@tradecanvas/analytics 0.14.0 → 1.0.1

package/dist/index.js

@@ -1,541 +1,546 @@
-class $ {
-  constructor(t) {
-    this.perTrade = t;
-  }
-  calculate() {
-    return this.perTrade;
-  }
+//#region src/commission.ts
+var e = class {
+	constructor(e) {
+		this.perTrade = e;
+	}
+	calculate() {
+		return this.perTrade;
+	}
+}, t = class {
+	constructor(e) {
+		this.rate = e;
+	}
+	calculate(e, t) {
+		return Math.abs(e) * t * this.rate;
+	}
+}, n = class {
+	constructor(e, t = 0) {
+		this.perShare = e, this.minimum = t;
+	}
+	calculate(e) {
+		return Math.max(this.minimum, Math.abs(e) * this.perShare);
+	}
+}, r = { calculate: () => 0 }, i = { apply: (e) => e }, a = class {
+	constructor(e) {
+		this.rate = e;
+	}
+	apply(e, t) {
+		return e * (t === "long" ? 1 + this.rate : 1 - this.rate);
+	}
+}, o = class {
+	constructor(e) {
+		this.factor = e;
+	}
+	apply(e, t, n) {
+		let r = (n.high - n.low) * this.factor;
+		return t === "long" ? e + r : e - r;
+	}
+}, s = class {
+	cash;
+	initialCash;
+	position = null;
+	fills = [];
+	trades = [];
+	equityCurve = [];
+	realizedPnl = 0;
+	constructor(e) {
+		if (e.initialCash <= 0) throw Error("initialCash must be > 0");
+		this.cash = e.initialCash, this.initialCash = e.initialCash;
+	}
+	getCash() {
+		return this.cash;
+	}
+	getPosition() {
+		return this.position;
+	}
+	getFills() {
+		return this.fills;
+	}
+	getTrades() {
+		return this.trades;
+	}
+	getEquityCurve() {
+		return this.equityCurve;
+	}
+	getInitialCash() {
+		return this.initialCash;
+	}
+	getRealizedPnl() {
+		return this.realizedPnl;
+	}
+	unrealizedPnl(e) {
+		if (!this.position) return 0;
+		let t = this.position.side === "long" ? 1 : -1;
+		return (e - this.position.averagePrice) * this.position.quantity * t;
+	}
+	equity(e) {
+		return this.cash + this.positionValue(e);
+	}
+	positionValue(e) {
+		if (!this.position) return 0;
+		let t = this.position.side === "long" ? 1 : -1;
+		return this.position.quantity * e * t;
+	}
+	applyFill(e) {
+		this.fills.push(e);
+		let t = e.side === "long" ? e.quantity : -e.quantity;
+		if (this.cash -= t * e.price, this.cash -= e.commission, !this.position) {
+			this.position = {
+				side: e.side,
+				quantity: e.quantity,
+				averagePrice: e.price,
+				openedAt: e.time,
+				tag: e.tag
+			};
+			return;
+		}
+		if (this.position.side === e.side) {
+			let t = this.position.quantity + e.quantity;
+			this.position = {
+				...this.position,
+				quantity: t,
+				averagePrice: (this.position.averagePrice * this.position.quantity + e.price * e.quantity) / t
+			};
+			return;
+		}
+		let n = Math.min(this.position.quantity, e.quantity), r = this.position.side === "long" ? 1 : -1, i = (e.price - this.position.averagePrice) * n * r;
+		this.realizedPnl += i, this.trades.push({
+			entryTime: this.position.openedAt,
+			exitTime: e.time,
+			side: this.position.side,
+			quantity: n,
+			entryPrice: this.position.averagePrice,
+			exitPrice: e.price,
+			pnl: i,
+			pnlPct: (e.price / this.position.averagePrice - 1) * r,
+			commission: e.commission,
+			tag: e.tag ?? this.position.tag
+		});
+		let a = this.position.quantity - e.quantity;
+		a > 0 ? this.position = {
+			...this.position,
+			quantity: a
+		} : a < 0 ? this.position = {
+			side: e.side,
+			quantity: -a,
+			averagePrice: e.price,
+			openedAt: e.time,
+			tag: e.tag
+		} : this.position = null;
+	}
+	mark(e, t) {
+		let n = this.positionValue(t), r = this.unrealizedPnl(t);
+		this.equityCurve.push({
+			time: e,
+			equity: this.cash + n,
+			cash: this.cash,
+			positionValue: n,
+			unrealizedPnl: r,
+			realizedPnl: this.realizedPnl
+		});
+	}
+	reverseSide(e) {
+		return e === "long" ? "short" : "long";
+	}
+}, c = 365 * 24 * 60 * 60 * 1e3;
+function l(e, t, n, r = {}) {
+	if (t.length < 2) return u(e, t, n);
+	let i = t[t.length - 1].equity, a = i - e, o = a / e, s = r.periodsPerYear ?? _(t), l = (r.riskFreeRate ?? 0) / s, v = d(t), y = f(v), b = p(v, y), x = m(v, l), S = b === 0 ? 0 : (y - l) / b * Math.sqrt(s), C = x === 0 ? 0 : (y - l) / x * Math.sqrt(s), w = t[t.length - 1].time - t[0].time, T = w > 0 ? w / c : 0, E = T > 0 ? (i / e) ** (1 / T) - 1 : 0, { maxDrawdown: D, maxDrawdownPct: O } = h(t);
+	return {
+		totalReturn: a,
+		totalReturnPct: o,
+		cagr: E,
+		sharpe: S,
+		sortino: C,
+		calmar: O > 0 ? E / O : 0,
+		maxDrawdown: D,
+		maxDrawdownPct: O,
+		...g(n)
+	};
 }
-class G {
-  /** rate = 0.001 → 10 bps per trade notional. */
-  constructor(t) {
-    this.rate = t;
-  }
-  calculate(t, e) {
-    return Math.abs(t) * e * this.rate;
-  }
+function u(e, t, n) {
+	let r = t.length > 0 ? t[t.length - 1].equity : e;
+	return {
+		totalReturn: r - e,
+		totalReturnPct: (r - e) / e,
+		cagr: 0,
+		sharpe: 0,
+		sortino: 0,
+		calmar: 0,
+		maxDrawdown: 0,
+		maxDrawdownPct: 0,
+		...g(n)
+	};
 }
-class Q {
-  /** Minimum total commission per trade (optional). */
-  constructor(t, e = 0) {
-    this.perShare = t, this.minimum = e;
-  }
-  calculate(t) {
-    return Math.max(this.minimum, Math.abs(t) * this.perShare);
-  }
+function d(e) {
+	let t = [];
+	for (let n = 1; n < e.length; n++) {
+		let r = e[n - 1].equity;
+		if (r <= 0) {
+			t.push(0);
+			continue;
+		}
+		t.push(e[n].equity / r - 1);
+	}
+	return t;
 }
-const A = {
-  calculate: () => 0
-}, L = {
-  apply: (i) => i
-};
-class U {
-  /** rate = 0.0005 → 5bps adverse */
-  constructor(t) {
-    this.rate = t;
-  }
-  apply(t, e) {
-    const n = e === "long" ? 1 + this.rate : 1 - this.rate;
-    return t * n;
-  }
-}
-class Z {
-  /** factor = 0.1 → 10% of the bar's range pushes against the order */
-  constructor(t) {
-    this.factor = t;
-  }
-  apply(t, e, n) {
-    const o = (n.high - n.low) * this.factor;
-    return e === "long" ? t + o : t - o;
-  }
-}
-class I {
-  cash;
-  initialCash;
-  position = null;
-  fills = [];
-  trades = [];
-  equityCurve = [];
-  realizedPnl = 0;
-  constructor(t) {
-    if (t.initialCash <= 0) throw new Error("initialCash must be > 0");
-    this.cash = t.initialCash, this.initialCash = t.initialCash;
-  }
-  getCash() {
-    return this.cash;
-  }
-  getPosition() {
-    return this.position;
-  }
-  getFills() {
-    return this.fills;
-  }
-  getTrades() {
-    return this.trades;
-  }
-  getEquityCurve() {
-    return this.equityCurve;
-  }
-  getInitialCash() {
-    return this.initialCash;
-  }
-  getRealizedPnl() {
-    return this.realizedPnl;
-  }
-  unrealizedPnl(t) {
-    if (!this.position) return 0;
-    const e = this.position.side === "long" ? 1 : -1;
-    return (t - this.position.averagePrice) * this.position.quantity * e;
-  }
-  equity(t) {
-    return this.cash + this.positionValue(t);
-  }
-  positionValue(t) {
-    if (!this.position) return 0;
-    const e = this.position.side === "long" ? 1 : -1;
-    return this.position.quantity * t * e;
-  }
-  /** Apply a fill: cash flow + position update + realized PnL. */
-  applyFill(t) {
-    this.fills.push(t);
-    const e = t.side === "long" ? t.quantity : -t.quantity;
-    if (this.cash -= e * t.price, this.cash -= t.commission, !this.position) {
-      this.position = {
-        side: t.side,
-        quantity: t.quantity,
-        averagePrice: t.price,
-        openedAt: t.time,
-        tag: t.tag
-      };
-      return;
-    }
-    if (this.position.side === t.side) {
-      const a = this.position.quantity + t.quantity;
-      this.position = {
-        ...this.position,
-        quantity: a,
-        averagePrice: (this.position.averagePrice * this.position.quantity + t.price * t.quantity) / a
-      };
-      return;
-    }
-    const n = Math.min(this.position.quantity, t.quantity), s = this.position.side === "long" ? 1 : -1, o = (t.price - this.position.averagePrice) * n * s;
-    this.realizedPnl += o, this.trades.push({
-      entryTime: this.position.openedAt,
-      exitTime: t.time,
-      side: this.position.side,
-      quantity: n,
-      entryPrice: this.position.averagePrice,
-      exitPrice: t.price,
-      pnl: o,
-      pnlPct: (t.price / this.position.averagePrice - 1) * s,
-      commission: t.commission,
-      tag: t.tag ?? this.position.tag
-    });
-    const r = this.position.quantity - t.quantity;
-    r > 0 ? this.position = { ...this.position, quantity: r } : r < 0 ? this.position = {
-      side: t.side,
-      quantity: -r,
-      averagePrice: t.price,
-      openedAt: t.time,
-      tag: t.tag
-    } : this.position = null;
-  }
-  /** Snapshot equity at the current bar close. */
-  mark(t, e) {
-    const n = this.positionValue(e), s = this.unrealizedPnl(e);
-    this.equityCurve.push({
-      time: t,
-      equity: this.cash + n,
-      cash: this.cash,
-      positionValue: n,
-      unrealizedPnl: s,
-      realizedPnl: this.realizedPnl
-    });
-  }
-  reverseSide(t) {
-    return t === "long" ? "short" : "long";
-  }
-}
-const E = 365 * 24 * 60 * 60 * 1e3;
-function T(i, t, e, n = {}) {
-  if (t.length < 2)
-    return B(i, t, e);
-  const s = t[t.length - 1].equity, o = s - i, r = o / i, a = n.periodsPerYear ?? _(t), u = (n.riskFreeRate ?? 0) / a, h = Y(t), d = z(h), m = N(h, d), q = C(h, u), f = m === 0 ? 0 : (d - u) / m * Math.sqrt(a), O = q === 0 ? 0 : (d - u) / q * Math.sqrt(a), M = t[t.length - 1].time - t[0].time, l = M > 0 ? M / E : 0, p = l > 0 ? Math.pow(s / i, 1 / l) - 1 : 0, { maxDrawdown: y, maxDrawdownPct: g } = V(t), v = g > 0 ? p / g : 0, P = b(e);
-  return {
-    totalReturn: o,
-    totalReturnPct: r,
-    cagr: p,
-    sharpe: f,
-    sortino: O,
-    calmar: v,
-    maxDrawdown: y,
-    maxDrawdownPct: g,
-    ...P
-  };
-}
-function B(i, t, e) {
-  const n = t.length > 0 ? t[t.length - 1].equity : i;
-  return {
-    totalReturn: n - i,
-    totalReturnPct: (n - i) / i,
-    cagr: 0,
-    sharpe: 0,
-    sortino: 0,
-    calmar: 0,
-    maxDrawdown: 0,
-    maxDrawdownPct: 0,
-    ...b(e)
-  };
+function f(e) {
+	if (e.length === 0) return 0;
+	let t = 0;
+	for (let n of e) t += n;
+	return t / e.length;
 }
-function Y(i) {
-  const t = [];
-  for (let e = 1; e < i.length; e++) {
-    const n = i[e - 1].equity;
-    if (n <= 0) {
-      t.push(0);
-      continue;
-    }
-    t.push(i[e].equity / n - 1);
-  }
-  return t;
+function p(e, t) {
+	if (e.length < 2) return 0;
+	let n = 0;
+	for (let r of e) n += (r - t) ** 2;
+	return Math.sqrt(n / (e.length - 1));
 }
-function z(i) {
-  if (i.length === 0) return 0;
-  let t = 0;
-  for (const e of i) t += e;
-  return t / i.length;
+function m(e, t) {
+	if (e.length < 2) return 0;
+	let n = 0, r = 0;
+	for (let i of e) {
+		let e = i - t;
+		e < 0 && (n += e ** 2, r++);
+	}
+	return r === 0 ? 0 : Math.sqrt(n / r);
 }
-function N(i, t) {
-  if (i.length < 2) return 0;
-  let e = 0;
-  for (const n of i) e += (n - t) ** 2;
-  return Math.sqrt(e / (i.length - 1));
+function h(e) {
+	let t = e[0].equity, n = 0, r = 0;
+	for (let i of e) {
+		i.equity > t && (t = i.equity);
+		let e = t - i.equity;
+		e > n && (n = e, r = t > 0 ? e / t : 0);
+	}
+	return {
+		maxDrawdown: n,
+		maxDrawdownPct: r
+	};
 }
-function C(i, t) {
-  if (i.length < 2) return 0;
-  let e = 0, n = 0;
-  for (const s of i) {
-    const o = s - t;
-    o < 0 && (e += o ** 2, n++);
-  }
-  return n === 0 ? 0 : Math.sqrt(e / n);
+function g(e) {
+	if (e.length === 0) return {
+		winRate: 0,
+		profitFactor: 0,
+		expectancy: 0,
+		averageWin: 0,
+		averageLoss: 0,
+		trades: 0
+	};
+	let t = 0, n = 0, r = 0, i = 0;
+	for (let a of e) a.pnl > 0 ? (t++, r += a.pnl) : a.pnl < 0 && (n++, i += -a.pnl);
+	let a = t / e.length, o = t > 0 ? r / t : 0, s = n > 0 ? i / n : 0;
+	return {
+		winRate: a,
+		profitFactor: i > 0 ? r / i : r > 0 ? Infinity : 0,
+		expectancy: a * o - (1 - a) * s,
+		averageWin: o,
+		averageLoss: s,
+		trades: e.length
+	};
 }
-function V(i) {
-  let t = i[0].equity, e = 0, n = 0;
-  for (const s of i) {
-    s.equity > t && (t = s.equity);
-    const o = t - s.equity;
-    o > e && (e = o, n = t > 0 ? o / t : 0);
-  }
-  return { maxDrawdown: e, maxDrawdownPct: n };
+function _(e) {
+	if (e.length < 2) return 252;
+	let t = [];
+	for (let n = 1; n < e.length && n < 50; n++) t.push(e[n].time - e[n - 1].time);
+	let n = f(t);
+	if (n <= 0) return 252;
+	let r = c / n;
+	return r > 2e5 ? 365 * 24 * 60 : r > 5e4 ? 365 * 24 * 4 : r > 5e3 ? 365 * 24 : r > 200 ? 252 : r > 40 ? 52 : 12;
 }
-function b(i) {
-  if (i.length === 0)
-    return {
-      winRate: 0,
-      profitFactor: 0,
-      expectancy: 0,
-      averageWin: 0,
-      averageLoss: 0,
-      trades: 0
-    };
-  let t = 0, e = 0, n = 0, s = 0;
-  for (const h of i)
-    h.pnl > 0 ? (t++, n += h.pnl) : h.pnl < 0 && (e++, s += -h.pnl);
-  const o = t / i.length, r = t > 0 ? n / t : 0, a = e > 0 ? s / e : 0, c = s > 0 ? n / s : n > 0 ? 1 / 0 : 0, u = o * r - (1 - o) * a;
-  return {
-    winRate: o,
-    profitFactor: c,
-    expectancy: u,
-    averageWin: r,
-    averageLoss: a,
-    trades: i.length
-  };
-}
-function _(i) {
-  if (i.length < 2) return 252;
-  const t = [];
-  for (let s = 1; s < i.length && s < 50; s++)
-    t.push(i[s].time - i[s - 1].time);
-  const e = z(t);
-  if (e <= 0) return 252;
-  const n = E / e;
-  return n > 2e5 ? 365 * 24 * 60 : n > 5e4 ? 365 * 24 * 4 : n > 5e3 ? 365 * 24 : n > 200 ? 252 : n > 40 ? 52 : 12;
-}
-class x {
-  commission;
-  slippage;
-  allowShort;
-  portfolio;
-  pendingOrders = [];
-  orderSeq = 0;
-  constructor(t) {
-    this.commission = t.commission ?? A, this.slippage = t.slippage ?? L, this.allowShort = t.allowShort ?? !0, this.portfolio = new I({ initialCash: t.initialCash });
-  }
-  run(t, e) {
-    if (t.length < 2)
-      throw new Error("Backtester requires at least 2 bars");
-    for (let a = 0; a < t.length; a++) {
-      const c = t[a];
-      if (this.fillPendingOrders(c), this.portfolio.mark(c.time, c.close), a < t.length - 1) {
-        const u = this.makeContext(c, a, t.slice(0, a + 1));
-        e(u);
-      }
-    }
-    for (const a of this.pendingOrders)
-      a.status === "pending" && (a.status = "cancelled");
-    const n = this.portfolio.getEquityCurve(), s = this.portfolio.getInitialCash(), o = this.portfolio.getTrades(), r = n.length > 0 ? n[n.length - 1].equity : s;
-    return {
-      fills: this.portfolio.getFills(),
-      trades: o,
-      equityCurve: n,
-      initialCash: s,
-      finalEquity: r,
-      metrics: T(s, n, o)
-    };
-  }
-  fillPendingOrders(t) {
-    for (const e of this.pendingOrders) {
-      if (e.status !== "pending") continue;
-      const n = this.resolveFillPrice(e, t);
-      if (n === null) {
-        (e.timeInForce === "day" || e.timeInForce === "ioc") && (e.status = "cancelled");
-        continue;
-      }
-      const s = this.slippage.apply(n, e.side, t), o = this.commission.calculate(e.quantity, s), r = {
-        orderId: e.id,
-        time: t.time,
-        price: s,
-        quantity: e.quantity,
-        side: e.side,
-        commission: o,
-        slippage: Math.abs(s - n),
-        tag: e.tag
-      };
-      this.portfolio.applyFill(r), e.status = "filled";
-    }
-    this.pendingOrders = this.pendingOrders.filter(
-      (e) => e.status === "pending"
-    );
-  }
-  resolveFillPrice(t, e) {
-    switch (t.type) {
-      case "market":
-        return e.open;
-      case "limit":
-        return t.price === void 0 ? null : t.side === "long" && e.low <= t.price ? Math.min(t.price, e.open) : t.side === "short" && e.high >= t.price ? Math.max(t.price, e.open) : null;
-      case "stop":
-        return t.price === void 0 ? null : t.side === "long" && e.high >= t.price ? Math.max(t.price, e.open) : t.side === "short" && e.low <= t.price ? Math.min(t.price, e.open) : null;
-    }
-  }
-  makeContext(t, e, n) {
-    const s = this.portfolio;
-    return {
-      bar: t,
-      index: e,
-      history: n,
-      position: s.getPosition(),
-      cash: s.getCash(),
-      equity: s.equity(t.close),
-      placeOrder: (o) => this.placeOrder(o, t.time),
-      close: (o) => this.closePosition(t.time, o),
-      cancel: (o) => this.cancelOrder(o)
-    };
-  }
-  placeOrder(t, e) {
-    if (t.quantity <= 0)
-      throw new Error("order quantity must be > 0");
-    if (!this.allowShort && t.side === "short") {
-      const s = this.portfolio.getPosition();
-      if (!(s !== null && s.side === "long" && t.quantity <= s.quantity))
-        throw new Error("shorting is disabled");
-    }
-    const n = t.id ?? `o-${++this.orderSeq}`;
-    return this.pendingOrders.push({
-      id: n,
-      side: t.side,
-      type: t.type,
-      quantity: t.quantity,
-      price: t.price,
-      tag: t.tag,
-      timeInForce: t.timeInForce ?? "gtc",
-      status: "pending",
-      placedAt: e
-    }), n;
-  }
-  closePosition(t, e) {
-    const n = this.portfolio.getPosition();
-    if (!n) return null;
-    const s = n.side === "long" ? "short" : "long";
-    return this.placeOrder(
-      { side: s, type: "market", quantity: n.quantity, tag: e },
-      t
-    );
-  }
-  cancelOrder(t) {
-    const e = this.pendingOrders.find((n) => n.id === t);
-    return !e || e.status !== "pending" ? !1 : (e.status = "cancelled", !0);
-  }
-}
-function J(i, t, e = {}) {
-  const n = e.simulations ?? 1e3, s = (e.percentiles ?? [5, 25, 50, 75, 95]).slice().sort((l, p) => l - p), o = H(e.seed ?? Date.now() ^ 23100);
-  if (t.length === 0 || n <= 0)
-    return {
-      simulations: n,
-      initialCash: i,
-      equityBands: [{ step: 0, p5: i, p25: i, p50: i, p75: i, p95: i }],
-      finalEquityPercentiles: Object.fromEntries(s.map((l) => [`p${l}`, i])),
-      probabilityProfitable: 0,
-      worstMaxDrawdownPct: 0
-    };
-  const r = t.map((l) => l.pnl), a = t.length + 1, c = r.slice(), u = new Float64Array(n), h = new Float64Array(n * a);
-  let d = 0, m = 0;
-  for (let l = 0; l < n; l++) {
-    j(c, o);
-    let p = i, y = i, g = 0;
-    const v = l * a;
-    h[v] = p;
-    for (let P = 0; P < c.length; P++) {
-      p += c[P], h[v + P + 1] = p, p > y && (y = p);
-      const S = y > 0 ? (y - p) / y : 0;
-      S > g && (g = S);
-    }
-    u[l] = p, p > i && m++, g > d && (d = g);
-  }
-  const q = [], f = new Float64Array(n);
-  for (let l = 0; l < a; l++) {
-    for (let p = 0; p < n; p++)
-      f[p] = h[p * a + l];
-    f.sort(), q.push({
-      step: l,
-      p5: w(f, 5),
-      p25: w(f, 25),
-      p50: w(f, 50),
-      p75: w(f, 75),
-      p95: w(f, 95)
-    });
-  }
-  const O = new Float64Array(u);
-  O.sort();
-  const M = {};
-  for (const l of s)
-    M[`p${l}`] = w(O, l);
-  return {
-    simulations: n,
-    initialCash: i,
-    equityBands: q,
-    finalEquityPercentiles: M,
-    probabilityProfitable: m / n,
-    worstMaxDrawdownPct: d * 100
-  };
+//#endregion
+//#region src/Backtester.ts
+var v = class {
+	commission;
+	slippage;
+	allowShort;
+	portfolio;
+	pendingOrders = [];
+	orderSeq = 0;
+	constructor(e) {
+		this.commission = e.commission ?? r, this.slippage = e.slippage ?? i, this.allowShort = e.allowShort ?? !0, this.portfolio = new s({ initialCash: e.initialCash });
+	}
+	run(e, t) {
+		if (e.length < 2) throw Error("Backtester requires at least 2 bars");
+		for (let n = 0; n < e.length; n++) {
+			let r = e[n];
+			this.fillPendingOrders(r), this.portfolio.mark(r.time, r.close), n < e.length - 1 && t(this.makeContext(r, n, e.slice(0, n + 1)));
+		}
+		for (let e of this.pendingOrders) e.status === "pending" && (e.status = "cancelled");
+		let n = this.portfolio.getEquityCurve(), r = this.portfolio.getInitialCash(), i = this.portfolio.getTrades(), a = n.length > 0 ? n[n.length - 1].equity : r;
+		return {
+			fills: this.portfolio.getFills(),
+			trades: i,
+			equityCurve: n,
+			initialCash: r,
+			finalEquity: a,
+			metrics: l(r, n, i)
+		};
+	}
+	fillPendingOrders(e) {
+		for (let t of this.pendingOrders) {
+			if (t.status !== "pending") continue;
+			let n = this.resolveFillPrice(t, e);
+			if (n === null) {
+				(t.timeInForce === "day" || t.timeInForce === "ioc") && (t.status = "cancelled");
+				continue;
+			}
+			let r = this.slippage.apply(n, t.side, e), i = this.commission.calculate(t.quantity, r), a = {
+				orderId: t.id,
+				time: e.time,
+				price: r,
+				quantity: t.quantity,
+				side: t.side,
+				commission: i,
+				slippage: Math.abs(r - n),
+				tag: t.tag
+			};
+			this.portfolio.applyFill(a), t.status = "filled";
+		}
+		this.pendingOrders = this.pendingOrders.filter((e) => e.status === "pending");
+	}
+	resolveFillPrice(e, t) {
+		switch (e.type) {
+			case "market": return t.open;
+			case "limit": return e.price === void 0 ? null : e.side === "long" && t.low <= e.price ? Math.min(e.price, t.open) : e.side === "short" && t.high >= e.price ? Math.max(e.price, t.open) : null;
+			case "stop": return e.price === void 0 ? null : e.side === "long" && t.high >= e.price ? Math.max(e.price, t.open) : e.side === "short" && t.low <= e.price ? Math.min(e.price, t.open) : null;
+		}
+	}
+	makeContext(e, t, n) {
+		let r = this.portfolio;
+		return {
+			bar: e,
+			index: t,
+			history: n,
+			position: r.getPosition(),
+			cash: r.getCash(),
+			equity: r.equity(e.close),
+			placeOrder: (t) => this.placeOrder(t, e.time),
+			close: (t) => this.closePosition(e.time, t),
+			cancel: (e) => this.cancelOrder(e)
+		};
+	}
+	placeOrder(e, t) {
+		if (e.quantity <= 0) throw Error("order quantity must be > 0");
+		if (!this.allowShort && e.side === "short") {
+			let t = this.portfolio.getPosition();
+			if (!(t !== null && t.side === "long" && e.quantity <= t.quantity)) throw Error("shorting is disabled");
+		}
+		let n = e.id ?? `o-${++this.orderSeq}`;
+		return this.pendingOrders.push({
+			id: n,
+			side: e.side,
+			type: e.type,
+			quantity: e.quantity,
+			price: e.price,
+			tag: e.tag,
+			timeInForce: e.timeInForce ?? "gtc",
+			status: "pending",
+			placedAt: t
+		}), n;
+	}
+	closePosition(e, t) {
+		let n = this.portfolio.getPosition();
+		if (!n) return null;
+		let r = n.side === "long" ? "short" : "long";
+		return this.placeOrder({
+			side: r,
+			type: "market",
+			quantity: n.quantity,
+			tag: t
+		}, e);
+	}
+	cancelOrder(e) {
+		let t = this.pendingOrders.find((t) => t.id === e);
+		return !t || t.status !== "pending" ? !1 : (t.status = "cancelled", !0);
+	}
+};
+//#endregion
+//#region src/MonteCarlo.ts
+function y(e, t, n = {}) {
+	let r = n.simulations ?? 1e3, i = (n.percentiles ?? [
+		5,
+		25,
+		50,
+		75,
+		95
+	]).slice().sort((e, t) => e - t), a = S(n.seed ?? Date.now() ^ 23100);
+	if (t.length === 0 || r <= 0) return {
+		simulations: r,
+		initialCash: e,
+		equityBands: [{
+			step: 0,
+			p5: e,
+			p25: e,
+			p50: e,
+			p75: e,
+			p95: e
+		}],
+		finalEquityPercentiles: Object.fromEntries(i.map((t) => [`p${t}`, e])),
+		probabilityProfitable: 0,
+		worstMaxDrawdownPct: 0
+	};
+	let o = t.map((e) => e.pnl), s = t.length + 1, c = o.slice(), l = new Float64Array(r), u = new Float64Array(r * s), d = 0, f = 0;
+	for (let t = 0; t < r; t++) {
+		b(c, a);
+		let n = e, r = e, i = 0, o = t * s;
+		u[o] = n;
+		for (let e = 0; e < c.length; e++) {
+			n += c[e], u[o + e + 1] = n, n > r && (r = n);
+			let t = r > 0 ? (r - n) / r : 0;
+			t > i && (i = t);
+		}
+		l[t] = n, n > e && f++, i > d && (d = i);
+	}
+	let p = [], m = new Float64Array(r);
+	for (let e = 0; e < s; e++) {
+		for (let t = 0; t < r; t++) m[t] = u[t * s + e];
+		m.sort(), p.push({
+			step: e,
+			p5: x(m, 5),
+			p25: x(m, 25),
+			p50: x(m, 50),
+			p75: x(m, 75),
+			p95: x(m, 95)
+		});
+	}
+	let h = new Float64Array(l);
+	h.sort();
+	let g = {};
+	for (let e of i) g[`p${e}`] = x(h, e);
+	return {
+		simulations: r,
+		initialCash: e,
+		equityBands: p,
+		finalEquityPercentiles: g,
+		probabilityProfitable: f / r,
+		worstMaxDrawdownPct: d * 100
+	};
 }
-function j(i, t) {
-  for (let e = i.length - 1; e > 0; e--) {
-    const n = Math.floor(t() * (e + 1)), s = i[e];
-    i[e] = i[n], i[n] = s;
-  }
+function b(e, t) {
+	for (let n = e.length - 1; n > 0; n--) {
+		let r = Math.floor(t() * (n + 1)), i = e[n];
+		e[n] = e[r], e[r] = i;
+	}
 }
-function w(i, t) {
-  if (i.length === 0) return 0;
-  if (i.length === 1) return i[0];
-  const e = t / 100 * (i.length - 1), n = Math.floor(e), s = Math.ceil(e);
-  return n === s ? i[n] : i[n] * (s - e) + i[s] * (e - n);
+function x(e, t) {
+	if (e.length === 0) return 0;
+	if (e.length === 1) return e[0];
+	let n = t / 100 * (e.length - 1), r = Math.floor(n), i = Math.ceil(n);
+	return r === i ? e[r] : e[r] * (i - n) + e[i] * (n - r);
 }
-function H(i) {
-  let t = i >>> 0;
-  return () => {
-    t = t + 1831565813 >>> 0;
-    let e = t;
-    return e = Math.imul(e ^ e >>> 15, e | 1), e ^= e + Math.imul(e ^ e >>> 7, e | 61), ((e ^ e >>> 14) >>> 0) / 4294967296;
-  };
+function S(e) {
+	let t = e >>> 0;
+	return () => {
+		t = t + 1831565813 >>> 0;
+		let e = t;
+		return e = Math.imul(e ^ e >>> 15, e | 1), e ^= e + Math.imul(e ^ e >>> 7, e | 61), ((e ^ e >>> 14) >>> 0) / 4294967296;
+	};
 }
-function K(i = {}) {
-  const t = i.fastPeriod ?? 10, e = i.slowPeriod ?? 30, n = i.size ?? 1, s = i.tag ?? "sma-cross";
-  if (t >= e)
-    throw new Error("smaCrossStrategy: fastPeriod must be less than slowPeriod");
-  return (o) => {
-    if (o.index < e) return;
-    const r = o.history, a = F(r, o.index, t), c = F(r, o.index, e), u = F(r, o.index - 1, t), h = F(r, o.index - 1, e), d = u <= h && a > c, m = u >= h && a < c;
-    d ? (o.position?.side === "short" && o.close(s), (!o.position || o.position.side === "short") && o.placeOrder({ side: "long", type: "market", quantity: n, tag: s })) : m && o.position?.side === "long" && o.close(s);
-  };
+//#endregion
+//#region src/strategies/smaCross.ts
+function C(e = {}) {
+	let t = e.fastPeriod ?? 10, n = e.slowPeriod ?? 30, r = e.size ?? 1, i = e.tag ?? "sma-cross";
+	if (t >= n) throw Error("smaCrossStrategy: fastPeriod must be less than slowPeriod");
+	return (e) => {
+		if (e.index < n) return;
+		let a = e.history, o = w(a, e.index, t), s = w(a, e.index, n), c = w(a, e.index - 1, t), l = w(a, e.index - 1, n);
+		c <= l && o > s ? (e.position?.side === "short" && e.close(i), (!e.position || e.position.side === "short") && e.placeOrder({
+			side: "long",
+			type: "market",
+			quantity: r,
+			tag: i
+		})) : c >= l && o < s && e.position?.side === "long" && e.close(i);
+	};
 }
-function F(i, t, e) {
-  let n = 0;
-  for (let s = t - e + 1; s <= t; s++)
-    n += i[s].close;
-  return n / e;
+function w(e, t, n) {
+	let r = 0;
+	for (let i = t - n + 1; i <= t; i++) r += e[i].close;
+	return r / n;
 }
-function X(i = {}) {
-  const t = i.period ?? 14, e = i.oversold ?? 30, n = i.overbought ?? 70, s = i.size ?? 1, o = i.tag ?? "rsi-reversion";
-  return (r) => {
-    if (r.index < t + 1) return;
-    const a = k(r.history, r.index, t), c = k(r.history, r.index - 1, t), u = c < e && a >= e, h = c < n && a >= n;
-    u && !r.position ? r.placeOrder({ side: "long", type: "market", quantity: s, tag: o }) : h && r.position?.side === "long" && r.close(o);
-  };
+//#endregion
+//#region src/strategies/rsiReversion.ts
+function T(e = {}) {
+	let t = e.period ?? 14, n = e.oversold ?? 30, r = e.overbought ?? 70, i = e.size ?? 1, a = e.tag ?? "rsi-reversion";
+	return (e) => {
+		if (e.index < t + 1) return;
+		let o = E(e.history, e.index, t), s = E(e.history, e.index - 1, t), c = s < n && o >= n, l = s < r && o >= r;
+		c && !e.position ? e.placeOrder({
+			side: "long",
+			type: "market",
+			quantity: i,
+			tag: a
+		}) : l && e.position?.side === "long" && e.close(a);
+	};
 }
-function k(i, t, e) {
-  let n = 0, s = 0;
-  for (let r = t - e + 1; r <= t; r++) {
-    const a = i[r].close - i[r - 1].close;
-    a >= 0 ? n += a : s -= a;
-  }
-  return s === 0 ? 100 : 100 - 100 / (1 + n / e / (s / e));
+function E(e, t, n) {
+	let r = 0, i = 0;
+	for (let a = t - n + 1; a <= t; a++) {
+		let t = e[a].close - e[a - 1].close;
+		t >= 0 ? r += t : i -= t;
+	}
+	return i === 0 ? 100 : 100 - 100 / (1 + r / n / (i / n));
 }
-function tt(i = {}) {
-  const t = i.entryPeriod ?? 20, e = i.exitPeriod ?? 10, n = i.size ?? 1, s = i.tag ?? "donchian-breakout";
-  return (o) => {
-    if (o.index < t) return;
-    const r = o.bar.close, a = D(o.history, o.index - t, o.index - 1), c = R(o.history, o.index - t, o.index - 1), u = D(o.history, o.index - e, o.index - 1), h = R(o.history, o.index - e, o.index - 1);
-    o.position ? (o.position.side === "long" && r < h || o.position.side === "short" && r > u) && o.close(s) : r > a ? o.placeOrder({ side: "long", type: "market", quantity: n, tag: s }) : r < c && o.placeOrder({ side: "short", type: "market", quantity: n, tag: s });
-  };
+//#endregion
+//#region src/strategies/donchianBreakout.ts
+function D(e = {}) {
+	let t = e.entryPeriod ?? 20, n = e.exitPeriod ?? 10, r = e.size ?? 1, i = e.tag ?? "donchian-breakout";
+	return (e) => {
+		if (e.index < t) return;
+		let a = e.bar.close, o = O(e.history, e.index - t, e.index - 1), s = k(e.history, e.index - t, e.index - 1), c = O(e.history, e.index - n, e.index - 1), l = k(e.history, e.index - n, e.index - 1);
+		e.position ? (e.position.side === "long" && a < l || e.position.side === "short" && a > c) && e.close(i) : a > o ? e.placeOrder({
+			side: "long",
+			type: "market",
+			quantity: r,
+			tag: i
+		}) : a < s && e.placeOrder({
+			side: "short",
+			type: "market",
+			quantity: r,
+			tag: i
+		});
+	};
 }
-function D(i, t, e) {
-  let n = -1 / 0;
-  for (let s = Math.max(0, t); s <= e; s++)
-    i[s].high > n && (n = i[s].high);
-  return n;
+function O(e, t, n) {
+	let r = -Infinity;
+	for (let i = Math.max(0, t); i <= n; i++) e[i].high > r && (r = e[i].high);
+	return r;
 }
-function R(i, t, e) {
-  let n = 1 / 0;
-  for (let s = Math.max(0, t); s <= e; s++)
-    i[s].low < n && (n = i[s].low);
-  return n;
+function k(e, t, n) {
+	let r = Infinity;
+	for (let i = Math.max(0, t); i <= n; i++) e[i].low < r && (r = e[i].low);
+	return r;
 }
-function et(i = {}) {
-  const t = i.period ?? 20, e = i.stdDev ?? 2, n = i.size ?? 1, s = i.tag ?? "bollinger-reversion";
-  return (o) => {
-    if (o.index < t) return;
-    const { mid: r, lower: a } = W(o.history, o.index, t, e), c = o.bar.close;
-    !o.position && c <= a ? o.placeOrder({ side: "long", type: "market", quantity: n, tag: s }) : o.position?.side === "long" && c >= r && o.close(s);
-  };
+//#endregion
+//#region src/strategies/bollingerReversion.ts
+function A(e = {}) {
+	let t = e.period ?? 20, n = e.stdDev ?? 2, r = e.size ?? 1, i = e.tag ?? "bollinger-reversion";
+	return (e) => {
+		if (e.index < t) return;
+		let { mid: a, lower: o } = j(e.history, e.index, t, n), s = e.bar.close;
+		!e.position && s <= o ? e.placeOrder({
+			side: "long",
+			type: "market",
+			quantity: r,
+			tag: i
+		}) : e.position?.side === "long" && s >= a && e.close(i);
+	};
 }
-function W(i, t, e, n) {
-  let s = 0;
-  for (let c = t - e + 1; c <= t; c++) s += i[c].close;
-  const o = s / e;
-  let r = 0;
-  for (let c = t - e + 1; c <= t; c++) {
-    const u = i[c].close - o;
-    r += u * u;
-  }
-  const a = Math.sqrt(r / e);
-  return { mid: o, upper: o + n * a, lower: o - n * a };
+function j(e, t, n, r) {
+	let i = 0;
+	for (let r = t - n + 1; r <= t; r++) i += e[r].close;
+	let a = i / n, o = 0;
+	for (let r = t - n + 1; r <= t; r++) {
+		let t = e[r].close - a;
+		o += t * t;
+	}
+	let s = Math.sqrt(o / n);
+	return {
+		mid: a,
+		upper: a + r * s,
+		lower: a - r * s
+	};
 }
-export {
-  x as Backtester,
-  $ as FixedCommission,
-  L as NO_SLIPPAGE,
-  Q as PerShareCommission,
-  G as PercentCommission,
-  U as PercentSlippage,
-  I as Portfolio,
-  Z as RangeBasedSlippage,
-  A as ZERO_COMMISSION,
-  et as bollingerReversionStrategy,
-  T as computeRiskMetrics,
-  tt as donchianBreakoutStrategy,
-  X as rsiReversionStrategy,
-  J as runMonteCarlo,
-  K as smaCrossStrategy
-};
-//# sourceMappingURL=index.js.map
+//#endregion
+export { v as Backtester, e as FixedCommission, i as NO_SLIPPAGE, n as PerShareCommission, t as PercentCommission, a as PercentSlippage, s as Portfolio, o as RangeBasedSlippage, r as ZERO_COMMISSION, A as bollingerReversionStrategy, l as computeRiskMetrics, D as donchianBreakoutStrategy, T as rsiReversionStrategy, y as runMonteCarlo, C as smaCrossStrategy };
+
+//# sourceMappingURL=index.js.map