npm - @tradecanvas/analytics - Versions diffs - 1.1.0 → 1.2.0 - Mend

@tradecanvas/analytics 1.1.0 → 1.2.0

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package/LICENSE CHANGED Viewed

@@ -1,21 +1,21 @@
-MIT License
-Copyright (c) 2026 TradeCanvas Contributors
-Permission is hereby granted, free of charge, to any person obtaining a copy
-of this software and associated documentation files (the "Software"), to deal
-in the Software without restriction, including without limitation the rights
-to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
-copies of the Software, and to permit persons to whom the Software is
-furnished to do so, subject to the following conditions:
-The above copyright notice and this permission notice shall be included in all
-copies or substantial portions of the Software.
-THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
-IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
-FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
-AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
-LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
-OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
-SOFTWARE.
+MIT License
+Copyright (c) 2026 TradeCanvas Contributors
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

package/README.md CHANGED Viewed

@@ -1,146 +1,146 @@
-# @tradecanvas/analytics
-Backtesting, portfolio tracking, and risk analytics for [TradeCanvas](https://github.com/bonguynvan/tradecanvas).
-> **Preview release.** API is stable but the engine has only been validated
-> against synthetic test fixtures. Treat results as indicative until you've
-> cross-checked them against your own reference implementation.
-## Install
-```bash
-npm install @tradecanvas/analytics @tradecanvas/commons
-```
-## Backtester
-Bar-by-bar engine. Strategy fn runs at close of each bar; orders fill on the **next** bar (market → next-bar open, limit/stop → when the next bar trades through the trigger price).
-```ts
-import { Backtester, FixedCommission, PercentSlippage } from '@tradecanvas/analytics'
-const bt = new Backtester({
-  initialCash: 10_000,
-  commission: new FixedCommission(2),
-  slippage: new PercentSlippage(0.0005),
-  allowShort: true,
-})
-const result = bt.run(historicalBars, (ctx) => {
-  if (!ctx.position) {
-    ctx.placeOrder({ side: 'long', type: 'market', quantity: 1 })
-  } else if (ctx.bar.close > ctx.position.averagePrice * 1.02) {
-    ctx.close()
-  }
-})
-console.log(result.metrics.sharpe, result.metrics.maxDrawdownPct)
-```
-## StrategyContext
-Field / method | Description
----|---
-`bar` | Current bar
-`index` | Index of `bar` in the input series
-`history` | Bars up to and including `bar`
-`position` | Current position or `null`
-`cash` | Available cash
-`equity` | Cash + mark-to-market position value
-`placeOrder(order)` | Queue order for next bar
-`close(tag?)` | Market-close current position
-`cancel(orderId)` | Cancel a pending order
-## Commission & slippage models
-- `FixedCommission(perTrade)`
-- `PercentCommission(rate)` — fraction of notional, e.g. `0.001` = 10 bps
-- `PerShareCommission(perShare, minimum?)`
-- `PercentSlippage(rate)` — adverse fraction of price
-- `RangeBasedSlippage(factor)` — proportional to bar range
-## Portfolio
-Tracks cash, one net position, realized P&L, and the equity curve.
-```ts
-import { Portfolio } from '@tradecanvas/analytics'
-const portfolio = new Portfolio({ initialCash: 10_000 })
-portfolio.applyFill({ ... })
-portfolio.mark(time, price)
-portfolio.getPosition()        // → { side, quantity, averagePrice, ... } | null
-portfolio.getTrades()          // → closed trades
-portfolio.getEquityCurve()     // → equity points
-portfolio.equity(price)        // mark-to-market
-```
-> Currently single-position. Multi-symbol portfolios are on the roadmap.
-## Risk metrics
-```ts
-import { computeRiskMetrics } from '@tradecanvas/analytics'
-const m = computeRiskMetrics(initialCash, equityCurve, trades, {
-  periodsPerYear: 252,    // optional; auto-detected from timestamps
-  riskFreeRate: 0.03,
-})
-m.totalReturnPct
-m.cagr
-m.sharpe
-m.sortino
-m.calmar
-m.maxDrawdownPct
-m.winRate
-m.profitFactor
-m.expectancy
-```
-## Strategy library
-Reference strategies live under `@tradecanvas/analytics` — drop in, tune
-parameters, run. All four implement the same `StrategyFn` shape and respect
-the backtester's `allowShort` flag.
-```ts
-import {
-  Backtester,
-  smaCrossStrategy,
-  rsiReversionStrategy,
-  donchianBreakoutStrategy,
-  bollingerReversionStrategy,
-} from '@tradecanvas/analytics';
-const bt = new Backtester({ initialCash: 10_000 });
-const result = bt.run(bars, smaCrossStrategy({
-  fastPeriod: 10,
-  slowPeriod: 30,
-  size: 1,
-}));
-```
-| Strategy | Style | Tuning |
-|---|---|---|
-| `smaCrossStrategy` | Trend-following | `fastPeriod`, `slowPeriod`, `size` |
-| `rsiReversionStrategy` | Mean-reversion (long-only) | `period`, `oversold`, `overbought`, `size` |
-| `donchianBreakoutStrategy` | Trend breakout (Turtle-style) | `entryPeriod`, `exitPeriod`, `size` |
-| `bollingerReversionStrategy` | Mean-reversion to SMA | `period`, `stdDev`, `size` |
-Each is a one-line function call returning a `StrategyFn` — easy to wrap,
-combine, or compare side-by-side in a backtest harness.
-## Edge cases (current behavior)
-- **Gaps past a limit price**: if the bar opens already through the limit, the order fills at the better of `open` and the limit price.
-- **Stop orders inside a gap**: fill at the worse of `open` and the stop price.
-- **Bar that touches both stop and limit on the same bar**: order resolves to the more pessimistic price for the current side (no intra-bar tick simulation).
-These choices are conservative. A future release will offer a configurable intra-bar fill model.
-## License
-MIT
+# @tradecanvas/analytics
+Backtesting, portfolio tracking, and risk analytics for [TradeCanvas](https://github.com/bonguynvan/tradecanvas).
+> **Preview release.** API is stable but the engine has only been validated
+> against synthetic test fixtures. Treat results as indicative until you've
+> cross-checked them against your own reference implementation.
+## Install
+```bash
+npm install @tradecanvas/analytics @tradecanvas/commons
+```
+## Backtester
+Bar-by-bar engine. Strategy fn runs at close of each bar; orders fill on the **next** bar (market → next-bar open, limit/stop → when the next bar trades through the trigger price).
+```ts
+import { Backtester, FixedCommission, PercentSlippage } from '@tradecanvas/analytics'
+const bt = new Backtester({
+  initialCash: 10_000,
+  commission: new FixedCommission(2),
+  slippage: new PercentSlippage(0.0005),
+  allowShort: true,
+})
+const result = bt.run(historicalBars, (ctx) => {
+  if (!ctx.position) {
+    ctx.placeOrder({ side: 'long', type: 'market', quantity: 1 })
+  } else if (ctx.bar.close > ctx.position.averagePrice * 1.02) {
+    ctx.close()
+  }
+})
+console.log(result.metrics.sharpe, result.metrics.maxDrawdownPct)
+```
+## StrategyContext
+Field / method | Description
+---|---
+`bar` | Current bar
+`index` | Index of `bar` in the input series
+`history` | Bars up to and including `bar`
+`position` | Current position or `null`
+`cash` | Available cash
+`equity` | Cash + mark-to-market position value
+`placeOrder(order)` | Queue order for next bar
+`close(tag?)` | Market-close current position
+`cancel(orderId)` | Cancel a pending order
+## Commission & slippage models
+- `FixedCommission(perTrade)`
+- `PercentCommission(rate)` — fraction of notional, e.g. `0.001` = 10 bps
+- `PerShareCommission(perShare, minimum?)`
+- `PercentSlippage(rate)` — adverse fraction of price
+- `RangeBasedSlippage(factor)` — proportional to bar range
+## Portfolio
+Tracks cash, one net position, realized P&L, and the equity curve.
+```ts
+import { Portfolio } from '@tradecanvas/analytics'
+const portfolio = new Portfolio({ initialCash: 10_000 })
+portfolio.applyFill({ ... })
+portfolio.mark(time, price)
+portfolio.getPosition()        // → { side, quantity, averagePrice, ... } | null
+portfolio.getTrades()          // → closed trades
+portfolio.getEquityCurve()     // → equity points
+portfolio.equity(price)        // mark-to-market
+```
+> Currently single-position. Multi-symbol portfolios are on the roadmap.
+## Risk metrics
+```ts
+import { computeRiskMetrics } from '@tradecanvas/analytics'
+const m = computeRiskMetrics(initialCash, equityCurve, trades, {
+  periodsPerYear: 252,    // optional; auto-detected from timestamps
+  riskFreeRate: 0.03,
+})
+m.totalReturnPct
+m.cagr
+m.sharpe
+m.sortino
+m.calmar
+m.maxDrawdownPct
+m.winRate
+m.profitFactor
+m.expectancy
+```
+## Strategy library
+Reference strategies live under `@tradecanvas/analytics` — drop in, tune
+parameters, run. All four implement the same `StrategyFn` shape and respect
+the backtester's `allowShort` flag.
+```ts
+import {
+  Backtester,
+  smaCrossStrategy,
+  rsiReversionStrategy,
+  donchianBreakoutStrategy,
+  bollingerReversionStrategy,
+} from '@tradecanvas/analytics';
+const bt = new Backtester({ initialCash: 10_000 });
+const result = bt.run(bars, smaCrossStrategy({
+  fastPeriod: 10,
+  slowPeriod: 30,
+  size: 1,
+}));
+```
+| Strategy | Style | Tuning |
+|---|---|---|
+| `smaCrossStrategy` | Trend-following | `fastPeriod`, `slowPeriod`, `size` |
+| `rsiReversionStrategy` | Mean-reversion (long-only) | `period`, `oversold`, `overbought`, `size` |
+| `donchianBreakoutStrategy` | Trend breakout (Turtle-style) | `entryPeriod`, `exitPeriod`, `size` |
+| `bollingerReversionStrategy` | Mean-reversion to SMA | `period`, `stdDev`, `size` |
+Each is a one-line function call returning a `StrategyFn` — easy to wrap,
+combine, or compare side-by-side in a backtest harness.
+## Edge cases (current behavior)
+- **Gaps past a limit price**: if the bar opens already through the limit, the order fills at the better of `open` and the limit price.
+- **Stop orders inside a gap**: fill at the worse of `open` and the stop price.
+- **Bar that touches both stop and limit on the same bar**: order resolves to the more pessimistic price for the current side (no intra-bar tick simulation).
+These choices are conservative. A future release will offer a configurable intra-bar fill model.
+## License
+MIT

package/dist/index.cjs.map CHANGED Viewed

	@@ -1 +1 @@
1	- {"version":3,"file":"index.cjs","names":[],"sources":["../src/commission.ts","../src/slippage.ts","../src/Portfolio.ts","../src/RiskMetrics.ts","../src/Backtester.ts","../src/MonteCarlo.ts","../src/strategies/smaCross.ts","../src/strategies/rsiReversion.ts","../src/strategies/donchianBreakout.ts","../src/strategies/bollingerReversion.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","import type { ClosedTrade } from './types.js';\n\nexport interface MonteCarloOptions {\n /* Number of simulations to run. Default 1000. /\n simulations?: number;\n /* Deterministic seed (mulberry32). Default `Date.now() ^ 0`. /\n seed?: number;\n /* Percentiles to compute on the final-equity distribution. Default [5, 25, 50, 75, 95]. /\n percentiles?: number[];\n}\n\nexport interface MonteCarloEquityBand {\n step: number;\n p5: number;\n p25: number;\n p50: number;\n p75: number;\n p95: number;\n}\n\nexport interface MonteCarloResult {\n simulations: number;\n initialCash: number;\n /* Per-step equity percentiles (length = trades.length + 1). /\n equityBands: MonteCarloEquityBand[];\n /* Final-equity percentiles, keyed by the percentile values requested. /\n finalEquityPercentiles: Record<string, number>;\n /* Probability the final equity is above the initial cash. /\n probabilityProfitable: number;\n /* Worst single-simulation max drawdown (in % of running peak). /\n worstMaxDrawdownPct: number;\n}\n\n/\n Monte Carlo simulation that randomizes the order of realised trades and\n * replays them. This isolates path-dependence: a strategy that depends on\n * lucky sequencing will show a wide P5/P95 band, while a robust edge stays\n * tight. It does NOT bootstrap from per-bar returns — that's a different\n * (and noisier) flavor for a future addition.\n \n Implementation notes:\n * - Each simulation is O(trades.length); total cost ≈ sims × trades.\n * - Equity bands are computed at the trade-resolution timeline (one point\n * per closed trade), so 1000 sims × 100 trades ≈ 100k float ops — fast.\n * - Uses mulberry32 PRNG so results are reproducible with a fixed seed.\n /\nexport function runMonteCarlo(\n initialCash: number,\n trades: ReadonlyArray<ClosedTrade>,\n opts: MonteCarloOptions = {},\n): MonteCarloResult {\n const simulations = opts.simulations ?? 1000;\n const percentiles = (opts.percentiles ?? [5, 25, 50, 75, 95]).slice().sort((a, b) => a - b);\n const rng = mulberry32(opts.seed ?? (Date.now() ^ 0x5a3c));\n\n if (trades.length === 0 \|\| simulations <= 0) {\n return {\n simulations,\n initialCash,\n equityBands: [{ step: 0, p5: initialCash, p25: initialCash, p50: initialCash, p75: initialCash, p95: initialCash }],\n finalEquityPercentiles: Object.fromEntries(percentiles.map(p => [`p${p}`, initialCash])),\n probabilityProfitable: 0,\n worstMaxDrawdownPct: 0,\n };\n }\n\n const pnls = trades.map(t => t.pnl);\n const steps = trades.length + 1; // includes the starting point\n\n // Reuse arrays across simulations — avoid GC pressure for 1000+ runs.\n const shuffled = pnls.slice();\n const finals = new Float64Array(simulations);\n // equityMatrix[i][s] = equity at step s of simulation i. Allocated flat.\n const equityMatrix = new Float64Array(simulations steps);\n let worstDrawdown = 0;\n let profitableCount = 0;\n\n for (let i = 0; i < simulations; i++) {\n fisherYates(shuffled, rng);\n\n let equity = initialCash;\n let peak = initialCash;\n let maxDd = 0;\n const base = i * steps;\n equityMatrix[base] = equity;\n\n for (let s = 0; s < shuffled.length; s++) {\n equity += shuffled[s];\n equityMatrix[base + s + 1] = equity;\n if (equity > peak) peak = equity;\n const dd = peak > 0 ? (peak - equity) / peak : 0;\n if (dd > maxDd) maxDd = dd;\n }\n\n finals[i] = equity;\n if (equity > initialCash) profitableCount++;\n if (maxDd > worstDrawdown) worstDrawdown = maxDd;\n }\n\n // Per-step bands: collect each step's column, sort, pick percentiles.\n const equityBands: MonteCarloEquityBand[] = [];\n const stepColumn = new Float64Array(simulations);\n for (let s = 0; s < steps; s++) {\n for (let i = 0; i < simulations; i++) {\n stepColumn[i] = equityMatrix[i * steps + s];\n }\n // Float64Array supports sort in place, but doesn't accept a comparator —\n // it sorts numerically by default, which is exactly what we want.\n stepColumn.sort();\n equityBands.push({\n step: s,\n p5: percentileFromSorted(stepColumn, 5),\n p25: percentileFromSorted(stepColumn, 25),\n p50: percentileFromSorted(stepColumn, 50),\n p75: percentileFromSorted(stepColumn, 75),\n p95: percentileFromSorted(stepColumn, 95),\n });\n }\n\n // Final-equity percentiles\n const sortedFinals = new Float64Array(finals);\n sortedFinals.sort();\n const finalEquityPercentiles: Record<string, number> = {};\n for (const p of percentiles) {\n finalEquityPercentiles[`p${p}`] = percentileFromSorted(sortedFinals, p);\n }\n\n return {\n simulations,\n initialCash,\n equityBands,\n finalEquityPercentiles,\n probabilityProfitable: profitableCount / simulations,\n worstMaxDrawdownPct: worstDrawdown * 100,\n };\n}\n\nfunction fisherYates(arr: number[], rng: () => number): void {\n for (let i = arr.length - 1; i > 0; i--) {\n const j = Math.floor(rng() * (i + 1));\n const tmp = arr[i];\n arr[i] = arr[j];\n arr[j] = tmp;\n }\n}\n\nfunction percentileFromSorted(sorted: ArrayLike<number>, p: number): number {\n if (sorted.length === 0) return 0;\n if (sorted.length === 1) return sorted[0];\n // Linear interpolation between adjacent ranks — same convention as numpy's\n // default. Index = (p/100) * (n - 1).\n const idx = (p / 100) * (sorted.length - 1);\n const lo = Math.floor(idx);\n const hi = Math.ceil(idx);\n if (lo === hi) return sorted[lo];\n return sorted[lo] * (hi - idx) + sorted[hi] * (idx - lo);\n}\n\n/*\n Mulberry32 — small, fast, well-distributed PRNG. Deterministic given a\n * seed; collisions are negligible for sample sizes below 2^32.\n /\nfunction mulberry32(seed: number): () => number {\n let a = seed >>> 0;\n return () => {\n a = (a + 0x6D2B79F5) >>> 0;\n let t = a;\n t = Math.imul(t ^ (t >>> 15), t \| 1);\n t ^= t + Math.imul(t ^ (t >>> 7), t \| 61);\n return ((t ^ (t >>> 14)) >>> 0) / 4294967296;\n };\n}\n","import type { StrategyFn, StrategyContext } from '../types.js';\n\nexport interface SmaCrossOptions {\n fastPeriod?: number;\n slowPeriod?: number;\n /* Position size (units, not cash). /\n size?: number;\n /* Tag attached to placed orders for reporting. /\n tag?: string;\n}\n\n/\n Classic SMA cross strategy.\n \n Goes long on the bar after the fast SMA crosses above the slow SMA, closes\n * (or reverses, depending on `allowShort`) on the opposite cross. The cross\n * is detected on `ctx.history.length - 1` (i.e. the closing bar that the\n * strategy is reacting to), so the fill happens on the next bar's open —\n * matching the backtester's no-look-ahead semantics.\n /\nexport function smaCrossStrategy(options: SmaCrossOptions = {}): StrategyFn {\n const fastPeriod = options.fastPeriod ?? 10;\n const slowPeriod = options.slowPeriod ?? 30;\n const size = options.size ?? 1;\n const tag = options.tag ?? 'sma-cross';\n\n if (fastPeriod >= slowPeriod) {\n throw new Error('smaCrossStrategy: fastPeriod must be less than slowPeriod');\n }\n\n return (ctx: StrategyContext) => {\n // Need slowPeriod + 1 closes to detect a cross (yesterday vs today SMAs).\n if (ctx.index < slowPeriod) return;\n\n const closes = ctx.history;\n const fastNow = sma(closes, ctx.index, fastPeriod);\n const slowNow = sma(closes, ctx.index, slowPeriod);\n const fastPrev = sma(closes, ctx.index - 1, fastPeriod);\n const slowPrev = sma(closes, ctx.index - 1, slowPeriod);\n\n const crossedUp = fastPrev <= slowPrev && fastNow > slowNow;\n const crossedDown = fastPrev >= slowPrev && fastNow < slowNow;\n\n if (crossedUp) {\n if (ctx.position?.side === 'short') ctx.close(tag);\n if (!ctx.position \|\| ctx.position.side === 'short') {\n ctx.placeOrder({ side: 'long', type: 'market', quantity: size, tag });\n }\n } else if (crossedDown) {\n if (ctx.position?.side === 'long') ctx.close(tag);\n }\n };\n}\n\nfunction sma(history: ReadonlyArray<{ close: number }>, endIdx: number, period: number): number {\n let sum = 0;\n for (let i = endIdx - period + 1; i <= endIdx; i++) {\n sum += history[i].close;\n }\n return sum / period;\n}\n","import type { StrategyFn, StrategyContext } from '../types.js';\n\nexport interface RsiReversionOptions {\n period?: number;\n oversold?: number;\n overbought?: number;\n size?: number;\n tag?: string;\n}\n\n/\n RSI(14) mean-reversion. Goes long when RSI crosses up through `oversold`\n * (default 30); exits when RSI crosses up through `overbought` (default 70).\n * No shorts — pure mean-reversion long-only by default.\n /\nexport function rsiReversionStrategy(options: RsiReversionOptions = {}): StrategyFn {\n const period = options.period ?? 14;\n const oversold = options.oversold ?? 30;\n const overbought = options.overbought ?? 70;\n const size = options.size ?? 1;\n const tag = options.tag ?? 'rsi-reversion';\n\n return (ctx: StrategyContext) => {\n if (ctx.index < period + 1) return;\n const rsiNow = rsi(ctx.history, ctx.index, period);\n const rsiPrev = rsi(ctx.history, ctx.index - 1, period);\n\n const enteringFromOversold = rsiPrev < oversold && rsiNow >= oversold;\n const enteringFromOverbought = rsiPrev < overbought && rsiNow >= overbought;\n\n if (enteringFromOversold && !ctx.position) {\n ctx.placeOrder({ side: 'long', type: 'market', quantity: size, tag });\n } else if (enteringFromOverbought && ctx.position?.side === 'long') {\n ctx.close(tag);\n }\n };\n}\n\nfunction rsi(history: ReadonlyArray<{ close: number }>, endIdx: number, period: number): number {\n let gains = 0;\n let losses = 0;\n for (let i = endIdx - period + 1; i <= endIdx; i++) {\n const change = history[i].close - history[i - 1].close;\n if (change >= 0) gains += change;\n else losses -= change;\n }\n if (losses === 0) return 100;\n const rs = (gains / period) / (losses / period);\n return 100 - 100 / (1 + rs);\n}\n","import type { StrategyFn, StrategyContext } from '../types.js';\n\nexport interface DonchianBreakoutOptions {\n /* Lookback for the entry channel high/low. /\n entryPeriod?: number;\n /* Lookback for the exit channel — usually shorter than entry. /\n exitPeriod?: number;\n size?: number;\n tag?: string;\n}\n\n/\n Donchian channel breakout — classic Turtle-style trend follower.\n \n Long entry: close > highest high of last `entryPeriod` bars (excluding current).\n * Long exit: close < lowest low of last `exitPeriod` bars (excluding current).\n * Mirror on the short side when `allowShort` is enabled by the backtester.\n /\nexport function donchianBreakoutStrategy(options: DonchianBreakoutOptions = {}): StrategyFn {\n const entryPeriod = options.entryPeriod ?? 20;\n const exitPeriod = options.exitPeriod ?? 10;\n const size = options.size ?? 1;\n const tag = options.tag ?? 'donchian-breakout';\n\n return (ctx: StrategyContext) => {\n if (ctx.index < entryPeriod) return;\n\n const close = ctx.bar.close;\n const entryHigh = highestHigh(ctx.history, ctx.index - entryPeriod, ctx.index - 1);\n const entryLow = lowestLow(ctx.history, ctx.index - entryPeriod, ctx.index - 1);\n const exitHigh = highestHigh(ctx.history, ctx.index - exitPeriod, ctx.index - 1);\n const exitLow = lowestLow(ctx.history, ctx.index - exitPeriod, ctx.index - 1);\n\n if (!ctx.position) {\n if (close > entryHigh) {\n ctx.placeOrder({ side: 'long', type: 'market', quantity: size, tag });\n } else if (close < entryLow) {\n ctx.placeOrder({ side: 'short', type: 'market', quantity: size, tag });\n }\n } else if (ctx.position.side === 'long' && close < exitLow) {\n ctx.close(tag);\n } else if (ctx.position.side === 'short' && close > exitHigh) {\n ctx.close(tag);\n }\n };\n}\n\nfunction highestHigh(history: ReadonlyArray<{ high: number }>, from: number, to: number): number {\n let h = -Infinity;\n for (let i = Math.max(0, from); i <= to; i++) {\n if (history[i].high > h) h = history[i].high;\n }\n return h;\n}\n\nfunction lowestLow(history: ReadonlyArray<{ low: number }>, from: number, to: number): number {\n let l = Infinity;\n for (let i = Math.max(0, from); i <= to; i++) {\n if (history[i].low < l) l = history[i].low;\n }\n return l;\n}\n","import type { StrategyFn, StrategyContext } from '../types.js';\n\nexport interface BollingerReversionOptions {\n period?: number;\n /* Number of standard deviations for the bands. /\n stdDev?: number;\n size?: number;\n tag?: string;\n}\n\n/\n Bollinger Band mean-reversion. Goes long when price closes below the lower\n * band and re-enters; exits when price re-touches the middle band (SMA).\n * Long-only — relies on the backtester's `allowShort: false` semantics to\n * happily close longs without throwing.\n /\nexport function bollingerReversionStrategy(options: BollingerReversionOptions = {}): StrategyFn {\n const period = options.period ?? 20;\n const stdDev = options.stdDev ?? 2;\n const size = options.size ?? 1;\n const tag = options.tag ?? 'bollinger-reversion';\n\n return (ctx: StrategyContext) => {\n if (ctx.index < period) return;\n\n const { mid, lower } = bollinger(ctx.history, ctx.index, period, stdDev);\n const close = ctx.bar.close;\n\n if (!ctx.position && close <= lower) {\n ctx.placeOrder({ side: 'long', type: 'market', quantity: size, tag });\n } else if (ctx.position?.side === 'long' && close >= mid) {\n ctx.close(tag);\n }\n };\n}\n\nfunction bollinger(\n history: ReadonlyArray<{ close: number }>,\n endIdx: number,\n period: number,\n stdDev: number,\n): { mid: number; upper: number; lower: number } {\n let sum = 0;\n for (let i = endIdx - period + 1; i <= endIdx; i++) sum += history[i].close;\n const mid = sum / period;\n\n let varSum = 0;\n for (let i = endIdx - period + 1; i <= endIdx; i++) {\n const diff = history[i].close - mid;\n varSum += diff diff;\n }\n const sd = Math.sqrt(varSum / period);\n return { mid, upper: mid + stdDev * sd, lower: mid - stdDev * sd 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1	+ {"version":3,"file":"index.cjs","names":[],"sources":["../src/commission.ts","../src/slippage.ts","../src/Portfolio.ts","../src/RiskMetrics.ts","../src/Backtester.ts","../src/MonteCarlo.ts","../src/strategies/smaCross.ts","../src/strategies/rsiReversion.ts","../src/strategies/donchianBreakout.ts","../src/strategies/bollingerReversion.ts"],"sourcesContent":["import type { CommissionModel } from './types.js';\r\n\r\nexport class FixedCommission implements CommissionModel {\r\n constructor(private readonly perTrade: number) {}\r\n\r\n calculate(): number {\r\n return this.perTrade;\r\n }\r\n}\r\n\r\nexport class PercentCommission implements CommissionModel {\r\n /** rate = 0.001 → 10 bps per trade notional. /\r\n constructor(private readonly rate: number) {}\r\n\r\n calculate(quantity: number, price: number): number {\r\n return Math.abs(quantity) price * this.rate;\r\n }\r\n}\r\n\r\nexport class PerShareCommission implements CommissionModel {\r\n /** Minimum total commission per trade (optional). /\r\n constructor(\r\n private readonly perShare: number,\r\n private readonly minimum = 0,\r\n ) {}\r\n\r\n calculate(quantity: number): number {\r\n return Math.max(this.minimum, Math.abs(quantity) this.perShare);\r\n }\r\n}\r\n\r\nexport const ZERO_COMMISSION: CommissionModel = {\r\n calculate: () => 0,\r\n};\r\n","import type { OHLCBar } from '@tradecanvas/commons';\r\nimport type { Side, SlippageModel } from './types.js';\r\n\r\nexport const NO_SLIPPAGE: SlippageModel = {\r\n apply: (price) => price,\r\n};\r\n\r\nexport class PercentSlippage implements SlippageModel {\r\n /** rate = 0.0005 → 5bps adverse /\r\n constructor(private readonly rate: number) {}\r\n\r\n apply(intendedPrice: number, side: Side): number {\r\n const adverse = side === 'long' ? 1 + this.rate : 1 - this.rate;\r\n return intendedPrice adverse;\r\n }\r\n}\r\n\r\nexport class RangeBasedSlippage implements SlippageModel {\r\n /** factor = 0.1 → 10% of the bar's range pushes against the order /\r\n constructor(private readonly factor: number) {}\r\n\r\n apply(intendedPrice: number, side: Side, bar: OHLCBar): number {\r\n const range = bar.high - bar.low;\r\n const push = range this.factor;\r\n return side === 'long' ? intendedPrice + push : intendedPrice - push;\r\n }\r\n}\r\n","import type {\r\n ClosedTrade,\r\n EquityPoint,\r\n Fill,\r\n PortfolioPosition,\r\n Side,\r\n} from './types.js';\r\n\r\nexport interface PortfolioOptions {\r\n initialCash: number;\r\n}\r\n\r\n/*\r\n Tracks cash, a single net position, realized PnL, and the equity curve.\r\n \r\n Simplifying assumptions:\r\n * - One symbol at a time. Opposing fills net against the existing position.\r\n * - Realized PnL is computed when a fill reduces or flips the position.\r\n * - Equity = cash + position market value (mark-to-market).\r\n /\r\nexport class Portfolio {\r\n private cash: number;\r\n private readonly initialCash: number;\r\n private position: PortfolioPosition \| null = null;\r\n private readonly fills: Fill[] = [];\r\n private readonly trades: ClosedTrade[] = [];\r\n private readonly equityCurve: EquityPoint[] = [];\r\n private realizedPnl = 0;\r\n\r\n constructor(opts: PortfolioOptions) {\r\n if (opts.initialCash <= 0) throw new Error('initialCash must be > 0');\r\n this.cash = opts.initialCash;\r\n this.initialCash = opts.initialCash;\r\n }\r\n\r\n getCash(): number {\r\n return this.cash;\r\n }\r\n\r\n getPosition(): Readonly<PortfolioPosition> \| null {\r\n return this.position;\r\n }\r\n\r\n getFills(): ReadonlyArray<Fill> {\r\n return this.fills;\r\n }\r\n\r\n getTrades(): ReadonlyArray<ClosedTrade> {\r\n return this.trades;\r\n }\r\n\r\n getEquityCurve(): ReadonlyArray<EquityPoint> {\r\n return this.equityCurve;\r\n }\r\n\r\n getInitialCash(): number {\r\n return this.initialCash;\r\n }\r\n\r\n getRealizedPnl(): number {\r\n return this.realizedPnl;\r\n }\r\n\r\n unrealizedPnl(price: number): number {\r\n if (!this.position) return 0;\r\n const dir = this.position.side === 'long' ? 1 : -1;\r\n return (price - this.position.averagePrice) this.position.quantity * dir;\r\n }\r\n\r\n equity(price: number): number {\r\n return this.cash + this.positionValue(price);\r\n }\r\n\r\n positionValue(price: number): number {\r\n if (!this.position) return 0;\r\n const dir = this.position.side === 'long' ? 1 : -1;\r\n return this.position.quantity * price * dir;\r\n }\r\n\r\n /** Apply a fill: cash flow + position update + realized PnL. /\r\n applyFill(fill: Fill): void {\r\n this.fills.push(fill);\r\n\r\n const signed = fill.side === 'long' ? fill.quantity : -fill.quantity;\r\n this.cash -= signed fill.price;\r\n this.cash -= fill.commission;\r\n\r\n if (!this.position) {\r\n this.position = {\r\n side: fill.side,\r\n quantity: fill.quantity,\r\n averagePrice: fill.price,\r\n openedAt: fill.time,\r\n tag: fill.tag,\r\n };\r\n return;\r\n }\r\n\r\n if (this.position.side === fill.side) {\r\n // Same direction: average up\r\n const totalQty = this.position.quantity + fill.quantity;\r\n this.position = {\r\n ...this.position,\r\n quantity: totalQty,\r\n averagePrice:\r\n (this.position.averagePrice * this.position.quantity +\r\n fill.price * fill.quantity) /\r\n totalQty,\r\n };\r\n return;\r\n }\r\n\r\n // Opposite direction: close or flip\r\n const closing = Math.min(this.position.quantity, fill.quantity);\r\n const dir = this.position.side === 'long' ? 1 : -1;\r\n const pnl = (fill.price - this.position.averagePrice) * closing * dir;\r\n\r\n this.realizedPnl += pnl;\r\n this.trades.push({\r\n entryTime: this.position.openedAt,\r\n exitTime: fill.time,\r\n side: this.position.side,\r\n quantity: closing,\r\n entryPrice: this.position.averagePrice,\r\n exitPrice: fill.price,\r\n pnl,\r\n pnlPct: (fill.price / this.position.averagePrice - 1) * dir,\r\n commission: fill.commission,\r\n tag: fill.tag ?? this.position.tag,\r\n });\r\n\r\n const remaining = this.position.quantity - fill.quantity;\r\n if (remaining > 0) {\r\n this.position = { ...this.position, quantity: remaining };\r\n } else if (remaining < 0) {\r\n this.position = {\r\n side: fill.side,\r\n quantity: -remaining,\r\n averagePrice: fill.price,\r\n openedAt: fill.time,\r\n tag: fill.tag,\r\n };\r\n } else {\r\n this.position = null;\r\n }\r\n }\r\n\r\n /** Snapshot equity at the current bar close. /\r\n mark(time: number, price: number): void {\r\n const positionValue = this.positionValue(price);\r\n const unrealizedPnl = this.unrealizedPnl(price);\r\n this.equityCurve.push({\r\n time,\r\n equity: this.cash + positionValue,\r\n cash: this.cash,\r\n positionValue,\r\n unrealizedPnl,\r\n realizedPnl: this.realizedPnl,\r\n });\r\n }\r\n\r\n reverseSide(side: Side): Side {\r\n return side === 'long' ? 'short' : 'long';\r\n }\r\n}\r\n","import type {\r\n ClosedTrade,\r\n EquityPoint,\r\n RiskMetrics,\r\n} from './types.js';\r\n\r\nconst MS_PER_YEAR = 365 24 * 60 * 60 * 1000;\r\n\r\nexport interface RiskMetricsOptions {\r\n /** Periods per year for Sharpe/Sortino annualization. Auto-detected from equity timestamps if omitted. /\r\n periodsPerYear?: number;\r\n /* Annual risk-free rate, default 0. /\r\n riskFreeRate?: number;\r\n}\r\n\r\n/\r\n Compute summary risk and return metrics from an equity curve and closed trades.\r\n \r\n Returns NaN/0 fallbacks for degenerate inputs (empty curve, single point, no losses)\r\n * so downstream UIs can render safely.\r\n /\r\nexport function computeRiskMetrics(\r\n initialCash: number,\r\n equityCurve: ReadonlyArray<EquityPoint>,\r\n trades: ReadonlyArray<ClosedTrade>,\r\n opts: RiskMetricsOptions = {},\r\n): RiskMetrics {\r\n if (equityCurve.length < 2) {\r\n return emptyMetrics(initialCash, equityCurve, trades);\r\n }\r\n\r\n const finalEquity = equityCurve[equityCurve.length - 1].equity;\r\n const totalReturn = finalEquity - initialCash;\r\n const totalReturnPct = totalReturn / initialCash;\r\n\r\n const periodsPerYear =\r\n opts.periodsPerYear ?? inferPeriodsPerYear(equityCurve);\r\n const riskFreeRate = opts.riskFreeRate ?? 0;\r\n const periodRiskFree = riskFreeRate / periodsPerYear;\r\n\r\n const returns = periodReturns(equityCurve);\r\n const meanReturn = mean(returns);\r\n const stdDev = standardDeviation(returns, meanReturn);\r\n const downsideDev = downsideDeviation(returns, periodRiskFree);\r\n\r\n const sharpe = stdDev === 0\r\n ? 0\r\n : ((meanReturn - periodRiskFree) / stdDev) Math.sqrt(periodsPerYear);\r\n const sortino = downsideDev === 0\r\n ? 0\r\n : ((meanReturn - periodRiskFree) / downsideDev) * Math.sqrt(periodsPerYear);\r\n\r\n const elapsedMs =\r\n equityCurve[equityCurve.length - 1].time - equityCurve[0].time;\r\n const years = elapsedMs > 0 ? elapsedMs / MS_PER_YEAR : 0;\r\n const cagr = years > 0\r\n ? Math.pow(finalEquity / initialCash, 1 / years) - 1\r\n : 0;\r\n\r\n const { maxDrawdown, maxDrawdownPct } = computeDrawdown(equityCurve);\r\n const calmar = maxDrawdownPct > 0 ? cagr / maxDrawdownPct : 0;\r\n\r\n const tradeStats = summarizeTrades(trades);\r\n\r\n return {\r\n totalReturn,\r\n totalReturnPct,\r\n cagr,\r\n sharpe,\r\n sortino,\r\n calmar,\r\n maxDrawdown,\r\n maxDrawdownPct,\r\n ...tradeStats,\r\n };\r\n}\r\n\r\nfunction emptyMetrics(\r\n initialCash: number,\r\n equityCurve: ReadonlyArray<EquityPoint>,\r\n trades: ReadonlyArray<ClosedTrade>,\r\n): RiskMetrics {\r\n const finalEquity = equityCurve.length > 0\r\n ? equityCurve[equityCurve.length - 1].equity\r\n : initialCash;\r\n return {\r\n totalReturn: finalEquity - initialCash,\r\n totalReturnPct: (finalEquity - initialCash) / initialCash,\r\n cagr: 0,\r\n sharpe: 0,\r\n sortino: 0,\r\n calmar: 0,\r\n maxDrawdown: 0,\r\n maxDrawdownPct: 0,\r\n ...summarizeTrades(trades),\r\n };\r\n}\r\n\r\nfunction periodReturns(curve: ReadonlyArray<EquityPoint>): number[] {\r\n const result: number[] = [];\r\n for (let i = 1; i < curve.length; i++) {\r\n const prev = curve[i - 1].equity;\r\n if (prev <= 0) {\r\n result.push(0);\r\n continue;\r\n }\r\n result.push(curve[i].equity / prev - 1);\r\n }\r\n return result;\r\n}\r\n\r\nfunction mean(values: number[]): number {\r\n if (values.length === 0) return 0;\r\n let sum = 0;\r\n for (const v of values) sum += v;\r\n return sum / values.length;\r\n}\r\n\r\nfunction standardDeviation(values: number[], avg: number): number {\r\n if (values.length < 2) return 0;\r\n let acc = 0;\r\n for (const v of values) acc += (v - avg) 2;\r\n return Math.sqrt(acc / (values.length - 1));\r\n}\r\n\r\nfunction downsideDeviation(values: number[], target: number): number {\r\n if (values.length < 2) return 0;\r\n let acc = 0;\r\n let count = 0;\r\n for (const v of values) {\r\n const diff = v - target;\r\n if (diff < 0) {\r\n acc += diff 2;\r\n count++;\r\n }\r\n }\r\n if (count === 0) return 0;\r\n return Math.sqrt(acc / count);\r\n}\r\n\r\nfunction computeDrawdown(curve: ReadonlyArray<EquityPoint>): {\r\n maxDrawdown: number;\r\n maxDrawdownPct: number;\r\n} {\r\n let peak = curve[0].equity;\r\n let maxDd = 0;\r\n let maxDdPct = 0;\r\n for (const point of curve) {\r\n if (point.equity > peak) peak = point.equity;\r\n const dd = peak - point.equity;\r\n if (dd > maxDd) {\r\n maxDd = dd;\r\n maxDdPct = peak > 0 ? dd / peak : 0;\r\n }\r\n }\r\n return { maxDrawdown: maxDd, maxDrawdownPct: maxDdPct };\r\n}\r\n\r\nfunction summarizeTrades(trades: ReadonlyArray<ClosedTrade>): {\r\n winRate: number;\r\n profitFactor: number;\r\n expectancy: number;\r\n averageWin: number;\r\n averageLoss: number;\r\n trades: number;\r\n} {\r\n if (trades.length === 0) {\r\n return {\r\n winRate: 0,\r\n profitFactor: 0,\r\n expectancy: 0,\r\n averageWin: 0,\r\n averageLoss: 0,\r\n trades: 0,\r\n };\r\n }\r\n\r\n let wins = 0;\r\n let losses = 0;\r\n let totalWin = 0;\r\n let totalLoss = 0;\r\n for (const t of trades) {\r\n if (t.pnl > 0) {\r\n wins++;\r\n totalWin += t.pnl;\r\n } else if (t.pnl < 0) {\r\n losses++;\r\n totalLoss += -t.pnl;\r\n }\r\n }\r\n\r\n const winRate = wins / trades.length;\r\n const averageWin = wins > 0 ? totalWin / wins : 0;\r\n const averageLoss = losses > 0 ? totalLoss / losses : 0;\r\n const profitFactor = totalLoss > 0 ? totalWin / totalLoss : totalWin > 0 ? Infinity : 0;\r\n const expectancy = winRate * averageWin - (1 - winRate) * averageLoss;\r\n\r\n return {\r\n winRate,\r\n profitFactor,\r\n expectancy,\r\n averageWin,\r\n averageLoss,\r\n trades: trades.length,\r\n };\r\n}\r\n\r\nfunction inferPeriodsPerYear(curve: ReadonlyArray<EquityPoint>): number {\r\n if (curve.length < 2) return 252;\r\n const deltas: number[] = [];\r\n for (let i = 1; i < curve.length && i < 50; i++) {\r\n deltas.push(curve[i].time - curve[i - 1].time);\r\n }\r\n const avgMs = mean(deltas);\r\n if (avgMs <= 0) return 252;\r\n const perYear = MS_PER_YEAR / avgMs;\r\n // Snap to common cadences for stability\r\n if (perYear > 200_000) return 365 * 24 * 60; // 1m\r\n if (perYear > 50_000) return 365 * 24 * 4; // 15m\r\n if (perYear > 5_000) return 365 * 24; // hourly\r\n if (perYear > 200) return 252; // daily trading\r\n if (perYear > 40) return 52; // weekly\r\n return 12; // monthly fallback\r\n}\r\n","import type { OHLCBar, DataSeries } from '@tradecanvas/commons';\r\nimport { ZERO_COMMISSION } from './commission.js';\r\nimport { NO_SLIPPAGE } from './slippage.js';\r\nimport { Portfolio } from './Portfolio.js';\r\nimport { computeRiskMetrics } from './RiskMetrics.js';\r\nimport type {\r\n BacktestOptions,\r\n BacktestOrder,\r\n BacktestResult,\r\n CommissionModel,\r\n Fill,\r\n OrderStatus,\r\n Side,\r\n SlippageModel,\r\n StrategyContext,\r\n StrategyFn,\r\n} from './types.js';\r\n\r\ninterface PendingOrder extends BacktestOrder {\r\n status: OrderStatus;\r\n placedAt: number;\r\n}\r\n\r\n/*\r\n Bar-by-bar backtest engine.\r\n \r\n Execution model:\r\n * - Strategy fn runs at close of each bar\r\n * - Orders placed on bar N fill on bar N+1's open (market) or when\r\n * bar N+1 trades through the limit/stop price\r\n * - Equity is marked to close of every bar\r\n \r\n The engine is intentionally headless — no chart dependency — and produces\r\n * a result that can be visualised via @tradecanvas/chart's EquityCurveRenderer\r\n * or rendered into a report. See README for wiring examples.\r\n /\r\nexport class Backtester {\r\n private readonly commission: CommissionModel;\r\n private readonly slippage: SlippageModel;\r\n private readonly allowShort: boolean;\r\n private readonly portfolio: Portfolio;\r\n private pendingOrders: PendingOrder[] = [];\r\n private orderSeq = 0;\r\n\r\n constructor(opts: BacktestOptions) {\r\n this.commission = opts.commission ?? ZERO_COMMISSION;\r\n this.slippage = opts.slippage ?? NO_SLIPPAGE;\r\n this.allowShort = opts.allowShort ?? true;\r\n this.portfolio = new Portfolio({ initialCash: opts.initialCash });\r\n }\r\n\r\n run(data: DataSeries, strategy: StrategyFn): BacktestResult {\r\n if (data.length < 2) {\r\n throw new Error('Backtester requires at least 2 bars');\r\n }\r\n\r\n for (let i = 0; i < data.length; i++) {\r\n const bar = data[i];\r\n\r\n // 1. Fill any pending orders against this bar\r\n this.fillPendingOrders(bar);\r\n\r\n // 2. Mark-to-market after fills resolve\r\n this.portfolio.mark(bar.time, bar.close);\r\n\r\n // 3. Run strategy for the next bar (if there is one)\r\n if (i < data.length - 1) {\r\n const ctx = this.makeContext(bar, i, data.slice(0, i + 1));\r\n strategy(ctx);\r\n }\r\n }\r\n\r\n // Cancel anything left pending\r\n for (const order of this.pendingOrders) {\r\n if (order.status === 'pending') order.status = 'cancelled';\r\n }\r\n\r\n const equityCurve = this.portfolio.getEquityCurve();\r\n const initialCash = this.portfolio.getInitialCash();\r\n const trades = this.portfolio.getTrades();\r\n const finalEquity = equityCurve.length > 0\r\n ? equityCurve[equityCurve.length - 1].equity\r\n : initialCash;\r\n\r\n return {\r\n fills: this.portfolio.getFills(),\r\n trades,\r\n equityCurve,\r\n initialCash,\r\n finalEquity,\r\n metrics: computeRiskMetrics(initialCash, equityCurve, trades),\r\n };\r\n }\r\n\r\n private fillPendingOrders(bar: OHLCBar): void {\r\n for (const order of this.pendingOrders) {\r\n if (order.status !== 'pending') continue;\r\n const fillPrice = this.resolveFillPrice(order, bar);\r\n if (fillPrice === null) {\r\n if (order.timeInForce === 'day' \|\| order.timeInForce === 'ioc') {\r\n order.status = 'cancelled';\r\n }\r\n continue;\r\n }\r\n const adjustedPrice = this.slippage.apply(fillPrice, order.side, bar);\r\n const commission = this.commission.calculate(order.quantity, adjustedPrice);\r\n const fill: Fill = {\r\n orderId: order.id,\r\n time: bar.time,\r\n price: adjustedPrice,\r\n quantity: order.quantity,\r\n side: order.side,\r\n commission,\r\n slippage: Math.abs(adjustedPrice - fillPrice),\r\n tag: order.tag,\r\n };\r\n this.portfolio.applyFill(fill);\r\n order.status = 'filled';\r\n }\r\n this.pendingOrders = this.pendingOrders.filter(\r\n (o) => o.status === 'pending',\r\n );\r\n }\r\n\r\n private resolveFillPrice(order: PendingOrder, bar: OHLCBar): number \| null {\r\n switch (order.type) {\r\n case 'market':\r\n return bar.open;\r\n case 'limit':\r\n if (order.price === undefined) return null;\r\n if (order.side === 'long' && bar.low <= order.price) {\r\n return Math.min(order.price, bar.open);\r\n }\r\n if (order.side === 'short' && bar.high >= order.price) {\r\n return Math.max(order.price, bar.open);\r\n }\r\n return null;\r\n case 'stop':\r\n if (order.price === undefined) return null;\r\n if (order.side === 'long' && bar.high >= order.price) {\r\n return Math.max(order.price, bar.open);\r\n }\r\n if (order.side === 'short' && bar.low <= order.price) {\r\n return Math.min(order.price, bar.open);\r\n }\r\n return null;\r\n }\r\n }\r\n\r\n private makeContext(\r\n bar: OHLCBar,\r\n index: number,\r\n history: ReadonlyArray<OHLCBar>,\r\n ): StrategyContext {\r\n const portfolio = this.portfolio;\r\n return {\r\n bar,\r\n index,\r\n history,\r\n position: portfolio.getPosition(),\r\n cash: portfolio.getCash(),\r\n equity: portfolio.equity(bar.close),\r\n placeOrder: (order) => this.placeOrder(order, bar.time),\r\n close: (tag) => this.closePosition(bar.time, tag),\r\n cancel: (orderId) => this.cancelOrder(orderId),\r\n };\r\n }\r\n\r\n private placeOrder(\r\n raw: Omit<BacktestOrder, 'id'> & { id?: string },\r\n placedAt: number,\r\n ): string {\r\n if (raw.quantity <= 0) {\r\n throw new Error('order quantity must be > 0');\r\n }\r\n if (!this.allowShort && raw.side === 'short') {\r\n // `allowShort: false` means \"don't go net short\". A sell that only\r\n // closes (or reduces) an existing long position is not shorting.\r\n const pos = this.portfolio.getPosition();\r\n const closesExistingLong =\r\n pos !== null && pos.side === 'long' && raw.quantity <= pos.quantity;\r\n if (!closesExistingLong) {\r\n throw new Error('shorting is disabled');\r\n }\r\n }\r\n const id = raw.id ?? `o-${++this.orderSeq}`;\r\n this.pendingOrders.push({\r\n id,\r\n side: raw.side,\r\n type: raw.type,\r\n quantity: raw.quantity,\r\n price: raw.price,\r\n tag: raw.tag,\r\n timeInForce: raw.timeInForce ?? 'gtc',\r\n status: 'pending',\r\n placedAt,\r\n });\r\n return id;\r\n }\r\n\r\n private closePosition(placedAt: number, tag?: string): string \| null {\r\n const pos = this.portfolio.getPosition();\r\n if (!pos) return null;\r\n const closeSide: Side = pos.side === 'long' ? 'short' : 'long';\r\n return this.placeOrder(\r\n { side: closeSide, type: 'market', quantity: pos.quantity, tag },\r\n placedAt,\r\n );\r\n }\r\n\r\n private cancelOrder(orderId: string): boolean {\r\n const order = this.pendingOrders.find((o) => o.id === orderId);\r\n if (!order \|\| order.status !== 'pending') return false;\r\n order.status = 'cancelled';\r\n return true;\r\n }\r\n}\r\n","import type { ClosedTrade } from './types.js';\r\n\r\nexport interface MonteCarloOptions {\r\n /* Number of simulations to run. Default 1000. /\r\n simulations?: number;\r\n /* Deterministic seed (mulberry32). Default `Date.now() ^ 0`. /\r\n seed?: number;\r\n /* Percentiles to compute on the final-equity distribution. Default [5, 25, 50, 75, 95]. /\r\n percentiles?: number[];\r\n}\r\n\r\nexport interface MonteCarloEquityBand {\r\n step: number;\r\n p5: number;\r\n p25: number;\r\n p50: number;\r\n p75: number;\r\n p95: number;\r\n}\r\n\r\nexport interface MonteCarloResult {\r\n simulations: number;\r\n initialCash: number;\r\n /* Per-step equity percentiles (length = trades.length + 1). /\r\n equityBands: MonteCarloEquityBand[];\r\n /* Final-equity percentiles, keyed by the percentile values requested. /\r\n finalEquityPercentiles: Record<string, number>;\r\n /* Probability the final equity is above the initial cash. /\r\n probabilityProfitable: number;\r\n /* Worst single-simulation max drawdown (in % of running peak). /\r\n worstMaxDrawdownPct: number;\r\n}\r\n\r\n/\r\n Monte Carlo simulation that randomizes the order of realised trades and\r\n * replays them. This isolates path-dependence: a strategy that depends on\r\n * lucky sequencing will show a wide P5/P95 band, while a robust edge stays\r\n * tight. It does NOT bootstrap from per-bar returns — that's a different\r\n * (and noisier) flavor for a future addition.\r\n \r\n Implementation notes:\r\n * - Each simulation is O(trades.length); total cost ≈ sims × trades.\r\n * - Equity bands are computed at the trade-resolution timeline (one point\r\n * per closed trade), so 1000 sims × 100 trades ≈ 100k float ops — fast.\r\n * - Uses mulberry32 PRNG so results are reproducible with a fixed seed.\r\n /\r\nexport function runMonteCarlo(\r\n initialCash: number,\r\n trades: ReadonlyArray<ClosedTrade>,\r\n opts: MonteCarloOptions = {},\r\n): MonteCarloResult {\r\n const simulations = opts.simulations ?? 1000;\r\n const percentiles = (opts.percentiles ?? [5, 25, 50, 75, 95]).slice().sort((a, b) => a - b);\r\n const rng = mulberry32(opts.seed ?? (Date.now() ^ 0x5a3c));\r\n\r\n if (trades.length === 0 \|\| simulations <= 0) {\r\n return {\r\n simulations,\r\n initialCash,\r\n equityBands: [{ step: 0, p5: initialCash, p25: initialCash, p50: initialCash, p75: initialCash, p95: initialCash }],\r\n finalEquityPercentiles: Object.fromEntries(percentiles.map(p => [`p${p}`, initialCash])),\r\n probabilityProfitable: 0,\r\n worstMaxDrawdownPct: 0,\r\n };\r\n }\r\n\r\n const pnls = trades.map(t => t.pnl);\r\n const steps = trades.length + 1; // includes the starting point\r\n\r\n // Reuse arrays across simulations — avoid GC pressure for 1000+ runs.\r\n const shuffled = pnls.slice();\r\n const finals = new Float64Array(simulations);\r\n // equityMatrix[i][s] = equity at step s of simulation i. Allocated flat.\r\n const equityMatrix = new Float64Array(simulations steps);\r\n let worstDrawdown = 0;\r\n let profitableCount = 0;\r\n\r\n for (let i = 0; i < simulations; i++) {\r\n fisherYates(shuffled, rng);\r\n\r\n let equity = initialCash;\r\n let peak = initialCash;\r\n let maxDd = 0;\r\n const base = i * steps;\r\n equityMatrix[base] = equity;\r\n\r\n for (let s = 0; s < shuffled.length; s++) {\r\n equity += shuffled[s];\r\n equityMatrix[base + s + 1] = equity;\r\n if (equity > peak) peak = equity;\r\n const dd = peak > 0 ? (peak - equity) / peak : 0;\r\n if (dd > maxDd) maxDd = dd;\r\n }\r\n\r\n finals[i] = equity;\r\n if (equity > initialCash) profitableCount++;\r\n if (maxDd > worstDrawdown) worstDrawdown = maxDd;\r\n }\r\n\r\n // Per-step bands: collect each step's column, sort, pick percentiles.\r\n const equityBands: MonteCarloEquityBand[] = [];\r\n const stepColumn = new Float64Array(simulations);\r\n for (let s = 0; s < steps; s++) {\r\n for (let i = 0; i < simulations; i++) {\r\n stepColumn[i] = equityMatrix[i * steps + s];\r\n }\r\n // Float64Array supports sort in place, but doesn't accept a comparator —\r\n // it sorts numerically by default, which is exactly what we want.\r\n stepColumn.sort();\r\n equityBands.push({\r\n step: s,\r\n p5: percentileFromSorted(stepColumn, 5),\r\n p25: percentileFromSorted(stepColumn, 25),\r\n p50: percentileFromSorted(stepColumn, 50),\r\n p75: percentileFromSorted(stepColumn, 75),\r\n p95: percentileFromSorted(stepColumn, 95),\r\n });\r\n }\r\n\r\n // Final-equity percentiles\r\n const sortedFinals = new Float64Array(finals);\r\n sortedFinals.sort();\r\n const finalEquityPercentiles: Record<string, number> = {};\r\n for (const p of percentiles) {\r\n finalEquityPercentiles[`p${p}`] = percentileFromSorted(sortedFinals, p);\r\n }\r\n\r\n return {\r\n simulations,\r\n initialCash,\r\n equityBands,\r\n finalEquityPercentiles,\r\n probabilityProfitable: profitableCount / simulations,\r\n worstMaxDrawdownPct: worstDrawdown * 100,\r\n };\r\n}\r\n\r\nfunction fisherYates(arr: number[], rng: () => number): void {\r\n for (let i = arr.length - 1; i > 0; i--) {\r\n const j = Math.floor(rng() * (i + 1));\r\n const tmp = arr[i];\r\n arr[i] = arr[j];\r\n arr[j] = tmp;\r\n }\r\n}\r\n\r\nfunction percentileFromSorted(sorted: ArrayLike<number>, p: number): number {\r\n if (sorted.length === 0) return 0;\r\n if (sorted.length === 1) return sorted[0];\r\n // Linear interpolation between adjacent ranks — same convention as numpy's\r\n // default. Index = (p/100) * (n - 1).\r\n const idx = (p / 100) * (sorted.length - 1);\r\n const lo = Math.floor(idx);\r\n const hi = Math.ceil(idx);\r\n if (lo === hi) return sorted[lo];\r\n return sorted[lo] * (hi - idx) + sorted[hi] * (idx - lo);\r\n}\r\n\r\n/*\r\n Mulberry32 — small, fast, well-distributed PRNG. Deterministic given a\r\n * seed; collisions are negligible for sample sizes below 2^32.\r\n /\r\nfunction mulberry32(seed: number): () => number {\r\n let a = seed >>> 0;\r\n return () => {\r\n a = (a + 0x6D2B79F5) >>> 0;\r\n let t = a;\r\n t = Math.imul(t ^ (t >>> 15), t \| 1);\r\n t ^= t + Math.imul(t ^ (t >>> 7), t \| 61);\r\n return ((t ^ (t >>> 14)) >>> 0) / 4294967296;\r\n };\r\n}\r\n","import type { StrategyFn, StrategyContext } from '../types.js';\r\n\r\nexport interface SmaCrossOptions {\r\n fastPeriod?: number;\r\n slowPeriod?: number;\r\n /* Position size (units, not cash). /\r\n size?: number;\r\n /* Tag attached to placed orders for reporting. /\r\n tag?: string;\r\n}\r\n\r\n/\r\n Classic SMA cross strategy.\r\n \r\n Goes long on the bar after the fast SMA crosses above the slow SMA, closes\r\n * (or reverses, depending on `allowShort`) on the opposite cross. The cross\r\n * is detected on `ctx.history.length - 1` (i.e. the closing bar that the\r\n * strategy is reacting to), so the fill happens on the next bar's open —\r\n * matching the backtester's no-look-ahead semantics.\r\n /\r\nexport function smaCrossStrategy(options: SmaCrossOptions = {}): StrategyFn {\r\n const fastPeriod = options.fastPeriod ?? 10;\r\n const slowPeriod = options.slowPeriod ?? 30;\r\n const size = options.size ?? 1;\r\n const tag = options.tag ?? 'sma-cross';\r\n\r\n if (fastPeriod >= slowPeriod) {\r\n throw new Error('smaCrossStrategy: fastPeriod must be less than slowPeriod');\r\n }\r\n\r\n return (ctx: StrategyContext) => {\r\n // Need slowPeriod + 1 closes to detect a cross (yesterday vs today SMAs).\r\n if (ctx.index < slowPeriod) return;\r\n\r\n const closes = ctx.history;\r\n const fastNow = sma(closes, ctx.index, fastPeriod);\r\n const slowNow = sma(closes, ctx.index, slowPeriod);\r\n const fastPrev = sma(closes, ctx.index - 1, fastPeriod);\r\n const slowPrev = sma(closes, ctx.index - 1, slowPeriod);\r\n\r\n const crossedUp = fastPrev <= slowPrev && fastNow > slowNow;\r\n const crossedDown = fastPrev >= slowPrev && fastNow < slowNow;\r\n\r\n if (crossedUp) {\r\n if (ctx.position?.side === 'short') ctx.close(tag);\r\n if (!ctx.position \|\| ctx.position.side === 'short') {\r\n ctx.placeOrder({ side: 'long', type: 'market', quantity: size, tag });\r\n }\r\n } else if (crossedDown) {\r\n if (ctx.position?.side === 'long') ctx.close(tag);\r\n }\r\n };\r\n}\r\n\r\nfunction sma(history: ReadonlyArray<{ close: number }>, endIdx: number, period: number): number {\r\n let sum = 0;\r\n for (let i = endIdx - period + 1; i <= endIdx; i++) {\r\n sum += history[i].close;\r\n }\r\n return sum / period;\r\n}\r\n","import type { StrategyFn, StrategyContext } from '../types.js';\r\n\r\nexport interface RsiReversionOptions {\r\n period?: number;\r\n oversold?: number;\r\n overbought?: number;\r\n size?: number;\r\n tag?: string;\r\n}\r\n\r\n/\r\n RSI(14) mean-reversion. Goes long when RSI crosses up through `oversold`\r\n * (default 30); exits when RSI crosses up through `overbought` (default 70).\r\n * No shorts — pure mean-reversion long-only by default.\r\n /\r\nexport function rsiReversionStrategy(options: RsiReversionOptions = {}): StrategyFn {\r\n const period = options.period ?? 14;\r\n const oversold = options.oversold ?? 30;\r\n const overbought = options.overbought ?? 70;\r\n const size = options.size ?? 1;\r\n const tag = options.tag ?? 'rsi-reversion';\r\n\r\n return (ctx: StrategyContext) => {\r\n if (ctx.index < period + 1) return;\r\n const rsiNow = rsi(ctx.history, ctx.index, period);\r\n const rsiPrev = rsi(ctx.history, ctx.index - 1, period);\r\n\r\n const enteringFromOversold = rsiPrev < oversold && rsiNow >= oversold;\r\n const enteringFromOverbought = rsiPrev < overbought && rsiNow >= overbought;\r\n\r\n if (enteringFromOversold && !ctx.position) {\r\n ctx.placeOrder({ side: 'long', type: 'market', quantity: size, tag });\r\n } else if (enteringFromOverbought && ctx.position?.side === 'long') {\r\n ctx.close(tag);\r\n }\r\n };\r\n}\r\n\r\nfunction rsi(history: ReadonlyArray<{ close: number }>, endIdx: number, period: number): number {\r\n let gains = 0;\r\n let losses = 0;\r\n for (let i = endIdx - period + 1; i <= endIdx; i++) {\r\n const change = history[i].close - history[i - 1].close;\r\n if (change >= 0) gains += change;\r\n else losses -= change;\r\n }\r\n if (losses === 0) return 100;\r\n const rs = (gains / period) / (losses / period);\r\n return 100 - 100 / (1 + rs);\r\n}\r\n","import type { StrategyFn, StrategyContext } from '../types.js';\r\n\r\nexport interface DonchianBreakoutOptions {\r\n /* Lookback for the entry channel high/low. /\r\n entryPeriod?: number;\r\n /* Lookback for the exit channel — usually shorter than entry. /\r\n exitPeriod?: number;\r\n size?: number;\r\n tag?: string;\r\n}\r\n\r\n/\r\n Donchian channel breakout — classic Turtle-style trend follower.\r\n \r\n Long entry: close > highest high of last `entryPeriod` bars (excluding current).\r\n * Long exit: close < lowest low of last `exitPeriod` bars (excluding current).\r\n * Mirror on the short side when `allowShort` is enabled by the backtester.\r\n /\r\nexport function donchianBreakoutStrategy(options: DonchianBreakoutOptions = {}): StrategyFn {\r\n const entryPeriod = options.entryPeriod ?? 20;\r\n const exitPeriod = options.exitPeriod ?? 10;\r\n const size = options.size ?? 1;\r\n const tag = options.tag ?? 'donchian-breakout';\r\n\r\n return (ctx: StrategyContext) => {\r\n if (ctx.index < entryPeriod) return;\r\n\r\n const close = ctx.bar.close;\r\n const entryHigh = highestHigh(ctx.history, ctx.index - entryPeriod, ctx.index - 1);\r\n const entryLow = lowestLow(ctx.history, ctx.index - entryPeriod, ctx.index - 1);\r\n const exitHigh = highestHigh(ctx.history, ctx.index - exitPeriod, ctx.index - 1);\r\n const exitLow = lowestLow(ctx.history, ctx.index - exitPeriod, ctx.index - 1);\r\n\r\n if (!ctx.position) {\r\n if (close > entryHigh) {\r\n ctx.placeOrder({ side: 'long', type: 'market', quantity: size, tag });\r\n } else if (close < entryLow) {\r\n ctx.placeOrder({ side: 'short', type: 'market', quantity: size, tag });\r\n }\r\n } else if (ctx.position.side === 'long' && close < exitLow) {\r\n ctx.close(tag);\r\n } else if (ctx.position.side === 'short' && close > exitHigh) {\r\n ctx.close(tag);\r\n }\r\n };\r\n}\r\n\r\nfunction highestHigh(history: ReadonlyArray<{ high: number }>, from: number, to: number): number {\r\n let h = -Infinity;\r\n for (let i = Math.max(0, from); i <= to; i++) {\r\n if (history[i].high > h) h = history[i].high;\r\n }\r\n return h;\r\n}\r\n\r\nfunction lowestLow(history: ReadonlyArray<{ low: number }>, from: number, to: number): number {\r\n let l = Infinity;\r\n for (let i = Math.max(0, from); i <= to; i++) {\r\n if (history[i].low < l) l = history[i].low;\r\n }\r\n return l;\r\n}\r\n","import type { StrategyFn, StrategyContext } from '../types.js';\r\n\r\nexport interface BollingerReversionOptions {\r\n period?: number;\r\n /* Number of standard deviations for the bands. /\r\n stdDev?: number;\r\n size?: number;\r\n tag?: string;\r\n}\r\n\r\n/\r\n Bollinger Band mean-reversion. Goes long when price closes below the lower\r\n * band and re-enters; exits when price re-touches the middle band (SMA).\r\n * Long-only — relies on the backtester's `allowShort: false` semantics to\r\n * happily close longs without throwing.\r\n /\r\nexport function bollingerReversionStrategy(options: BollingerReversionOptions = {}): StrategyFn {\r\n const period = options.period ?? 20;\r\n const stdDev = options.stdDev ?? 2;\r\n const size = options.size ?? 1;\r\n const tag = options.tag ?? 'bollinger-reversion';\r\n\r\n return (ctx: StrategyContext) => {\r\n if (ctx.index < period) return;\r\n\r\n const { mid, lower } = bollinger(ctx.history, ctx.index, period, stdDev);\r\n const close = ctx.bar.close;\r\n\r\n if (!ctx.position && close <= lower) {\r\n ctx.placeOrder({ side: 'long', type: 'market', quantity: size, tag });\r\n } else if (ctx.position?.side === 'long' && close >= mid) {\r\n ctx.close(tag);\r\n }\r\n };\r\n}\r\n\r\nfunction bollinger(\r\n history: ReadonlyArray<{ close: number }>,\r\n endIdx: number,\r\n period: number,\r\n stdDev: number,\r\n): { mid: number; upper: number; lower: number } {\r\n let sum = 0;\r\n for (let i = endIdx - period + 1; i <= endIdx; i++) sum += history[i].close;\r\n const mid = sum / period;\r\n\r\n let varSum = 0;\r\n for (let i = endIdx - period + 1; i <= endIdx; i++) {\r\n const diff = history[i].close - mid;\r\n varSum += diff diff;\r\n }\r\n const sd = Math.sqrt(varSum / period);\r\n return { mid, upper: mid + stdDev * sd, lower: mid - stdDev * sd 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package/dist/index.js.map CHANGED Viewed

	@@ -1 +1 @@
1	- {"version":3,"file":"index.js","names":[],"sources":["../src/commission.ts","../src/slippage.ts","../src/Portfolio.ts","../src/RiskMetrics.ts","../src/Backtester.ts","../src/MonteCarlo.ts","../src/strategies/smaCross.ts","../src/strategies/rsiReversion.ts","../src/strategies/donchianBreakout.ts","../src/strategies/bollingerReversion.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","import type { ClosedTrade } from './types.js';\n\nexport interface MonteCarloOptions {\n /* Number of simulations to run. Default 1000. /\n simulations?: number;\n /* Deterministic seed (mulberry32). Default `Date.now() ^ 0`. /\n seed?: number;\n /* Percentiles to compute on the final-equity distribution. Default [5, 25, 50, 75, 95]. /\n percentiles?: number[];\n}\n\nexport interface MonteCarloEquityBand {\n step: number;\n p5: number;\n p25: number;\n p50: number;\n p75: number;\n p95: number;\n}\n\nexport interface MonteCarloResult {\n simulations: number;\n initialCash: number;\n /* Per-step equity percentiles (length = trades.length + 1). /\n equityBands: MonteCarloEquityBand[];\n /* Final-equity percentiles, keyed by the percentile values requested. /\n finalEquityPercentiles: Record<string, number>;\n /* Probability the final equity is above the initial cash. /\n probabilityProfitable: number;\n /* Worst single-simulation max drawdown (in % of running peak). /\n worstMaxDrawdownPct: number;\n}\n\n/\n Monte Carlo simulation that randomizes the order of realised trades and\n * replays them. This isolates path-dependence: a strategy that depends on\n * lucky sequencing will show a wide P5/P95 band, while a robust edge stays\n * tight. It does NOT bootstrap from per-bar returns — that's a different\n * (and noisier) flavor for a future addition.\n \n Implementation notes:\n * - Each simulation is O(trades.length); total cost ≈ sims × trades.\n * - Equity bands are computed at the trade-resolution timeline (one point\n * per closed trade), so 1000 sims × 100 trades ≈ 100k float ops — fast.\n * - Uses mulberry32 PRNG so results are reproducible with a fixed seed.\n /\nexport function runMonteCarlo(\n initialCash: number,\n trades: ReadonlyArray<ClosedTrade>,\n opts: MonteCarloOptions = {},\n): MonteCarloResult {\n const simulations = opts.simulations ?? 1000;\n const percentiles = (opts.percentiles ?? [5, 25, 50, 75, 95]).slice().sort((a, b) => a - b);\n const rng = mulberry32(opts.seed ?? (Date.now() ^ 0x5a3c));\n\n if (trades.length === 0 \|\| simulations <= 0) {\n return {\n simulations,\n initialCash,\n equityBands: [{ step: 0, p5: initialCash, p25: initialCash, p50: initialCash, p75: initialCash, p95: initialCash }],\n finalEquityPercentiles: Object.fromEntries(percentiles.map(p => [`p${p}`, initialCash])),\n probabilityProfitable: 0,\n worstMaxDrawdownPct: 0,\n };\n }\n\n const pnls = trades.map(t => t.pnl);\n const steps = trades.length + 1; // includes the starting point\n\n // Reuse arrays across simulations — avoid GC pressure for 1000+ runs.\n const shuffled = pnls.slice();\n const finals = new Float64Array(simulations);\n // equityMatrix[i][s] = equity at step s of simulation i. Allocated flat.\n const equityMatrix = new Float64Array(simulations steps);\n let worstDrawdown = 0;\n let profitableCount = 0;\n\n for (let i = 0; i < simulations; i++) {\n fisherYates(shuffled, rng);\n\n let equity = initialCash;\n let peak = initialCash;\n let maxDd = 0;\n const base = i * steps;\n equityMatrix[base] = equity;\n\n for (let s = 0; s < shuffled.length; s++) {\n equity += shuffled[s];\n equityMatrix[base + s + 1] = equity;\n if (equity > peak) peak = equity;\n const dd = peak > 0 ? (peak - equity) / peak : 0;\n if (dd > maxDd) maxDd = dd;\n }\n\n finals[i] = equity;\n if (equity > initialCash) profitableCount++;\n if (maxDd > worstDrawdown) worstDrawdown = maxDd;\n }\n\n // Per-step bands: collect each step's column, sort, pick percentiles.\n const equityBands: MonteCarloEquityBand[] = [];\n const stepColumn = new Float64Array(simulations);\n for (let s = 0; s < steps; s++) {\n for (let i = 0; i < simulations; i++) {\n stepColumn[i] = equityMatrix[i * steps + s];\n }\n // Float64Array supports sort in place, but doesn't accept a comparator —\n // it sorts numerically by default, which is exactly what we want.\n stepColumn.sort();\n equityBands.push({\n step: s,\n p5: percentileFromSorted(stepColumn, 5),\n p25: percentileFromSorted(stepColumn, 25),\n p50: percentileFromSorted(stepColumn, 50),\n p75: percentileFromSorted(stepColumn, 75),\n p95: percentileFromSorted(stepColumn, 95),\n });\n }\n\n // Final-equity percentiles\n const sortedFinals = new Float64Array(finals);\n sortedFinals.sort();\n const finalEquityPercentiles: Record<string, number> = {};\n for (const p of percentiles) {\n finalEquityPercentiles[`p${p}`] = percentileFromSorted(sortedFinals, p);\n }\n\n return {\n simulations,\n initialCash,\n equityBands,\n finalEquityPercentiles,\n probabilityProfitable: profitableCount / simulations,\n worstMaxDrawdownPct: worstDrawdown * 100,\n };\n}\n\nfunction fisherYates(arr: number[], rng: () => number): void {\n for (let i = arr.length - 1; i > 0; i--) {\n const j = Math.floor(rng() * (i + 1));\n const tmp = arr[i];\n arr[i] = arr[j];\n arr[j] = tmp;\n }\n}\n\nfunction percentileFromSorted(sorted: ArrayLike<number>, p: number): number {\n if (sorted.length === 0) return 0;\n if (sorted.length === 1) return sorted[0];\n // Linear interpolation between adjacent ranks — same convention as numpy's\n // default. Index = (p/100) * (n - 1).\n const idx = (p / 100) * (sorted.length - 1);\n const lo = Math.floor(idx);\n const hi = Math.ceil(idx);\n if (lo === hi) return sorted[lo];\n return sorted[lo] * (hi - idx) + sorted[hi] * (idx - lo);\n}\n\n/*\n Mulberry32 — small, fast, well-distributed PRNG. Deterministic given a\n * seed; collisions are negligible for sample sizes below 2^32.\n /\nfunction mulberry32(seed: number): () => number {\n let a = seed >>> 0;\n return () => {\n a = (a + 0x6D2B79F5) >>> 0;\n let t = a;\n t = Math.imul(t ^ (t >>> 15), t \| 1);\n t ^= t + Math.imul(t ^ (t >>> 7), t \| 61);\n return ((t ^ (t >>> 14)) >>> 0) / 4294967296;\n };\n}\n","import type { StrategyFn, StrategyContext } from '../types.js';\n\nexport interface SmaCrossOptions {\n fastPeriod?: number;\n slowPeriod?: number;\n /* Position size (units, not cash). /\n size?: number;\n /* Tag attached to placed orders for reporting. /\n tag?: string;\n}\n\n/\n Classic SMA cross strategy.\n \n Goes long on the bar after the fast SMA crosses above the slow SMA, closes\n * (or reverses, depending on `allowShort`) on the opposite cross. The cross\n * is detected on `ctx.history.length - 1` (i.e. the closing bar that the\n * strategy is reacting to), so the fill happens on the next bar's open —\n * matching the backtester's no-look-ahead semantics.\n /\nexport function smaCrossStrategy(options: SmaCrossOptions = {}): StrategyFn {\n const fastPeriod = options.fastPeriod ?? 10;\n const slowPeriod = options.slowPeriod ?? 30;\n const size = options.size ?? 1;\n const tag = options.tag ?? 'sma-cross';\n\n if (fastPeriod >= slowPeriod) {\n throw new Error('smaCrossStrategy: fastPeriod must be less than slowPeriod');\n }\n\n return (ctx: StrategyContext) => {\n // Need slowPeriod + 1 closes to detect a cross (yesterday vs today SMAs).\n if (ctx.index < slowPeriod) return;\n\n const closes = ctx.history;\n const fastNow = sma(closes, ctx.index, fastPeriod);\n const slowNow = sma(closes, ctx.index, slowPeriod);\n const fastPrev = sma(closes, ctx.index - 1, fastPeriod);\n const slowPrev = sma(closes, ctx.index - 1, slowPeriod);\n\n const crossedUp = fastPrev <= slowPrev && fastNow > slowNow;\n const crossedDown = fastPrev >= slowPrev && fastNow < slowNow;\n\n if (crossedUp) {\n if (ctx.position?.side === 'short') ctx.close(tag);\n if (!ctx.position \|\| ctx.position.side === 'short') {\n ctx.placeOrder({ side: 'long', type: 'market', quantity: size, tag });\n }\n } else if (crossedDown) {\n if (ctx.position?.side === 'long') ctx.close(tag);\n }\n };\n}\n\nfunction sma(history: ReadonlyArray<{ close: number }>, endIdx: number, period: number): number {\n let sum = 0;\n for (let i = endIdx - period + 1; i <= endIdx; i++) {\n sum += history[i].close;\n }\n return sum / period;\n}\n","import type { StrategyFn, StrategyContext } from '../types.js';\n\nexport interface RsiReversionOptions {\n period?: number;\n oversold?: number;\n overbought?: number;\n size?: number;\n tag?: string;\n}\n\n/\n RSI(14) mean-reversion. Goes long when RSI crosses up through `oversold`\n * (default 30); exits when RSI crosses up through `overbought` (default 70).\n * No shorts — pure mean-reversion long-only by default.\n /\nexport function rsiReversionStrategy(options: RsiReversionOptions = {}): StrategyFn {\n const period = options.period ?? 14;\n const oversold = options.oversold ?? 30;\n const overbought = options.overbought ?? 70;\n const size = options.size ?? 1;\n const tag = options.tag ?? 'rsi-reversion';\n\n return (ctx: StrategyContext) => {\n if (ctx.index < period + 1) return;\n const rsiNow = rsi(ctx.history, ctx.index, period);\n const rsiPrev = rsi(ctx.history, ctx.index - 1, period);\n\n const enteringFromOversold = rsiPrev < oversold && rsiNow >= oversold;\n const enteringFromOverbought = rsiPrev < overbought && rsiNow >= overbought;\n\n if (enteringFromOversold && !ctx.position) {\n ctx.placeOrder({ side: 'long', type: 'market', quantity: size, tag });\n } else if (enteringFromOverbought && ctx.position?.side === 'long') {\n ctx.close(tag);\n }\n };\n}\n\nfunction rsi(history: ReadonlyArray<{ close: number }>, endIdx: number, period: number): number {\n let gains = 0;\n let losses = 0;\n for (let i = endIdx - period + 1; i <= endIdx; i++) {\n const change = history[i].close - history[i - 1].close;\n if (change >= 0) gains += change;\n else losses -= change;\n }\n if (losses === 0) return 100;\n const rs = (gains / period) / (losses / period);\n return 100 - 100 / (1 + rs);\n}\n","import type { StrategyFn, StrategyContext } from '../types.js';\n\nexport interface DonchianBreakoutOptions {\n /* Lookback for the entry channel high/low. /\n entryPeriod?: number;\n /* Lookback for the exit channel — usually shorter than entry. /\n exitPeriod?: number;\n size?: number;\n tag?: string;\n}\n\n/\n Donchian channel breakout — classic Turtle-style trend follower.\n \n Long entry: close > highest high of last `entryPeriod` bars (excluding current).\n * Long exit: close < lowest low of last `exitPeriod` bars (excluding current).\n * Mirror on the short side when `allowShort` is enabled by the backtester.\n /\nexport function donchianBreakoutStrategy(options: DonchianBreakoutOptions = {}): StrategyFn {\n const entryPeriod = options.entryPeriod ?? 20;\n const exitPeriod = options.exitPeriod ?? 10;\n const size = options.size ?? 1;\n const tag = options.tag ?? 'donchian-breakout';\n\n return (ctx: StrategyContext) => {\n if (ctx.index < entryPeriod) return;\n\n const close = ctx.bar.close;\n const entryHigh = highestHigh(ctx.history, ctx.index - entryPeriod, ctx.index - 1);\n const entryLow = lowestLow(ctx.history, ctx.index - entryPeriod, ctx.index - 1);\n const exitHigh = highestHigh(ctx.history, ctx.index - exitPeriod, ctx.index - 1);\n const exitLow = lowestLow(ctx.history, ctx.index - exitPeriod, ctx.index - 1);\n\n if (!ctx.position) {\n if (close > entryHigh) {\n ctx.placeOrder({ side: 'long', type: 'market', quantity: size, tag });\n } else if (close < entryLow) {\n ctx.placeOrder({ side: 'short', type: 'market', quantity: size, tag });\n }\n } else if (ctx.position.side === 'long' && close < exitLow) {\n ctx.close(tag);\n } else if (ctx.position.side === 'short' && close > exitHigh) {\n ctx.close(tag);\n }\n };\n}\n\nfunction highestHigh(history: ReadonlyArray<{ high: number }>, from: number, to: number): number {\n let h = -Infinity;\n for (let i = Math.max(0, from); i <= to; i++) {\n if (history[i].high > h) h = history[i].high;\n }\n return h;\n}\n\nfunction lowestLow(history: ReadonlyArray<{ low: number }>, from: number, to: number): number {\n let l = Infinity;\n for (let i = Math.max(0, from); i <= to; i++) {\n if (history[i].low < l) l = history[i].low;\n }\n return l;\n}\n","import type { StrategyFn, StrategyContext } from '../types.js';\n\nexport interface BollingerReversionOptions {\n period?: number;\n /* Number of standard deviations for the bands. /\n stdDev?: number;\n size?: number;\n tag?: string;\n}\n\n/\n Bollinger Band mean-reversion. Goes long when price closes below the lower\n * band and re-enters; exits when price re-touches the middle band (SMA).\n * Long-only — relies on the backtester's `allowShort: false` semantics to\n * happily close longs without throwing.\n /\nexport function bollingerReversionStrategy(options: BollingerReversionOptions = {}): StrategyFn {\n const period = options.period ?? 20;\n const stdDev = options.stdDev ?? 2;\n const size = options.size ?? 1;\n const tag = options.tag ?? 'bollinger-reversion';\n\n return (ctx: StrategyContext) => {\n if (ctx.index < period) return;\n\n const { mid, lower } = bollinger(ctx.history, ctx.index, period, stdDev);\n const close = ctx.bar.close;\n\n if (!ctx.position && close <= lower) {\n ctx.placeOrder({ side: 'long', type: 'market', quantity: size, tag });\n } else if (ctx.position?.side === 'long' && close >= mid) {\n ctx.close(tag);\n }\n };\n}\n\nfunction bollinger(\n history: ReadonlyArray<{ close: number }>,\n endIdx: number,\n period: number,\n stdDev: number,\n): { mid: number; upper: number; lower: number } {\n let sum = 0;\n for (let i = endIdx - period + 1; i <= endIdx; i++) sum += history[i].close;\n const mid = sum / period;\n\n let varSum = 0;\n for (let i = endIdx - period + 1; i <= endIdx; i++) {\n const diff = history[i].close - mid;\n varSum += diff diff;\n }\n const sd = Math.sqrt(varSum / period);\n return { mid, upper: mid + stdDev * sd, lower: mid - stdDev * sd 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1	+ {"version":3,"file":"index.js","names":[],"sources":["../src/commission.ts","../src/slippage.ts","../src/Portfolio.ts","../src/RiskMetrics.ts","../src/Backtester.ts","../src/MonteCarlo.ts","../src/strategies/smaCross.ts","../src/strategies/rsiReversion.ts","../src/strategies/donchianBreakout.ts","../src/strategies/bollingerReversion.ts"],"sourcesContent":["import type { CommissionModel } from './types.js';\r\n\r\nexport class FixedCommission implements CommissionModel {\r\n constructor(private readonly perTrade: number) {}\r\n\r\n calculate(): number {\r\n return this.perTrade;\r\n }\r\n}\r\n\r\nexport class PercentCommission implements CommissionModel {\r\n /** rate = 0.001 → 10 bps per trade notional. /\r\n constructor(private readonly rate: number) {}\r\n\r\n calculate(quantity: number, price: number): number {\r\n return Math.abs(quantity) price * this.rate;\r\n }\r\n}\r\n\r\nexport class PerShareCommission implements CommissionModel {\r\n /** Minimum total commission per trade (optional). /\r\n constructor(\r\n private readonly perShare: number,\r\n private readonly minimum = 0,\r\n ) {}\r\n\r\n calculate(quantity: number): number {\r\n return Math.max(this.minimum, Math.abs(quantity) this.perShare);\r\n }\r\n}\r\n\r\nexport const ZERO_COMMISSION: CommissionModel = {\r\n calculate: () => 0,\r\n};\r\n","import type { OHLCBar } from '@tradecanvas/commons';\r\nimport type { Side, SlippageModel } from './types.js';\r\n\r\nexport const NO_SLIPPAGE: SlippageModel = {\r\n apply: (price) => price,\r\n};\r\n\r\nexport class PercentSlippage implements SlippageModel {\r\n /** rate = 0.0005 → 5bps adverse /\r\n constructor(private readonly rate: number) {}\r\n\r\n apply(intendedPrice: number, side: Side): number {\r\n const adverse = side === 'long' ? 1 + this.rate : 1 - this.rate;\r\n return intendedPrice adverse;\r\n }\r\n}\r\n\r\nexport class RangeBasedSlippage implements SlippageModel {\r\n /** factor = 0.1 → 10% of the bar's range pushes against the order /\r\n constructor(private readonly factor: number) {}\r\n\r\n apply(intendedPrice: number, side: Side, bar: OHLCBar): number {\r\n const range = bar.high - bar.low;\r\n const push = range this.factor;\r\n return side === 'long' ? intendedPrice + push : intendedPrice - push;\r\n }\r\n}\r\n","import type {\r\n ClosedTrade,\r\n EquityPoint,\r\n Fill,\r\n PortfolioPosition,\r\n Side,\r\n} from './types.js';\r\n\r\nexport interface PortfolioOptions {\r\n initialCash: number;\r\n}\r\n\r\n/*\r\n Tracks cash, a single net position, realized PnL, and the equity curve.\r\n \r\n Simplifying assumptions:\r\n * - One symbol at a time. Opposing fills net against the existing position.\r\n * - Realized PnL is computed when a fill reduces or flips the position.\r\n * - Equity = cash + position market value (mark-to-market).\r\n /\r\nexport class Portfolio {\r\n private cash: number;\r\n private readonly initialCash: number;\r\n private position: PortfolioPosition \| null = null;\r\n private readonly fills: Fill[] = [];\r\n private readonly trades: ClosedTrade[] = [];\r\n private readonly equityCurve: EquityPoint[] = [];\r\n private realizedPnl = 0;\r\n\r\n constructor(opts: PortfolioOptions) {\r\n if (opts.initialCash <= 0) throw new Error('initialCash must be > 0');\r\n this.cash = opts.initialCash;\r\n this.initialCash = opts.initialCash;\r\n }\r\n\r\n getCash(): number {\r\n return this.cash;\r\n }\r\n\r\n getPosition(): Readonly<PortfolioPosition> \| null {\r\n return this.position;\r\n }\r\n\r\n getFills(): ReadonlyArray<Fill> {\r\n return this.fills;\r\n }\r\n\r\n getTrades(): ReadonlyArray<ClosedTrade> {\r\n return this.trades;\r\n }\r\n\r\n getEquityCurve(): ReadonlyArray<EquityPoint> {\r\n return this.equityCurve;\r\n }\r\n\r\n getInitialCash(): number {\r\n return this.initialCash;\r\n }\r\n\r\n getRealizedPnl(): number {\r\n return this.realizedPnl;\r\n }\r\n\r\n unrealizedPnl(price: number): number {\r\n if (!this.position) return 0;\r\n const dir = this.position.side === 'long' ? 1 : -1;\r\n return (price - this.position.averagePrice) this.position.quantity * dir;\r\n }\r\n\r\n equity(price: number): number {\r\n return this.cash + this.positionValue(price);\r\n }\r\n\r\n positionValue(price: number): number {\r\n if (!this.position) return 0;\r\n const dir = this.position.side === 'long' ? 1 : -1;\r\n return this.position.quantity * price * dir;\r\n }\r\n\r\n /** Apply a fill: cash flow + position update + realized PnL. /\r\n applyFill(fill: Fill): void {\r\n this.fills.push(fill);\r\n\r\n const signed = fill.side === 'long' ? fill.quantity : -fill.quantity;\r\n this.cash -= signed fill.price;\r\n this.cash -= fill.commission;\r\n\r\n if (!this.position) {\r\n this.position = {\r\n side: fill.side,\r\n quantity: fill.quantity,\r\n averagePrice: fill.price,\r\n openedAt: fill.time,\r\n tag: fill.tag,\r\n };\r\n return;\r\n }\r\n\r\n if (this.position.side === fill.side) {\r\n // Same direction: average up\r\n const totalQty = this.position.quantity + fill.quantity;\r\n this.position = {\r\n ...this.position,\r\n quantity: totalQty,\r\n averagePrice:\r\n (this.position.averagePrice * this.position.quantity +\r\n fill.price * fill.quantity) /\r\n totalQty,\r\n };\r\n return;\r\n }\r\n\r\n // Opposite direction: close or flip\r\n const closing = Math.min(this.position.quantity, fill.quantity);\r\n const dir = this.position.side === 'long' ? 1 : -1;\r\n const pnl = (fill.price - this.position.averagePrice) * closing * dir;\r\n\r\n this.realizedPnl += pnl;\r\n this.trades.push({\r\n entryTime: this.position.openedAt,\r\n exitTime: fill.time,\r\n side: this.position.side,\r\n quantity: closing,\r\n entryPrice: this.position.averagePrice,\r\n exitPrice: fill.price,\r\n pnl,\r\n pnlPct: (fill.price / this.position.averagePrice - 1) * dir,\r\n commission: fill.commission,\r\n tag: fill.tag ?? this.position.tag,\r\n });\r\n\r\n const remaining = this.position.quantity - fill.quantity;\r\n if (remaining > 0) {\r\n this.position = { ...this.position, quantity: remaining };\r\n } else if (remaining < 0) {\r\n this.position = {\r\n side: fill.side,\r\n quantity: -remaining,\r\n averagePrice: fill.price,\r\n openedAt: fill.time,\r\n tag: fill.tag,\r\n };\r\n } else {\r\n this.position = null;\r\n }\r\n }\r\n\r\n /** Snapshot equity at the current bar close. /\r\n mark(time: number, price: number): void {\r\n const positionValue = this.positionValue(price);\r\n const unrealizedPnl = this.unrealizedPnl(price);\r\n this.equityCurve.push({\r\n time,\r\n equity: this.cash + positionValue,\r\n cash: this.cash,\r\n positionValue,\r\n unrealizedPnl,\r\n realizedPnl: this.realizedPnl,\r\n });\r\n }\r\n\r\n reverseSide(side: Side): Side {\r\n return side === 'long' ? 'short' : 'long';\r\n }\r\n}\r\n","import type {\r\n ClosedTrade,\r\n EquityPoint,\r\n RiskMetrics,\r\n} from './types.js';\r\n\r\nconst MS_PER_YEAR = 365 24 * 60 * 60 * 1000;\r\n\r\nexport interface RiskMetricsOptions {\r\n /** Periods per year for Sharpe/Sortino annualization. Auto-detected from equity timestamps if omitted. /\r\n periodsPerYear?: number;\r\n /* Annual risk-free rate, default 0. /\r\n riskFreeRate?: number;\r\n}\r\n\r\n/\r\n Compute summary risk and return metrics from an equity curve and closed trades.\r\n \r\n Returns NaN/0 fallbacks for degenerate inputs (empty curve, single point, no losses)\r\n * so downstream UIs can render safely.\r\n /\r\nexport function computeRiskMetrics(\r\n initialCash: number,\r\n equityCurve: ReadonlyArray<EquityPoint>,\r\n trades: ReadonlyArray<ClosedTrade>,\r\n opts: RiskMetricsOptions = {},\r\n): RiskMetrics {\r\n if (equityCurve.length < 2) {\r\n return emptyMetrics(initialCash, equityCurve, trades);\r\n }\r\n\r\n const finalEquity = equityCurve[equityCurve.length - 1].equity;\r\n const totalReturn = finalEquity - initialCash;\r\n const totalReturnPct = totalReturn / initialCash;\r\n\r\n const periodsPerYear =\r\n opts.periodsPerYear ?? inferPeriodsPerYear(equityCurve);\r\n const riskFreeRate = opts.riskFreeRate ?? 0;\r\n const periodRiskFree = riskFreeRate / periodsPerYear;\r\n\r\n const returns = periodReturns(equityCurve);\r\n const meanReturn = mean(returns);\r\n const stdDev = standardDeviation(returns, meanReturn);\r\n const downsideDev = downsideDeviation(returns, periodRiskFree);\r\n\r\n const sharpe = stdDev === 0\r\n ? 0\r\n : ((meanReturn - periodRiskFree) / stdDev) Math.sqrt(periodsPerYear);\r\n const sortino = downsideDev === 0\r\n ? 0\r\n : ((meanReturn - periodRiskFree) / downsideDev) * Math.sqrt(periodsPerYear);\r\n\r\n const elapsedMs =\r\n equityCurve[equityCurve.length - 1].time - equityCurve[0].time;\r\n const years = elapsedMs > 0 ? elapsedMs / MS_PER_YEAR : 0;\r\n const cagr = years > 0\r\n ? Math.pow(finalEquity / initialCash, 1 / years) - 1\r\n : 0;\r\n\r\n const { maxDrawdown, maxDrawdownPct } = computeDrawdown(equityCurve);\r\n const calmar = maxDrawdownPct > 0 ? cagr / maxDrawdownPct : 0;\r\n\r\n const tradeStats = summarizeTrades(trades);\r\n\r\n return {\r\n totalReturn,\r\n totalReturnPct,\r\n cagr,\r\n sharpe,\r\n sortino,\r\n calmar,\r\n maxDrawdown,\r\n maxDrawdownPct,\r\n ...tradeStats,\r\n };\r\n}\r\n\r\nfunction emptyMetrics(\r\n initialCash: number,\r\n equityCurve: ReadonlyArray<EquityPoint>,\r\n trades: ReadonlyArray<ClosedTrade>,\r\n): RiskMetrics {\r\n const finalEquity = equityCurve.length > 0\r\n ? equityCurve[equityCurve.length - 1].equity\r\n : initialCash;\r\n return {\r\n totalReturn: finalEquity - initialCash,\r\n totalReturnPct: (finalEquity - initialCash) / initialCash,\r\n cagr: 0,\r\n sharpe: 0,\r\n sortino: 0,\r\n calmar: 0,\r\n maxDrawdown: 0,\r\n maxDrawdownPct: 0,\r\n ...summarizeTrades(trades),\r\n };\r\n}\r\n\r\nfunction periodReturns(curve: ReadonlyArray<EquityPoint>): number[] {\r\n const result: number[] = [];\r\n for (let i = 1; i < curve.length; i++) {\r\n const prev = curve[i - 1].equity;\r\n if (prev <= 0) {\r\n result.push(0);\r\n continue;\r\n }\r\n result.push(curve[i].equity / prev - 1);\r\n }\r\n return result;\r\n}\r\n\r\nfunction mean(values: number[]): number {\r\n if (values.length === 0) return 0;\r\n let sum = 0;\r\n for (const v of values) sum += v;\r\n return sum / values.length;\r\n}\r\n\r\nfunction standardDeviation(values: number[], avg: number): number {\r\n if (values.length < 2) return 0;\r\n let acc = 0;\r\n for (const v of values) acc += (v - avg) 2;\r\n return Math.sqrt(acc / (values.length - 1));\r\n}\r\n\r\nfunction downsideDeviation(values: number[], target: number): number {\r\n if (values.length < 2) return 0;\r\n let acc = 0;\r\n let count = 0;\r\n for (const v of values) {\r\n const diff = v - target;\r\n if (diff < 0) {\r\n acc += diff 2;\r\n count++;\r\n }\r\n }\r\n if (count === 0) return 0;\r\n return Math.sqrt(acc / count);\r\n}\r\n\r\nfunction computeDrawdown(curve: ReadonlyArray<EquityPoint>): {\r\n maxDrawdown: number;\r\n maxDrawdownPct: number;\r\n} {\r\n let peak = curve[0].equity;\r\n let maxDd = 0;\r\n let maxDdPct = 0;\r\n for (const point of curve) {\r\n if (point.equity > peak) peak = point.equity;\r\n const dd = peak - point.equity;\r\n if (dd > maxDd) {\r\n maxDd = dd;\r\n maxDdPct = peak > 0 ? dd / peak : 0;\r\n }\r\n }\r\n return { maxDrawdown: maxDd, maxDrawdownPct: maxDdPct };\r\n}\r\n\r\nfunction summarizeTrades(trades: ReadonlyArray<ClosedTrade>): {\r\n winRate: number;\r\n profitFactor: number;\r\n expectancy: number;\r\n averageWin: number;\r\n averageLoss: number;\r\n trades: number;\r\n} {\r\n if (trades.length === 0) {\r\n return {\r\n winRate: 0,\r\n profitFactor: 0,\r\n expectancy: 0,\r\n averageWin: 0,\r\n averageLoss: 0,\r\n trades: 0,\r\n };\r\n }\r\n\r\n let wins = 0;\r\n let losses = 0;\r\n let totalWin = 0;\r\n let totalLoss = 0;\r\n for (const t of trades) {\r\n if (t.pnl > 0) {\r\n wins++;\r\n totalWin += t.pnl;\r\n } else if (t.pnl < 0) {\r\n losses++;\r\n totalLoss += -t.pnl;\r\n }\r\n }\r\n\r\n const winRate = wins / trades.length;\r\n const averageWin = wins > 0 ? totalWin / wins : 0;\r\n const averageLoss = losses > 0 ? totalLoss / losses : 0;\r\n const profitFactor = totalLoss > 0 ? totalWin / totalLoss : totalWin > 0 ? Infinity : 0;\r\n const expectancy = winRate * averageWin - (1 - winRate) * averageLoss;\r\n\r\n return {\r\n winRate,\r\n profitFactor,\r\n expectancy,\r\n averageWin,\r\n averageLoss,\r\n trades: trades.length,\r\n };\r\n}\r\n\r\nfunction inferPeriodsPerYear(curve: ReadonlyArray<EquityPoint>): number {\r\n if (curve.length < 2) return 252;\r\n const deltas: number[] = [];\r\n for (let i = 1; i < curve.length && i < 50; i++) {\r\n deltas.push(curve[i].time - curve[i - 1].time);\r\n }\r\n const avgMs = mean(deltas);\r\n if (avgMs <= 0) return 252;\r\n const perYear = MS_PER_YEAR / avgMs;\r\n // Snap to common cadences for stability\r\n if (perYear > 200_000) return 365 * 24 * 60; // 1m\r\n if (perYear > 50_000) return 365 * 24 * 4; // 15m\r\n if (perYear > 5_000) return 365 * 24; // hourly\r\n if (perYear > 200) return 252; // daily trading\r\n if (perYear > 40) return 52; // weekly\r\n return 12; // monthly fallback\r\n}\r\n","import type { OHLCBar, DataSeries } from '@tradecanvas/commons';\r\nimport { ZERO_COMMISSION } from './commission.js';\r\nimport { NO_SLIPPAGE } from './slippage.js';\r\nimport { Portfolio } from './Portfolio.js';\r\nimport { computeRiskMetrics } from './RiskMetrics.js';\r\nimport type {\r\n BacktestOptions,\r\n BacktestOrder,\r\n BacktestResult,\r\n CommissionModel,\r\n Fill,\r\n OrderStatus,\r\n Side,\r\n SlippageModel,\r\n StrategyContext,\r\n StrategyFn,\r\n} from './types.js';\r\n\r\ninterface PendingOrder extends BacktestOrder {\r\n status: OrderStatus;\r\n placedAt: number;\r\n}\r\n\r\n/*\r\n Bar-by-bar backtest engine.\r\n \r\n Execution model:\r\n * - Strategy fn runs at close of each bar\r\n * - Orders placed on bar N fill on bar N+1's open (market) or when\r\n * bar N+1 trades through the limit/stop price\r\n * - Equity is marked to close of every bar\r\n \r\n The engine is intentionally headless — no chart dependency — and produces\r\n * a result that can be visualised via @tradecanvas/chart's EquityCurveRenderer\r\n * or rendered into a report. See README for wiring examples.\r\n /\r\nexport class Backtester {\r\n private readonly commission: CommissionModel;\r\n private readonly slippage: SlippageModel;\r\n private readonly allowShort: boolean;\r\n private readonly portfolio: Portfolio;\r\n private pendingOrders: PendingOrder[] = [];\r\n private orderSeq = 0;\r\n\r\n constructor(opts: BacktestOptions) {\r\n this.commission = opts.commission ?? ZERO_COMMISSION;\r\n this.slippage = opts.slippage ?? NO_SLIPPAGE;\r\n this.allowShort = opts.allowShort ?? true;\r\n this.portfolio = new Portfolio({ initialCash: opts.initialCash });\r\n }\r\n\r\n run(data: DataSeries, strategy: StrategyFn): BacktestResult {\r\n if (data.length < 2) {\r\n throw new Error('Backtester requires at least 2 bars');\r\n }\r\n\r\n for (let i = 0; i < data.length; i++) {\r\n const bar = data[i];\r\n\r\n // 1. Fill any pending orders against this bar\r\n this.fillPendingOrders(bar);\r\n\r\n // 2. Mark-to-market after fills resolve\r\n this.portfolio.mark(bar.time, bar.close);\r\n\r\n // 3. Run strategy for the next bar (if there is one)\r\n if (i < data.length - 1) {\r\n const ctx = this.makeContext(bar, i, data.slice(0, i + 1));\r\n strategy(ctx);\r\n }\r\n }\r\n\r\n // Cancel anything left pending\r\n for (const order of this.pendingOrders) {\r\n if (order.status === 'pending') order.status = 'cancelled';\r\n }\r\n\r\n const equityCurve = this.portfolio.getEquityCurve();\r\n const initialCash = this.portfolio.getInitialCash();\r\n const trades = this.portfolio.getTrades();\r\n const finalEquity = equityCurve.length > 0\r\n ? equityCurve[equityCurve.length - 1].equity\r\n : initialCash;\r\n\r\n return {\r\n fills: this.portfolio.getFills(),\r\n trades,\r\n equityCurve,\r\n initialCash,\r\n finalEquity,\r\n metrics: computeRiskMetrics(initialCash, equityCurve, trades),\r\n };\r\n }\r\n\r\n private fillPendingOrders(bar: OHLCBar): void {\r\n for (const order of this.pendingOrders) {\r\n if (order.status !== 'pending') continue;\r\n const fillPrice = this.resolveFillPrice(order, bar);\r\n if (fillPrice === null) {\r\n if (order.timeInForce === 'day' \|\| order.timeInForce === 'ioc') {\r\n order.status = 'cancelled';\r\n }\r\n continue;\r\n }\r\n const adjustedPrice = this.slippage.apply(fillPrice, order.side, bar);\r\n const commission = this.commission.calculate(order.quantity, adjustedPrice);\r\n const fill: Fill = {\r\n orderId: order.id,\r\n time: bar.time,\r\n price: adjustedPrice,\r\n quantity: order.quantity,\r\n side: order.side,\r\n commission,\r\n slippage: Math.abs(adjustedPrice - fillPrice),\r\n tag: order.tag,\r\n };\r\n this.portfolio.applyFill(fill);\r\n order.status = 'filled';\r\n }\r\n this.pendingOrders = this.pendingOrders.filter(\r\n (o) => o.status === 'pending',\r\n );\r\n }\r\n\r\n private resolveFillPrice(order: PendingOrder, bar: OHLCBar): number \| null {\r\n switch (order.type) {\r\n case 'market':\r\n return bar.open;\r\n case 'limit':\r\n if (order.price === undefined) return null;\r\n if (order.side === 'long' && bar.low <= order.price) {\r\n return Math.min(order.price, bar.open);\r\n }\r\n if (order.side === 'short' && bar.high >= order.price) {\r\n return Math.max(order.price, bar.open);\r\n }\r\n return null;\r\n case 'stop':\r\n if (order.price === undefined) return null;\r\n if (order.side === 'long' && bar.high >= order.price) {\r\n return Math.max(order.price, bar.open);\r\n }\r\n if (order.side === 'short' && bar.low <= order.price) {\r\n return Math.min(order.price, bar.open);\r\n }\r\n return null;\r\n }\r\n }\r\n\r\n private makeContext(\r\n bar: OHLCBar,\r\n index: number,\r\n history: ReadonlyArray<OHLCBar>,\r\n ): StrategyContext {\r\n const portfolio = this.portfolio;\r\n return {\r\n bar,\r\n index,\r\n history,\r\n position: portfolio.getPosition(),\r\n cash: portfolio.getCash(),\r\n equity: portfolio.equity(bar.close),\r\n placeOrder: (order) => this.placeOrder(order, bar.time),\r\n close: (tag) => this.closePosition(bar.time, tag),\r\n cancel: (orderId) => this.cancelOrder(orderId),\r\n };\r\n }\r\n\r\n private placeOrder(\r\n raw: Omit<BacktestOrder, 'id'> & { id?: string },\r\n placedAt: number,\r\n ): string {\r\n if (raw.quantity <= 0) {\r\n throw new Error('order quantity must be > 0');\r\n }\r\n if (!this.allowShort && raw.side === 'short') {\r\n // `allowShort: false` means \"don't go net short\". A sell that only\r\n // closes (or reduces) an existing long position is not shorting.\r\n const pos = this.portfolio.getPosition();\r\n const closesExistingLong =\r\n pos !== null && pos.side === 'long' && raw.quantity <= pos.quantity;\r\n if (!closesExistingLong) {\r\n throw new Error('shorting is disabled');\r\n }\r\n }\r\n const id = raw.id ?? `o-${++this.orderSeq}`;\r\n this.pendingOrders.push({\r\n id,\r\n side: raw.side,\r\n type: raw.type,\r\n quantity: raw.quantity,\r\n price: raw.price,\r\n tag: raw.tag,\r\n timeInForce: raw.timeInForce ?? 'gtc',\r\n status: 'pending',\r\n placedAt,\r\n });\r\n return id;\r\n }\r\n\r\n private closePosition(placedAt: number, tag?: string): string \| null {\r\n const pos = this.portfolio.getPosition();\r\n if (!pos) return null;\r\n const closeSide: Side = pos.side === 'long' ? 'short' : 'long';\r\n return this.placeOrder(\r\n { side: closeSide, type: 'market', quantity: pos.quantity, tag },\r\n placedAt,\r\n );\r\n }\r\n\r\n private cancelOrder(orderId: string): boolean {\r\n const order = this.pendingOrders.find((o) => o.id === orderId);\r\n if (!order \|\| order.status !== 'pending') return false;\r\n order.status = 'cancelled';\r\n return true;\r\n }\r\n}\r\n","import type { ClosedTrade } from './types.js';\r\n\r\nexport interface MonteCarloOptions {\r\n /* Number of simulations to run. Default 1000. /\r\n simulations?: number;\r\n /* Deterministic seed (mulberry32). Default `Date.now() ^ 0`. /\r\n seed?: number;\r\n /* Percentiles to compute on the final-equity distribution. Default [5, 25, 50, 75, 95]. /\r\n percentiles?: number[];\r\n}\r\n\r\nexport interface MonteCarloEquityBand {\r\n step: number;\r\n p5: number;\r\n p25: number;\r\n p50: number;\r\n p75: number;\r\n p95: number;\r\n}\r\n\r\nexport interface MonteCarloResult {\r\n simulations: number;\r\n initialCash: number;\r\n /* Per-step equity percentiles (length = trades.length + 1). /\r\n equityBands: MonteCarloEquityBand[];\r\n /* Final-equity percentiles, keyed by the percentile values requested. /\r\n finalEquityPercentiles: Record<string, number>;\r\n /* Probability the final equity is above the initial cash. /\r\n probabilityProfitable: number;\r\n /* Worst single-simulation max drawdown (in % of running peak). /\r\n worstMaxDrawdownPct: number;\r\n}\r\n\r\n/\r\n Monte Carlo simulation that randomizes the order of realised trades and\r\n * replays them. This isolates path-dependence: a strategy that depends on\r\n * lucky sequencing will show a wide P5/P95 band, while a robust edge stays\r\n * tight. It does NOT bootstrap from per-bar returns — that's a different\r\n * (and noisier) flavor for a future addition.\r\n \r\n Implementation notes:\r\n * - Each simulation is O(trades.length); total cost ≈ sims × trades.\r\n * - Equity bands are computed at the trade-resolution timeline (one point\r\n * per closed trade), so 1000 sims × 100 trades ≈ 100k float ops — fast.\r\n * - Uses mulberry32 PRNG so results are reproducible with a fixed seed.\r\n /\r\nexport function runMonteCarlo(\r\n initialCash: number,\r\n trades: ReadonlyArray<ClosedTrade>,\r\n opts: MonteCarloOptions = {},\r\n): MonteCarloResult {\r\n const simulations = opts.simulations ?? 1000;\r\n const percentiles = (opts.percentiles ?? [5, 25, 50, 75, 95]).slice().sort((a, b) => a - b);\r\n const rng = mulberry32(opts.seed ?? (Date.now() ^ 0x5a3c));\r\n\r\n if (trades.length === 0 \|\| simulations <= 0) {\r\n return {\r\n simulations,\r\n initialCash,\r\n equityBands: [{ step: 0, p5: initialCash, p25: initialCash, p50: initialCash, p75: initialCash, p95: initialCash }],\r\n finalEquityPercentiles: Object.fromEntries(percentiles.map(p => [`p${p}`, initialCash])),\r\n probabilityProfitable: 0,\r\n worstMaxDrawdownPct: 0,\r\n };\r\n }\r\n\r\n const pnls = trades.map(t => t.pnl);\r\n const steps = trades.length + 1; // includes the starting point\r\n\r\n // Reuse arrays across simulations — avoid GC pressure for 1000+ runs.\r\n const shuffled = pnls.slice();\r\n const finals = new Float64Array(simulations);\r\n // equityMatrix[i][s] = equity at step s of simulation i. Allocated flat.\r\n const equityMatrix = new Float64Array(simulations steps);\r\n let worstDrawdown = 0;\r\n let profitableCount = 0;\r\n\r\n for (let i = 0; i < simulations; i++) {\r\n fisherYates(shuffled, rng);\r\n\r\n let equity = initialCash;\r\n let peak = initialCash;\r\n let maxDd = 0;\r\n const base = i * steps;\r\n equityMatrix[base] = equity;\r\n\r\n for (let s = 0; s < shuffled.length; s++) {\r\n equity += shuffled[s];\r\n equityMatrix[base + s + 1] = equity;\r\n if (equity > peak) peak = equity;\r\n const dd = peak > 0 ? (peak - equity) / peak : 0;\r\n if (dd > maxDd) maxDd = dd;\r\n }\r\n\r\n finals[i] = equity;\r\n if (equity > initialCash) profitableCount++;\r\n if (maxDd > worstDrawdown) worstDrawdown = maxDd;\r\n }\r\n\r\n // Per-step bands: collect each step's column, sort, pick percentiles.\r\n const equityBands: MonteCarloEquityBand[] = [];\r\n const stepColumn = new Float64Array(simulations);\r\n for (let s = 0; s < steps; s++) {\r\n for (let i = 0; i < simulations; i++) {\r\n stepColumn[i] = equityMatrix[i * steps + s];\r\n }\r\n // Float64Array supports sort in place, but doesn't accept a comparator —\r\n // it sorts numerically by default, which is exactly what we want.\r\n stepColumn.sort();\r\n equityBands.push({\r\n step: s,\r\n p5: percentileFromSorted(stepColumn, 5),\r\n p25: percentileFromSorted(stepColumn, 25),\r\n p50: percentileFromSorted(stepColumn, 50),\r\n p75: percentileFromSorted(stepColumn, 75),\r\n p95: percentileFromSorted(stepColumn, 95),\r\n });\r\n }\r\n\r\n // Final-equity percentiles\r\n const sortedFinals = new Float64Array(finals);\r\n sortedFinals.sort();\r\n const finalEquityPercentiles: Record<string, number> = {};\r\n for (const p of percentiles) {\r\n finalEquityPercentiles[`p${p}`] = percentileFromSorted(sortedFinals, p);\r\n }\r\n\r\n return {\r\n simulations,\r\n initialCash,\r\n equityBands,\r\n finalEquityPercentiles,\r\n probabilityProfitable: profitableCount / simulations,\r\n worstMaxDrawdownPct: worstDrawdown * 100,\r\n };\r\n}\r\n\r\nfunction fisherYates(arr: number[], rng: () => number): void {\r\n for (let i = arr.length - 1; i > 0; i--) {\r\n const j = Math.floor(rng() * (i + 1));\r\n const tmp = arr[i];\r\n arr[i] = arr[j];\r\n arr[j] = tmp;\r\n }\r\n}\r\n\r\nfunction percentileFromSorted(sorted: ArrayLike<number>, p: number): number {\r\n if (sorted.length === 0) return 0;\r\n if (sorted.length === 1) return sorted[0];\r\n // Linear interpolation between adjacent ranks — same convention as numpy's\r\n // default. Index = (p/100) * (n - 1).\r\n const idx = (p / 100) * (sorted.length - 1);\r\n const lo = Math.floor(idx);\r\n const hi = Math.ceil(idx);\r\n if (lo === hi) return sorted[lo];\r\n return sorted[lo] * (hi - idx) + sorted[hi] * (idx - lo);\r\n}\r\n\r\n/*\r\n Mulberry32 — small, fast, well-distributed PRNG. Deterministic given a\r\n * seed; collisions are negligible for sample sizes below 2^32.\r\n /\r\nfunction mulberry32(seed: number): () => number {\r\n let a = seed >>> 0;\r\n return () => {\r\n a = (a + 0x6D2B79F5) >>> 0;\r\n let t = a;\r\n t = Math.imul(t ^ (t >>> 15), t \| 1);\r\n t ^= t + Math.imul(t ^ (t >>> 7), t \| 61);\r\n return ((t ^ (t >>> 14)) >>> 0) / 4294967296;\r\n };\r\n}\r\n","import type { StrategyFn, StrategyContext } from '../types.js';\r\n\r\nexport interface SmaCrossOptions {\r\n fastPeriod?: number;\r\n slowPeriod?: number;\r\n /* Position size (units, not cash). /\r\n size?: number;\r\n /* Tag attached to placed orders for reporting. /\r\n tag?: string;\r\n}\r\n\r\n/\r\n Classic SMA cross strategy.\r\n \r\n Goes long on the bar after the fast SMA crosses above the slow SMA, closes\r\n * (or reverses, depending on `allowShort`) on the opposite cross. The cross\r\n * is detected on `ctx.history.length - 1` (i.e. the closing bar that the\r\n * strategy is reacting to), so the fill happens on the next bar's open —\r\n * matching the backtester's no-look-ahead semantics.\r\n /\r\nexport function smaCrossStrategy(options: SmaCrossOptions = {}): StrategyFn {\r\n const fastPeriod = options.fastPeriod ?? 10;\r\n const slowPeriod = options.slowPeriod ?? 30;\r\n const size = options.size ?? 1;\r\n const tag = options.tag ?? 'sma-cross';\r\n\r\n if (fastPeriod >= slowPeriod) {\r\n throw new Error('smaCrossStrategy: fastPeriod must be less than slowPeriod');\r\n }\r\n\r\n return (ctx: StrategyContext) => {\r\n // Need slowPeriod + 1 closes to detect a cross (yesterday vs today SMAs).\r\n if (ctx.index < slowPeriod) return;\r\n\r\n const closes = ctx.history;\r\n const fastNow = sma(closes, ctx.index, fastPeriod);\r\n const slowNow = sma(closes, ctx.index, slowPeriod);\r\n const fastPrev = sma(closes, ctx.index - 1, fastPeriod);\r\n const slowPrev = sma(closes, ctx.index - 1, slowPeriod);\r\n\r\n const crossedUp = fastPrev <= slowPrev && fastNow > slowNow;\r\n const crossedDown = fastPrev >= slowPrev && fastNow < slowNow;\r\n\r\n if (crossedUp) {\r\n if (ctx.position?.side === 'short') ctx.close(tag);\r\n if (!ctx.position \|\| ctx.position.side === 'short') {\r\n ctx.placeOrder({ side: 'long', type: 'market', quantity: size, tag });\r\n }\r\n } else if (crossedDown) {\r\n if (ctx.position?.side === 'long') ctx.close(tag);\r\n }\r\n };\r\n}\r\n\r\nfunction sma(history: ReadonlyArray<{ close: number }>, endIdx: number, period: number): number {\r\n let sum = 0;\r\n for (let i = endIdx - period + 1; i <= endIdx; i++) {\r\n sum += history[i].close;\r\n }\r\n return sum / period;\r\n}\r\n","import type { StrategyFn, StrategyContext } from '../types.js';\r\n\r\nexport interface RsiReversionOptions {\r\n period?: number;\r\n oversold?: number;\r\n overbought?: number;\r\n size?: number;\r\n tag?: string;\r\n}\r\n\r\n/\r\n RSI(14) mean-reversion. Goes long when RSI crosses up through `oversold`\r\n * (default 30); exits when RSI crosses up through `overbought` (default 70).\r\n * No shorts — pure mean-reversion long-only by default.\r\n /\r\nexport function rsiReversionStrategy(options: RsiReversionOptions = {}): StrategyFn {\r\n const period = options.period ?? 14;\r\n const oversold = options.oversold ?? 30;\r\n const overbought = options.overbought ?? 70;\r\n const size = options.size ?? 1;\r\n const tag = options.tag ?? 'rsi-reversion';\r\n\r\n return (ctx: StrategyContext) => {\r\n if (ctx.index < period + 1) return;\r\n const rsiNow = rsi(ctx.history, ctx.index, period);\r\n const rsiPrev = rsi(ctx.history, ctx.index - 1, period);\r\n\r\n const enteringFromOversold = rsiPrev < oversold && rsiNow >= oversold;\r\n const enteringFromOverbought = rsiPrev < overbought && rsiNow >= overbought;\r\n\r\n if (enteringFromOversold && !ctx.position) {\r\n ctx.placeOrder({ side: 'long', type: 'market', quantity: size, tag });\r\n } else if (enteringFromOverbought && ctx.position?.side === 'long') {\r\n ctx.close(tag);\r\n }\r\n };\r\n}\r\n\r\nfunction rsi(history: ReadonlyArray<{ close: number }>, endIdx: number, period: number): number {\r\n let gains = 0;\r\n let losses = 0;\r\n for (let i = endIdx - period + 1; i <= endIdx; i++) {\r\n const change = history[i].close - history[i - 1].close;\r\n if (change >= 0) gains += change;\r\n else losses -= change;\r\n }\r\n if (losses === 0) return 100;\r\n const rs = (gains / period) / (losses / period);\r\n return 100 - 100 / (1 + rs);\r\n}\r\n","import type { StrategyFn, StrategyContext } from '../types.js';\r\n\r\nexport interface DonchianBreakoutOptions {\r\n /* Lookback for the entry channel high/low. /\r\n entryPeriod?: number;\r\n /* Lookback for the exit channel — usually shorter than entry. /\r\n exitPeriod?: number;\r\n size?: number;\r\n tag?: string;\r\n}\r\n\r\n/\r\n Donchian channel breakout — classic Turtle-style trend follower.\r\n \r\n Long entry: close > highest high of last `entryPeriod` bars (excluding current).\r\n * Long exit: close < lowest low of last `exitPeriod` bars (excluding current).\r\n * Mirror on the short side when `allowShort` is enabled by the backtester.\r\n /\r\nexport function donchianBreakoutStrategy(options: DonchianBreakoutOptions = {}): StrategyFn {\r\n const entryPeriod = options.entryPeriod ?? 20;\r\n const exitPeriod = options.exitPeriod ?? 10;\r\n const size = options.size ?? 1;\r\n const tag = options.tag ?? 'donchian-breakout';\r\n\r\n return (ctx: StrategyContext) => {\r\n if (ctx.index < entryPeriod) return;\r\n\r\n const close = ctx.bar.close;\r\n const entryHigh = highestHigh(ctx.history, ctx.index - entryPeriod, ctx.index - 1);\r\n const entryLow = lowestLow(ctx.history, ctx.index - entryPeriod, ctx.index - 1);\r\n const exitHigh = highestHigh(ctx.history, ctx.index - exitPeriod, ctx.index - 1);\r\n const exitLow = lowestLow(ctx.history, ctx.index - exitPeriod, ctx.index - 1);\r\n\r\n if (!ctx.position) {\r\n if (close > entryHigh) {\r\n ctx.placeOrder({ side: 'long', type: 'market', quantity: size, tag });\r\n } else if (close < entryLow) {\r\n ctx.placeOrder({ side: 'short', type: 'market', quantity: size, tag });\r\n }\r\n } else if (ctx.position.side === 'long' && close < exitLow) {\r\n ctx.close(tag);\r\n } else if (ctx.position.side === 'short' && close > exitHigh) {\r\n ctx.close(tag);\r\n }\r\n };\r\n}\r\n\r\nfunction highestHigh(history: ReadonlyArray<{ high: number }>, from: number, to: number): number {\r\n let h = -Infinity;\r\n for (let i = Math.max(0, from); i <= to; i++) {\r\n if (history[i].high > h) h = history[i].high;\r\n }\r\n return h;\r\n}\r\n\r\nfunction lowestLow(history: ReadonlyArray<{ low: number }>, from: number, to: number): number {\r\n let l = Infinity;\r\n for (let i = Math.max(0, from); i <= to; i++) {\r\n if (history[i].low < l) l = history[i].low;\r\n }\r\n return l;\r\n}\r\n","import type { StrategyFn, StrategyContext } from '../types.js';\r\n\r\nexport interface BollingerReversionOptions {\r\n period?: number;\r\n /* Number of standard deviations for the bands. /\r\n stdDev?: number;\r\n size?: number;\r\n tag?: string;\r\n}\r\n\r\n/\r\n Bollinger Band mean-reversion. Goes long when price closes below the lower\r\n * band and re-enters; exits when price re-touches the middle band (SMA).\r\n * Long-only — relies on the backtester's `allowShort: false` semantics to\r\n * happily close longs without throwing.\r\n /\r\nexport function bollingerReversionStrategy(options: BollingerReversionOptions = {}): StrategyFn {\r\n const period = options.period ?? 20;\r\n const stdDev = options.stdDev ?? 2;\r\n const size = options.size ?? 1;\r\n const tag = options.tag ?? 'bollinger-reversion';\r\n\r\n return (ctx: StrategyContext) => {\r\n if (ctx.index < period) return;\r\n\r\n const { mid, lower } = bollinger(ctx.history, ctx.index, period, stdDev);\r\n const close = ctx.bar.close;\r\n\r\n if (!ctx.position && close <= lower) {\r\n ctx.placeOrder({ side: 'long', type: 'market', quantity: size, tag });\r\n } else if (ctx.position?.side === 'long' && close >= mid) {\r\n ctx.close(tag);\r\n }\r\n };\r\n}\r\n\r\nfunction bollinger(\r\n history: ReadonlyArray<{ close: number }>,\r\n endIdx: number,\r\n period: number,\r\n stdDev: number,\r\n): { mid: number; upper: number; lower: number } {\r\n let sum = 0;\r\n for (let i = endIdx - period + 1; i <= endIdx; i++) sum += history[i].close;\r\n const mid = sum / period;\r\n\r\n let varSum = 0;\r\n for (let i = endIdx - period + 1; i <= endIdx; i++) {\r\n const diff = history[i].close - mid;\r\n varSum += diff diff;\r\n }\r\n const sd = Math.sqrt(varSum / period);\r\n return { mid, upper: mid + stdDev * sd, lower: mid - stdDev * sd 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package/package.json CHANGED Viewed

@@ -1,6 +1,6 @@
 {
   "name": "@tradecanvas/analytics",
-  "version": "1.1.0",
+  "version": "1.2.0",
   "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": "1.1.0"
+    "@tradecanvas/commons": "1.2.0"
   },
   "devDependencies": {
     "vitest": "^2.1.8"