backtest-kit 1.4.10 → 1.4.11

package/build/index.cjs

@@ -7262,6 +7262,118 @@ function formatMetric(value) {
     }
     return value.toFixed(2);
 }
+/**
+ * Creates strategy comparison columns based on metric name.
+ * Dynamically builds column configuration with metric-specific header.
+ *
+ * @param metric - Metric being optimized
+ * @returns Array of column configurations for strategy comparison table
+ */
+function createStrategyColumns(metric) {
+    return [
+        {
+            key: "rank",
+            label: "Rank",
+            format: (data, index) => `${index + 1}`,
+        },
+        {
+            key: "strategy",
+            label: "Strategy",
+            format: (data) => data.strategyName,
+        },
+        {
+            key: "metric",
+            label: metric,
+            format: (data) => formatMetric(data.metricValue),
+        },
+        {
+            key: "totalSignals",
+            label: "Total Signals",
+            format: (data) => `${data.stats.totalSignals}`,
+        },
+        {
+            key: "winRate",
+            label: "Win Rate",
+            format: (data) => data.stats.winRate !== null
+                ? `${data.stats.winRate.toFixed(2)}%`
+                : "N/A",
+        },
+        {
+            key: "avgPnl",
+            label: "Avg PNL",
+            format: (data) => data.stats.avgPnl !== null
+                ? `${data.stats.avgPnl > 0 ? "+" : ""}${data.stats.avgPnl.toFixed(2)}%`
+                : "N/A",
+        },
+        {
+            key: "totalPnl",
+            label: "Total PNL",
+            format: (data) => data.stats.totalPnl !== null
+                ? `${data.stats.totalPnl > 0 ? "+" : ""}${data.stats.totalPnl.toFixed(2)}%`
+                : "N/A",
+        },
+        {
+            key: "sharpeRatio",
+            label: "Sharpe Ratio",
+            format: (data) => data.stats.sharpeRatio !== null
+                ? `${data.stats.sharpeRatio.toFixed(3)}`
+                : "N/A",
+        },
+        {
+            key: "stdDev",
+            label: "Std Dev",
+            format: (data) => data.stats.stdDev !== null
+                ? `${data.stats.stdDev.toFixed(3)}%`
+                : "N/A",
+        },
+    ];
+}
+/**
+ * Column configuration for PNL table.
+ * Defines all columns for displaying closed signals across strategies.
+ */
+const pnlColumns = [
+    {
+        key: "strategy",
+        label: "Strategy",
+        format: (data) => data.strategyName,
+    },
+    {
+        key: "signalId",
+        label: "Signal ID",
+        format: (data) => data.signalId,
+    },
+    {
+        key: "symbol",
+        label: "Symbol",
+        format: (data) => data.symbol,
+    },
+    {
+        key: "position",
+        label: "Position",
+        format: (data) => data.position.toUpperCase(),
+    },
+    {
+        key: "pnl",
+        label: "PNL (net)",
+        format: (data) => `${data.pnl > 0 ? "+" : ""}${data.pnl.toFixed(2)}%`,
+    },
+    {
+        key: "closeReason",
+        label: "Close Reason",
+        format: (data) => data.closeReason,
+    },
+    {
+        key: "openTime",
+        label: "Open Time",
+        format: (data) => new Date(data.openTime).toISOString(),
+    },
+    {
+        key: "closeTime",
+        label: "Close Time",
+        format: (data) => new Date(data.closeTime).toISOString(),
+    },
+];
 /**
  * Storage class for accumulating walker results.
  * Maintains a list of all strategy results and provides methods to generate reports.
@@ -7274,9 +7386,12 @@ let ReportStorage$1 = class ReportStorage {
         this._bestStats = null;
         this._bestMetric = null;
         this._bestStrategy = null;
+        /** All strategy results for comparison table */
+        this._strategyResults = [];
     }
     /**
      * Adds a strategy result to the storage.
+     * Updates best strategy tracking and accumulates result for comparison table.
      *
      * @param data - Walker contract with strategy result
      */
@@ -7290,6 +7405,12 @@ let ReportStorage$1 = class ReportStorage {
         if (data.strategyName === data.bestStrategy) {
             this._bestStats = data.stats;
         }
+        // Add strategy result to comparison list
+        this._strategyResults.push({
+            strategyName: data.strategyName,
+            stats: data.stats,
+            metricValue: data.metricValue,
+        });
     }
     /**
      * Calculates walker results from strategy results.
@@ -7314,10 +7435,79 @@ let ReportStorage$1 = class ReportStorage {
             bestStrategy: this._bestStrategy,
             bestMetric: this._bestMetric,
             bestStats: this._bestStats,
+            strategyResults: this._strategyResults,
         };
     }
+    /**
+     * Generates comparison table for top N strategies (View).
+     * Sorts strategies by metric value and formats as markdown table.
+     *
+     * @param metric - Metric being optimized
+     * @param topN - Number of top strategies to include (default: 10)
+     * @returns Markdown formatted comparison table
+     */
+    getComparisonTable(metric, topN = 10) {
+        if (this._strategyResults.length === 0) {
+            return "No strategy results available.";
+        }
+        // Sort strategies by metric value (descending)
+        const sortedResults = [...this._strategyResults].sort((a, b) => {
+            const aValue = a.metricValue ?? -Infinity;
+            const bValue = b.metricValue ?? -Infinity;
+            return bValue - aValue;
+        });
+        // Take top N strategies
+        const topStrategies = sortedResults.slice(0, topN);
+        // Get columns configuration
+        const columns = createStrategyColumns(metric);
+        // Build table header
+        const header = columns.map((col) => col.label);
+        const separator = columns.map(() => "---");
+        // Build table rows
+        const rows = topStrategies.map((result, index) => columns.map((col) => col.format(result, index)));
+        const tableData = [header, separator, ...rows];
+        return functoolsKit.str.newline(tableData.map((row) => `| ${row.join(" | ")} |`));
+    }
+    /**
+     * Generates PNL table showing all closed signals across all strategies (View).
+     * Collects all signals from all strategies and formats as markdown table.
+     *
+     * @returns Markdown formatted PNL table
+     */
+    getPnlTable() {
+        if (this._strategyResults.length === 0) {
+            return "No strategy results available.";
+        }
+        // Collect all closed signals from all strategies
+        const allSignals = [];
+        for (const result of this._strategyResults) {
+            for (const signal of result.stats.signalList) {
+                allSignals.push({
+                    strategyName: result.strategyName,
+                    signalId: signal.signal.id,
+                    symbol: signal.signal.symbol,
+                    position: signal.signal.position,
+                    pnl: signal.pnl.pnlPercentage,
+                    closeReason: signal.closeReason,
+                    openTime: signal.signal.pendingAt,
+                    closeTime: signal.closeTimestamp,
+                });
+            }
+        }
+        if (allSignals.length === 0) {
+            return "No closed signals available.";
+        }
+        // Build table header
+        const header = pnlColumns.map((col) => col.label);
+        const separator = pnlColumns.map(() => "---");
+        // Build table rows
+        const rows = allSignals.map((signal) => pnlColumns.map((col) => col.format(signal)));
+        const tableData = [header, separator, ...rows];
+        return functoolsKit.str.newline(tableData.map((row) => `| ${row.join(" | ")} |`));
+    }
     /**
      * Generates markdown report with all strategy results (View).
+     * Includes best strategy summary, comparison table, and PNL table.
      *
      * @param symbol - Trading symbol
      * @param metric - Metric being optimized
@@ -7326,7 +7516,9 @@ let ReportStorage$1 = class ReportStorage {
      */
     async getReport(symbol, metric, context) {
         const results = await this.getData(symbol, metric, context);
-        return functoolsKit.str.newline(`# Walker Comparison Report: ${results.walkerName}`, "", `**Symbol:** ${results.symbol}`, `**Exchange:** ${results.exchangeName}`, `**Frame:** ${results.frameName}`, `**Optimization Metric:** ${results.metric}`, `**Strategies Tested:** ${results.totalStrategies}`, "", `## Best Strategy: ${results.bestStrategy}`, "", `**Best ${results.metric}:** ${formatMetric(results.bestMetric)}`, "**Note:** Higher values are better for all metrics except Standard Deviation (lower is better).");
+        // Get total signals for best strategy
+        const bestStrategySignals = results.bestStats?.totalSignals ?? 0;
+        return functoolsKit.str.newline(`# Walker Comparison Report: ${results.walkerName}`, "", `**Symbol:** ${results.symbol}`, `**Exchange:** ${results.exchangeName}`, `**Frame:** ${results.frameName}`, `**Optimization Metric:** ${results.metric}`, `**Strategies Tested:** ${results.totalStrategies}`, "", `## Best Strategy: ${results.bestStrategy}`, "", `**Best ${results.metric}:** ${formatMetric(results.bestMetric)}`, `**Total Signals:** ${bestStrategySignals}`, "", "## Top Strategies Comparison", "", this.getComparisonTable(metric, 10), "", "## All Signals (PNL Table)", "", this.getPnlTable(), "", "**Note:** Higher values are better for all metrics except Standard Deviation (lower is better).");
     }
     /**
      * Saves walker report to disk.

package/build/index.mjs

@@ -7260,6 +7260,118 @@ function formatMetric(value) {
     }
     return value.toFixed(2);
 }
+/**
+ * Creates strategy comparison columns based on metric name.
+ * Dynamically builds column configuration with metric-specific header.
+ *
+ * @param metric - Metric being optimized
+ * @returns Array of column configurations for strategy comparison table
+ */
+function createStrategyColumns(metric) {
+    return [
+        {
+            key: "rank",
+            label: "Rank",
+            format: (data, index) => `${index + 1}`,
+        },
+        {
+            key: "strategy",
+            label: "Strategy",
+            format: (data) => data.strategyName,
+        },
+        {
+            key: "metric",
+            label: metric,
+            format: (data) => formatMetric(data.metricValue),
+        },
+        {
+            key: "totalSignals",
+            label: "Total Signals",
+            format: (data) => `${data.stats.totalSignals}`,
+        },
+        {
+            key: "winRate",
+            label: "Win Rate",
+            format: (data) => data.stats.winRate !== null
+                ? `${data.stats.winRate.toFixed(2)}%`
+                : "N/A",
+        },
+        {
+            key: "avgPnl",
+            label: "Avg PNL",
+            format: (data) => data.stats.avgPnl !== null
+                ? `${data.stats.avgPnl > 0 ? "+" : ""}${data.stats.avgPnl.toFixed(2)}%`
+                : "N/A",
+        },
+        {
+            key: "totalPnl",
+            label: "Total PNL",
+            format: (data) => data.stats.totalPnl !== null
+                ? `${data.stats.totalPnl > 0 ? "+" : ""}${data.stats.totalPnl.toFixed(2)}%`
+                : "N/A",
+        },
+        {
+            key: "sharpeRatio",
+            label: "Sharpe Ratio",
+            format: (data) => data.stats.sharpeRatio !== null
+                ? `${data.stats.sharpeRatio.toFixed(3)}`
+                : "N/A",
+        },
+        {
+            key: "stdDev",
+            label: "Std Dev",
+            format: (data) => data.stats.stdDev !== null
+                ? `${data.stats.stdDev.toFixed(3)}%`
+                : "N/A",
+        },
+    ];
+}
+/**
+ * Column configuration for PNL table.
+ * Defines all columns for displaying closed signals across strategies.
+ */
+const pnlColumns = [
+    {
+        key: "strategy",
+        label: "Strategy",
+        format: (data) => data.strategyName,
+    },
+    {
+        key: "signalId",
+        label: "Signal ID",
+        format: (data) => data.signalId,
+    },
+    {
+        key: "symbol",
+        label: "Symbol",
+        format: (data) => data.symbol,
+    },
+    {
+        key: "position",
+        label: "Position",
+        format: (data) => data.position.toUpperCase(),
+    },
+    {
+        key: "pnl",
+        label: "PNL (net)",
+        format: (data) => `${data.pnl > 0 ? "+" : ""}${data.pnl.toFixed(2)}%`,
+    },
+    {
+        key: "closeReason",
+        label: "Close Reason",
+        format: (data) => data.closeReason,
+    },
+    {
+        key: "openTime",
+        label: "Open Time",
+        format: (data) => new Date(data.openTime).toISOString(),
+    },
+    {
+        key: "closeTime",
+        label: "Close Time",
+        format: (data) => new Date(data.closeTime).toISOString(),
+    },
+];
 /**
  * Storage class for accumulating walker results.
  * Maintains a list of all strategy results and provides methods to generate reports.
@@ -7272,9 +7384,12 @@ let ReportStorage$1 = class ReportStorage {
         this._bestStats = null;
         this._bestMetric = null;
         this._bestStrategy = null;
+        /** All strategy results for comparison table */
+        this._strategyResults = [];
     }
     /**
      * Adds a strategy result to the storage.
+     * Updates best strategy tracking and accumulates result for comparison table.
      *
      * @param data - Walker contract with strategy result
      */
@@ -7288,6 +7403,12 @@ let ReportStorage$1 = class ReportStorage {
         if (data.strategyName === data.bestStrategy) {
             this._bestStats = data.stats;
         }
+        // Add strategy result to comparison list
+        this._strategyResults.push({
+            strategyName: data.strategyName,
+            stats: data.stats,
+            metricValue: data.metricValue,
+        });
     }
     /**
      * Calculates walker results from strategy results.
@@ -7312,10 +7433,79 @@ let ReportStorage$1 = class ReportStorage {
             bestStrategy: this._bestStrategy,
             bestMetric: this._bestMetric,
             bestStats: this._bestStats,
+            strategyResults: this._strategyResults,
         };
     }
+    /**
+     * Generates comparison table for top N strategies (View).
+     * Sorts strategies by metric value and formats as markdown table.
+     *
+     * @param metric - Metric being optimized
+     * @param topN - Number of top strategies to include (default: 10)
+     * @returns Markdown formatted comparison table
+     */
+    getComparisonTable(metric, topN = 10) {
+        if (this._strategyResults.length === 0) {
+            return "No strategy results available.";
+        }
+        // Sort strategies by metric value (descending)
+        const sortedResults = [...this._strategyResults].sort((a, b) => {
+            const aValue = a.metricValue ?? -Infinity;
+            const bValue = b.metricValue ?? -Infinity;
+            return bValue - aValue;
+        });
+        // Take top N strategies
+        const topStrategies = sortedResults.slice(0, topN);
+        // Get columns configuration
+        const columns = createStrategyColumns(metric);
+        // Build table header
+        const header = columns.map((col) => col.label);
+        const separator = columns.map(() => "---");
+        // Build table rows
+        const rows = topStrategies.map((result, index) => columns.map((col) => col.format(result, index)));
+        const tableData = [header, separator, ...rows];
+        return str.newline(tableData.map((row) => `| ${row.join(" | ")} |`));
+    }
+    /**
+     * Generates PNL table showing all closed signals across all strategies (View).
+     * Collects all signals from all strategies and formats as markdown table.
+     *
+     * @returns Markdown formatted PNL table
+     */
+    getPnlTable() {
+        if (this._strategyResults.length === 0) {
+            return "No strategy results available.";
+        }
+        // Collect all closed signals from all strategies
+        const allSignals = [];
+        for (const result of this._strategyResults) {
+            for (const signal of result.stats.signalList) {
+                allSignals.push({
+                    strategyName: result.strategyName,
+                    signalId: signal.signal.id,
+                    symbol: signal.signal.symbol,
+                    position: signal.signal.position,
+                    pnl: signal.pnl.pnlPercentage,
+                    closeReason: signal.closeReason,
+                    openTime: signal.signal.pendingAt,
+                    closeTime: signal.closeTimestamp,
+                });
+            }
+        }
+        if (allSignals.length === 0) {
+            return "No closed signals available.";
+        }
+        // Build table header
+        const header = pnlColumns.map((col) => col.label);
+        const separator = pnlColumns.map(() => "---");
+        // Build table rows
+        const rows = allSignals.map((signal) => pnlColumns.map((col) => col.format(signal)));
+        const tableData = [header, separator, ...rows];
+        return str.newline(tableData.map((row) => `| ${row.join(" | ")} |`));
+    }
     /**
      * Generates markdown report with all strategy results (View).
+     * Includes best strategy summary, comparison table, and PNL table.
      *
      * @param symbol - Trading symbol
      * @param metric - Metric being optimized
@@ -7324,7 +7514,9 @@ let ReportStorage$1 = class ReportStorage {
      */
     async getReport(symbol, metric, context) {
         const results = await this.getData(symbol, metric, context);
-        return str.newline(`# Walker Comparison Report: ${results.walkerName}`, "", `**Symbol:** ${results.symbol}`, `**Exchange:** ${results.exchangeName}`, `**Frame:** ${results.frameName}`, `**Optimization Metric:** ${results.metric}`, `**Strategies Tested:** ${results.totalStrategies}`, "", `## Best Strategy: ${results.bestStrategy}`, "", `**Best ${results.metric}:** ${formatMetric(results.bestMetric)}`, "**Note:** Higher values are better for all metrics except Standard Deviation (lower is better).");
+        // Get total signals for best strategy
+        const bestStrategySignals = results.bestStats?.totalSignals ?? 0;
+        return str.newline(`# Walker Comparison Report: ${results.walkerName}`, "", `**Symbol:** ${results.symbol}`, `**Exchange:** ${results.exchangeName}`, `**Frame:** ${results.frameName}`, `**Optimization Metric:** ${results.metric}`, `**Strategies Tested:** ${results.totalStrategies}`, "", `## Best Strategy: ${results.bestStrategy}`, "", `**Best ${results.metric}:** ${formatMetric(results.bestMetric)}`, `**Total Signals:** ${bestStrategySignals}`, "", "## Top Strategies Comparison", "", this.getComparisonTable(metric, 10), "", "## All Signals (PNL Table)", "", this.getPnlTable(), "", "**Note:** Higher values are better for all metrics except Standard Deviation (lower is better).");
     }
     /**
      * Saves walker report to disk.

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "backtest-kit",
-  "version": "1.4.10",
+  "version": "1.4.11",
   "description": "A TypeScript library for trading system backtest",
   "author": {
     "name": "Petr Tripolsky",

package/types.d.ts

@@ -4258,8 +4258,24 @@ declare class PerformanceMarkdownService {
  * Alias for walker statistics result interface.
  * Used for clarity in markdown service context.
  *
+ * Extends IWalkerResults with additional strategy comparison data.
  */
-type WalkerStatistics = IWalkerResults;
+interface WalkerStatistics extends IWalkerResults {
+    /** Array of all strategy results for comparison and analysis */
+    strategyResults: IStrategyResult[];
+}
+/**
+ * Strategy result entry for comparison table.
+ * Contains strategy name, full statistics, and metric value for ranking.
+ */
+interface IStrategyResult {
+    /** Strategy name */
+    strategyName: StrategyName;
+    /** Complete backtest statistics for this strategy */
+    stats: BacktestStatistics;
+    /** Value of the optimization metric (null if invalid) */
+    metricValue: number | null;
+}
 /**
  * Service for generating and saving walker markdown reports.
  *