@tradecanvas/analytics 0.8.1

package/LICENSE

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+MIT License
+
+Copyright (c) 2026 TradeCanvas Contributors
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

package/README.md

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+# @tradecanvas/analytics
+
+Backtesting, portfolio tracking, and risk analytics for [TradeCanvas](https://github.com/bonguynvan/tradecanvas).
+
+> **Preview release.** API is stable but the engine has only been validated
+> against synthetic test fixtures. Treat results as indicative until you've
+> cross-checked them against your own reference implementation.
+
+## Install
+
+```bash
+npm install @tradecanvas/analytics @tradecanvas/commons
+```
+
+## Backtester
+
+Bar-by-bar engine. Strategy fn runs at close of each bar; orders fill on the **next** bar (market → next-bar open, limit/stop → when the next bar trades through the trigger price).
+
+```ts
+import { Backtester, FixedCommission, PercentSlippage } from '@tradecanvas/analytics'
+
+const bt = new Backtester({
+  initialCash: 10_000,
+  commission: new FixedCommission(2),
+  slippage: new PercentSlippage(0.0005),
+  allowShort: true,
+})
+
+const result = bt.run(historicalBars, (ctx) => {
+  if (!ctx.position) {
+    ctx.placeOrder({ side: 'long', type: 'market', quantity: 1 })
+  } else if (ctx.bar.close > ctx.position.averagePrice * 1.02) {
+    ctx.close()
+  }
+})
+
+console.log(result.metrics.sharpe, result.metrics.maxDrawdownPct)
+```
+
+## StrategyContext
+
+Field / method | Description
+---|---
+`bar` | Current bar
+`index` | Index of `bar` in the input series
+`history` | Bars up to and including `bar`
+`position` | Current position or `null`
+`cash` | Available cash
+`equity` | Cash + mark-to-market position value
+`placeOrder(order)` | Queue order for next bar
+`close(tag?)` | Market-close current position
+`cancel(orderId)` | Cancel a pending order
+
+## Commission & slippage models
+
+- `FixedCommission(perTrade)`
+- `PercentCommission(rate)` — fraction of notional, e.g. `0.001` = 10 bps
+- `PerShareCommission(perShare, minimum?)`
+- `PercentSlippage(rate)` — adverse fraction of price
+- `RangeBasedSlippage(factor)` — proportional to bar range
+
+## Portfolio
+
+Tracks cash, one net position, realized P&L, and the equity curve.
+
+```ts
+import { Portfolio } from '@tradecanvas/analytics'
+
+const portfolio = new Portfolio({ initialCash: 10_000 })
+portfolio.applyFill({ ... })
+portfolio.mark(time, price)
+
+portfolio.getPosition()        // → { side, quantity, averagePrice, ... } | null
+portfolio.getTrades()          // → closed trades
+portfolio.getEquityCurve()     // → equity points
+portfolio.equity(price)        // mark-to-market
+```
+
+> Currently single-position. Multi-symbol portfolios are on the roadmap.
+
+## Risk metrics
+
+```ts
+import { computeRiskMetrics } from '@tradecanvas/analytics'
+
+const m = computeRiskMetrics(initialCash, equityCurve, trades, {
+  periodsPerYear: 252,    // optional; auto-detected from timestamps
+  riskFreeRate: 0.03,
+})
+
+m.totalReturnPct
+m.cagr
+m.sharpe
+m.sortino
+m.calmar
+m.maxDrawdownPct
+m.winRate
+m.profitFactor
+m.expectancy
+```
+
+## Edge cases (current behavior)
+
+- **Gaps past a limit price**: if the bar opens already through the limit, the order fills at the better of `open` and the limit price.
+- **Stop orders inside a gap**: fill at the worse of `open` and the stop price.
+- **Bar that touches both stop and limit on the same bar**: order resolves to the more pessimistic price for the current side (no intra-bar tick simulation).
+
+These choices are conservative. A future release will offer a configurable intra-bar fill model.
+
+## License
+
+MIT

package/dist/Backtester.d.ts

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+import { DataSeries } from '@tradecanvas/commons';
+import { BacktestOptions, BacktestResult, StrategyFn } from './types.js';
+/**
+ * Bar-by-bar backtest engine.
+ *
+ * Execution model:
+ *  - Strategy fn runs at close of each bar
+ *  - Orders placed on bar N fill on bar N+1's open (market) or when
+ *    bar N+1 trades through the limit/stop price
+ *  - Equity is marked to close of every bar
+ *
+ * The engine is intentionally headless — no chart dependency — and produces
+ * a result that can be visualised via @tradecanvas/chart's EquityCurveRenderer
+ * or rendered into a report. See README for wiring examples.
+ */
+export declare class Backtester {
+    private readonly commission;
+    private readonly slippage;
+    private readonly allowShort;
+    private readonly portfolio;
+    private pendingOrders;
+    private orderSeq;
+    constructor(opts: BacktestOptions);
+    run(data: DataSeries, strategy: StrategyFn): BacktestResult;
+    private fillPendingOrders;
+    private resolveFillPrice;
+    private makeContext;
+    private placeOrder;
+    private closePosition;
+    private cancelOrder;
+}
+//# sourceMappingURL=Backtester.d.ts.map

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package/dist/Portfolio.d.ts

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+import { ClosedTrade, EquityPoint, Fill, PortfolioPosition, Side } from './types.js';
+export interface PortfolioOptions {
+    initialCash: number;
+}
+/**
+ * Tracks cash, a single net position, realized PnL, and the equity curve.
+ *
+ * Simplifying assumptions:
+ *  - One symbol at a time. Opposing fills net against the existing position.
+ *  - Realized PnL is computed when a fill reduces or flips the position.
+ *  - Equity = cash + position market value (mark-to-market).
+ */
+export declare class Portfolio {
+    private cash;
+    private readonly initialCash;
+    private position;
+    private readonly fills;
+    private readonly trades;
+    private readonly equityCurve;
+    private realizedPnl;
+    constructor(opts: PortfolioOptions);
+    getCash(): number;
+    getPosition(): Readonly<PortfolioPosition> | null;
+    getFills(): ReadonlyArray<Fill>;
+    getTrades(): ReadonlyArray<ClosedTrade>;
+    getEquityCurve(): ReadonlyArray<EquityPoint>;
+    getInitialCash(): number;
+    getRealizedPnl(): number;
+    unrealizedPnl(price: number): number;
+    equity(price: number): number;
+    positionValue(price: number): number;
+    /** Apply a fill: cash flow + position update + realized PnL. */
+    applyFill(fill: Fill): void;
+    /** Snapshot equity at the current bar close. */
+    mark(time: number, price: number): void;
+    reverseSide(side: Side): Side;
+}
+//# sourceMappingURL=Portfolio.d.ts.map

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package/dist/RiskMetrics.d.ts

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+import { ClosedTrade, EquityPoint, RiskMetrics } from './types.js';
+export interface RiskMetricsOptions {
+    /** Periods per year for Sharpe/Sortino annualization. Auto-detected from equity timestamps if omitted. */
+    periodsPerYear?: number;
+    /** Annual risk-free rate, default 0. */
+    riskFreeRate?: number;
+}
+/**
+ * Compute summary risk and return metrics from an equity curve and closed trades.
+ *
+ * Returns NaN/0 fallbacks for degenerate inputs (empty curve, single point, no losses)
+ * so downstream UIs can render safely.
+ */
+export declare function computeRiskMetrics(initialCash: number, equityCurve: ReadonlyArray<EquityPoint>, trades: ReadonlyArray<ClosedTrade>, opts?: RiskMetricsOptions): RiskMetrics;
+//# sourceMappingURL=RiskMetrics.d.ts.map

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package/dist/commission.d.ts

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+import { CommissionModel } from './types.js';
+export declare class FixedCommission implements CommissionModel {
+    private readonly perTrade;
+    constructor(perTrade: number);
+    calculate(): number;
+}
+export declare class PercentCommission implements CommissionModel {
+    private readonly rate;
+    /** rate = 0.001 → 10 bps per trade notional. */
+    constructor(rate: number);
+    calculate(quantity: number, price: number): number;
+}
+export declare class PerShareCommission implements CommissionModel {
+    private readonly perShare;
+    private readonly minimum;
+    /** Minimum total commission per trade (optional). */
+    constructor(perShare: number, minimum?: number);
+    calculate(quantity: number): number;
+}
+export declare const ZERO_COMMISSION: CommissionModel;
+//# sourceMappingURL=commission.d.ts.map

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package/dist/index.cjs

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+"use strict";Object.defineProperty(exports,Symbol.toStringTag,{value:"Module"});class C{constructor(t){this.perTrade=t}calculate(){return this.perTrade}}class D{constructor(t){this.rate=t}calculate(t,i){return Math.abs(t)*i*this.rate}}class v{constructor(t,i=0){this.perShare=t,this.minimum=i}calculate(t){return Math.max(this.minimum,Math.abs(t)*this.perShare)}}const P={calculate:()=>0},q={apply:s=>s};class z{constructor(t){this.rate=t}apply(t,i){const e=i==="long"?1+this.rate:1-this.rate;return t*e}}class T{constructor(t){this.factor=t}apply(t,i,e){const o=(e.high-e.low)*this.factor;return i==="long"?t+o:t-o}}class w{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 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V{commission;slippage;allowShort;portfolio;pendingOrders=[];orderSeq=0;constructor(t){this.commission=t.commission??P,this.slippage=t.slippage??q,this.allowShort=t.allowShort??!0,this.portfolio=new w({initialCash:t.initialCash})}run(t,i){if(t.length<2)throw new Error("Backtester requires at least 2 bars");for(let r=0;r<t.length;r++){const h=t[r];if(this.fillPendingOrders(h),this.portfolio.mark(h.time,h.close),r<t.length-1){const l=this.makeContext(h,r,t.slice(0,r+1));i(l)}}for(const r of this.pendingOrders)r.status==="pending"&&(r.status="cancelled");const e=this.portfolio.getEquityCurve(),n=this.portfolio.getInitialCash(),o=this.portfolio.getTrades(),a=e.length>0?e[e.length-1].equity:n;return{fills:this.portfolio.getFills(),trades:o,equityCurve:e,initialCash:n,finalEquity:a,metrics:M(n,e,o)}}fillPendingOrders(t){for(const i of this.pendingOrders){if(i.status!=="pending")continue;const e=this.resolveFillPrice(i,t);if(e===null){(i.timeInForce==="day"||i.timeInForce==="ioc")&&(i.status="cancelled");continue}const n=this.slippage.apply(e,i.side,t),o=this.commission.calculate(i.quantity,n),a={orderId:i.id,time:t.time,price:n,quantity:i.quantity,side:i.side,commission:o,slippage:Math.abs(n-e),tag:i.tag};this.portfolio.applyFill(a),i.status="filled"}this.pendingOrders=this.pendingOrders.filter(i=>i.status==="pending")}resolveFillPrice(t,i){switch(t.type){case"market":return i.open;case"limit":return t.price===void 0?null:t.side==="long"&&i.low<=t.price?Math.min(t.price,i.open):t.side==="short"&&i.high>=t.price?Math.max(t.price,i.open):null;case"stop":return t.price===void 0?null:t.side==="long"&&i.high>=t.price?Math.max(t.price,i.open):t.side==="short"&&i.low<=t.price?Math.min(t.price,i.open):null}}makeContext(t,i,e){const n=this.portfolio;return{bar:t,index:i,history:e,position:n.getPosition(),cash:n.getCash(),equity:n.equity(t.close),placeOrder:o=>this.placeOrder(o,t.time),close:o=>this.closePosition(t.time,o),cancel:o=>this.cancelOrder(o)}}placeOrder(t,i){if(t.quantity<=0)throw new Error("order quantity must be > 0");if(!this.allowShort&&t.side==="short")throw new Error("shorting is disabled");const e=t.id??`o-${++this.orderSeq}`;return this.pendingOrders.push({id:e,side:t.side,type:t.type,quantity:t.quantity,price:t.price,tag:t.tag,timeInForce:t.timeInForce??"gtc",status:"pending",placedAt:i}),e}closePosition(t,i){const e=this.portfolio.getPosition();if(!e)return null;const n=e.side==="long"?"short":"long";return this.placeOrder({side:n,type:"market",quantity:e.quantity,tag:i},t)}cancelOrder(t){const i=this.pendingOrders.find(e=>e.id===t);return!i||i.status!=="pending"?!1:(i.status="cancelled",!0)}}exports.Backtester=V;exports.FixedCommission=C;exports.NO_SLIPPAGE=q;exports.PerShareCommission=v;exports.PercentCommission=D;exports.PercentSlippage=z;exports.Portfolio=w;exports.RangeBasedSlippage=T;exports.ZERO_COMMISSION=P;exports.computeRiskMetrics=M;
+//# sourceMappingURL=index.cjs.map

package/dist/index.cjs.map

@@ -0,0 +1 @@
+{"version":3,"file":"index.cjs","sources":["../src/commission.ts","../src/slippage.ts","../src/Portfolio.ts","../src/RiskMetrics.ts","../src/Backtester.ts"],"sourcesContent":["import type { CommissionModel } from './types.js';\n\nexport class FixedCommission implements CommissionModel {\n  constructor(private readonly perTrade: number) {}\n\n  calculate(): number {\n    return this.perTrade;\n  }\n}\n\nexport class PercentCommission implements CommissionModel {\n  /** rate = 0.001 → 10 bps per trade notional. */\n  constructor(private readonly rate: number) {}\n\n  calculate(quantity: number, price: number): number {\n    return Math.abs(quantity) * price * this.rate;\n  }\n}\n\nexport class PerShareCommission implements CommissionModel {\n  /** Minimum total commission per trade (optional). */\n  constructor(\n    private readonly perShare: number,\n    private readonly minimum = 0,\n  ) {}\n\n  calculate(quantity: number): number {\n    return Math.max(this.minimum, Math.abs(quantity) * this.perShare);\n  }\n}\n\nexport const ZERO_COMMISSION: CommissionModel = {\n  calculate: () => 0,\n};\n","import type { OHLCBar } from '@tradecanvas/commons';\nimport type { Side, SlippageModel } from './types.js';\n\nexport const NO_SLIPPAGE: SlippageModel = {\n  apply: (price) => price,\n};\n\nexport class PercentSlippage implements SlippageModel {\n  /** rate = 0.0005 → 5bps adverse */\n  constructor(private readonly rate: number) {}\n\n  apply(intendedPrice: number, side: Side): number {\n    const adverse = side === 'long' ? 1 + this.rate : 1 - this.rate;\n    return intendedPrice * adverse;\n  }\n}\n\nexport class RangeBasedSlippage implements SlippageModel {\n  /** factor = 0.1 → 10% of the bar's range pushes against the order */\n  constructor(private readonly factor: number) {}\n\n  apply(intendedPrice: number, side: Side, bar: OHLCBar): number {\n    const range = bar.high - bar.low;\n    const push = range * this.factor;\n    return side === 'long' ? intendedPrice + push : intendedPrice - push;\n  }\n}\n","import type {\n  ClosedTrade,\n  EquityPoint,\n  Fill,\n  PortfolioPosition,\n  Side,\n} from './types.js';\n\nexport interface PortfolioOptions {\n  initialCash: number;\n}\n\n/**\n * Tracks cash, a single net position, realized PnL, and the equity curve.\n *\n * Simplifying assumptions:\n *  - One symbol at a time. Opposing fills net against the existing position.\n *  - Realized PnL is computed when a fill reduces or flips the position.\n *  - Equity = cash + position market value (mark-to-market).\n */\nexport class Portfolio {\n  private cash: number;\n  private readonly initialCash: number;\n  private position: PortfolioPosition | null = null;\n  private readonly fills: Fill[] = [];\n  private readonly trades: ClosedTrade[] = [];\n  private readonly equityCurve: EquityPoint[] = [];\n  private realizedPnl = 0;\n\n  constructor(opts: PortfolioOptions) {\n    if (opts.initialCash <= 0) throw new Error('initialCash must be > 0');\n    this.cash = opts.initialCash;\n    this.initialCash = opts.initialCash;\n  }\n\n  getCash(): number {\n    return this.cash;\n  }\n\n  getPosition(): Readonly<PortfolioPosition> | null {\n    return this.position;\n  }\n\n  getFills(): ReadonlyArray<Fill> {\n    return this.fills;\n  }\n\n  getTrades(): ReadonlyArray<ClosedTrade> {\n    return this.trades;\n  }\n\n  getEquityCurve(): ReadonlyArray<EquityPoint> {\n    return this.equityCurve;\n  }\n\n  getInitialCash(): number {\n    return this.initialCash;\n  }\n\n  getRealizedPnl(): number {\n    return this.realizedPnl;\n  }\n\n  unrealizedPnl(price: number): number {\n    if (!this.position) return 0;\n    const dir = this.position.side === 'long' ? 1 : -1;\n    return (price - this.position.averagePrice) * this.position.quantity * dir;\n  }\n\n  equity(price: number): number {\n    return this.cash + this.positionValue(price);\n  }\n\n  positionValue(price: number): number {\n    if (!this.position) return 0;\n    const dir = this.position.side === 'long' ? 1 : -1;\n    return this.position.quantity * price * dir;\n  }\n\n  /** Apply a fill: cash flow + position update + realized PnL. */\n  applyFill(fill: Fill): void {\n    this.fills.push(fill);\n\n    const signed = fill.side === 'long' ? fill.quantity : -fill.quantity;\n    this.cash -= signed * fill.price;\n    this.cash -= fill.commission;\n\n    if (!this.position) {\n      this.position = {\n        side: fill.side,\n        quantity: fill.quantity,\n        averagePrice: fill.price,\n        openedAt: fill.time,\n        tag: fill.tag,\n      };\n      return;\n    }\n\n    if (this.position.side === fill.side) {\n      // Same direction: average up\n      const totalQty = this.position.quantity + fill.quantity;\n      this.position = {\n        ...this.position,\n        quantity: totalQty,\n        averagePrice:\n          (this.position.averagePrice * this.position.quantity +\n            fill.price * fill.quantity) /\n          totalQty,\n      };\n      return;\n    }\n\n    // Opposite direction: close or flip\n    const closing = Math.min(this.position.quantity, fill.quantity);\n    const dir = this.position.side === 'long' ? 1 : -1;\n    const pnl = (fill.price - this.position.averagePrice) * closing * dir;\n\n    this.realizedPnl += pnl;\n    this.trades.push({\n      entryTime: this.position.openedAt,\n      exitTime: fill.time,\n      side: this.position.side,\n      quantity: closing,\n      entryPrice: this.position.averagePrice,\n      exitPrice: fill.price,\n      pnl,\n      pnlPct: (fill.price / this.position.averagePrice - 1) * dir,\n      commission: fill.commission,\n      tag: fill.tag ?? this.position.tag,\n    });\n\n    const remaining = this.position.quantity - fill.quantity;\n    if (remaining > 0) {\n      this.position = { ...this.position, quantity: remaining };\n    } else if (remaining < 0) {\n      this.position = {\n        side: fill.side,\n        quantity: -remaining,\n        averagePrice: fill.price,\n        openedAt: fill.time,\n        tag: fill.tag,\n      };\n    } else {\n      this.position = null;\n    }\n  }\n\n  /** Snapshot equity at the current bar close. */\n  mark(time: number, price: number): void {\n    const positionValue = this.positionValue(price);\n    const unrealizedPnl = this.unrealizedPnl(price);\n    this.equityCurve.push({\n      time,\n      equity: this.cash + positionValue,\n      cash: this.cash,\n      positionValue,\n      unrealizedPnl,\n      realizedPnl: this.realizedPnl,\n    });\n  }\n\n  reverseSide(side: Side): Side {\n    return side === 'long' ? 'short' : 'long';\n  }\n}\n","import type {\n  ClosedTrade,\n  EquityPoint,\n  RiskMetrics,\n} from './types.js';\n\nconst MS_PER_YEAR = 365 * 24 * 60 * 60 * 1000;\n\nexport interface RiskMetricsOptions {\n  /** Periods per year for Sharpe/Sortino annualization. Auto-detected from equity timestamps if omitted. */\n  periodsPerYear?: number;\n  /** Annual risk-free rate, default 0. */\n  riskFreeRate?: number;\n}\n\n/**\n * Compute summary risk and return metrics from an equity curve and closed trades.\n *\n * Returns NaN/0 fallbacks for degenerate inputs (empty curve, single point, no losses)\n * so downstream UIs can render safely.\n */\nexport function computeRiskMetrics(\n  initialCash: number,\n  equityCurve: ReadonlyArray<EquityPoint>,\n  trades: ReadonlyArray<ClosedTrade>,\n  opts: RiskMetricsOptions = {},\n): RiskMetrics {\n  if (equityCurve.length < 2) {\n    return emptyMetrics(initialCash, equityCurve, trades);\n  }\n\n  const finalEquity = equityCurve[equityCurve.length - 1].equity;\n  const totalReturn = finalEquity - initialCash;\n  const totalReturnPct = totalReturn / initialCash;\n\n  const periodsPerYear =\n    opts.periodsPerYear ?? inferPeriodsPerYear(equityCurve);\n  const riskFreeRate = opts.riskFreeRate ?? 0;\n  const periodRiskFree = riskFreeRate / periodsPerYear;\n\n  const returns = periodReturns(equityCurve);\n  const meanReturn = mean(returns);\n  const stdDev = standardDeviation(returns, meanReturn);\n  const downsideDev = downsideDeviation(returns, periodRiskFree);\n\n  const sharpe = stdDev === 0\n    ? 0\n    : ((meanReturn - periodRiskFree) / stdDev) * Math.sqrt(periodsPerYear);\n  const sortino = downsideDev === 0\n    ? 0\n    : ((meanReturn - periodRiskFree) / downsideDev) * Math.sqrt(periodsPerYear);\n\n  const elapsedMs =\n    equityCurve[equityCurve.length - 1].time - equityCurve[0].time;\n  const years = elapsedMs > 0 ? elapsedMs / MS_PER_YEAR : 0;\n  const cagr = years > 0\n    ? Math.pow(finalEquity / initialCash, 1 / years) - 1\n    : 0;\n\n  const { maxDrawdown, maxDrawdownPct } = computeDrawdown(equityCurve);\n  const calmar = maxDrawdownPct > 0 ? cagr / maxDrawdownPct : 0;\n\n  const tradeStats = summarizeTrades(trades);\n\n  return {\n    totalReturn,\n    totalReturnPct,\n    cagr,\n    sharpe,\n    sortino,\n    calmar,\n    maxDrawdown,\n    maxDrawdownPct,\n    ...tradeStats,\n  };\n}\n\nfunction emptyMetrics(\n  initialCash: number,\n  equityCurve: ReadonlyArray<EquityPoint>,\n  trades: ReadonlyArray<ClosedTrade>,\n): RiskMetrics {\n  const finalEquity = equityCurve.length > 0\n    ? equityCurve[equityCurve.length - 1].equity\n    : initialCash;\n  return {\n    totalReturn: finalEquity - initialCash,\n    totalReturnPct: (finalEquity - initialCash) / initialCash,\n    cagr: 0,\n    sharpe: 0,\n    sortino: 0,\n    calmar: 0,\n    maxDrawdown: 0,\n    maxDrawdownPct: 0,\n    ...summarizeTrades(trades),\n  };\n}\n\nfunction periodReturns(curve: ReadonlyArray<EquityPoint>): number[] {\n  const result: number[] = [];\n  for (let i = 1; i < curve.length; i++) {\n    const prev = curve[i - 1].equity;\n    if (prev <= 0) {\n      result.push(0);\n      continue;\n    }\n    result.push(curve[i].equity / prev - 1);\n  }\n  return result;\n}\n\nfunction mean(values: number[]): number {\n  if (values.length === 0) return 0;\n  let sum = 0;\n  for (const v of values) sum += v;\n  return sum / values.length;\n}\n\nfunction standardDeviation(values: number[], avg: number): number {\n  if (values.length < 2) return 0;\n  let acc = 0;\n  for (const v of values) acc += (v - avg) ** 2;\n  return Math.sqrt(acc / (values.length - 1));\n}\n\nfunction downsideDeviation(values: number[], target: number): number {\n  if (values.length < 2) return 0;\n  let acc = 0;\n  let count = 0;\n  for (const v of values) {\n    const diff = v - target;\n    if (diff < 0) {\n      acc += diff ** 2;\n      count++;\n    }\n  }\n  if (count === 0) return 0;\n  return Math.sqrt(acc / count);\n}\n\nfunction computeDrawdown(curve: ReadonlyArray<EquityPoint>): {\n  maxDrawdown: number;\n  maxDrawdownPct: number;\n} {\n  let peak = curve[0].equity;\n  let maxDd = 0;\n  let maxDdPct = 0;\n  for (const point of curve) {\n    if (point.equity > peak) peak = point.equity;\n    const dd = peak - point.equity;\n    if (dd > maxDd) {\n      maxDd = dd;\n      maxDdPct = peak > 0 ? dd / peak : 0;\n    }\n  }\n  return { maxDrawdown: maxDd, maxDrawdownPct: maxDdPct };\n}\n\nfunction summarizeTrades(trades: ReadonlyArray<ClosedTrade>): {\n  winRate: number;\n  profitFactor: number;\n  expectancy: number;\n  averageWin: number;\n  averageLoss: number;\n  trades: number;\n} {\n  if (trades.length === 0) {\n    return {\n      winRate: 0,\n      profitFactor: 0,\n      expectancy: 0,\n      averageWin: 0,\n      averageLoss: 0,\n      trades: 0,\n    };\n  }\n\n  let wins = 0;\n  let losses = 0;\n  let totalWin = 0;\n  let totalLoss = 0;\n  for (const t of trades) {\n    if (t.pnl > 0) {\n      wins++;\n      totalWin += t.pnl;\n    } else if (t.pnl < 0) {\n      losses++;\n      totalLoss += -t.pnl;\n    }\n  }\n\n  const winRate = wins / trades.length;\n  const averageWin = wins > 0 ? totalWin / wins : 0;\n  const averageLoss = losses > 0 ? totalLoss / losses : 0;\n  const profitFactor = totalLoss > 0 ? totalWin / totalLoss : totalWin > 0 ? Infinity : 0;\n  const expectancy = winRate * averageWin - (1 - winRate) * averageLoss;\n\n  return {\n    winRate,\n    profitFactor,\n    expectancy,\n    averageWin,\n    averageLoss,\n    trades: trades.length,\n  };\n}\n\nfunction inferPeriodsPerYear(curve: ReadonlyArray<EquityPoint>): number {\n  if (curve.length < 2) return 252;\n  const deltas: number[] = [];\n  for (let i = 1; i < curve.length && i < 50; i++) {\n    deltas.push(curve[i].time - curve[i - 1].time);\n  }\n  const avgMs = mean(deltas);\n  if (avgMs <= 0) return 252;\n  const perYear = MS_PER_YEAR / avgMs;\n  // Snap to common cadences for stability\n  if (perYear > 200_000) return 365 * 24 * 60; // 1m\n  if (perYear > 50_000) return 365 * 24 * 4; // 15m\n  if (perYear > 5_000) return 365 * 24; // hourly\n  if (perYear > 200) return 252; // daily trading\n  if (perYear > 40) return 52; // weekly\n  return 12; // monthly fallback\n}\n","import type { OHLCBar, DataSeries } from '@tradecanvas/commons';\nimport { ZERO_COMMISSION } from './commission.js';\nimport { NO_SLIPPAGE } from './slippage.js';\nimport { Portfolio } from './Portfolio.js';\nimport { computeRiskMetrics } from './RiskMetrics.js';\nimport type {\n  BacktestOptions,\n  BacktestOrder,\n  BacktestResult,\n  CommissionModel,\n  Fill,\n  OrderStatus,\n  Side,\n  SlippageModel,\n  StrategyContext,\n  StrategyFn,\n} from './types.js';\n\ninterface PendingOrder extends BacktestOrder {\n  status: OrderStatus;\n  placedAt: number;\n}\n\n/**\n * Bar-by-bar backtest engine.\n *\n * Execution model:\n *  - Strategy fn runs at close of each bar\n *  - Orders placed on bar N fill on bar N+1's open (market) or when\n *    bar N+1 trades through the limit/stop price\n *  - Equity is marked to close of every bar\n *\n * The engine is intentionally headless — no chart dependency — and produces\n * a result that can be visualised via @tradecanvas/chart's EquityCurveRenderer\n * or rendered into a report. See README for wiring examples.\n */\nexport class Backtester {\n  private readonly commission: CommissionModel;\n  private readonly slippage: SlippageModel;\n  private readonly allowShort: boolean;\n  private readonly portfolio: Portfolio;\n  private pendingOrders: PendingOrder[] = [];\n  private orderSeq = 0;\n\n  constructor(opts: BacktestOptions) {\n    this.commission = opts.commission ?? ZERO_COMMISSION;\n    this.slippage = opts.slippage ?? NO_SLIPPAGE;\n    this.allowShort = opts.allowShort ?? true;\n    this.portfolio = new Portfolio({ initialCash: opts.initialCash });\n  }\n\n  run(data: DataSeries, strategy: StrategyFn): BacktestResult {\n    if (data.length < 2) {\n      throw new Error('Backtester requires at least 2 bars');\n    }\n\n    for (let i = 0; i < data.length; i++) {\n      const bar = data[i];\n\n      // 1. Fill any pending orders against this bar\n      this.fillPendingOrders(bar);\n\n      // 2. Mark-to-market after fills resolve\n      this.portfolio.mark(bar.time, bar.close);\n\n      // 3. Run strategy for the next bar (if there is one)\n      if (i < data.length - 1) {\n        const ctx = this.makeContext(bar, i, data.slice(0, i + 1));\n        strategy(ctx);\n      }\n    }\n\n    // Cancel anything left pending\n    for (const order of this.pendingOrders) {\n      if (order.status === 'pending') order.status = 'cancelled';\n    }\n\n    const equityCurve = this.portfolio.getEquityCurve();\n    const initialCash = this.portfolio.getInitialCash();\n    const trades = this.portfolio.getTrades();\n    const finalEquity = equityCurve.length > 0\n      ? equityCurve[equityCurve.length - 1].equity\n      : initialCash;\n\n    return {\n      fills: this.portfolio.getFills(),\n      trades,\n      equityCurve,\n      initialCash,\n      finalEquity,\n      metrics: computeRiskMetrics(initialCash, equityCurve, trades),\n    };\n  }\n\n  private fillPendingOrders(bar: OHLCBar): void {\n    for (const order of this.pendingOrders) {\n      if (order.status !== 'pending') continue;\n      const fillPrice = this.resolveFillPrice(order, bar);\n      if (fillPrice === null) {\n        if (order.timeInForce === 'day' || order.timeInForce === 'ioc') {\n          order.status = 'cancelled';\n        }\n        continue;\n      }\n      const adjustedPrice = this.slippage.apply(fillPrice, order.side, bar);\n      const commission = this.commission.calculate(order.quantity, adjustedPrice);\n      const fill: Fill = {\n        orderId: order.id,\n        time: bar.time,\n        price: adjustedPrice,\n        quantity: order.quantity,\n        side: order.side,\n        commission,\n        slippage: Math.abs(adjustedPrice - fillPrice),\n        tag: order.tag,\n      };\n      this.portfolio.applyFill(fill);\n      order.status = 'filled';\n    }\n    this.pendingOrders = this.pendingOrders.filter(\n      (o) => o.status === 'pending',\n    );\n  }\n\n  private resolveFillPrice(order: PendingOrder, bar: OHLCBar): number | null {\n    switch (order.type) {\n      case 'market':\n        return bar.open;\n      case 'limit':\n        if (order.price === undefined) return null;\n        if (order.side === 'long' && bar.low <= order.price) {\n          return Math.min(order.price, bar.open);\n        }\n        if (order.side === 'short' && bar.high >= order.price) {\n          return Math.max(order.price, bar.open);\n        }\n        return null;\n      case 'stop':\n        if (order.price === undefined) return null;\n        if (order.side === 'long' && bar.high >= order.price) {\n          return Math.max(order.price, bar.open);\n        }\n        if (order.side === 'short' && bar.low <= order.price) {\n          return Math.min(order.price, bar.open);\n        }\n        return null;\n    }\n  }\n\n  private makeContext(\n    bar: OHLCBar,\n    index: number,\n    history: ReadonlyArray<OHLCBar>,\n  ): StrategyContext {\n    const portfolio = this.portfolio;\n    return {\n      bar,\n      index,\n      history,\n      position: portfolio.getPosition(),\n      cash: portfolio.getCash(),\n      equity: portfolio.equity(bar.close),\n      placeOrder: (order) => this.placeOrder(order, bar.time),\n      close: (tag) => this.closePosition(bar.time, tag),\n      cancel: (orderId) => this.cancelOrder(orderId),\n    };\n  }\n\n  private placeOrder(\n    raw: Omit<BacktestOrder, 'id'> & { id?: string },\n    placedAt: number,\n  ): string {\n    if (raw.quantity <= 0) {\n      throw new Error('order quantity must be > 0');\n    }\n    if (!this.allowShort && raw.side === 'short') {\n      throw new Error('shorting is disabled');\n    }\n    const id = raw.id ?? `o-${++this.orderSeq}`;\n    this.pendingOrders.push({\n      id,\n      side: raw.side,\n      type: raw.type,\n      quantity: raw.quantity,\n      price: raw.price,\n      tag: raw.tag,\n      timeInForce: raw.timeInForce ?? 'gtc',\n      status: 'pending',\n      placedAt,\n    });\n    return id;\n  }\n\n  private closePosition(placedAt: number, tag?: string): string | null {\n    const pos = this.portfolio.getPosition();\n    if (!pos) return null;\n    const closeSide: Side = pos.side === 'long' ? 'short' : 'long';\n    return this.placeOrder(\n      { side: closeSide, type: 'market', quantity: pos.quantity, tag },\n      placedAt,\n    );\n  }\n\n  private cancelOrder(orderId: string): boolean {\n    const order = this.pendingOrders.find((o) => o.id === orderId);\n    if (!order || order.status !== 'pending') return false;\n    order.status = 'cancelled';\n    return true;\n  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package/dist/index.d.ts

@@ -0,0 +1,8 @@
+export { Backtester } from './Backtester.js';
+export { Portfolio } from './Portfolio.js';
+export { computeRiskMetrics } from './RiskMetrics.js';
+export type { RiskMetricsOptions } from './RiskMetrics.js';
+export { FixedCommission, PercentCommission, PerShareCommission, ZERO_COMMISSION, } from './commission.js';
+export { NO_SLIPPAGE, PercentSlippage, RangeBasedSlippage, } from './slippage.js';
+export * from './types.js';
+//# sourceMappingURL=index.d.ts.map

package/dist/index.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":"AACA,OAAO,EAAE,UAAU,EAAE,MAAM,iBAAiB,CAAC;AAC7C,OAAO,EAAE,SAAS,EAAE,MAAM,gBAAgB,CAAC;AAC3C,OAAO,EAAE,kBAAkB,EAAE,MAAM,kBAAkB,CAAC;AACtD,YAAY,EAAE,kBAAkB,EAAE,MAAM,kBAAkB,CAAC;AAC3D,OAAO,EACL,eAAe,EACf,iBAAiB,EACjB,kBAAkB,EAClB,eAAe,GAChB,MAAM,iBAAiB,CAAC;AACzB,OAAO,EACL,WAAW,EACX,eAAe,EACf,kBAAkB,GACnB,MAAM,eAAe,CAAC;AACvB,cAAc,YAAY,CAAC"}

package/dist/index.js

@@ -0,0 +1,389 @@
+class Y {
+  constructor(t) {
+    this.perTrade = t;
+  }
+  calculate() {
+    return this.perTrade;
+  }
+}
+class L {
+  /** rate = 0.001 → 10 bps per trade notional. */
+  constructor(t) {
+    this.rate = t;
+  }
+  calculate(t, i) {
+    return Math.abs(t) * i * this.rate;
+  }
+}
+class V {
+  /** Minimum total commission per trade (optional). */
+  constructor(t, i = 0) {
+    this.perShare = t, this.minimum = i;
+  }
+  calculate(t) {
+    return Math.max(this.minimum, Math.abs(t) * this.perShare);
+  }
+}
+const F = {
+  calculate: () => 0
+}, k = {
+  apply: (s) => s
+};
+class _ {
+  /** rate = 0.0005 → 5bps adverse */
+  constructor(t) {
+    this.rate = t;
+  }
+  apply(t, i) {
+    const e = i === "long" ? 1 + this.rate : 1 - this.rate;
+    return t * e;
+  }
+}
+class B {
+  /** factor = 0.1 → 10% of the bar's range pushes against the order */
+  constructor(t) {
+    this.factor = t;
+  }
+  apply(t, i, e) {
+    const o = (e.high - e.low) * this.factor;
+    return i === "long" ? t + o : t - o;
+  }
+}
+class D {
+  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 i = this.position.side === "long" ? 1 : -1;
+    return (t - this.position.averagePrice) * this.position.quantity * i;
+  }
+  equity(t) {
+    return this.cash + this.positionValue(t);
+  }
+  positionValue(t) {
+    if (!this.position) return 0;
+    const i = this.position.side === "long" ? 1 : -1;
+    return this.position.quantity * t * i;
+  }
+  /** Apply a fill: cash flow + position update + realized PnL. */
+  applyFill(t) {
+    this.fills.push(t);
+    const i = t.side === "long" ? t.quantity : -t.quantity;
+    if (this.cash -= i * 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 r = this.position.quantity + t.quantity;
+      this.position = {
+        ...this.position,
+        quantity: r,
+        averagePrice: (this.position.averagePrice * this.position.quantity + t.price * t.quantity) / r
+      };
+      return;
+    }
+    const e = Math.min(this.position.quantity, t.quantity), n = this.position.side === "long" ? 1 : -1, o = (t.price - this.position.averagePrice) * e * n;
+    this.realizedPnl += o, this.trades.push({
+      entryTime: this.position.openedAt,
+      exitTime: t.time,
+      side: this.position.side,
+      quantity: e,
+      entryPrice: this.position.averagePrice,
+      exitPrice: t.price,
+      pnl: o,
+      pnlPct: (t.price / this.position.averagePrice - 1) * n,
+      commission: t.commission,
+      tag: t.tag ?? this.position.tag
+    });
+    const a = this.position.quantity - t.quantity;
+    a > 0 ? this.position = { ...this.position, quantity: a } : a < 0 ? this.position = {
+      side: t.side,
+      quantity: -a,
+      averagePrice: t.price,
+      openedAt: t.time,
+      tag: t.tag
+    } : this.position = null;
+  }
+  /** Snapshot equity at the current bar close. */
+  mark(t, i) {
+    const e = this.positionValue(i), n = this.unrealizedPnl(i);
+    this.equityCurve.push({
+      time: t,
+      equity: this.cash + e,
+      cash: this.cash,
+      positionValue: e,
+      unrealizedPnl: n,
+      realizedPnl: this.realizedPnl
+    });
+  }
+  reverseSide(t) {
+    return t === "long" ? "short" : "long";
+  }
+}
+const P = 365 * 24 * 60 * 60 * 1e3;
+function E(s, t, i, e = {}) {
+  if (t.length < 2)
+    return v(s, t, i);
+  const n = t[t.length - 1].equity, o = n - s, a = o / s, r = e.periodsPerYear ?? A(t), l = (e.riskFreeRate ?? 0) / r, c = I(t), u = q(c), d = z(c, u), g = C(c, l), M = d === 0 ? 0 : (u - l) / d * Math.sqrt(r), x = g === 0 ? 0 : (u - l) / g * Math.sqrt(r), m = t[t.length - 1].time - t[0].time, f = m > 0 ? m / P : 0, y = f > 0 ? Math.pow(n / s, 1 / f) - 1 : 0, { maxDrawdown: O, maxDrawdownPct: p } = T(t), R = p > 0 ? y / p : 0, S = w(i);
+  return {
+    totalReturn: o,
+    totalReturnPct: a,
+    cagr: y,
+    sharpe: M,
+    sortino: x,
+    calmar: R,
+    maxDrawdown: O,
+    maxDrawdownPct: p,
+    ...S
+  };
+}
+function v(s, t, i) {
+  const e = t.length > 0 ? t[t.length - 1].equity : s;
+  return {
+    totalReturn: e - s,
+    totalReturnPct: (e - s) / s,
+    cagr: 0,
+    sharpe: 0,
+    sortino: 0,
+    calmar: 0,
+    maxDrawdown: 0,
+    maxDrawdownPct: 0,
+    ...w(i)
+  };
+}
+function I(s) {
+  const t = [];
+  for (let i = 1; i < s.length; i++) {
+    const e = s[i - 1].equity;
+    if (e <= 0) {
+      t.push(0);
+      continue;
+    }
+    t.push(s[i].equity / e - 1);
+  }
+  return t;
+}
+function q(s) {
+  if (s.length === 0) return 0;
+  let t = 0;
+  for (const i of s) t += i;
+  return t / s.length;
+}
+function z(s, t) {
+  if (s.length < 2) return 0;
+  let i = 0;
+  for (const e of s) i += (e - t) ** 2;
+  return Math.sqrt(i / (s.length - 1));
+}
+function C(s, t) {
+  if (s.length < 2) return 0;
+  let i = 0, e = 0;
+  for (const n of s) {
+    const o = n - t;
+    o < 0 && (i += o ** 2, e++);
+  }
+  return e === 0 ? 0 : Math.sqrt(i / e);
+}
+function T(s) {
+  let t = s[0].equity, i = 0, e = 0;
+  for (const n of s) {
+    n.equity > t && (t = n.equity);
+    const o = t - n.equity;
+    o > i && (i = o, e = t > 0 ? o / t : 0);
+  }
+  return { maxDrawdown: i, maxDrawdownPct: e };
+}
+function w(s) {
+  if (s.length === 0)
+    return {
+      winRate: 0,
+      profitFactor: 0,
+      expectancy: 0,
+      averageWin: 0,
+      averageLoss: 0,
+      trades: 0
+    };
+  let t = 0, i = 0, e = 0, n = 0;
+  for (const c of s)
+    c.pnl > 0 ? (t++, e += c.pnl) : c.pnl < 0 && (i++, n += -c.pnl);
+  const o = t / s.length, a = t > 0 ? e / t : 0, r = i > 0 ? n / i : 0, h = n > 0 ? e / n : e > 0 ? 1 / 0 : 0, l = o * a - (1 - o) * r;
+  return {
+    winRate: o,
+    profitFactor: h,
+    expectancy: l,
+    averageWin: a,
+    averageLoss: r,
+    trades: s.length
+  };
+}
+function A(s) {
+  if (s.length < 2) return 252;
+  const t = [];
+  for (let n = 1; n < s.length && n < 50; n++)
+    t.push(s[n].time - s[n - 1].time);
+  const i = q(t);
+  if (i <= 0) return 252;
+  const e = P / i;
+  return e > 2e5 ? 365 * 24 * 60 : e > 5e4 ? 365 * 24 * 4 : e > 5e3 ? 365 * 24 : e > 200 ? 252 : e > 40 ? 52 : 12;
+}
+class W {
+  commission;
+  slippage;
+  allowShort;
+  portfolio;
+  pendingOrders = [];
+  orderSeq = 0;
+  constructor(t) {
+    this.commission = t.commission ?? F, this.slippage = t.slippage ?? k, this.allowShort = t.allowShort ?? !0, this.portfolio = new D({ initialCash: t.initialCash });
+  }
+  run(t, i) {
+    if (t.length < 2)
+      throw new Error("Backtester requires at least 2 bars");
+    for (let r = 0; r < t.length; r++) {
+      const h = t[r];
+      if (this.fillPendingOrders(h), this.portfolio.mark(h.time, h.close), r < t.length - 1) {
+        const l = this.makeContext(h, r, t.slice(0, r + 1));
+        i(l);
+      }
+    }
+    for (const r of this.pendingOrders)
+      r.status === "pending" && (r.status = "cancelled");
+    const e = this.portfolio.getEquityCurve(), n = this.portfolio.getInitialCash(), o = this.portfolio.getTrades(), a = e.length > 0 ? e[e.length - 1].equity : n;
+    return {
+      fills: this.portfolio.getFills(),
+      trades: o,
+      equityCurve: e,
+      initialCash: n,
+      finalEquity: a,
+      metrics: E(n, e, o)
+    };
+  }
+  fillPendingOrders(t) {
+    for (const i of this.pendingOrders) {
+      if (i.status !== "pending") continue;
+      const e = this.resolveFillPrice(i, t);
+      if (e === null) {
+        (i.timeInForce === "day" || i.timeInForce === "ioc") && (i.status = "cancelled");
+        continue;
+      }
+      const n = this.slippage.apply(e, i.side, t), o = this.commission.calculate(i.quantity, n), a = {
+        orderId: i.id,
+        time: t.time,
+        price: n,
+        quantity: i.quantity,
+        side: i.side,
+        commission: o,
+        slippage: Math.abs(n - e),
+        tag: i.tag
+      };
+      this.portfolio.applyFill(a), i.status = "filled";
+    }
+    this.pendingOrders = this.pendingOrders.filter(
+      (i) => i.status === "pending"
+    );
+  }
+  resolveFillPrice(t, i) {
+    switch (t.type) {
+      case "market":
+        return i.open;
+      case "limit":
+        return t.price === void 0 ? null : t.side === "long" && i.low <= t.price ? Math.min(t.price, i.open) : t.side === "short" && i.high >= t.price ? Math.max(t.price, i.open) : null;
+      case "stop":
+        return t.price === void 0 ? null : t.side === "long" && i.high >= t.price ? Math.max(t.price, i.open) : t.side === "short" && i.low <= t.price ? Math.min(t.price, i.open) : null;
+    }
+  }
+  makeContext(t, i, e) {
+    const n = this.portfolio;
+    return {
+      bar: t,
+      index: i,
+      history: e,
+      position: n.getPosition(),
+      cash: n.getCash(),
+      equity: n.equity(t.close),
+      placeOrder: (o) => this.placeOrder(o, t.time),
+      close: (o) => this.closePosition(t.time, o),
+      cancel: (o) => this.cancelOrder(o)
+    };
+  }
+  placeOrder(t, i) {
+    if (t.quantity <= 0)
+      throw new Error("order quantity must be > 0");
+    if (!this.allowShort && t.side === "short")
+      throw new Error("shorting is disabled");
+    const e = t.id ?? `o-${++this.orderSeq}`;
+    return this.pendingOrders.push({
+      id: e,
+      side: t.side,
+      type: t.type,
+      quantity: t.quantity,
+      price: t.price,
+      tag: t.tag,
+      timeInForce: t.timeInForce ?? "gtc",
+      status: "pending",
+      placedAt: i
+    }), e;
+  }
+  closePosition(t, i) {
+    const e = this.portfolio.getPosition();
+    if (!e) return null;
+    const n = e.side === "long" ? "short" : "long";
+    return this.placeOrder(
+      { side: n, type: "market", quantity: e.quantity, tag: i },
+      t
+    );
+  }
+  cancelOrder(t) {
+    const i = this.pendingOrders.find((e) => e.id === t);
+    return !i || i.status !== "pending" ? !1 : (i.status = "cancelled", !0);
+  }
+}
+export {
+  W as Backtester,
+  Y as FixedCommission,
+  k as NO_SLIPPAGE,
+  V as PerShareCommission,
+  L as PercentCommission,
+  _ as PercentSlippage,
+  D as Portfolio,
+  B as RangeBasedSlippage,
+  F as ZERO_COMMISSION,
+  E as computeRiskMetrics
+};
+//# sourceMappingURL=index.js.map

package/dist/index.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"index.js","sources":["../src/commission.ts","../src/slippage.ts","../src/Portfolio.ts","../src/RiskMetrics.ts","../src/Backtester.ts"],"sourcesContent":["import type { CommissionModel } from './types.js';\n\nexport class FixedCommission implements CommissionModel {\n  constructor(private readonly perTrade: number) {}\n\n  calculate(): number {\n    return this.perTrade;\n  }\n}\n\nexport class PercentCommission implements CommissionModel {\n  /** rate = 0.001 → 10 bps per trade notional. */\n  constructor(private readonly rate: number) {}\n\n  calculate(quantity: number, price: number): number {\n    return Math.abs(quantity) * price * this.rate;\n  }\n}\n\nexport class PerShareCommission implements CommissionModel {\n  /** Minimum total commission per trade (optional). */\n  constructor(\n    private readonly perShare: number,\n    private readonly minimum = 0,\n  ) {}\n\n  calculate(quantity: number): number {\n    return Math.max(this.minimum, Math.abs(quantity) * this.perShare);\n  }\n}\n\nexport const ZERO_COMMISSION: CommissionModel = {\n  calculate: () => 0,\n};\n","import type { OHLCBar } from '@tradecanvas/commons';\nimport type { Side, SlippageModel } from './types.js';\n\nexport const NO_SLIPPAGE: SlippageModel = {\n  apply: (price) => price,\n};\n\nexport class PercentSlippage implements SlippageModel {\n  /** rate = 0.0005 → 5bps adverse */\n  constructor(private readonly rate: number) {}\n\n  apply(intendedPrice: number, side: Side): number {\n    const adverse = side === 'long' ? 1 + this.rate : 1 - this.rate;\n    return intendedPrice * adverse;\n  }\n}\n\nexport class RangeBasedSlippage implements SlippageModel {\n  /** factor = 0.1 → 10% of the bar's range pushes against the order */\n  constructor(private readonly factor: number) {}\n\n  apply(intendedPrice: number, side: Side, bar: OHLCBar): number {\n    const range = bar.high - bar.low;\n    const push = range * this.factor;\n    return side === 'long' ? intendedPrice + push : intendedPrice - push;\n  }\n}\n","import type {\n  ClosedTrade,\n  EquityPoint,\n  Fill,\n  PortfolioPosition,\n  Side,\n} from './types.js';\n\nexport interface PortfolioOptions {\n  initialCash: number;\n}\n\n/**\n * Tracks cash, a single net position, realized PnL, and the equity curve.\n *\n * Simplifying assumptions:\n *  - One symbol at a time. Opposing fills net against the existing position.\n *  - Realized PnL is computed when a fill reduces or flips the position.\n *  - Equity = cash + position market value (mark-to-market).\n */\nexport class Portfolio {\n  private cash: number;\n  private readonly initialCash: number;\n  private position: PortfolioPosition | null = null;\n  private readonly fills: Fill[] = [];\n  private readonly trades: ClosedTrade[] = [];\n  private readonly equityCurve: EquityPoint[] = [];\n  private realizedPnl = 0;\n\n  constructor(opts: PortfolioOptions) {\n    if (opts.initialCash <= 0) throw new Error('initialCash must be > 0');\n    this.cash = opts.initialCash;\n    this.initialCash = opts.initialCash;\n  }\n\n  getCash(): number {\n    return this.cash;\n  }\n\n  getPosition(): Readonly<PortfolioPosition> | null {\n    return this.position;\n  }\n\n  getFills(): ReadonlyArray<Fill> {\n    return this.fills;\n  }\n\n  getTrades(): ReadonlyArray<ClosedTrade> {\n    return this.trades;\n  }\n\n  getEquityCurve(): ReadonlyArray<EquityPoint> {\n    return this.equityCurve;\n  }\n\n  getInitialCash(): number {\n    return this.initialCash;\n  }\n\n  getRealizedPnl(): number {\n    return this.realizedPnl;\n  }\n\n  unrealizedPnl(price: number): number {\n    if (!this.position) return 0;\n    const dir = this.position.side === 'long' ? 1 : -1;\n    return (price - this.position.averagePrice) * this.position.quantity * dir;\n  }\n\n  equity(price: number): number {\n    return this.cash + this.positionValue(price);\n  }\n\n  positionValue(price: number): number {\n    if (!this.position) return 0;\n    const dir = this.position.side === 'long' ? 1 : -1;\n    return this.position.quantity * price * dir;\n  }\n\n  /** Apply a fill: cash flow + position update + realized PnL. */\n  applyFill(fill: Fill): void {\n    this.fills.push(fill);\n\n    const signed = fill.side === 'long' ? fill.quantity : -fill.quantity;\n    this.cash -= signed * fill.price;\n    this.cash -= fill.commission;\n\n    if (!this.position) {\n      this.position = {\n        side: fill.side,\n        quantity: fill.quantity,\n        averagePrice: fill.price,\n        openedAt: fill.time,\n        tag: fill.tag,\n      };\n      return;\n    }\n\n    if (this.position.side === fill.side) {\n      // Same direction: average up\n      const totalQty = this.position.quantity + fill.quantity;\n      this.position = {\n        ...this.position,\n        quantity: totalQty,\n        averagePrice:\n          (this.position.averagePrice * this.position.quantity +\n            fill.price * fill.quantity) /\n          totalQty,\n      };\n      return;\n    }\n\n    // Opposite direction: close or flip\n    const closing = Math.min(this.position.quantity, fill.quantity);\n    const dir = this.position.side === 'long' ? 1 : -1;\n    const pnl = (fill.price - this.position.averagePrice) * closing * dir;\n\n    this.realizedPnl += pnl;\n    this.trades.push({\n      entryTime: this.position.openedAt,\n      exitTime: fill.time,\n      side: this.position.side,\n      quantity: closing,\n      entryPrice: this.position.averagePrice,\n      exitPrice: fill.price,\n      pnl,\n      pnlPct: (fill.price / this.position.averagePrice - 1) * dir,\n      commission: fill.commission,\n      tag: fill.tag ?? this.position.tag,\n    });\n\n    const remaining = this.position.quantity - fill.quantity;\n    if (remaining > 0) {\n      this.position = { ...this.position, quantity: remaining };\n    } else if (remaining < 0) {\n      this.position = {\n        side: fill.side,\n        quantity: -remaining,\n        averagePrice: fill.price,\n        openedAt: fill.time,\n        tag: fill.tag,\n      };\n    } else {\n      this.position = null;\n    }\n  }\n\n  /** Snapshot equity at the current bar close. */\n  mark(time: number, price: number): void {\n    const positionValue = this.positionValue(price);\n    const unrealizedPnl = this.unrealizedPnl(price);\n    this.equityCurve.push({\n      time,\n      equity: this.cash + positionValue,\n      cash: this.cash,\n      positionValue,\n      unrealizedPnl,\n      realizedPnl: this.realizedPnl,\n    });\n  }\n\n  reverseSide(side: Side): Side {\n    return side === 'long' ? 'short' : 'long';\n  }\n}\n","import type {\n  ClosedTrade,\n  EquityPoint,\n  RiskMetrics,\n} from './types.js';\n\nconst MS_PER_YEAR = 365 * 24 * 60 * 60 * 1000;\n\nexport interface RiskMetricsOptions {\n  /** Periods per year for Sharpe/Sortino annualization. Auto-detected from equity timestamps if omitted. */\n  periodsPerYear?: number;\n  /** Annual risk-free rate, default 0. */\n  riskFreeRate?: number;\n}\n\n/**\n * Compute summary risk and return metrics from an equity curve and closed trades.\n *\n * Returns NaN/0 fallbacks for degenerate inputs (empty curve, single point, no losses)\n * so downstream UIs can render safely.\n */\nexport function computeRiskMetrics(\n  initialCash: number,\n  equityCurve: ReadonlyArray<EquityPoint>,\n  trades: ReadonlyArray<ClosedTrade>,\n  opts: RiskMetricsOptions = {},\n): RiskMetrics {\n  if (equityCurve.length < 2) {\n    return emptyMetrics(initialCash, equityCurve, trades);\n  }\n\n  const finalEquity = equityCurve[equityCurve.length - 1].equity;\n  const totalReturn = finalEquity - initialCash;\n  const totalReturnPct = totalReturn / initialCash;\n\n  const periodsPerYear =\n    opts.periodsPerYear ?? inferPeriodsPerYear(equityCurve);\n  const riskFreeRate = opts.riskFreeRate ?? 0;\n  const periodRiskFree = riskFreeRate / periodsPerYear;\n\n  const returns = periodReturns(equityCurve);\n  const meanReturn = mean(returns);\n  const stdDev = standardDeviation(returns, meanReturn);\n  const downsideDev = downsideDeviation(returns, periodRiskFree);\n\n  const sharpe = stdDev === 0\n    ? 0\n    : ((meanReturn - periodRiskFree) / stdDev) * Math.sqrt(periodsPerYear);\n  const sortino = downsideDev === 0\n    ? 0\n    : ((meanReturn - periodRiskFree) / downsideDev) * Math.sqrt(periodsPerYear);\n\n  const elapsedMs =\n    equityCurve[equityCurve.length - 1].time - equityCurve[0].time;\n  const years = elapsedMs > 0 ? elapsedMs / MS_PER_YEAR : 0;\n  const cagr = years > 0\n    ? Math.pow(finalEquity / initialCash, 1 / years) - 1\n    : 0;\n\n  const { maxDrawdown, maxDrawdownPct } = computeDrawdown(equityCurve);\n  const calmar = maxDrawdownPct > 0 ? cagr / maxDrawdownPct : 0;\n\n  const tradeStats = summarizeTrades(trades);\n\n  return {\n    totalReturn,\n    totalReturnPct,\n    cagr,\n    sharpe,\n    sortino,\n    calmar,\n    maxDrawdown,\n    maxDrawdownPct,\n    ...tradeStats,\n  };\n}\n\nfunction emptyMetrics(\n  initialCash: number,\n  equityCurve: ReadonlyArray<EquityPoint>,\n  trades: ReadonlyArray<ClosedTrade>,\n): RiskMetrics {\n  const finalEquity = equityCurve.length > 0\n    ? equityCurve[equityCurve.length - 1].equity\n    : initialCash;\n  return {\n    totalReturn: finalEquity - initialCash,\n    totalReturnPct: (finalEquity - initialCash) / initialCash,\n    cagr: 0,\n    sharpe: 0,\n    sortino: 0,\n    calmar: 0,\n    maxDrawdown: 0,\n    maxDrawdownPct: 0,\n    ...summarizeTrades(trades),\n  };\n}\n\nfunction periodReturns(curve: ReadonlyArray<EquityPoint>): number[] {\n  const result: number[] = [];\n  for (let i = 1; i < curve.length; i++) {\n    const prev = curve[i - 1].equity;\n    if (prev <= 0) {\n      result.push(0);\n      continue;\n    }\n    result.push(curve[i].equity / prev - 1);\n  }\n  return result;\n}\n\nfunction mean(values: number[]): number {\n  if (values.length === 0) return 0;\n  let sum = 0;\n  for (const v of values) sum += v;\n  return sum / values.length;\n}\n\nfunction standardDeviation(values: number[], avg: number): number {\n  if (values.length < 2) return 0;\n  let acc = 0;\n  for (const v of values) acc += (v - avg) ** 2;\n  return Math.sqrt(acc / (values.length - 1));\n}\n\nfunction downsideDeviation(values: number[], target: number): number {\n  if (values.length < 2) return 0;\n  let acc = 0;\n  let count = 0;\n  for (const v of values) {\n    const diff = v - target;\n    if (diff < 0) {\n      acc += diff ** 2;\n      count++;\n    }\n  }\n  if (count === 0) return 0;\n  return Math.sqrt(acc / count);\n}\n\nfunction computeDrawdown(curve: ReadonlyArray<EquityPoint>): {\n  maxDrawdown: number;\n  maxDrawdownPct: number;\n} {\n  let peak = curve[0].equity;\n  let maxDd = 0;\n  let maxDdPct = 0;\n  for (const point of curve) {\n    if (point.equity > peak) peak = point.equity;\n    const dd = peak - point.equity;\n    if (dd > maxDd) {\n      maxDd = dd;\n      maxDdPct = peak > 0 ? dd / peak : 0;\n    }\n  }\n  return { maxDrawdown: maxDd, maxDrawdownPct: maxDdPct };\n}\n\nfunction summarizeTrades(trades: ReadonlyArray<ClosedTrade>): {\n  winRate: number;\n  profitFactor: number;\n  expectancy: number;\n  averageWin: number;\n  averageLoss: number;\n  trades: number;\n} {\n  if (trades.length === 0) {\n    return {\n      winRate: 0,\n      profitFactor: 0,\n      expectancy: 0,\n      averageWin: 0,\n      averageLoss: 0,\n      trades: 0,\n    };\n  }\n\n  let wins = 0;\n  let losses = 0;\n  let totalWin = 0;\n  let totalLoss = 0;\n  for (const t of trades) {\n    if (t.pnl > 0) {\n      wins++;\n      totalWin += t.pnl;\n    } else if (t.pnl < 0) {\n      losses++;\n      totalLoss += -t.pnl;\n    }\n  }\n\n  const winRate = wins / trades.length;\n  const averageWin = wins > 0 ? totalWin / wins : 0;\n  const averageLoss = losses > 0 ? totalLoss / losses : 0;\n  const profitFactor = totalLoss > 0 ? totalWin / totalLoss : totalWin > 0 ? Infinity : 0;\n  const expectancy = winRate * averageWin - (1 - winRate) * averageLoss;\n\n  return {\n    winRate,\n    profitFactor,\n    expectancy,\n    averageWin,\n    averageLoss,\n    trades: trades.length,\n  };\n}\n\nfunction inferPeriodsPerYear(curve: ReadonlyArray<EquityPoint>): number {\n  if (curve.length < 2) return 252;\n  const deltas: number[] = [];\n  for (let i = 1; i < curve.length && i < 50; i++) {\n    deltas.push(curve[i].time - curve[i - 1].time);\n  }\n  const avgMs = mean(deltas);\n  if (avgMs <= 0) return 252;\n  const perYear = MS_PER_YEAR / avgMs;\n  // Snap to common cadences for stability\n  if (perYear > 200_000) return 365 * 24 * 60; // 1m\n  if (perYear > 50_000) return 365 * 24 * 4; // 15m\n  if (perYear > 5_000) return 365 * 24; // hourly\n  if (perYear > 200) return 252; // daily trading\n  if (perYear > 40) return 52; // weekly\n  return 12; // monthly fallback\n}\n","import type { OHLCBar, DataSeries } from '@tradecanvas/commons';\nimport { ZERO_COMMISSION } from './commission.js';\nimport { NO_SLIPPAGE } from './slippage.js';\nimport { Portfolio } from './Portfolio.js';\nimport { computeRiskMetrics } from './RiskMetrics.js';\nimport type {\n  BacktestOptions,\n  BacktestOrder,\n  BacktestResult,\n  CommissionModel,\n  Fill,\n  OrderStatus,\n  Side,\n  SlippageModel,\n  StrategyContext,\n  StrategyFn,\n} from './types.js';\n\ninterface PendingOrder extends BacktestOrder {\n  status: OrderStatus;\n  placedAt: number;\n}\n\n/**\n * Bar-by-bar backtest engine.\n *\n * Execution model:\n *  - Strategy fn runs at close of each bar\n *  - Orders placed on bar N fill on bar N+1's open (market) or when\n *    bar N+1 trades through the limit/stop price\n *  - Equity is marked to close of every bar\n *\n * The engine is intentionally headless — no chart dependency — and produces\n * a result that can be visualised via @tradecanvas/chart's EquityCurveRenderer\n * or rendered into a report. See README for wiring examples.\n */\nexport class Backtester {\n  private readonly commission: CommissionModel;\n  private readonly slippage: SlippageModel;\n  private readonly allowShort: boolean;\n  private readonly portfolio: Portfolio;\n  private pendingOrders: PendingOrder[] = [];\n  private orderSeq = 0;\n\n  constructor(opts: BacktestOptions) {\n    this.commission = opts.commission ?? ZERO_COMMISSION;\n    this.slippage = opts.slippage ?? NO_SLIPPAGE;\n    this.allowShort = opts.allowShort ?? true;\n    this.portfolio = new Portfolio({ initialCash: opts.initialCash });\n  }\n\n  run(data: DataSeries, strategy: StrategyFn): BacktestResult {\n    if (data.length < 2) {\n      throw new Error('Backtester requires at least 2 bars');\n    }\n\n    for (let i = 0; i < data.length; i++) {\n      const bar = data[i];\n\n      // 1. Fill any pending orders against this bar\n      this.fillPendingOrders(bar);\n\n      // 2. 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package/dist/slippage.d.ts

@@ -0,0 +1,16 @@
+import { OHLCBar } from '@tradecanvas/commons';
+import { Side, SlippageModel } from './types.js';
+export declare const NO_SLIPPAGE: SlippageModel;
+export declare class PercentSlippage implements SlippageModel {
+    private readonly rate;
+    /** rate = 0.0005 → 5bps adverse */
+    constructor(rate: number);
+    apply(intendedPrice: number, side: Side): number;
+}
+export declare class RangeBasedSlippage implements SlippageModel {
+    private readonly factor;
+    /** factor = 0.1 → 10% of the bar's range pushes against the order */
+    constructor(factor: number);
+    apply(intendedPrice: number, side: Side, bar: OHLCBar): number;
+}
+//# sourceMappingURL=slippage.d.ts.map

package/dist/slippage.d.ts.map

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

@@ -0,0 +1,111 @@
+import { OHLCBar } from '@tradecanvas/commons';
+export type Side = 'long' | 'short';
+export type OrderType = 'market' | 'limit' | 'stop';
+export type OrderStatus = 'pending' | 'filled' | 'cancelled' | 'rejected';
+export type TimeInForce = 'gtc' | 'day' | 'ioc';
+export interface BacktestOrder {
+    id: string;
+    side: Side;
+    type: OrderType;
+    /** Positive quantity. Direction comes from `side`. */
+    quantity: number;
+    /** Required for limit / stop orders. */
+    price?: number;
+    /** Optional client tag, useful for grouping trades by strategy. */
+    tag?: string;
+    timeInForce?: TimeInForce;
+}
+export interface Fill {
+    orderId: string;
+    time: number;
+    price: number;
+    quantity: number;
+    side: Side;
+    commission: number;
+    slippage: number;
+    tag?: string;
+}
+export interface ClosedTrade {
+    entryTime: number;
+    exitTime: number;
+    side: Side;
+    quantity: number;
+    entryPrice: number;
+    exitPrice: number;
+    pnl: number;
+    pnlPct: number;
+    commission: number;
+    tag?: string;
+}
+export interface PortfolioPosition {
+    side: Side;
+    quantity: number;
+    averagePrice: number;
+    openedAt: number;
+    tag?: string;
+}
+export interface EquityPoint {
+    time: number;
+    equity: number;
+    cash: number;
+    positionValue: number;
+    unrealizedPnl: number;
+    realizedPnl: number;
+}
+export interface StrategyContext {
+    bar: OHLCBar;
+    index: number;
+    history: ReadonlyArray<OHLCBar>;
+    position: Readonly<PortfolioPosition> | null;
+    cash: number;
+    equity: number;
+    /** Place an order to be filled on the next bar's open. */
+    placeOrder: (order: Omit<BacktestOrder, 'id'> & {
+        id?: string;
+    }) => string;
+    /** Close current position with a market order. */
+    close: (tag?: string) => string | null;
+    /** Cancel a pending order. */
+    cancel: (orderId: string) => boolean;
+}
+export type StrategyFn = (ctx: StrategyContext) => void;
+export interface CommissionModel {
+    /** Returns commission charged for a fill of `quantity` at `price`. */
+    calculate(quantity: number, price: number): number;
+}
+export interface SlippageModel {
+    /** Returns the actual fill price given an intended price and side. */
+    apply(intendedPrice: number, side: Side, bar: OHLCBar): number;
+}
+export interface BacktestOptions {
+    initialCash: number;
+    commission?: CommissionModel;
+    slippage?: SlippageModel;
+    /** Allow shorting. Default true. */
+    allowShort?: boolean;
+}
+export interface BacktestResult {
+    fills: ReadonlyArray<Fill>;
+    trades: ReadonlyArray<ClosedTrade>;
+    equityCurve: ReadonlyArray<EquityPoint>;
+    initialCash: number;
+    finalEquity: number;
+    metrics: RiskMetrics;
+}
+export interface RiskMetrics {
+    totalReturn: number;
+    totalReturnPct: number;
+    cagr: number;
+    sharpe: number;
+    sortino: number;
+    calmar: number;
+    maxDrawdown: number;
+    maxDrawdownPct: number;
+    winRate: number;
+    profitFactor: number;
+    expectancy: number;
+    averageWin: number;
+    averageLoss: number;
+    trades: number;
+}
+//# sourceMappingURL=types.d.ts.map

package/dist/types.d.ts.map

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package/package.json

@@ -0,0 +1,55 @@
+{
+  "name": "@tradecanvas/analytics",
+  "version": "0.8.1",
+  "type": "module",
+  "description": "Backtesting, portfolio tracking, and risk analytics for TradeCanvas — bar-by-bar Backtester with virtual fills, commission/slippage models, and risk metrics (Sharpe, Sortino, Calmar, max drawdown).",
+  "license": "MIT",
+  "repository": {
+    "type": "git",
+    "url": "https://github.com/bonguynvan/tradecanvas.git",
+    "directory": "packages/analytics"
+  },
+  "publishConfig": {
+    "access": "public"
+  },
+  "sideEffects": false,
+  "keywords": [
+    "trading",
+    "backtest",
+    "backtesting",
+    "analytics",
+    "risk-metrics",
+    "portfolio",
+    "sharpe",
+    "sortino",
+    "tradecanvas"
+  ],
+  "homepage": "https://github.com/bonguynvan/tradecanvas",
+  "main": "./dist/index.cjs",
+  "module": "./dist/index.js",
+  "types": "./dist/index.d.ts",
+  "exports": {
+    ".": {
+      "types": "./dist/index.d.ts",
+      "import": "./dist/index.js",
+      "require": "./dist/index.cjs"
+    }
+  },
+  "files": [
+    "dist",
+    "README.md"
+  ],
+  "dependencies": {
+    "@tradecanvas/commons": "0.8.1"
+  },
+  "devDependencies": {
+    "vitest": "^2.1.8"
+  },
+  "scripts": {
+    "build": "vite build",
+    "dev": "vite build --watch",
+    "clean": "rm -rf dist",
+    "test": "vitest run",
+    "test:watch": "vitest"
+  }
+}