@stvy/fund-indicators 1.0.0 → 1.0.5

package/dist/statistics.js

@@ -1,402 +0,0 @@
-"use strict";
-/**
- * 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
- */
-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.garch11 = exports.rollingKurtosis = exports.rollingSkewness = exports.returnQuantiles = exports.ljungBoxTest = exports.autocorrelation = exports.hurstExponent = exports.navStatisticalFeatures = exports.statisticalFeatures = void 0;
-const ss = __importStar(require("simple-statistics"));
-const risk_1 = require("./risk");
-// ============================================================
-// 统计特征汇总
-// ============================================================
-/**
- * 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）
- */
-function statisticalFeatures(nav) {
-    const returns = (0, risk_1.navToReturns)(nav);
-    if (returns.length < 4) {
-        return {
-            mean: 0, median: 0, stdDev: 0, skewness: 0, kurtosis: 0,
-            min: 0, max: 0, range: 0, coefficientOfVariation: 0, jarqueBera: 0,
-        };
-    }
-    const mean = ss.mean(returns);
-    const median = ss.median(returns);
-    const stdDev = ss.standardDeviation(returns);
-    const skewness = ss.sampleSkewness(returns);
-    const kurtosis = ss.sampleKurtosis(returns);
-    const min = ss.min(returns);
-    const max = ss.max(returns);
-    const range = max - min;
-    const coefficientOfVariation = mean !== 0 ? stdDev / Math.abs(mean) : 0;
-    // Jarque-Bera 检验 = n/6 * (S² + K²/4)
-    const n = returns.length;
-    const jarqueBera = (n / 6) * (skewness * skewness + (kurtosis * kurtosis) / 4);
-    return {
-        mean, median, stdDev, skewness, kurtosis,
-        min, max, range, coefficientOfVariation, jarqueBera,
-    };
-}
-exports.statisticalFeatures = statisticalFeatures;
-/**
- * 计算净值序列（而非收益率）的统计特征
- * @param nav 净值序列
- */
-function navStatisticalFeatures(nav) {
-    if (nav.length < 4) {
-        return {
-            mean: 0, median: 0, stdDev: 0, skewness: 0, kurtosis: 0,
-            min: 0, max: 0, range: 0, coefficientOfVariation: 0, jarqueBera: 0,
-        };
-    }
-    const mean = ss.mean(nav);
-    const median = ss.median(nav);
-    const stdDev = ss.standardDeviation(nav);
-    const skewness = ss.sampleSkewness(nav);
-    const kurtosis = ss.sampleKurtosis(nav);
-    const min = ss.min(nav);
-    const max = ss.max(nav);
-    const range = max - min;
-    const coefficientOfVariation = mean !== 0 ? stdDev / Math.abs(mean) : 0;
-    const n = nav.length;
-    const jarqueBera = (n / 6) * (skewness * skewness + (kurtosis * kurtosis) / 4);
-    return {
-        mean, median, stdDev, skewness, kurtosis,
-        min, max, range, coefficientOfVariation, jarqueBera,
-    };
-}
-exports.navStatisticalFeatures = navStatisticalFeatures;
-// ============================================================
-// 赫斯特指数 (R/S Analysis)
-// ============================================================
-/**
- * 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）
- */
-function hurstExponent(nav, minWindowSize = 16, maxWindowSize, numPoints = 10) {
-    const returns = (0, risk_1.navToReturns)(nav);
-    const n = returns.length;
-    if (n < minWindowSize * 2) {
-        return {
-            hurstExponent: 0.5,
-            interpretation: 'random_walk',
-            dataPoints: [],
-            rSquared: 0,
-        };
-    }
-    const maxWin = maxWindowSize ?? Math.floor(n / 2);
-    const dataPoints = [];
-    // 生成不同窗口大小（对数等间距）
-    const logMin = Math.log(minWindowSize);
-    const logMax = Math.log(maxWin);
-    for (let p = 0; p < numPoints; p++) {
-        const logWindowSize = logMin + (p / (numPoints - 1)) * (logMax - logMin);
-        const windowSize = Math.floor(Math.exp(logWindowSize));
-        if (windowSize < 2 || windowSize > n)
-            continue;
-        // 将数据分为多个大小为 windowSize 的子区间
-        const numSubPeriods = Math.floor(n / windowSize);
-        if (numSubPeriods < 1)
-            continue;
-        let totalRS = 0;
-        let validCount = 0;
-        for (let s = 0; s < numSubPeriods; s++) {
-            const start = s * windowSize;
-            const subPeriod = returns.slice(start, start + windowSize);
-            const mean = ss.mean(subPeriod);
-            const std = ss.standardDeviation(subPeriod);
-            if (std === 0)
-                continue;
-            // 计算累积偏差序列
-            const cumDeviations = [];
-            let cumDev = 0;
-            for (const r of subPeriod) {
-                cumDev += r - mean;
-                cumDeviations.push(cumDev);
-            }
-            // R = max(cumDev) - min(cumDev)
-            const range = Math.max(...cumDeviations) - Math.min(...cumDeviations);
-            // S = 标准差
-            const rs = range / std;
-            totalRS += rs;
-            validCount++;
-        }
-        if (validCount > 0) {
-            const avgRS = totalRS / validCount;
-            dataPoints.push({ logN: Math.log(windowSize), logRS: Math.log(avgRS) });
-        }
-    }
-    if (dataPoints.length < 3) {
-        return {
-            hurstExponent: 0.5,
-            interpretation: 'random_walk',
-            dataPoints,
-            rSquared: 0,
-        };
-    }
-    // 对 log(N) 和 log(R/S) 做线性回归，斜率即为 Hurst 指数
-    const regressionData = dataPoints.map((d) => [d.logN, d.logRS]);
-    const regression = ss.linearRegression(regressionData);
-    const H = regression.m;
-    // 计算 R²
-    const predicted = dataPoints.map((d) => regression.m * d.logN + regression.b);
-    const actual = dataPoints.map((d) => d.logRS);
-    const meanActual = ss.mean(actual);
-    const ssTotal = actual.reduce((sum, v) => sum + (v - meanActual) ** 2, 0);
-    const ssResidual = actual.reduce((sum, v, i) => sum + (v - predicted[i]) ** 2, 0);
-    const rSquared = ssTotal > 0 ? 1 - ssResidual / ssTotal : 0;
-    // 判断结果
-    let interpretation;
-    if (H > 0.55)
-        interpretation = 'trending';
-    else if (H < 0.45)
-        interpretation = 'mean_reverting';
-    else
-        interpretation = 'random_walk';
-    return {
-        hurstExponent: Math.max(0, Math.min(1, H)), // 限制在 [0, 1]
-        interpretation,
-        dataPoints,
-        rSquared,
-    };
-}
-exports.hurstExponent = hurstExponent;
-// ============================================================
-// 自相关分析
-// ============================================================
-/**
- * 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）
- */
-function autocorrelation(nav, maxLag = 20) {
-    const returns = (0, risk_1.navToReturns)(nav);
-    const n = returns.length;
-    if (n < maxLag + 2) {
-        maxLag = Math.max(1, n - 2);
-    }
-    const mean = ss.mean(returns);
-    const variance = returns.reduce((sum, r) => sum + (r - mean) ** 2, 0) / n;
-    const coefficients = [];
-    for (let lag = 0; lag <= maxLag; lag++) {
-        if (variance === 0) {
-            coefficients.push(lag === 0 ? 1 : 0);
-            continue;
-        }
-        let cov = 0;
-        for (let i = 0; i < n - lag; i++) {
-            cov += (returns[i] - mean) * (returns[i + lag] - mean);
-        }
-        cov /= n;
-        coefficients.push(cov / variance);
-    }
-    // 判断趋势持续性（基于 lag=1 的自相关系数）
-    let interpretation;
-    const lag1 = coefficients.length > 1 ? coefficients[1] : 0;
-    if (lag1 > 0.05)
-        interpretation = 'persistent';
-    else if (lag1 < -0.05)
-        interpretation = 'anti_persistent';
-    else
-        interpretation = 'no_correlation';
-    return { coefficients, maxLag, interpretation };
-}
-exports.autocorrelation = autocorrelation;
-/**
- * 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
- */
-function ljungBoxTest(returns, maxLag = 10) {
-    const n = returns.length;
-    const mean = ss.mean(returns);
-    const variance = returns.reduce((sum, r) => sum + (r - mean) ** 2, 0) / n;
-    if (variance === 0)
-        return { qStatistic: 0, approximatePValue: 1 };
-    // 计算各滞后期的自相关系数
-    const acf = [];
-    for (let k = 1; k <= maxLag; k++) {
-        let cov = 0;
-        for (let i = 0; i < n - k; i++) {
-            cov += (returns[i] - mean) * (returns[i + k] - mean);
-        }
-        cov /= n;
-        acf.push(cov / variance);
-    }
-    // Q = n(n+2) * Σ(ρk² / (n-k))
-    let q = 0;
-    for (let k = 0; k < maxLag; k++) {
-        q += (acf[k] * acf[k]) / (n - k - 1);
-    }
-    q *= n * (n + 2);
-    // p-value 近似（卡方分布，自由度=maxLag）
-    // 使用简化的正态近似
-    const df = maxLag;
-    const z = Math.pow(q / df, 1 / 3) - (1 - 2 / (9 * df));
-    const se = Math.sqrt(2 / (9 * df));
-    const zScore = z / se;
-    // 近似 p-value（使用正态分布近似卡方分布的立方根变换）
-    const pValue = 1 - normalCDF(zScore);
-    return { qStatistic: q, approximatePValue: Math.max(0, Math.min(1, pValue)) };
-}
-exports.ljungBoxTest = ljungBoxTest;
-/** 标准正态分布 CDF 近似 */
-function normalCDF(x) {
-    // Abramowitz and Stegun approximation
-    const a1 = 0.254829592;
-    const a2 = -0.284496736;
-    const a3 = 1.421413741;
-    const a4 = -1.453152027;
-    const a5 = 1.061405429;
-    const p = 0.3275911;
-    const sign = x < 0 ? -1 : 1;
-    x = Math.abs(x) / Math.sqrt(2);
-    const t = 1.0 / (1.0 + p * x);
-    const y = 1.0 - (((((a5 * t + a4) * t) + a3) * t + a2) * t + a1) * t * Math.exp(-x * x);
-    return 0.5 * (1.0 + sign * y);
-}
-// ============================================================
-// 收益率分布特征
-// ============================================================
-/**
- * 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
- */
-function returnQuantiles(nav, quantiles = [0.01, 0.05, 0.1, 0.25, 0.5, 0.75, 0.9, 0.95, 0.99]) {
-    const returns = (0, risk_1.navToReturns)(nav);
-    const sorted = [...returns].sort((a, b) => a - b);
-    const result = new Map();
-    for (const q of quantiles) {
-        result.set(q, ss.quantileSorted(sorted, q));
-    }
-    return result;
-}
-exports.returnQuantiles = returnQuantiles;
-/**
- * 偏度的滚动计算
- * @param returns 收益率序列
- * @param window 滚动窗口
- */
-function rollingSkewness(returns, window = 60) {
-    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.sampleSkewness(slice));
-        }
-    }
-    return result;
-}
-exports.rollingSkewness = rollingSkewness;
-/**
- * 峰度的滚动计算
- * @param returns 收益率序列
- * @param window 滚动窗口
- */
-function rollingKurtosis(returns, window = 60) {
-    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.sampleKurtosis(slice));
-        }
-    }
-    return result;
-}
-exports.rollingKurtosis = rollingKurtosis;
-// ============================================================
-// GARCH(1,1) 波动率预测（简化实现）
-// ============================================================
-/**
- * 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
- */
-function garch11(returns) {
-    const n = returns.length;
-    if (n < 30) {
-        const v = ss.variance(returns);
-        return {
-            conditionalVariance: new Array(n).fill(v),
-            nextPeriodForecast: v,
-            omega: v * 0.1,
-            alpha: 0.1,
-            beta: 0.8,
-        };
-    }
-    // 简化参数估计（矩估计法）
-    const unconditionalVar = ss.variance(returns);
-    // 用收益率平方的自相关来估计 alpha + beta
-    const squaredReturns = returns.map((r) => r * r);
-    const meanSquared = ss.mean(squaredReturns);
-    // 估计一阶自相关
-    let autocov = 0;
-    for (let i = 0; i < n - 1; i++) {
-        autocov += (squaredReturns[i] - meanSquared) * (squaredReturns[i + 1] - meanSquared);
-    }
-    autocov /= n;
-    const autoCorr = meanSquared > 0 ? autocov / (ss.variance(squaredReturns)) : 0;
-    // 简化的参数估计
-    const alphaBeta = Math.max(0.5, Math.min(0.99, autoCorr + 0.8));
-    const alpha = Math.max(0.01, Math.min(0.3, (1 - alphaBeta) * 2));
-    const beta = alphaBeta - alpha;
-    const omega = unconditionalVar * (1 - alpha - beta);
-    // 递归计算条件方差
-    const conditionalVariance = [unconditionalVar];
-    for (let i = 1; i < n; i++) {
-        const prevVar = conditionalVariance[i - 1];
-        const newVar = omega + alpha * returns[i - 1] * returns[i - 1] + beta * prevVar;
-        conditionalVariance.push(Math.max(newVar, 1e-10));
-    }
-    // 预测下一期
-    const lastVar = conditionalVariance[n - 1];
-    const lastReturn = returns[n - 1];
-    const nextPeriodForecast = omega + alpha * lastReturn * lastReturn + beta * lastVar;
-    return { conditionalVariance, nextPeriodForecast, omega, alpha, beta };
-}
-exports.garch11 = garch11;
-//# sourceMappingURL=statistics.js.map

package/dist/statistics.js.map

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

@@ -1,105 +0,0 @@
-/**
- * 技术指标模块 - 趋势、动量、震荡、通道类指标
- * 基于 technicalindicators 库，所有函数接收净值序列作为输入
- */
-import { NavSeries, MAResult, MACDResult, BollingerResult, ChannelResult, RSIResult, KDJResult, ADXResult, SARResult, MACrossSignal, MAAlignmentResult } from './types';
-/** 简单移动平均线 (SMA) */
-export declare function sma(nav: NavSeries, period: number): MAResult;
-/** 指数移动平均线 (EMA) */
-export declare function ema(nav: NavSeries, period: number): MAResult;
-/** 加权移动平均线 (WMA) */
-export declare function wma(nav: NavSeries, period: number): MAResult;
-/** 双重指数移动平均线 (DEMA) */
-export declare function dema(nav: NavSeries, period: number): MAResult;
-/** 三重指数移动平均线 (TEMA) */
-export declare function tema(nav: NavSeries, period: number): MAResult;
-/** 考夫曼自适应均线 (KAMA) - 手动实现 */
-export declare function kama(nav: NavSeries, period?: number, fast?: number, slow?: number): MAResult;
-/**
- * MACD 指标（DIF / DEA / 柱状线）
- * @param nav 净值序列
- * @param fastPeriod 快线周期（默认12）
- * @param slowPeriod 慢线周期（默认26）
- * @param signalPeriod 信号线周期（默认9）
- */
-export declare function macd(nav: NavSeries, fastPeriod?: number, slowPeriod?: number, signalPeriod?: number): MACDResult;
-/** RSI（相对强弱指标） */
-export declare function rsi(nav: NavSeries, period?: number): RSIResult;
-/**
- * KDJ 指标
- * @param nav 净值序列
- * @param kPeriod K 周期（默认9）
- * @param kSmooth K 平滑因子（默认3）
- * @param dPeriod D 周期（默认3）
- */
-export declare function kdj(nav: NavSeries, kPeriod?: number, kSmooth?: number, dPeriod?: number): KDJResult;
-/**
- * 布林带 (Bollinger Bands)
- * @param nav 净值序列
- * @param period 均线周期（默认20）
- * @param stdDev 标准差倍数（默认2）
- */
-export declare function bollingerBands(nav: NavSeries, period?: number, stdDev?: number): BollingerResult;
-/**
- * 唐奇安通道
- * @param nav 净值序列
- * @param period 回看周期（默认20）
- */
-export declare function donchianChannel(nav: NavSeries, period?: number): ChannelResult;
-/**
- * 肯特纳通道
- * @param nav 净值序列
- * @param emaPeriod EMA 周期（默认20）
- * @param atrPeriod ATR 周期（默认10）
- * @param multiplier ATR 倍数（默认2）
- */
-export declare function keltnerChannel(nav: NavSeries, emaPeriod?: number, atrPeriod?: number, multiplier?: number): ChannelResult;
-/** ADX + DI */
-export declare function adx(nav: NavSeries, period?: number): ADXResult;
-/** ATR 近似值（基金净值无日内高低，用日涨跌幅绝对值近似） */
-export declare function atr(nav: NavSeries, period?: number): MAResult;
-/** CCI */
-export declare function cci(nav: NavSeries, period?: number): MAResult;
-/** ROC */
-export declare function roc(nav: NavSeries, period?: number): MAResult;
-/** 动量指标 = 当前净值 - N日前净值 */
-export declare function momentum(nav: NavSeries, period?: number): MAResult;
-/** Williams %R */
-export declare function williamsR(nav: NavSeries, period?: number): MAResult;
-/** 随机 RSI */
-export declare function stochasticRSI(nav: NavSeries, rsiPeriod?: number, stochPeriod?: number, kPeriod?: number, dPeriod?: number): KDJResult;
-/**
- * SAR 抛物线转向
- * @param nav 净值序列
- * @param step 加速因子步长（默认0.02）
- * @param max 最大加速因子（默认0.2）
- */
-export declare function sar(nav: NavSeries, step?: number, max?: number): SARResult;
-/** TRIX = 三重 EMA 的变化率 */
-export declare function trix(nav: NavSeries, period?: number): MAResult;
-/** DPO = 净值 - N/2+1 日前的 SMA */
-export declare function dpo(nav: NavSeries, period?: number): MAResult;
-/** 乖离率 = (净值 - MA) / MA * 100 */
-export declare function bias(nav: NavSeries, period?: number): MAResult;
-/**
- * 净值百分位 - 当前净值在历史区间中所处的百分位
- * @param nav 净值序列
- * @param lookback 回看窗口（默认全部历史）
- * @returns 0-100 的百分位值
- */
-export declare function navPercentile(nav: NavSeries, lookback?: number): number;
-/** 检测短期均线与长期均线的交叉信号 */
-export declare function detectCrossSignal(fastMA: MAResult, slowMA: MAResult, lookback?: number): MACrossSignal;
-/**
- * 检测均线多空排列
- * @param maList 从短期到长期排列的均线结果列表
- */
-export declare function detectMAAlignment(maList: MAResult[]): MAAlignmentResult;
-/**
- * Mass Index - 基于 EMA 的波动范围比率累积，用于识别变盘点
- * @param nav 净值序列
- * @param emaPeriod EMA 周期（默认9）
- * @param sumPeriod 累积周期（默认25）
- */
-export declare function massIndex(nav: NavSeries, emaPeriod?: number, sumPeriod?: number): MAResult;
-//# sourceMappingURL=technical.d.ts.map

package/dist/technical.d.ts.map

@@ -1 +0,0 @@
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