@tradecanvas/analytics 0.8.1 → 0.8.2

package/dist/Backtester.d.ts.map

@@ -1 +1 @@
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package/dist/index.cjs

@@ -1,2 +1,2 @@
-"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 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}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}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 S=365*24*60*60*1e3;function M(s,t,i,e={}){if(t.length<2)return A(s,t,i);const n=t[t.length-1].equity,o=n-s,a=o/s,r=e.periodsPerYear??N(t),l=(e.riskFreeRate??0)/r,c=_(t),u=O(c),d=B(c,u),g=L(c,l),x=d===0?0:(u-l)/d*Math.sqrt(r),F=g===0?0:(u-l)/g*Math.sqrt(r),m=t[t.length-1].time-t[0].time,f=m>0?m/S:0,y=f>0?Math.pow(n/s,1/f)-1:0,{maxDrawdown:k,maxDrawdownPct:p}=Y(t),E=p>0?y/p:0,I=R(i);return{totalReturn:o,totalReturnPct:a,cagr:y,sharpe:x,sortino:F,calmar:E,maxDrawdown:k,maxDrawdownPct:p,...I}}function A(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,...R(i)}}function _(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 O(s){if(s.length===0)return 0;let t=0;for(const i of s)t+=i;return t/s.length}function B(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 L(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 Y(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 R(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 N(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=O(t);if(i<=0)return 252;const e=S/i;return e>2e5?365*24*60:e>5e4?365*24*4:e>5e3?365*24:e>200?252:e>40?52:12}class 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;
+"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 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}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}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 S=365*24*60*60*1e3;function M(s,t,i,e={}){if(t.length<2)return L(s,t,i);const n=t[t.length-1].equity,o=n-s,a=o/s,r=e.periodsPerYear??N(t),h=(e.riskFreeRate??0)/r,c=A(t),u=O(c),d=_(c,u),g=B(c,h),R=d===0?0:(u-h)/d*Math.sqrt(r),F=g===0?0:(u-h)/g*Math.sqrt(r),m=t[t.length-1].time-t[0].time,f=m>0?m/S:0,y=f>0?Math.pow(n/s,1/f)-1:0,{maxDrawdown:E,maxDrawdownPct:p}=Y(t),k=p>0?y/p:0,I=x(i);return{totalReturn:o,totalReturnPct:a,cagr:y,sharpe:R,sortino:F,calmar:k,maxDrawdown:E,maxDrawdownPct:p,...I}}function L(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,...x(i)}}function A(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 O(s){if(s.length===0)return 0;let t=0;for(const i of s)t+=i;return t/s.length}function _(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 B(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 Y(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 x(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,l=n>0?e/n:e>0?1/0:0,h=o*a-(1-o)*r;return{winRate:o,profitFactor:l,expectancy:h,averageWin:a,averageLoss:r,trades:s.length}}function N(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=O(t);if(i<=0)return 252;const e=S/i;return e>2e5?365*24*60:e>5e4?365*24*4:e>5e3?365*24:e>200?252:e>40?52:12}class 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 l=t[r];if(this.fillPendingOrders(l),this.portfolio.mark(l.time,l.close),r<t.length-1){const h=this.makeContext(l,r,t.slice(0,r+1));i(h)}}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"){const n=this.portfolio.getPosition();if(!(n!==null&&n.side==="long"&&t.quantity<=n.quantity))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

@@ -1 +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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+{"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      // `allowShort: false` means \"don't go net short\". A sell that only\n      // closes (or reduces) an existing long position is not shorting.\n      const pos = this.portfolio.getPosition();\n      const closesExistingLong =\n        pos !== null && pos.side === 'long' && raw.quantity <= pos.quantity;\n      if (!closesExistingLong) {\n        throw new Error('shorting is disabled');\n      }\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  }\n}\n"],"names":["FixedCommission","perTrade","PercentCommission","rate","quantity","price","PerShareCommission","perShare","minimum","ZERO_COMMISSION","NO_SLIPPAGE","PercentSlippage","intendedPrice","side","adverse","RangeBasedSlippage","factor","bar","push","Portfolio","opts","dir","fill","signed","totalQty","closing","pnl","remaining","time","positionValue","unrealizedPnl","MS_PER_YEAR","computeRiskMetrics","initialCash","equityCurve","trades","emptyMetrics","finalEquity","totalReturn","totalReturnPct","periodsPerYear","inferPeriodsPerYear","periodRiskFree","returns","periodReturns","meanReturn","mean","stdDev","standardDeviation","downsideDev","downsideDeviation","sharpe","sortino","elapsedMs","years","cagr","maxDrawdown","maxDrawdownPct","computeDrawdown","calmar","tradeStats","summarizeTrades","curve","result","prev","values","sum","v","avg","acc","target","count","diff","peak","maxDd","maxDdPct","point","dd","wins","losses","totalWin","totalLoss","t","winRate","averageWin","averageLoss","profitFactor","expectancy","deltas","i","avgMs","perYear","Backtester","data","strategy","ctx","order","fillPrice","adjustedPrice","commission","o","index","history","portfolio","tag","orderId","raw","placedAt","pos","id","closeSide"],"mappings":"gFAEO,MAAMA,CAA2C,CACtD,YAA6BC,EAAkB,CAAlB,KAAA,SAAAA,CAAmB,CAEhD,WAAoB,CAClB,OAAO,KAAK,QACd,CACF,CAEO,MAAMC,CAA6C,CAExD,YAA6BC,EAAc,CAAd,KAAA,KAAAA,CAAe,CAE5C,UAAUC,EAAkBC,EAAuB,CACjD,OAAO,KAAK,IAAID,CAAQ,EAAIC,EAAQ,KAAK,IAC3C,CACF,CAEO,MAAMC,CAA8C,CAEzD,YACmBC,EACAC,EAAU,EAC3B,CAFiB,KAAA,SAAAD,EACA,KAAA,QAAAC,CAChB,CAEH,UAAUJ,EAA0B,CAClC,OAAO,KAAK,IAAI,KAAK,QAAS,KAAK,IAAIA,CAAQ,EAAI,KAAK,QAAQ,CAClE,CACF,CAEO,MAAMK,EAAmC,CAC9C,UAAW,IAAM,CACnB,EC9BaC,EAA6B,CACxC,MAAQL,GAAUA,CACpB,EAEO,MAAMM,CAAyC,CAEpD,YAA6BR,EAAc,CAAd,KAAA,KAAAA,CAAe,CAE5C,MAAMS,EAAuBC,EAAoB,CAC/C,MAAMC,EAAUD,IAAS,OAAS,EAAI,KAAK,KAAO,EAAI,KAAK,KAC3D,OAAOD,EAAgBE,CACzB,CACF,CAEO,MAAMC,CAA4C,CAEvD,YAA6BC,EAAgB,CAAhB,KAAA,OAAAA,CAAiB,CAE9C,MAAMJ,EAAuBC,EAAYI,EAAsB,CAE7D,MAAMC,GADQD,EAAI,KAAOA,EAAI,KACR,KAAK,OAC1B,OAAOJ,IAAS,OAASD,EAAgBM,EAAON,EAAgBM,CAClE,CACF,CCNO,MAAMC,CAAU,CACb,KACS,YACT,SAAqC,KAC5B,MAAgB,CAAA,EAChB,OAAwB,CAAA,EACxB,YAA6B,CAAA,EACtC,YAAc,EAEtB,YAAYC,EAAwB,CAClC,GAAIA,EAAK,aAAe,EAAG,MAAM,IAAI,MAAM,yBAAyB,EACpE,KAAK,KAAOA,EAAK,YACjB,KAAK,YAAcA,EAAK,WAC1B,CAEA,SAAkB,CAChB,OAAO,KAAK,IACd,CAEA,aAAkD,CAChD,OAAO,KAAK,QACd,CAEA,UAAgC,CAC9B,OAAO,KAAK,KACd,CAEA,WAAwC,CACtC,OAAO,KAAK,MACd,CAEA,gBAA6C,CAC3C,OAAO,KAAK,WACd,CAEA,gBAAyB,CACvB,OAAO,KAAK,WACd,CAEA,gBAAyB,CACvB,OAAO,KAAK,WACd,CAEA,cAAcf,EAAuB,CACnC,GAAI,CAAC,KAAK,SAAU,MAAO,GAC3B,MAAMgB,EAAM,KAAK,SAAS,OAAS,OAAS,EAAI,GAChD,OAAQhB,EAAQ,KAAK,SAAS,cAAgB,KAAK,SAAS,SAAWgB,CACzE,CAEA,OAAOhB,EAAuB,CAC5B,OAAO,KAAK,KAAO,KAAK,cAAcA,CAAK,CAC7C,CAEA,cAAcA,EAAuB,CACnC,GAAI,CAAC,KAAK,SAAU,MAAO,GAC3B,MAAMgB,EAAM,KAAK,SAAS,OAAS,OAAS,EAAI,GAChD,OAAO,KAAK,SAAS,SAAWhB,EAAQgB,CAC1C,CAGA,UAAUC,EAAkB,CAC1B,KAAK,MAAM,KAAKA,CAAI,EAEpB,MAAMC,EAASD,EAAK,OAAS,OAASA,EAAK,SAAW,CAACA,EAAK,SAI5D,GAHA,KAAK,MAAQC,EAASD,EAAK,MAC3B,KAAK,MAAQA,EAAK,WAEd,CAAC,KAAK,SAAU,CAClB,KAAK,SAAW,CACd,KAAMA,EAAK,KACX,SAAUA,EAAK,SACf,aAAcA,EAAK,MACnB,SAAUA,EAAK,KACf,IAAKA,EAAK,GAAA,EAEZ,MACF,CAEA,GAAI,KAAK,SAAS,OAASA,EAAK,KAAM,CAEpC,MAAME,EAAW,KAAK,SAAS,SAAWF,EAAK,SAC/C,KAAK,SAAW,CACd,GAAG,KAAK,SACR,SAAUE,EACV,cACG,KAAK,SAAS,aAAe,KAAK,SAAS,SAC1CF,EAAK,MAAQA,EAAK,UACpBE,CAAA,EAEJ,MACF,CAGA,MAAMC,EAAU,KAAK,IAAI,KAAK,SAAS,SAAUH,EAAK,QAAQ,EACxDD,EAAM,KAAK,SAAS,OAAS,OAAS,EAAI,GAC1CK,GAAOJ,EAAK,MAAQ,KAAK,SAAS,cAAgBG,EAAUJ,EAElE,KAAK,aAAeK,EACpB,KAAK,OAAO,KAAK,CACf,UAAW,KAAK,SAAS,SACzB,SAAUJ,EAAK,KACf,KAAM,KAAK,SAAS,KACpB,SAAUG,EACV,WAAY,KAAK,SAAS,aAC1B,UAAWH,EAAK,MAChB,IAAAI,EACA,QAASJ,EAAK,MAAQ,KAAK,SAAS,aAAe,GAAKD,EACxD,WAAYC,EAAK,WACjB,IAAKA,EAAK,KAAO,KAAK,SAAS,GAAA,CAChC,EAED,MAAMK,EAAY,KAAK,SAAS,SAAWL,EAAK,SAC5CK,EAAY,EACd,KAAK,SAAW,CAAE,GAAG,KAAK,SAAU,SAAUA,CAAA,EACrCA,EAAY,EACrB,KAAK,SAAW,CACd,KAAML,EAAK,KACX,SAAU,CAACK,EACX,aAAcL,EAAK,MACnB,SAAUA,EAAK,KACf,IAAKA,EAAK,GAAA,EAGZ,KAAK,SAAW,IAEpB,CAGA,KAAKM,EAAcvB,EAAqB,CACtC,MAAMwB,EAAgB,KAAK,cAAcxB,CAAK,EACxCyB,EAAgB,KAAK,cAAczB,CAAK,EAC9C,KAAK,YAAY,KAAK,CACpB,KAAAuB,EACA,OAAQ,KAAK,KAAOC,EACpB,KAAM,KAAK,KACX,cAAAA,EACA,cAAAC,EACA,YAAa,KAAK,WAAA,CACnB,CACH,CAEA,YAAYjB,EAAkB,CAC5B,OAAOA,IAAS,OAAS,QAAU,MACrC,CACF,CC9JA,MAAMkB,EAAc,IAAM,GAAK,GAAK,GAAK,IAelC,SAASC,EACdC,EACAC,EACAC,EACAf,EAA2B,CAAA,EACd,CACb,GAAIc,EAAY,OAAS,EACvB,OAAOE,EAAaH,EAAaC,EAAaC,CAAM,EAGtD,MAAME,EAAcH,EAAYA,EAAY,OAAS,CAAC,EAAE,OAClDI,EAAcD,EAAcJ,EAC5BM,EAAiBD,EAAcL,EAE/BO,EACJpB,EAAK,gBAAkBqB,EAAoBP,CAAW,EAElDQ,GADetB,EAAK,cAAgB,GACJoB,EAEhCG,EAAUC,EAAcV,CAAW,EACnCW,EAAaC,EAAKH,CAAO,EACzBI,EAASC,EAAkBL,EAASE,CAAU,EAC9CI,EAAcC,EAAkBP,EAASD,CAAc,EAEvDS,EAASJ,IAAW,EACtB,GACEF,EAAaH,GAAkBK,EAAU,KAAK,KAAKP,CAAc,EACjEY,EAAUH,IAAgB,EAC5B,GACEJ,EAAaH,GAAkBO,EAAe,KAAK,KAAKT,CAAc,EAEtEa,EACJnB,EAAYA,EAAY,OAAS,CAAC,EAAE,KAAOA,EAAY,CAAC,EAAE,KACtDoB,EAAQD,EAAY,EAAIA,EAAYtB,EAAc,EAClDwB,EAAOD,EAAQ,EACjB,KAAK,IAAIjB,EAAcJ,EAAa,EAAIqB,CAAK,EAAI,EACjD,EAEE,CAAE,YAAAE,EAAa,eAAAC,GAAmBC,EA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package/dist/index.js

@@ -1,4 +1,4 @@
-class Y {
+class A {
   constructor(t) {
     this.perTrade = t;
   }
@@ -6,7 +6,7 @@ class Y {
     return this.perTrade;
   }
 }
-class L {
+class Y {
   /** rate = 0.001 → 10 bps per trade notional. */
   constructor(t) {
     this.rate = t;
@@ -26,7 +26,7 @@ class V {
 }
 const F = {
   calculate: () => 0
-}, k = {
+}, E = {
   apply: (s) => s
 };
 class _ {
@@ -49,7 +49,7 @@ class B {
     return i === "long" ? t + o : t - o;
   }
 }
-class D {
+class k {
   cash;
   initialCash;
   position = null;
@@ -157,16 +157,16 @@ class D {
   }
 }
 const P = 365 * 24 * 60 * 60 * 1e3;
-function E(s, t, i, e = {}) {
+function D(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);
+  const n = t[t.length - 1].equity, o = n - s, a = o / s, r = e.periodsPerYear ?? L(t), l = (e.riskFreeRate ?? 0) / r, c = I(t), u = q(c), d = z(c, u), g = C(c, l), x = d === 0 ? 0 : (u - l) / d * Math.sqrt(r), M = 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,
+    sharpe: x,
+    sortino: M,
     calmar: R,
     maxDrawdown: O,
     maxDrawdownPct: p,
@@ -252,7 +252,7 @@ function w(s) {
     trades: s.length
   };
 }
-function A(s) {
+function L(s) {
   if (s.length < 2) return 252;
   const t = [];
   for (let n = 1; n < s.length && n < 50; n++)
@@ -270,7 +270,7 @@ class W {
   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 });
+    this.commission = t.commission ?? F, this.slippage = t.slippage ?? E, this.allowShort = t.allowShort ?? !0, this.portfolio = new k({ initialCash: t.initialCash });
   }
   run(t, i) {
     if (t.length < 2)
@@ -291,7 +291,7 @@ class W {
       equityCurve: e,
       initialCash: n,
       finalEquity: a,
-      metrics: E(n, e, o)
+      metrics: D(n, e, o)
     };
   }
   fillPendingOrders(t) {
@@ -345,8 +345,11 @@ class W {
   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");
+    if (!this.allowShort && t.side === "short") {
+      const n = this.portfolio.getPosition();
+      if (!(n !== null && n.side === "long" && t.quantity <= n.quantity))
+        throw new Error("shorting is disabled");
+    }
     const e = t.id ?? `o-${++this.orderSeq}`;
     return this.pendingOrders.push({
       id: e,
@@ -376,14 +379,14 @@ class W {
 }
 export {
   W as Backtester,
-  Y as FixedCommission,
-  k as NO_SLIPPAGE,
+  A as FixedCommission,
+  E as NO_SLIPPAGE,
   V as PerShareCommission,
-  L as PercentCommission,
+  Y as PercentCommission,
   _ as PercentSlippage,
-  D as Portfolio,
+  k as Portfolio,
   B as RangeBasedSlippage,
   F as ZERO_COMMISSION,
-  E as computeRiskMetrics
+  D as computeRiskMetrics
 };
 //# sourceMappingURL=index.js.map

package/dist/index.js.map

@@ -1 +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. 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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+{"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' ? 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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/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@tradecanvas/analytics",
-  "version": "0.8.1",
+  "version": "0.8.2",
   "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",
@@ -40,7 +40,7 @@
     "README.md"
   ],
   "dependencies": {
-    "@tradecanvas/commons": "0.8.1"
+    "@tradecanvas/commons": "0.8.2"
   },
   "devDependencies": {
     "vitest": "^2.1.8"