@tradejs/core 1.0.9 → 1.0.11

package/README.md

@@ -54,4 +54,4 @@ export default defineConfig(basePreset, {
 - import shared contracts from `@tradejs/types`
 - do not use non-public deep imports like `@tradejs/core/src/*`
 
-For runtime execution, Pine loading, plugin registries, and backtest orchestration, use `@tradejs/node`.
+For runtime execution, Pine strategy loading, plugin registries, and backtest orchestration, use `@tradejs/node`.

package/dist/backtest.d.mts

@@ -1,11 +1,5 @@
-import { StrategyConfigGrid, TestSuite, StrategyConfig, PositionLogData, TestStat, TestThresholdsKey, ThresholdLevel, TestWorkerResult } from '@tradejs/types';
-export { c as compactOrderLog, g as getTimeline } from './time-BMkFD4Kd.mjs';
-
-type GenericConfig = StrategyConfig;
-declare const generateParamGrid: <T extends StrategyConfig>(paramOptions: StrategyConfigGrid) => T[];
-declare const generateName: (prefix: string) => string;
-declare const mergeConfigs: (configs: GenericConfig[]) => Record<string, unknown[]>;
-declare const createTestSuite: (userName: string, tickers: string[], strategyName: string, backtestConfig: StrategyConfigGrid, connectorName: string) => TestSuite;
+import { PositionLogData, TestStat, TestThresholdsKey, ThresholdLevel, TestWorkerResult } from '@tradejs/types';
+export { c as compactOrderLog, g as getTimeline } from './time-BQ3AXmxo.mjs';
 
 declare const parseTestName: (testName: string) => {
     symbol: string;
@@ -22,6 +16,112 @@ declare const parseTestName: (testName: string) => {
  * Ожидается, что amounts — это последовательные значения equity и > 0.
  */
 declare const calculateMaxDrawdown: (amounts: number[]) => number;
+type AdvancedTradeDirection = 'LONG' | 'SHORT' | string;
+interface AdvancedTradeInput {
+    id?: string;
+    timestamp: number;
+    pnl: number;
+    symbol?: string | null;
+    direction?: AdvancedTradeDirection | null;
+    exitReason?: string | null;
+    grossPnl?: number | null;
+    slippageCost?: number | null;
+    approved?: boolean | null;
+    blocked?: boolean | null;
+    session?: string | null;
+}
+interface AdvancedExitBreakdownBucket {
+    count: number;
+    share: number | null;
+}
+interface AdvancedQuarterlyPnl {
+    quarter: string;
+    pnl: number;
+}
+interface AdvancedTradeMetrics {
+    core: {
+        trades: number;
+        wins: number;
+        losses: number;
+        winRate: number | null;
+        totalPnl: number;
+        avgTrade: number | null;
+        grossProfit: number;
+        grossLoss: number;
+        profitFactor: number | null;
+        payoffRatio: number | null;
+        expectancy: number | null;
+        tradesPerDay: number | null;
+        tradesPerWeek: number | null;
+    };
+    risk: {
+        maxDrawdown: number | null;
+        maxDrawdownPercent: number | null;
+        maxDrawdownToTotalProfit: number | null;
+        maxDrawdownToGrossProfit: number | null;
+        recoveryFactor: number | null;
+        maxLossStreak: number;
+        losingMonthsCount: number;
+        worstMonthPnl: number | null;
+        worstRolling30dPnl: number | null;
+        worstRolling90dPnl: number | null;
+    };
+    stability: {
+        monthlyWinRate: number | null;
+        positiveMonthsPercent: number | null;
+        quarterlyPnl: AdvancedQuarterlyPnl[];
+        rolling365Pnl: number | null;
+        medianMonthlyPnl: number | null;
+        iqrMonthlyPnl: number | null;
+        top5ProfitShare: number | null;
+        top10ProfitShare: number | null;
+    };
+    distribution: {
+        medianTrade: number | null;
+        p10Trade: number | null;
+        p25Trade: number | null;
+        p75Trade: number | null;
+        p90Trade: number | null;
+        largestWin: number | null;
+        largestLoss: number | null;
+        tailRatio: number | null;
+        skewness: number | null;
+    };
+    riskAdjusted: {
+        sharpeDaily: number | null;
+        sortinoDaily: number | null;
+        calmar: number | null;
+        mar: number | null;
+    };
+    operational: {
+        avgSlippageCost: number | null;
+        pnlBeforeSlippage: number | null;
+        pnlAfterSlippage: number;
+        approvalRate: number | null;
+        blockedProfitableTrades: number;
+        approvedLosingTrades: number;
+        symbolConcentrationTop1: number | null;
+        symbolConcentrationTop5: number | null;
+        sessionConcentrationTop1: number | null;
+        longTrades: number;
+        shortTrades: number;
+        longPnl: number;
+        shortPnl: number;
+        exitBreakdown: {
+            takeProfit: AdvancedExitBreakdownBucket;
+            stopLoss: AdvancedExitBreakdownBucket;
+            exit: AdvancedExitBreakdownBucket;
+            unknown: AdvancedExitBreakdownBucket;
+        };
+    };
+}
+interface AdvancedTradeMetricsInput {
+    trades: AdvancedTradeInput[];
+    orderLog?: ReadonlyArray<readonly [number, number]>;
+    startTimestamp?: number | null;
+    endTimestamp?: number | null;
+}
+declare const calculateAdvancedTradeMetrics: ({ trades, orderLog, startTimestamp, endTimestamp, }: AdvancedTradeMetricsInput) => AdvancedTradeMetrics;
 /**
  * Рассчитывает компактный набор действительно полезных метрик:
  * - Период и частота (periodDays/Months, trades, tradesPerMonth, exposure)
@@ -42,4 +142,4 @@ declare const getFormatted: (stat: Partial<TestStat> | undefined, key: TestThres
     level: ThresholdLevel;
 };
 
-export { calculateMaxDrawdown, calculateStatsFull, classifyMetric, createTestSuite, generateName, generateParamGrid, getBacktestScore, getFormatted, mergeConfigs, parseTestName, sortBestTests };
+export { type AdvancedExitBreakdownBucket, type AdvancedQuarterlyPnl, type AdvancedTradeDirection, type AdvancedTradeInput, type AdvancedTradeMetrics, type AdvancedTradeMetricsInput, calculateAdvancedTradeMetrics, calculateMaxDrawdown, calculateStatsFull, classifyMetric, getBacktestScore, getFormatted, parseTestName, sortBestTests };

package/dist/backtest.d.ts

@@ -1,11 +1,5 @@
-import { StrategyConfigGrid, TestSuite, StrategyConfig, PositionLogData, TestStat, TestThresholdsKey, ThresholdLevel, TestWorkerResult } from '@tradejs/types';
-export { c as compactOrderLog, g as getTimeline } from './time-BMkFD4Kd.js';
-
-type GenericConfig = StrategyConfig;
-declare const generateParamGrid: <T extends StrategyConfig>(paramOptions: StrategyConfigGrid) => T[];
-declare const generateName: (prefix: string) => string;
-declare const mergeConfigs: (configs: GenericConfig[]) => Record<string, unknown[]>;
-declare const createTestSuite: (userName: string, tickers: string[], strategyName: string, backtestConfig: StrategyConfigGrid, connectorName: string) => TestSuite;
+import { PositionLogData, TestStat, TestThresholdsKey, ThresholdLevel, TestWorkerResult } from '@tradejs/types';
+export { c as compactOrderLog, g as getTimeline } from './time-BQ3AXmxo.js';
 
 declare const parseTestName: (testName: string) => {
     symbol: string;
@@ -22,6 +16,112 @@ declare const parseTestName: (testName: string) => {
  * Ожидается, что amounts — это последовательные значения equity и > 0.
  */
 declare const calculateMaxDrawdown: (amounts: number[]) => number;
+type AdvancedTradeDirection = 'LONG' | 'SHORT' | string;
+interface AdvancedTradeInput {
+    id?: string;
+    timestamp: number;
+    pnl: number;
+    symbol?: string | null;
+    direction?: AdvancedTradeDirection | null;
+    exitReason?: string | null;
+    grossPnl?: number | null;
+    slippageCost?: number | null;
+    approved?: boolean | null;
+    blocked?: boolean | null;
+    session?: string | null;
+}
+interface AdvancedExitBreakdownBucket {
+    count: number;
+    share: number | null;
+}
+interface AdvancedQuarterlyPnl {
+    quarter: string;
+    pnl: number;
+}
+interface AdvancedTradeMetrics {
+    core: {
+        trades: number;
+        wins: number;
+        losses: number;
+        winRate: number | null;
+        totalPnl: number;
+        avgTrade: number | null;
+        grossProfit: number;
+        grossLoss: number;
+        profitFactor: number | null;
+        payoffRatio: number | null;
+        expectancy: number | null;
+        tradesPerDay: number | null;
+        tradesPerWeek: number | null;
+    };
+    risk: {
+        maxDrawdown: number | null;
+        maxDrawdownPercent: number | null;
+        maxDrawdownToTotalProfit: number | null;
+        maxDrawdownToGrossProfit: number | null;
+        recoveryFactor: number | null;
+        maxLossStreak: number;
+        losingMonthsCount: number;
+        worstMonthPnl: number | null;
+        worstRolling30dPnl: number | null;
+        worstRolling90dPnl: number | null;
+    };
+    stability: {
+        monthlyWinRate: number | null;
+        positiveMonthsPercent: number | null;
+        quarterlyPnl: AdvancedQuarterlyPnl[];
+        rolling365Pnl: number | null;
+        medianMonthlyPnl: number | null;
+        iqrMonthlyPnl: number | null;
+        top5ProfitShare: number | null;
+        top10ProfitShare: number | null;
+    };
+    distribution: {
+        medianTrade: number | null;
+        p10Trade: number | null;
+        p25Trade: number | null;
+        p75Trade: number | null;
+        p90Trade: number | null;
+        largestWin: number | null;
+        largestLoss: number | null;
+        tailRatio: number | null;
+        skewness: number | null;
+    };
+    riskAdjusted: {
+        sharpeDaily: number | null;
+        sortinoDaily: number | null;
+        calmar: number | null;
+        mar: number | null;
+    };
+    operational: {
+        avgSlippageCost: number | null;
+        pnlBeforeSlippage: number | null;
+        pnlAfterSlippage: number;
+        approvalRate: number | null;
+        blockedProfitableTrades: number;
+        approvedLosingTrades: number;
+        symbolConcentrationTop1: number | null;
+        symbolConcentrationTop5: number | null;
+        sessionConcentrationTop1: number | null;
+        longTrades: number;
+        shortTrades: number;
+        longPnl: number;
+        shortPnl: number;
+        exitBreakdown: {
+            takeProfit: AdvancedExitBreakdownBucket;
+            stopLoss: AdvancedExitBreakdownBucket;
+            exit: AdvancedExitBreakdownBucket;
+            unknown: AdvancedExitBreakdownBucket;
+        };
+    };
+}
+interface AdvancedTradeMetricsInput {
+    trades: AdvancedTradeInput[];
+    orderLog?: ReadonlyArray<readonly [number, number]>;
+    startTimestamp?: number | null;
+    endTimestamp?: number | null;
+}
+declare const calculateAdvancedTradeMetrics: ({ trades, orderLog, startTimestamp, endTimestamp, }: AdvancedTradeMetricsInput) => AdvancedTradeMetrics;
 /**
  * Рассчитывает компактный набор действительно полезных метрик:
  * - Период и частота (periodDays/Months, trades, tradesPerMonth, exposure)
@@ -42,4 +142,4 @@ declare const getFormatted: (stat: Partial<TestStat> | undefined, key: TestThres
     level: ThresholdLevel;
 };
 
-export { calculateMaxDrawdown, calculateStatsFull, classifyMetric, createTestSuite, generateName, generateParamGrid, getBacktestScore, getFormatted, mergeConfigs, parseTestName, sortBestTests };
+export { type AdvancedExitBreakdownBucket, type AdvancedQuarterlyPnl, type AdvancedTradeDirection, type AdvancedTradeInput, type AdvancedTradeMetrics, type AdvancedTradeMetricsInput, calculateAdvancedTradeMetrics, calculateMaxDrawdown, calculateStatsFull, classifyMetric, getBacktestScore, getFormatted, parseTestName, sortBestTests };