@tradecanvas/analytics 1.4.0 → 1.7.0

package/LICENSE

@@ -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

@@ -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

@@ -1,2 +1,2 @@
-"use strict";Object.defineProperty(exports,Symbol.toStringTag,{value:"Module"});class B{constructor(t){this.perTrade=t}calculate(){return this.perTrade}}class T{constructor(t){this.rate=t}calculate(t,e){return Math.abs(t)*e*this.rate}}class N{constructor(t,e=0){this.perShare=t,this.minimum=e}calculate(t){return Math.max(this.minimum,Math.abs(t)*this.perShare)}}const D={calculate:()=>0},z={apply:i=>i};class Y{constructor(t){this.rate=t}apply(t,e){const n=e==="long"?1+this.rate:1-this.rate;return t*n}}class _{constructor(t){this.factor=t}apply(t,e,n){const o=(n.high-n.low)*this.factor;return e==="long"?t+o:t-o}}class b{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}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}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"}}const I=365*24*60*60*1e3;function A(i,t,e,n={}){if(t.length<2)return j(i,t,e);const s=t[t.length-1].equity,o=s-i,r=o/i,a=n.periodsPerYear??G(t),u=(n.riskFreeRate??0)/a,h=V(t),d=C(h),m=H(h,d),q=W(h,u),g=m===0?0:(d-u)/m*Math.sqrt(a),S=q===0?0:(d-u)/q*Math.sqrt(a),M=t[t.length-1].time-t[0].time,l=M>0?M/I:0,p=l>0?Math.pow(s/i,1/l)-1:0,{maxDrawdown:y,maxDrawdownPct:f}=$(t),O=f>0?p/f:0,P=L(e);return{totalReturn:o,totalReturnPct:r,cagr:p,sharpe:g,sortino:S,calmar:O,maxDrawdown:y,maxDrawdownPct:f,...P}}function j(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,...L(e)}}function V(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}function C(i){if(i.length===0)return 0;let t=0;for(const e of i)t+=e;return t/i.length}function H(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 W(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 $(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 L(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 G(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=C(t);if(e<=0)return 252;const n=I/e;return n>2e5?365*24*60:n>5e4?365*24*4:n>5e3?365*24:n>200?252:n>40?52:12}class Z{commission;slippage;allowShort;portfolio;pendingOrders=[];orderSeq=0;constructor(t){this.commission=t.commission??D,this.slippage=t.slippage??z,this.allowShort=t.allowShort??!0,this.portfolio=new b({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:A(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)}}function Q(i,t,e={}){const n=e.simulations??1e3,s=(e.percentiles??[5,25,50,75,95]).slice().sort((l,p)=>l-p),o=x(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${l}`,i])),probabilityProfitable:0,worstMaxDrawdownPct:0};const r=t.map(l=>l.pnl),a=t.length+1,c=r.slice(),u=new Float64Array(n),h=new Float64Array(n*a);let d=0,m=0;for(let l=0;l<n;l++){U(c,o);let p=i,y=i,f=0;const O=l*a;h[O]=p;for(let P=0;P<c.length;P++){p+=c[P],h[O+P+1]=p,p>y&&(y=p);const F=y>0?(y-p)/y:0;F>f&&(f=F)}u[l]=p,p>i&&m++,f>d&&(d=f)}const q=[],g=new Float64Array(n);for(let l=0;l<a;l++){for(let p=0;p<n;p++)g[p]=h[p*a+l];g.sort(),q.push({step:l,p5:w(g,5),p25:w(g,25),p50:w(g,50),p75:w(g,75),p95:w(g,95)})}const S=new Float64Array(u);S.sort();const M={};for(const l of s)M[`p${l}`]=w(S,l);return{simulations:n,initialCash:i,equityBands:q,finalEquityPercentiles:M,probabilityProfitable:m/n,worstMaxDrawdownPct:d*100}}function U(i,t){for(let e=i.length-1;e>0;e--){const n=Math.floor(t()*(e+1)),s=i[e];i[e]=i[n],i[n]=s}}function w(i,t){if(i.length===0)return 0;if(i.length===1)return i[0];const e=t/100*(i.length-1),n=Math.floor(e),s=Math.ceil(e);return n===s?i[n]:i[n]*(s-e)+i[s]*(e-n)}function x(i){let t=i>>>0;return()=>{t=t+1831565813>>>0;let e=t;return e=Math.imul(e^e>>>15,e|1),e^=e+Math.imul(e^e>>>7,e|61),((e^e>>>14)>>>0)/4294967296}}function J(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=v(r,o.index,t),c=v(r,o.index,e),u=v(r,o.index-1,t),h=v(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 v(i,t,e){let n=0;for(let s=t-e+1;s<=t;s++)n+=i[s].close;return n/e}function K(i={}){const t=i.period??14,e=i.oversold??30,n=i.overbought??70,s=i.size??1,o=i.tag??"rsi-reversion";return r=>{if(r.index<t+1)return;const a=k(r.history,r.index,t),c=k(r.history,r.index-1,t),u=c<e&&a>=e,h=c<n&&a>=n;u&&!r.position?r.placeOrder({side:"long",type:"market",quantity:s,tag:o}):h&&r.position?.side==="long"&&r.close(o)}}function k(i,t,e){let n=0,s=0;for(let r=t-e+1;r<=t;r++){const a=i[r].close-i[r-1].close;a>=0?n+=a:s-=a}return s===0?100:100-100/(1+n/e/(s/e))}function X(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=R(o.history,o.index-t,o.index-1),c=E(o.history,o.index-t,o.index-1),u=R(o.history,o.index-e,o.index-1),h=E(o.history,o.index-e,o.index-1);o.position?(o.position.side==="long"&&r<h||o.position.side==="short"&&r>u)&&o.close(s):r>a?o.placeOrder({side:"long",type:"market",quantity:n,tag:s}):r<c&&o.placeOrder({side:"short",type:"market",quantity:n,tag:s})}}function R(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 E(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 tt(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}=et(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 et(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}}exports.Backtester=Z;exports.FixedCommission=B;exports.NO_SLIPPAGE=z;exports.PerShareCommission=N;exports.PercentCommission=T;exports.PercentSlippage=Y;exports.Portfolio=b;exports.RangeBasedSlippage=_;exports.ZERO_COMMISSION=D;exports.bollingerReversionStrategy=tt;exports.computeRiskMetrics=A;exports.donchianBreakoutStrategy=X;exports.rsiReversionStrategy=K;exports.runMonteCarlo=Q;exports.smaCrossStrategy=J;
-//# sourceMappingURL=index.cjs.map
+Object.defineProperty(exports,Symbol.toStringTag,{value:`Module`});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)}}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)}}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}function f(e){if(e.length===0)return 0;let t=0;for(let n of e)t+=n;return t/e.length}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))}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)}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}}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?1/0:0,expectancy:a*o-(1-a)*s,averageWin:o,averageLoss:s,trades:e.length}}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}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-${++this.orderSeq}`;return this.pendingOrders.push({id:n,side:e.side,type:e.type,quantity:e.quantity,price:e.price,tag:e.tag,timeInForce:e.timeInForce??`gtc`,status:`pending`,placedAt:t}),n}closePosition(e,t){let n=this.portfolio.getPosition();if(!n)return null;let r=n.side===`long`?`short`:`long`;return this.placeOrder({side:r,type:`market`,quantity:n.quantity,tag:t},e)}cancelOrder(e){let t=this.pendingOrders.find(t=>t.id===e);return!t||t.status!==`pending`?!1:(t.status=`cancelled`,!0)}};function y(e,t,n={}){let r=n.simulations??1e3,i=(n.percentiles??[5,25,50,75,95]).slice().sort((e,t)=>e-t),a=S(n.seed??Date.now()^23100);if(t.length===0||r<=0)return{simulations:r,initialCash:e,equityBands:[{step:0,p5:e,p25:e,p50:e,p75:e,p95:e}],finalEquityPercentiles:Object.fromEntries(i.map(t=>[`p${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 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 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 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}}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 w(e,t,n){let r=0;for(let i=t-n+1;i<=t;i++)r+=e[i].close;return r/n}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 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 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 O(e,t,n){let r=-1/0;for(let i=Math.max(0,t);i<=n;i++)e[i].high>r&&(r=e[i].high);return r}function k(e,t,n){let r=1/0;for(let i=Math.max(0,t);i<=n;i++)e[i].low<r&&(r=e[i].low);return r}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 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}}exports.Backtester=v,exports.FixedCommission=e,exports.NO_SLIPPAGE=i,exports.PerShareCommission=n,exports.PercentCommission=t,exports.PercentSlippage=a,exports.Portfolio=s,exports.RangeBasedSlippage=o,exports.ZERO_COMMISSION=r,exports.bollingerReversionStrategy=A,exports.computeRiskMetrics=l,exports.donchianBreakoutStrategy=D,exports.rsiReversionStrategy=T,exports.runMonteCarlo=y,exports.smaCrossStrategy=C;
+//# sourceMappingURL=index.cjs.map