backtest-kit 11.5.0 → 11.6.0

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "backtest-kit",
-  "version": "11.5.0",
+  "version": "11.6.0",
   "description": "A TypeScript library for trading system backtest",
   "author": {
     "name": "Petr Tripolsky",

package/types.d.ts

@@ -4636,6 +4636,18 @@ interface BacktestStatisticsModel {
     recoveryFactor: number | null;
     /** Per-trade Expectancy (winProb*avgWin + lossProb*avgLoss), null if unsafe. Higher is better. */
     expectancy: number | null;
+    /** Average trade duration in minutes ((closeTimestamp - pendingAt) / 60_000), null if unsafe. */
+    avgDuration: number | null;
+    /** Median pnlPercentage — robust to outliers; reveals distribution skew when paired with avgPnl. */
+    medianPnl: number | null;
+    /** Average sum of pnlPercentage across consecutive winning streaks. Null if no win streak. */
+    avgConsecutiveWinPnl: number | null;
+    /** Average sum of pnlPercentage across consecutive losing streaks. Null if no loss streak. Closer to 0 is better. */
+    avgConsecutiveLossPnl: number | null;
+    /** Average duration in minutes of winning trades. */
+    avgWinDuration: number | null;
+    /** Average duration in minutes of losing trades. */
+    avgLossDuration: number | null;
 }
 
 /**
@@ -10727,12 +10739,36 @@ interface IHeatmapRow {
     avgPeakPnl: number | null;
     /** Average fall PNL percentage across all trades (_fall.pnlPercentage). Closer to 0 is better. */
     avgFallPnl: number | null;
+    /** Maximum peak PNL percentage observed across all trades (best best-case). Higher is better. */
+    peakProfitPnl: number | null;
+    /** Minimum fall PNL percentage observed across all trades (worst worst-case). Closer to 0 is better. */
+    maxDrawdownPnl: number | null;
+    /** Average trade duration in minutes ((closeTimestamp - pendingAt) / 60_000). */
+    avgDuration: number | null;
+    /** Median pnlPercentage — robust to outliers; reveals distribution skew when paired with avgPnl. */
+    medianPnl: number | null;
+    /** Average sum of pnlPercentage across consecutive winning streaks. Null if no win streak. */
+    avgConsecutiveWinPnl: number | null;
+    /** Average sum of pnlPercentage across consecutive losing streaks. Null if no loss streak. Closer to 0 is better. */
+    avgConsecutiveLossPnl: number | null;
+    /** Average duration in minutes of winning trades. */
+    avgWinDuration: number | null;
+    /** Average duration in minutes of losing trades. */
+    avgLossDuration: number | null;
     /** Sortino Ratio (avgPnl / downside deviation — RMS of losing trades only). Higher is better. */
     sortinoRatio: number | null;
     /** Calmar Ratio (totalPnl / maxDrawdown). Higher is better. */
     calmarRatio: number | null;
     /** Recovery Factor (totalPnl / maxDrawdown). Higher is better. */
     recoveryFactor: number | null;
+    /** Annualized Sharpe Ratio (sharpeRatio × √tradesPerYear). Higher is better. */
+    annualizedSharpeRatio: number | null;
+    /** Certainty Ratio (avgWin / |avgLoss|). Higher is better. */
+    certaintyRatio: number | null;
+    /** Expected yearly returns (geometric, capped at ±MAX_EXPECTED_YEARLY_RETURNS). Higher is better. */
+    expectedYearlyReturns: number | null;
+    /** Observed trade frequency extrapolated to one year (signals × 365 / calendarSpanDays). */
+    tradesPerYear: number | null;
 }
 
 /**
@@ -12613,6 +12649,18 @@ interface LiveStatisticsModel {
     recoveryFactor: number | null;
     /** Per-trade Expectancy (winProb*avgWin + lossProb*avgLoss), null if unsafe. Higher is better. */
     expectancy: number | null;
+    /** Average trade duration in minutes ((timestamp - pendingAt) / 60_000), null if unsafe. */
+    avgDuration: number | null;
+    /** Median pnl — robust to outliers; reveals distribution skew when paired with avgPnl. */
+    medianPnl: number | null;
+    /** Average sum of pnl across consecutive winning streaks. Null if no win streak. */
+    avgConsecutiveWinPnl: number | null;
+    /** Average sum of pnl across consecutive losing streaks. Null if no loss streak. Closer to 0 is better. */
+    avgConsecutiveLossPnl: number | null;
+    /** Average duration in minutes of winning trades. */
+    avgWinDuration: number | null;
+    /** Average duration in minutes of losing trades. */
+    avgLossDuration: number | null;
 }
 
 /**
@@ -12634,6 +12682,22 @@ interface HeatmapStatisticsModel {
     portfolioAvgPeakPnl: number | null;
     /** Trade-count-weighted average fall PNL across all symbols. Closer to 0 is better. */
     portfolioAvgFallPnl: number | null;
+    /** Maximum peak PNL across all trades of all symbols (best best-case). Higher is better. */
+    portfolioPeakProfitPnl: number | null;
+    /** Minimum fall PNL across all trades of all symbols (worst worst-case). Closer to 0 is better. */
+    portfolioMaxDrawdownPnl: number | null;
+    /** Pooled average trade duration in minutes across all trades of all symbols. */
+    portfolioAvgDuration: number | null;
+    /** Pooled median pnlPercentage across all trades of all symbols. */
+    portfolioMedianPnl: number | null;
+    /** Trade-count-weighted mean of per-symbol avgConsecutiveWinPnl. Null if no symbol has a win streak. */
+    portfolioAvgConsecutiveWinPnl: number | null;
+    /** Trade-count-weighted mean of per-symbol avgConsecutiveLossPnl. Null if no symbol has a loss streak. */
+    portfolioAvgConsecutiveLossPnl: number | null;
+    /** Pooled average duration in minutes of winning trades. */
+    portfolioAvgWinDuration: number | null;
+    /** Pooled average duration in minutes of losing trades. */
+    portfolioAvgLossDuration: number | null;
     /** Pooled sample standard deviation of returns across all symbols. */
     portfolioStdDev: number | null;
     /** Pooled Sortino Ratio over all trades. Same canonical formula as per-symbol. */
@@ -12644,6 +12708,14 @@ interface HeatmapStatisticsModel {
     portfolioRecoveryFactor: number | null;
     /** Pooled Expectancy: winProb*avgWin + lossProb*avgLoss (per-trade expected %). */
     portfolioExpectancy: number | null;
+    /** Pooled Annualized Sharpe Ratio (portfolioSharpeRatio × √portfolioTradesPerYear). Higher is better. */
+    portfolioAnnualizedSharpeRatio: number | null;
+    /** Pooled Certainty Ratio (pooledAvgWin / |pooledAvgLoss|). Higher is better. */
+    portfolioCertaintyRatio: number | null;
+    /** Pooled expected yearly returns (geometric annualization of pooled equity, capped at ±MAX_EXPECTED_YEARLY_RETURNS). */
+    portfolioExpectedYearlyReturns: number | null;
+    /** Pooled observed trade frequency extrapolated to one year. */
+    portfolioTradesPerYear: number | null;
 }
 
 /**