@tradecanvas/analytics 0.8.2 → 0.9.0

package/dist/index.js

@@ -1,4 +1,4 @@
-class A {
+class $ {
   constructor(t) {
     this.perTrade = t;
   }
@@ -6,50 +6,50 @@ class A {
     return this.perTrade;
   }
 }
-class Y {
+class G {
   /** rate = 0.001 → 10 bps per trade notional. */
   constructor(t) {
     this.rate = t;
   }
-  calculate(t, i) {
-    return Math.abs(t) * i * this.rate;
+  calculate(t, e) {
+    return Math.abs(t) * e * this.rate;
   }
 }
-class V {
+class Q {
   /** Minimum total commission per trade (optional). */
-  constructor(t, i = 0) {
-    this.perShare = t, this.minimum = i;
+  constructor(t, e = 0) {
+    this.perShare = t, this.minimum = e;
   }
   calculate(t) {
     return Math.max(this.minimum, Math.abs(t) * this.perShare);
   }
 }
-const F = {
+const A = {
   calculate: () => 0
-}, E = {
-  apply: (s) => s
+}, L = {
+  apply: (i) => i
 };
-class _ {
+class U {
   /** rate = 0.0005 → 5bps adverse */
   constructor(t) {
     this.rate = t;
   }
-  apply(t, i) {
-    const e = i === "long" ? 1 + this.rate : 1 - this.rate;
-    return t * e;
+  apply(t, e) {
+    const n = e === "long" ? 1 + this.rate : 1 - this.rate;
+    return t * n;
   }
 }
-class B {
+class Z {
   /** factor = 0.1 → 10% of the bar's range pushes against the order */
   constructor(t) {
     this.factor = t;
   }
-  apply(t, i, e) {
-    const o = (e.high - e.low) * this.factor;
-    return i === "long" ? t + o : t - o;
+  apply(t, e, n) {
+    const o = (n.high - n.low) * this.factor;
+    return e === "long" ? t + o : t - o;
   }
 }
-class k {
+class I {
   cash;
   initialCash;
   position = null;
@@ -84,22 +84,22 @@ class k {
   }
   unrealizedPnl(t) {
     if (!this.position) return 0;
-    const i = this.position.side === "long" ? 1 : -1;
-    return (t - this.position.averagePrice) * this.position.quantity * i;
+    const e = this.position.side === "long" ? 1 : -1;
+    return (t - this.position.averagePrice) * this.position.quantity * e;
   }
   equity(t) {
     return this.cash + this.positionValue(t);
   }
   positionValue(t) {
     if (!this.position) return 0;
-    const i = this.position.side === "long" ? 1 : -1;
-    return this.position.quantity * t * i;
+    const e = this.position.side === "long" ? 1 : -1;
+    return this.position.quantity * t * e;
   }
   /** Apply a fill: cash flow + position update + realized PnL. */
   applyFill(t) {
     this.fills.push(t);
-    const i = t.side === "long" ? t.quantity : -t.quantity;
-    if (this.cash -= i * t.price, this.cash -= t.commission, !this.position) {
+    const e = t.side === "long" ? t.quantity : -t.quantity;
+    if (this.cash -= e * t.price, this.cash -= t.commission, !this.position) {
       this.position = {
         side: t.side,
         quantity: t.quantity,
@@ -110,45 +110,45 @@ class k {
       return;
     }
     if (this.position.side === t.side) {
-      const r = this.position.quantity + t.quantity;
+      const a = this.position.quantity + t.quantity;
       this.position = {
         ...this.position,
-        quantity: r,
-        averagePrice: (this.position.averagePrice * this.position.quantity + t.price * t.quantity) / r
+        quantity: a,
+        averagePrice: (this.position.averagePrice * this.position.quantity + t.price * t.quantity) / a
       };
       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;
+    const n = Math.min(this.position.quantity, t.quantity), s = this.position.side === "long" ? 1 : -1, o = (t.price - this.position.averagePrice) * n * s;
     this.realizedPnl += o, this.trades.push({
       entryTime: this.position.openedAt,
       exitTime: t.time,
       side: this.position.side,
-      quantity: e,
+      quantity: n,
       entryPrice: this.position.averagePrice,
       exitPrice: t.price,
       pnl: o,
-      pnlPct: (t.price / this.position.averagePrice - 1) * n,
+      pnlPct: (t.price / this.position.averagePrice - 1) * s,
       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 = {
+    const r = this.position.quantity - t.quantity;
+    r > 0 ? this.position = { ...this.position, quantity: r } : r < 0 ? this.position = {
       side: t.side,
-      quantity: -a,
+      quantity: -r,
       averagePrice: t.price,
       openedAt: t.time,
       tag: t.tag
     } : this.position = null;
   }
   /** Snapshot equity at the current bar close. */
-  mark(t, i) {
-    const e = this.positionValue(i), n = this.unrealizedPnl(i);
+  mark(t, e) {
+    const n = this.positionValue(e), s = this.unrealizedPnl(e);
     this.equityCurve.push({
       time: t,
-      equity: this.cash + e,
+      equity: this.cash + n,
       cash: this.cash,
-      positionValue: e,
-      unrealizedPnl: n,
+      positionValue: n,
+      unrealizedPnl: s,
       realizedPnl: this.realizedPnl
     });
   }
@@ -156,81 +156,81 @@ class k {
     return t === "long" ? "short" : "long";
   }
 }
-const P = 365 * 24 * 60 * 60 * 1e3;
-function D(s, t, i, e = {}) {
+const E = 365 * 24 * 60 * 60 * 1e3;
+function T(i, t, e, n = {}) {
   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 ?? 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 B(i, t, e);
+  const s = t[t.length - 1].equity, o = s - i, r = o / i, a = n.periodsPerYear ?? _(t), u = (n.riskFreeRate ?? 0) / a, h = Y(t), d = z(h), m = N(h, d), q = C(h, u), f = m === 0 ? 0 : (d - u) / m * Math.sqrt(a), O = q === 0 ? 0 : (d - u) / q * Math.sqrt(a), M = t[t.length - 1].time - t[0].time, l = M > 0 ? M / E : 0, p = l > 0 ? Math.pow(s / i, 1 / l) - 1 : 0, { maxDrawdown: y, maxDrawdownPct: g } = V(t), v = g > 0 ? p / g : 0, P = b(e);
   return {
     totalReturn: o,
-    totalReturnPct: a,
-    cagr: y,
-    sharpe: x,
-    sortino: M,
-    calmar: R,
-    maxDrawdown: O,
-    maxDrawdownPct: p,
-    ...S
+    totalReturnPct: r,
+    cagr: p,
+    sharpe: f,
+    sortino: O,
+    calmar: v,
+    maxDrawdown: y,
+    maxDrawdownPct: g,
+    ...P
   };
 }
-function v(s, t, i) {
-  const e = t.length > 0 ? t[t.length - 1].equity : s;
+function B(i, t, e) {
+  const n = t.length > 0 ? t[t.length - 1].equity : i;
   return {
-    totalReturn: e - s,
-    totalReturnPct: (e - s) / s,
+    totalReturn: n - i,
+    totalReturnPct: (n - i) / i,
     cagr: 0,
     sharpe: 0,
     sortino: 0,
     calmar: 0,
     maxDrawdown: 0,
     maxDrawdownPct: 0,
-    ...w(i)
+    ...b(e)
   };
 }
-function I(s) {
+function Y(i) {
   const t = [];
-  for (let i = 1; i < s.length; i++) {
-    const e = s[i - 1].equity;
-    if (e <= 0) {
+  for (let e = 1; e < i.length; e++) {
+    const n = i[e - 1].equity;
+    if (n <= 0) {
       t.push(0);
       continue;
     }
-    t.push(s[i].equity / e - 1);
+    t.push(i[e].equity / n - 1);
   }
   return t;
 }
-function q(s) {
-  if (s.length === 0) return 0;
+function z(i) {
+  if (i.length === 0) return 0;
   let t = 0;
-  for (const i of s) t += i;
-  return t / s.length;
+  for (const e of i) t += e;
+  return t / i.length;
 }
-function z(s, t) {
-  if (s.length < 2) return 0;
-  let i = 0;
-  for (const e of s) i += (e - t) ** 2;
-  return Math.sqrt(i / (s.length - 1));
+function N(i, t) {
+  if (i.length < 2) return 0;
+  let e = 0;
+  for (const n of i) e += (n - t) ** 2;
+  return Math.sqrt(e / (i.length - 1));
 }
-function C(s, t) {
-  if (s.length < 2) return 0;
-  let i = 0, e = 0;
-  for (const n of s) {
-    const o = n - t;
-    o < 0 && (i += o ** 2, e++);
-  }
-  return e === 0 ? 0 : Math.sqrt(i / e);
+function C(i, t) {
+  if (i.length < 2) return 0;
+  let e = 0, n = 0;
+  for (const s of i) {
+    const o = s - t;
+    o < 0 && (e += o ** 2, n++);
+  }
+  return n === 0 ? 0 : Math.sqrt(e / n);
 }
-function T(s) {
-  let t = s[0].equity, i = 0, e = 0;
-  for (const n of s) {
-    n.equity > t && (t = n.equity);
-    const o = t - n.equity;
-    o > i && (i = o, e = t > 0 ? o / t : 0);
-  }
-  return { maxDrawdown: i, maxDrawdownPct: e };
+function V(i) {
+  let t = i[0].equity, e = 0, n = 0;
+  for (const s of i) {
+    s.equity > t && (t = s.equity);
+    const o = t - s.equity;
+    o > e && (e = o, n = t > 0 ? o / t : 0);
+  }
+  return { maxDrawdown: e, maxDrawdownPct: n };
 }
-function w(s) {
-  if (s.length === 0)
+function b(i) {
+  if (i.length === 0)
     return {
       winRate: 0,
       profitFactor: 0,
@@ -239,30 +239,30 @@ function w(s) {
       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;
+  let t = 0, e = 0, n = 0, s = 0;
+  for (const h of i)
+    h.pnl > 0 ? (t++, n += h.pnl) : h.pnl < 0 && (e++, s += -h.pnl);
+  const o = t / i.length, r = t > 0 ? n / t : 0, a = e > 0 ? s / e : 0, c = s > 0 ? n / s : n > 0 ? 1 / 0 : 0, u = o * r - (1 - o) * a;
   return {
     winRate: o,
-    profitFactor: h,
-    expectancy: l,
-    averageWin: a,
-    averageLoss: r,
-    trades: s.length
+    profitFactor: c,
+    expectancy: u,
+    averageWin: r,
+    averageLoss: a,
+    trades: i.length
   };
 }
-function L(s) {
-  if (s.length < 2) return 252;
+function _(i) {
+  if (i.length < 2) return 252;
   const t = [];
-  for (let n = 1; n < s.length && n < 50; n++)
-    t.push(s[n].time - s[n - 1].time);
-  const i = q(t);
-  if (i <= 0) return 252;
-  const e = P / i;
-  return e > 2e5 ? 365 * 24 * 60 : e > 5e4 ? 365 * 24 * 4 : e > 5e3 ? 365 * 24 : e > 200 ? 252 : e > 40 ? 52 : 12;
+  for (let s = 1; s < i.length && s < 50; s++)
+    t.push(i[s].time - i[s - 1].time);
+  const e = z(t);
+  if (e <= 0) return 252;
+  const n = E / e;
+  return n > 2e5 ? 365 * 24 * 60 : n > 5e4 ? 365 * 24 * 4 : n > 5e3 ? 365 * 24 : n > 200 ? 252 : n > 40 ? 52 : 12;
 }
-class W {
+class x {
   commission;
   slippage;
   allowShort;
@@ -270,89 +270,89 @@ class W {
   pendingOrders = [];
   orderSeq = 0;
   constructor(t) {
-    this.commission = t.commission ?? F, this.slippage = t.slippage ?? E, this.allowShort = t.allowShort ?? !0, this.portfolio = new k({ initialCash: t.initialCash });
+    this.commission = t.commission ?? A, this.slippage = t.slippage ?? L, this.allowShort = t.allowShort ?? !0, this.portfolio = new I({ initialCash: t.initialCash });
   }
-  run(t, i) {
+  run(t, e) {
     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 (let a = 0; a < t.length; a++) {
+      const c = t[a];
+      if (this.fillPendingOrders(c), this.portfolio.mark(c.time, c.close), a < t.length - 1) {
+        const u = this.makeContext(c, a, t.slice(0, a + 1));
+        e(u);
       }
     }
-    for (const 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;
+    for (const a of this.pendingOrders)
+      a.status === "pending" && (a.status = "cancelled");
+    const n = this.portfolio.getEquityCurve(), s = this.portfolio.getInitialCash(), o = this.portfolio.getTrades(), r = n.length > 0 ? n[n.length - 1].equity : s;
     return {
       fills: this.portfolio.getFills(),
       trades: o,
-      equityCurve: e,
-      initialCash: n,
-      finalEquity: a,
-      metrics: D(n, e, o)
+      equityCurve: n,
+      initialCash: s,
+      finalEquity: r,
+      metrics: T(s, n, 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");
+    for (const e of this.pendingOrders) {
+      if (e.status !== "pending") continue;
+      const n = this.resolveFillPrice(e, t);
+      if (n === null) {
+        (e.timeInForce === "day" || e.timeInForce === "ioc") && (e.status = "cancelled");
         continue;
       }
-      const n = this.slippage.apply(e, i.side, t), o = this.commission.calculate(i.quantity, n), a = {
-        orderId: i.id,
+      const s = this.slippage.apply(n, e.side, t), o = this.commission.calculate(e.quantity, s), r = {
+        orderId: e.id,
         time: t.time,
-        price: n,
-        quantity: i.quantity,
-        side: i.side,
+        price: s,
+        quantity: e.quantity,
+        side: e.side,
         commission: o,
-        slippage: Math.abs(n - e),
-        tag: i.tag
+        slippage: Math.abs(s - n),
+        tag: e.tag
       };
-      this.portfolio.applyFill(a), i.status = "filled";
+      this.portfolio.applyFill(r), e.status = "filled";
     }
     this.pendingOrders = this.pendingOrders.filter(
-      (i) => i.status === "pending"
+      (e) => e.status === "pending"
     );
   }
-  resolveFillPrice(t, i) {
+  resolveFillPrice(t, e) {
     switch (t.type) {
       case "market":
-        return i.open;
+        return e.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;
+        return t.price === void 0 ? null : t.side === "long" && e.low <= t.price ? Math.min(t.price, e.open) : t.side === "short" && e.high >= t.price ? Math.max(t.price, e.open) : null;
       case "stop":
-        return t.price === void 0 ? null : t.side === "long" && i.high >= t.price ? Math.max(t.price, i.open) : t.side === "short" && i.low <= t.price ? Math.min(t.price, i.open) : null;
+        return t.price === void 0 ? null : t.side === "long" && e.high >= t.price ? Math.max(t.price, e.open) : t.side === "short" && e.low <= t.price ? Math.min(t.price, e.open) : null;
     }
   }
-  makeContext(t, i, e) {
-    const n = this.portfolio;
+  makeContext(t, e, n) {
+    const s = this.portfolio;
     return {
       bar: t,
-      index: i,
-      history: e,
-      position: n.getPosition(),
-      cash: n.getCash(),
-      equity: n.equity(t.close),
+      index: e,
+      history: n,
+      position: s.getPosition(),
+      cash: s.getCash(),
+      equity: s.equity(t.close),
       placeOrder: (o) => this.placeOrder(o, t.time),
       close: (o) => this.closePosition(t.time, o),
       cancel: (o) => this.cancelOrder(o)
     };
   }
-  placeOrder(t, i) {
+  placeOrder(t, e) {
     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))
+      const s = this.portfolio.getPosition();
+      if (!(s !== null && s.side === "long" && t.quantity <= s.quantity))
         throw new Error("shorting is disabled");
     }
-    const e = t.id ?? `o-${++this.orderSeq}`;
+    const n = t.id ?? `o-${++this.orderSeq}`;
     return this.pendingOrders.push({
-      id: e,
+      id: n,
       side: t.side,
       type: t.type,
       quantity: t.quantity,
@@ -360,33 +360,182 @@ class W {
       tag: t.tag,
       timeInForce: t.timeInForce ?? "gtc",
       status: "pending",
-      placedAt: i
-    }), e;
+      placedAt: e
+    }), n;
   }
-  closePosition(t, i) {
-    const e = this.portfolio.getPosition();
-    if (!e) return null;
-    const n = e.side === "long" ? "short" : "long";
+  closePosition(t, e) {
+    const n = this.portfolio.getPosition();
+    if (!n) return null;
+    const s = n.side === "long" ? "short" : "long";
     return this.placeOrder(
-      { side: n, type: "market", quantity: e.quantity, tag: i },
+      { side: s, type: "market", quantity: n.quantity, tag: e },
       t
     );
   }
   cancelOrder(t) {
-    const i = this.pendingOrders.find((e) => e.id === t);
-    return !i || i.status !== "pending" ? !1 : (i.status = "cancelled", !0);
+    const e = this.pendingOrders.find((n) => n.id === t);
+    return !e || e.status !== "pending" ? !1 : (e.status = "cancelled", !0);
   }
 }
+function J(i, t, e = {}) {
+  const n = e.simulations ?? 1e3, s = (e.percentiles ?? [5, 25, 50, 75, 95]).slice().sort((l, p) => l - p), o = H(e.seed ?? Date.now() ^ 23100);
+  if (t.length === 0 || n <= 0)
+    return {
+      simulations: n,
+      initialCash: i,
+      equityBands: [{ step: 0, p5: i, p25: i, p50: i, p75: i, p95: i }],
+      finalEquityPercentiles: Object.fromEntries(s.map((l) => [`p${l}`, i])),
+      probabilityProfitable: 0,
+      worstMaxDrawdownPct: 0
+    };
+  const r = t.map((l) => l.pnl), a = t.length + 1, c = r.slice(), u = new Float64Array(n), h = new Float64Array(n * a);
+  let d = 0, m = 0;
+  for (let l = 0; l < n; l++) {
+    j(c, o);
+    let p = i, y = i, g = 0;
+    const v = l * a;
+    h[v] = p;
+    for (let P = 0; P < c.length; P++) {
+      p += c[P], h[v + P + 1] = p, p > y && (y = p);
+      const S = y > 0 ? (y - p) / y : 0;
+      S > g && (g = S);
+    }
+    u[l] = p, p > i && m++, g > d && (d = g);
+  }
+  const q = [], f = new Float64Array(n);
+  for (let l = 0; l < a; l++) {
+    for (let p = 0; p < n; p++)
+      f[p] = h[p * a + l];
+    f.sort(), q.push({
+      step: l,
+      p5: w(f, 5),
+      p25: w(f, 25),
+      p50: w(f, 50),
+      p75: w(f, 75),
+      p95: w(f, 95)
+    });
+  }
+  const O = new Float64Array(u);
+  O.sort();
+  const M = {};
+  for (const l of s)
+    M[`p${l}`] = w(O, l);
+  return {
+    simulations: n,
+    initialCash: i,
+    equityBands: q,
+    finalEquityPercentiles: M,
+    probabilityProfitable: m / n,
+    worstMaxDrawdownPct: d * 100
+  };
+}
+function j(i, t) {
+  for (let e = i.length - 1; e > 0; e--) {
+    const n = Math.floor(t() * (e + 1)), s = i[e];
+    i[e] = i[n], i[n] = s;
+  }
+}
+function w(i, t) {
+  if (i.length === 0) return 0;
+  if (i.length === 1) return i[0];
+  const e = t / 100 * (i.length - 1), n = Math.floor(e), s = Math.ceil(e);
+  return n === s ? i[n] : i[n] * (s - e) + i[s] * (e - n);
+}
+function H(i) {
+  let t = i >>> 0;
+  return () => {
+    t = t + 1831565813 >>> 0;
+    let e = t;
+    return e = Math.imul(e ^ e >>> 15, e | 1), e ^= e + Math.imul(e ^ e >>> 7, e | 61), ((e ^ e >>> 14) >>> 0) / 4294967296;
+  };
+}
+function K(i = {}) {
+  const t = i.fastPeriod ?? 10, e = i.slowPeriod ?? 30, n = i.size ?? 1, s = i.tag ?? "sma-cross";
+  if (t >= e)
+    throw new Error("smaCrossStrategy: fastPeriod must be less than slowPeriod");
+  return (o) => {
+    if (o.index < e) return;
+    const r = o.history, a = F(r, o.index, t), c = F(r, o.index, e), u = F(r, o.index - 1, t), h = F(r, o.index - 1, e), d = u <= h && a > c, m = u >= h && a < c;
+    d ? (o.position?.side === "short" && o.close(s), (!o.position || o.position.side === "short") && o.placeOrder({ side: "long", type: "market", quantity: n, tag: s })) : m && o.position?.side === "long" && o.close(s);
+  };
+}
+function F(i, t, e) {
+  let n = 0;
+  for (let s = t - e + 1; s <= t; s++)
+    n += i[s].close;
+  return n / e;
+}
+function X(i = {}) {
+  const t = i.period ?? 14, e = i.oversold ?? 30, n = i.overbought ?? 70, s = i.size ?? 1, o = i.tag ?? "rsi-reversion";
+  return (r) => {
+    if (r.index < t + 1) return;
+    const a = k(r.history, r.index, t), c = k(r.history, r.index - 1, t), u = c < e && a >= e, h = c < n && a >= n;
+    u && !r.position ? r.placeOrder({ side: "long", type: "market", quantity: s, tag: o }) : h && r.position?.side === "long" && r.close(o);
+  };
+}
+function k(i, t, e) {
+  let n = 0, s = 0;
+  for (let r = t - e + 1; r <= t; r++) {
+    const a = i[r].close - i[r - 1].close;
+    a >= 0 ? n += a : s -= a;
+  }
+  return s === 0 ? 100 : 100 - 100 / (1 + n / e / (s / e));
+}
+function tt(i = {}) {
+  const t = i.entryPeriod ?? 20, e = i.exitPeriod ?? 10, n = i.size ?? 1, s = i.tag ?? "donchian-breakout";
+  return (o) => {
+    if (o.index < t) return;
+    const r = o.bar.close, a = D(o.history, o.index - t, o.index - 1), c = R(o.history, o.index - t, o.index - 1), u = D(o.history, o.index - e, o.index - 1), h = R(o.history, o.index - e, o.index - 1);
+    o.position ? (o.position.side === "long" && r < h || o.position.side === "short" && r > u) && o.close(s) : r > a ? o.placeOrder({ side: "long", type: "market", quantity: n, tag: s }) : r < c && o.placeOrder({ side: "short", type: "market", quantity: n, tag: s });
+  };
+}
+function D(i, t, e) {
+  let n = -1 / 0;
+  for (let s = Math.max(0, t); s <= e; s++)
+    i[s].high > n && (n = i[s].high);
+  return n;
+}
+function R(i, t, e) {
+  let n = 1 / 0;
+  for (let s = Math.max(0, t); s <= e; s++)
+    i[s].low < n && (n = i[s].low);
+  return n;
+}
+function et(i = {}) {
+  const t = i.period ?? 20, e = i.stdDev ?? 2, n = i.size ?? 1, s = i.tag ?? "bollinger-reversion";
+  return (o) => {
+    if (o.index < t) return;
+    const { mid: r, lower: a } = W(o.history, o.index, t, e), c = o.bar.close;
+    !o.position && c <= a ? o.placeOrder({ side: "long", type: "market", quantity: n, tag: s }) : o.position?.side === "long" && c >= r && o.close(s);
+  };
+}
+function W(i, t, e, n) {
+  let s = 0;
+  for (let c = t - e + 1; c <= t; c++) s += i[c].close;
+  const o = s / e;
+  let r = 0;
+  for (let c = t - e + 1; c <= t; c++) {
+    const u = i[c].close - o;
+    r += u * u;
+  }
+  const a = Math.sqrt(r / e);
+  return { mid: o, upper: o + n * a, lower: o - n * a };
+}
 export {
-  W as Backtester,
-  A as FixedCommission,
-  E as NO_SLIPPAGE,
-  V as PerShareCommission,
-  Y as PercentCommission,
-  _ as PercentSlippage,
-  k as Portfolio,
-  B as RangeBasedSlippage,
-  F as ZERO_COMMISSION,
-  D as computeRiskMetrics
+  x as Backtester,
+  $ as FixedCommission,
+  L as NO_SLIPPAGE,
+  Q as PerShareCommission,
+  G as PercentCommission,
+  U as PercentSlippage,
+  I as Portfolio,
+  Z as RangeBasedSlippage,
+  A as ZERO_COMMISSION,
+  et as bollingerReversionStrategy,
+  T as computeRiskMetrics,
+  tt as donchianBreakoutStrategy,
+  X as rsiReversionStrategy,
+  J as runMonteCarlo,
+  K as smaCrossStrategy
 };
 //# sourceMappingURL=index.js.map