@tradecanvas/analytics 1.3.0 → 1.4.0

package/dist/index.js

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