');
+
+const bm = indicators.benchmarkMetrics(nav, benchmarkNav);
+console.log(`  Alpha: ${(bm.alpha * 100).toFixed(2)}%`);
+console.log(`  Beta: ${bm.beta.toFixed(4)}`);
+console.log(`  跟踪误差: ${(bm.trackingError * 100).toFixed(2)}%`);
+console.log(`  信息比率: ${bm.informationRatio.toFixed(4)}`);
+console.log(`  相关系数: ${bm.correlation.toFixed(4)}`);
+console.log(`  R²: ${bm.rSquared.toFixed(4)}`);
+
+// ---- 统计特征 ----
+section('统计特征');
+
+const stats = indicators.statisticalFeatures(nav);
+console.log(`  均值: ${(stats.mean * 100).toFixed(4)}%`);
+console.log(`  标准差: ${(stats.stdDev * 100).toFixed(4)}%`);
+console.log(`  偏度: ${stats.skewness.toFixed(4)}`);
+console.log(`  峰度: ${stats.kurtosis.toFixed(4)}`);
+console.log(`  Jarque-Bera: ${stats.jarqueBera.toFixed(2)}`);
+
+// ---- Hurst 指数 ----
+section('赫斯特指数');
+
+const hurst = indicators.hurstExponent(nav);
+console.log(`  Hurst 指数: ${hurst.hurstExponent.toFixed(4)}`);
+console.log(`  解读: ${hurst.interpretation}`);
+console.log(`  R²: ${hurst.rSquared.toFixed(4)}`);
+assert(hurst.hurstExponent >= 0 && hurst.hurstExponent <= 1, 'Hurst 指数在 [0,1] 范围内');
+
+// ---- 自相关 ----
+section('自相关分析');
+
+const acf = indicators.autocorrelation(nav, 10);
+console.log(`  Lag-0: ${acf.coefficients[0].toFixed(4)}`);
+console.log(`  Lag-1: ${acf.coefficients[1]?.toFixed(4) ?? 'N/A'}`);
+console.log(`  解读: ${acf.interpretation}`);
+
+const lb = indicators.ljungBoxTest(returns, 10);
+console.log(`  Ljung-Box Q: ${lb.qStatistic.toFixed(4)}, p-value: ${lb.approximatePValue.toFixed(4)}`);
+
+// ---- GARCH ----
+section('GARCH(1,1) 波动率预测');
+
+const garch = indicators.garch11(returns);
+console.log(`  omega: ${garch.omega.toFixed(8)}`);
+console.log(`  alpha: ${garch.alpha.toFixed(4)}`);
+console.log(`  beta: ${garch.beta.toFixed(4)}`);
+console.log(`  下期波动率预测: ${(Math.sqrt(garch.nextPeriodForecast) * Math.sqrt(242) * 100).toFixed(2)}% (年化)`);
+
+// ---- 定投分析 ----
+section('定投模拟');
+
+const dcaResult = indicators.simulateDCA(nav, { amount: 1000, interval: 22 });
+console.log(`  定投次数: ${dcaResult.totalInvestments}`);
+console.log(`  总投入: ¥${dcaResult.totalInvested.toFixed(2)}`);
+console.log(`  当前市值: ¥${dcaResult.currentValue.toFixed(2)}`);
+console.log(`  平均成本: ${dcaResult.averageCost.toFixed(4)}`);
+console.log(`  收益率: ${(dcaResult.returnRate * 100).toFixed(2)}%`);
+console.log(`  IRR: ${dcaResult.irr != null ? (dcaResult.irr * 100).toFixed(2) + '%' : 'N/A'}`);
+
+// ---- 止盈止损 ----
+section('止盈止损信号');
+
+const costPrice = nav[Math.floor(nav.length / 2)]; // 假设中间位置买入
+const tpSl = indicators.takeProfitStopLoss(nav, costPrice, 0.3, -0.15);
+console.log(`  成本价: ${costPrice.toFixed(4)}`);
+console.log(`  当前盈亏: ${(tpSl.currentPnL * 100).toFixed(2)}%`);
+console.log(`  触发止盈: ${tpSl.takeProfitTriggered}`);
+console.log(`  触发止损: ${tpSl.stopLossTriggered}`);
+
+const trail = indicators.trailingStop(nav, 0.1, costPrice);
+console.log(`  跟踪止盈触发: ${trail.triggered}`);
+console.log(`  最高点回撤: ${(trail.drawdownFromPeak * 100).toFixed(2)}%`);
+
+// ---- 智能定投 ----
+section('智能定投');
+
+const sm = indicators.safetyMargin(nav);
+console.log(`  安全边际(距历史高点回撤): ${(sm * 100).toFixed(2)}%`);
+
+const pp = indicators.pricePosition(nav);
+console.log(`  历史价格位置: ${(pp * 100).toFixed(2)}%`);
+
+const smartMult = indicators.smartDCAMultiplier(nav);
+console.log(`  智能定投倍数: ${smartMult.toFixed(2)}x`);
+
+const buyLevel = indicators.tieredBuySignal(nav);
+console.log(`  分批买入层级: ${buyLevel}`);
+
+const sellLevel = indicators.tieredSellSignal(nav);
+console.log(`  分批卖出层级: ${sellLevel}`);
+
+// ---- 形态识别 ----
+section('形态识别');
+
+const sr = indicators.supportResistance(nav);
+console.log(`  支撑位数量: ${sr.supports.length}`);
+if (sr.supports.length > 0) {
+  console.log(`  最近支撑: ${sr.supports[0].level.toFixed(4)} (强度: ${sr.supports[0].strength.toFixed(4)})`);
+}
+console.log(`  阻力位数量: ${sr.resistances.length}`);
+if (sr.resistances.length > 0) {
+  console.log(`  最近阻力: ${sr.resistances[0].level.toFixed(4)} (强度: ${sr.resistances[0].strength.toFixed(4)})`);
+}
+
+const dbt = indicators.doubleBottomTop(nav, 60);
+console.log(`  双底/双顶: ${dbt.type} (confidence: ${dbt.confidence.toFixed(2)})`);
+
+const gaps = indicators.detectGaps(nav, 0.02);
+console.log(`  缺口数量: ${gaps.length}`);
+for (const g of gaps.slice(0, 3)) {
+  console.log(`    ${g.type} @ index ${g.startIndex}, 大小: ${(g.gapSize * 100).toFixed(2)}%, 已回补: ${g.filled}`);
+}
+
+const ts = indicators.trendStrength(nav, 20);
+console.log(`  趋势强度评分: ${ts.toFixed(2)}/100`);
+
+const hs = indicators.headAndShoulders(nav, 90);
+console.log(`  头肩形态: ${hs.type} (confidence: ${hs.confidence.toFixed(2)})`);
+
+// ---- 汇总 ----
+section('测试结果汇总');
+console.log(`\n  通过: ${passed}`);
+console.log(`  失败: ${failed}`);
+console.log(`  总计: ${passed + failed}`);
+console.log(`  结果: ${failed === 0 ? 'ALL PASSED' : 'SOME FAILED'}\n`);
+
+process.exit(failed > 0 ? 1 : 0);

package/tsconfig.json

@@ -0,0 +1,20 @@
+{
+  "compilerOptions": {
+    "target": "ES2020",
+    "module": "Node16",
+    "lib": ["ES2020"],
+    "outDir": "./dist",
+    "rootDir": "./src",
+    "strict": true,
+    "esModuleInterop": true,
+    "skipLibCheck": true,
+    "forceConsistentCasingInFileNames": true,
+    "declaration": true,
+    "declarationMap": true,
+    "sourceMap": true,
+    "resolveJsonModule": true,
+    "moduleResolution": "Node16",
+  },
+  "include": ["src/**/*"],
+  "exclude": ["node_modules", "dist", "test"],
+}