@stvy/fund-indicators 1.0.0 → 1.0.5

package/package.json

@@ -1,40 +1,25 @@
 {
   "name": "@stvy/fund-indicators",
-  "version": "1.0.0",
+  "version": "1.0.5",
   "description": "基金自动化交易指标计算工具库 - 基于历史净值计算全部技术指标",
-  "main": "dist/index.js",
-  "module": "dist/browser/fund-indicators.esm.js",
-  "browser": "dist/browser/fund-indicators.min.js",
-  "types": "dist/index.d.ts",
-  "exports": {
-    ".": {
-      "types": "./dist/index.d.ts",
-      "import": "./dist/browser/fund-indicators.esm.js",
-      "require": "./dist/index.js"
-    },
-    "./browser": {
-      "import": "./dist/browser/fund-indicators.esm.js",
-      "default": "./dist/browser/fund-indicators.min.js"
-    }
-  },
-  "files": [
-    "dist/",
-    "README.md",
-    "LICENSE"
-  ],
+  "main": "./dist/index.cjs",
+  "module": "./dist/index.mjs",
+  "types": "./dist/index.d.cts",
   "dependencies": {
-    "jstat": "^1.9.6",
-    "simple-statistics": "^7.8.0",
-    "technicalindicators": "^3.1.0"
+    "simple-statistics": "^7.8.0"
   },
   "devDependencies": {
-    "@types/node": "^20.0.0",
-    "esbuild": "^0.28.0",
-    "tsx": "^4.7.0",
-    "typescript": "^5.3.0"
+    "technicalindicators": "^3.1.0",
+    "jstat": "^1.9.6",
+    "typescript": "^6",
+    "pkgroll": "^2",
+    "tsx": "^4"
+  },
+  "optionalDependencies": {
+    "@types/node": "latest"
   },
   "engines": {
-    "node": ">=18.0.0"
+    "node": ">=24.0.0"
   },
   "keywords": [
     "fund",
@@ -67,9 +52,7 @@
     "url": "https://github.com/stevieyu/fund-indicators/issues"
   },
   "scripts": {
-    "build": "pnpm run build:node && pnpm run build:browser",
-    "build:node": "tsc",
-    "build:browser": "node scripts/build-browser.mjs",
+    "build": "pkgroll",
     "test": "tsx test/index.test.ts"
   }
 }

package/pnpm-workspace.yaml

@@ -0,0 +1,2 @@
+allowBuilds:
+  esbuild: true

package/src/dca.ts

@@ -0,0 +1,420 @@
+/**
+ * 定投与盈亏分析模块
+ * 包含：定投模拟、平均成本、IRR 计算、止盈止损信号、安全边际等
+ */
+
+import { NavSeries, DateSeries, DCAConfig, DCAResult, TakeProfitStopLossSignal } from './types';
+
+// ============================================================
+// 定投模拟
+// ============================================================
+
+/**
+ * 定投策略模拟
+ * @param nav 净值序列
+ * @param config 定投配置
+ * @param dates 可选日期序列
+ */
+export function simulateDCA(nav: NavSeries, config: DCAConfig, dates?: DateSeries): DCAResult {
+  const { amount, interval = 1, startIndex = 0 } = config;
+
+  let totalInvested = 0;
+  let totalShares = 0;
+  const investmentDates: number[] = [];
+  const valueHistory: number[] = [];
+
+  for (let i = startIndex; i < nav.length; i += interval) {
+    const navPrice = nav[i];
+    if (navPrice <= 0) continue;
+
+    const shares = amount / navPrice;
+    totalShares += shares;
+    totalInvested += amount;
+    investmentDates.push(i);
+
+    // 当前持仓市值
+    const currentValue = totalShares * navPrice;
+    valueHistory.push(currentValue);
+  }
+
+  if (totalInvested === 0 || totalShares === 0) {
+    return {
+      totalInvestments: 0,
+      totalInvested: 0,
+      currentValue: 0,
+      totalShares: 0,
+      averageCost: 0,
+      currentNav: 0,
+      returnRate: 0,
+      profitLoss: 0,
+      irr: null,
+      investmentDates,
+      valueHistory,
+    };
+  }
+
+  const currentNav = nav[nav.length - 1];
+  const currentValue = totalShares * currentNav;
+  const averageCost = totalInvested / totalShares;
+  const returnRate = (currentValue - totalInvested) / totalInvested;
+  const profitLoss = currentValue - totalInvested;
+
+  // 计算 IRR
+  const irr = calculateIRR(nav, investmentDates, amount, totalShares, currentNav);
+
+  return {
+    totalInvestments: investmentDates.length,
+    totalInvested,
+    currentValue,
+    totalShares,
+    averageCost,
+    currentNav,
+    returnRate,
+    profitLoss,
+    irr,
+    investmentDates,
+    valueHistory,
+  };
+}
+
+// ============================================================
+// IRR 计算（内部收益率）
+// ============================================================
+
+/**
+ * 计算定投的内部收益率 (IRR)
+ * 使用牛顿迭代法求解
+ */
+function calculateIRR(
+  nav: NavSeries,
+  investmentDates: number[],
+  amount: number,
+  totalShares: number,
+  currentNav: number
+): number | null {
+  if (investmentDates.length < 2) return null;
+
+  // 构建现金流：每次定投为负现金流，最后赎回为正现金流
+  // 以第一个定投日为基准日 (day 0)
+  const baseDay = investmentDates[0];
+  const cashFlows: { day: number; amount: number }[] = [];
+
+  for (const d of investmentDates) {
+    cashFlows.push({ day: d - baseDay, amount: -amount });
+  }
+  // 最终赎回（假设全部赎回）
+  const lastDay = nav.length - 1 - baseDay;
+  cashFlows.push({ day: lastDay, amount: totalShares * currentNav });
+
+  // NPV 函数：NPV(r) = Σ CFi / (1+r)^(ti/T)
+  // T = 一年的交易日数
+  const T = 242;
+
+  function npv(r: number): number {
+    let sum = 0;
+    for (const cf of cashFlows) {
+      const t = cf.day / T;
+      if (t === 0) sum += cf.amount;
+      else sum += cf.amount / Math.pow(1 + r, t);
+    }
+    return sum;
+  }
+
+  // NPV 的导数
+  function npvDerivative(r: number): number {
+    let sum = 0;
+    for (const cf of cashFlows) {
+      const t = cf.day / T;
+      if (t <= 0) continue;
+      sum -= (t * cf.amount) / Math.pow(1 + r, t + 1);
+    }
+    return sum;
+  }
+
+  // 牛顿迭代法求 IRR
+  let r = 0.1; // 初始猜测 10%
+  const maxIterations = 100;
+  const tolerance = 1e-8;
+
+  for (let i = 0; i < maxIterations; i++) {
+    const f = npv(r);
+    const fPrime = npvDerivative(r);
+
+    if (Math.abs(fPrime) < 1e-12) break;
+
+    const newR = r - f / fPrime;
+
+    if (Math.abs(newR - r) < tolerance) {
+      return newR;
+    }
+
+    r = newR;
+
+    // 防止发散
+    if (r < -0.99) r = -0.99;
+    if (r > 10) r = 10;
+  }
+
+  // 如果牛顿法不收敛，尝试二分法
+  return bisectionIRR(npv);
+}
+
+/** 二分法求 IRR（备用） */
+function bisectionIRR(npv: (r: number) => number): number | null {
+  let low = -0.99;
+  let high = 10;
+  const tolerance = 1e-6;
+  const maxIterations = 200;
+
+  let fLow = npv(low);
+  let fHigh = npv(high);
+
+  // 检查是否有根
+  if (fLow * fHigh > 0) return null;
+
+  for (let i = 0; i < maxIterations; i++) {
+    const mid = (low + high) / 2;
+    const fMid = npv(mid);
+
+    if (Math.abs(fMid) < tolerance || (high - low) / 2 < tolerance) {
+      return mid;
+    }
+
+    if (fLow * fMid < 0) {
+      high = mid;
+      fHigh = fMid;
+    } else {
+      low = mid;
+      fLow = fMid;
+    }
+  }
+
+  return (low + high) / 2;
+}
+
+// ============================================================
+// 止盈止损信号
+// ============================================================
+
+/**
+ * 止盈止损信号检测
+ * @param nav 净值序列
+ * @param costPrice 持仓成本价
+ * @param takeProfitThreshold 止盈阈值（如 0.30 = 盈利 30% 止盈）
+ * @param stopLossThreshold 止损阈值（如 -0.15 = 亏损 15% 止损）
+ */
+export function takeProfitStopLoss(
+  nav: NavSeries,
+  costPrice: number,
+  takeProfitThreshold: number = 0.3,
+  stopLossThreshold: number = -0.15
+): TakeProfitStopLossSignal {
+  const currentNav = nav[nav.length - 1];
+  const currentPnL = (currentNav - costPrice) / costPrice;
+
+  return {
+    takeProfitTriggered: currentPnL >= takeProfitThreshold,
+    stopLossTriggered: currentPnL <= stopLossThreshold,
+    currentPnL,
+    distanceToTakeProfit: takeProfitThreshold - currentPnL,
+    distanceToStopLoss: currentPnL - stopLossThreshold,
+  };
+}
+
+/**
+ * 动态止盈止损（跟踪止盈）
+ * 当净值创新高后回撤一定比例时触发止盈
+ * @param nav 净值序列
+ * @param trailPercent 跟踪止盈比例（如 0.10 = 从最高点回撤 10% 触发）
+ * @param costPrice 持仓成本价
+ */
+export function trailingStop(
+  nav: NavSeries,
+  trailPercent: number = 0.1,
+  costPrice?: number
+): {
+  triggered: boolean;
+  peakNav: number;
+  currentNav: number;
+  drawdownFromPeak: number;
+  profitFromCost: number;
+} {
+  let peakNav = nav[0];
+  for (const v of nav) {
+    if (v > peakNav) peakNav = v;
+  }
+
+  const currentNav = nav[nav.length - 1];
+  const drawdownFromPeak = (peakNav - currentNav) / peakNav;
+  const profitFromCost = costPrice ? (currentNav - costPrice) / costPrice : 0;
+
+  return {
+    triggered: drawdownFromPeak >= trailPercent && currentNav > (costPrice ?? 0),
+    peakNav,
+    currentNav,
+    drawdownFromPeak,
+    profitFromCost,
+  };
+}
+
+// ============================================================
+// 安全边际与估值分析
+// ============================================================
+
+/**
+ * 安全边际 - 当前净值相对历史最高点的回撤幅度
+ * @param nav 净值序列
+ * @returns 回撤比例（0-1，如 0.25 = 回撤 25%）
+ */
+export function safetyMargin(nav: NavSeries): number {
+  const peak = Math.max(...nav);
+  const current = nav[nav.length - 1];
+  return (peak - current) / peak;
+}
+
+/**
+ * 当前净值相对历史最高点和最低点的位置
+ * @param nav 净值序列
+ * @returns 0-1 之间的位置值（0 = 历史最低，1 = 历史最高）
+ */
+export function pricePosition(nav: NavSeries): number {
+  const peak = Math.max(...nav);
+  const trough = Math.min(...nav);
+  const current = nav[nav.length - 1];
+  if (peak === trough) return 0.5;
+  return (current - trough) / (peak - trough);
+}
+
+/**
+ * 智能定投调整系数
+ * 根据当前净值相对均线的位置，调整定投金额
+ * @param nav 净值序列
+ * @param maPeriod 参考均线周期（默认 250 日）
+ * @param maxMultiplier 最大倍数（默认 2.0）
+ * @param minMultiplier 最小倍数（默认 0.5）
+ * @returns 定投调整倍数（1.0 = 标准金额）
+ */
+export function smartDCAMultiplier(
+  nav: NavSeries,
+  maPeriod: number = 250,
+  maxMultiplier: number = 2.0,
+  minMultiplier: number = 0.5
+): number {
+  if (nav.length < maPeriod) return 1.0;
+
+  const recent = nav.slice(-maPeriod);
+  const ma = recent.reduce((a, b) => a + b, 0) / maPeriod;
+  const current = nav[nav.length - 1];
+  const deviation = (current - ma) / ma; // 正数=高于均线，负数=低于均线
+
+  // 低于均线时增加定投，高于均线时减少
+  // deviation = -0.2 → multiplier = 1.4
+  // deviation = +0.2 → multiplier = 0.6
+  const multiplier = 1.0 - deviation * 4;
+
+  return Math.max(minMultiplier, Math.min(maxMultiplier, multiplier));
+}
+
+// ============================================================
+// 分批建仓/减仓策略
+// ============================================================
+
+/**
+ * 分批建仓信号
+ * 当净值跌到历史分位以下时分批买入
+ * @param nav 净值序列
+ * @param levels 分批买入的分位阈值列表（如 [0.3, 0.2, 0.1] = 30%、20%、10%分位各买一次）
+ * @returns 当前触发的买入层级（0 = 不触发，1 = 第一层，2 = 第二层...）
+ */
+export function tieredBuySignal(nav: NavSeries, levels: number[] = [0.3, 0.2, 0.1]): number {
+  const sorted = [...nav].sort((a, b) => a - b);
+  const current = nav[nav.length - 1];
+
+  // 计算当前净值的分位
+  let rank = 0;
+  for (const v of sorted) {
+    if (v < current) rank++;
+    else if (v === current) rank += 0.5;
+  }
+  const percentile = rank / sorted.length;
+
+  // 从最激进到最保守检查
+  for (let i = 0; i < levels.length; i++) {
+    if (percentile <= levels[i]) return levels.length - i;
+  }
+  return 0;
+}
+
+/**
+ * 分批止盈信号
+ * 当净值涨到历史分位以上时分批卖出
+ * @param nav 净值序列
+ * @param levels 分批卖出的分位阈值列表（如 [0.7, 0.8, 0.9] = 70%、80%、90%分位各卖一次）
+ * @returns 当前触发的卖出层级
+ */
+export function tieredSellSignal(nav: NavSeries, levels: number[] = [0.7, 0.8, 0.9]): number {
+  const sorted = [...nav].sort((a, b) => a - b);
+  const current = nav[nav.length - 1];
+
+  let rank = 0;
+  for (const v of sorted) {
+    if (v < current) rank++;
+    else if (v === current) rank += 0.5;
+  }
+  const percentile = rank / sorted.length;
+
+  for (let i = levels.length - 1; i >= 0; i--) {
+    if (percentile >= levels[i]) return i + 1;
+  }
+  return 0;
+}
+
+// ============================================================
+// 回测辅助
+// ============================================================
+
+/**
+ * 计算一段持仓的收益明细
+ * @param nav 净值序列
+ * @param buyIndex 买入日索引
+ * @param sellIndex 卖出日索引（默认到最后一天）
+ * @param amount 投入金额
+ */
+export function positionPnL(
+  nav: NavSeries,
+  buyIndex: number,
+  sellIndex?: number,
+  amount: number = 10000
+): {
+  buyNav: number;
+  sellNav: number;
+  shares: number;
+  cost: number;
+  value: number;
+  pnl: number;
+  returnRate: number;
+  holdDays: number;
+  annualizedReturn: number;
+} {
+  const sell = sellIndex ?? nav.length - 1;
+  const buyNav = nav[buyIndex];
+  const sellNav = nav[sell];
+  const shares = amount / buyNav;
+  const value = shares * sellNav;
+  const pnl = value - amount;
+  const returnRate = pnl / amount;
+  const holdDays = sell - buyIndex;
+  const annualizedReturn = holdDays > 0 ? Math.pow(1 + returnRate, 242 / holdDays) - 1 : 0;
+
+  return {
+    buyNav,
+    sellNav,
+    shares,
+    cost: amount,
+    value,
+    pnl,
+    returnRate,
+    holdDays,
+    annualizedReturn,
+  };
+}

package/src/index.ts

@@ -0,0 +1,133 @@
+/**
+ * 基金自动化交易指标计算工具库
+ * Fund Automated Trading Indicators Library
+ *
+ * 基于历史净值数据计算全部技术指标，包括：
+ * - 技术指标（均线、MACD、RSI、KDJ、布林带、通道等）
+ * - 风险与绩效指标（波动率、回撤、VaR、夏普比率、索提诺等）
+ * - 统计特征（偏度、峰度、赫斯特指数、GARCH 等）
+ * - 定投分析（模拟定投、IRR、智能定投、止盈止损等）
+ * - 形态识别（支撑阻力、双底双顶、头肩形态、缺口等）
+ */
+
+// 类型定义
+export * from './types';
+
+// ============================================================
+// 技术指标（趋势、动量、震荡、通道）
+// ============================================================
+export {
+  // 均线
+  sma,
+  ema,
+  wma,
+  dema,
+  tema,
+  kama,
+  // MACD
+  macd,
+  // 动量/震荡
+  rsi,
+  kdj,
+  roc,
+  momentum,
+  williamsR,
+  stochasticRSI,
+  cci,
+  trix,
+  dpo,
+  massIndex,
+  // 通道/波动
+  bollingerBands,
+  donchianChannel,
+  keltnerChannel,
+  adx,
+  atr,
+  sar,
+  // 衍生指标
+  bias,
+  navPercentile,
+  detectCrossSignal,
+  detectMAAlignment,
+} from './technical';
+
+// ============================================================
+// 风险与绩效指标
+// ============================================================
+export {
+  // 基础转换
+  navToReturns,
+  annualizeReturn,
+  totalReturn,
+  // 波动率
+  annualizedVolatility,
+  downsideVolatility,
+  rollingVolatility,
+  volatilityCone,
+  // 回撤
+  maxDrawdown,
+  maxDrawdownDuration,
+  // VaR / CVaR
+  calculateVaR,
+  calculateCVaR,
+  // 风险汇总
+  riskMetrics,
+  // 绩效指标
+  sharpeRatio,
+  sortinoRatio,
+  calmarRatio,
+  treynorRatio,
+  omegaRatio,
+  winRate,
+  profitLossRatio,
+  profitFactor,
+  consecutiveWinLoss,
+  performanceMetrics,
+  // 基准对比
+  calculateBeta,
+  calculateAlpha,
+  trackingError,
+  informationRatio,
+  benchmarkMetrics,
+} from './risk';
+
+// ============================================================
+// 统计特征
+// ============================================================
+export {
+  statisticalFeatures,
+  navStatisticalFeatures,
+  hurstExponent,
+  autocorrelation,
+  ljungBoxTest,
+  returnQuantiles,
+  rollingSkewness,
+  rollingKurtosis,
+  garch11,
+} from './statistics';
+
+// ============================================================
+// 定投与盈亏分析
+// ============================================================
+export {
+  simulateDCA,
+  takeProfitStopLoss,
+  trailingStop,
+  safetyMargin,
+  pricePosition,
+  smartDCAMultiplier,
+  tieredBuySignal,
+  tieredSellSignal,
+  positionPnL,
+} from './dca';
+
+// ============================================================
+// 形态识别
+// ============================================================
+export {
+  supportResistance,
+  doubleBottomTop,
+  detectGaps,
+  trendStrength,
+  headAndShoulders,
+} from './pattern';

package/src/jstat.d.ts

@@ -0,0 +1,17 @@
+declare module 'jstat' {
+  export const jStat: {
+    normal: {
+      pdf(x: number, mean: number, std: number): number;
+      cdf(x: number, mean: number, std: number): number;
+      inv(p: number, mean: number, std: number): number;
+    };
+    chisquare: {
+      cdf(x: number, df: number): number;
+      inv(p: number, df: number): number;
+    };
+    studentt: {
+      cdf(x: number, df: number): number;
+      inv(p: number, df: number): number;
+    };
+  };
+}