backtest-kit 11.5.2 → 11.7.0

package/package.json

@@ -1,86 +1,86 @@
-{
-  "name": "backtest-kit",
-  "version": "11.5.2",
-  "description": "A TypeScript library for trading system backtest",
-  "author": {
-    "name": "Petr Tripolsky",
-    "email": "tripolskypetr@gmail.com",
-    "url": "https://github.com/tripolskypetr"
-  },
-  "funding": {
-    "type": "individual",
-    "url": "http://paypal.me/tripolskypetr"
-  },
-  "license": "MIT",
-  "homepage": "https://backtest-kit.github.io/documents/article_07_ai_news_trading_signals.html",
-  "keywords": [
-    "backtesting",
-    "backtest",
-    "finance",
-    "trading",
-    "candles",
-    "indicators",
-    "multi value",
-    "multi symbol",
-    "framework"
-  ],
-  "files": [
-    "build",
-    "types.d.ts",
-    "README.md"
-  ],
-  "repository": {
-    "type": "git",
-    "url": "https://github.com/tripolskypetr/backtest-kit",
-    "documentation": "https://github.com/tripolskypetr/backtest-kit/tree/master/docs"
-  },
-  "bugs": {
-    "url": "https://github.com/tripolskypetr/backtest-kit/issues"
-  },
-  "scripts": {
-    "build": "rollup -c",
-    "test": "npm run build && node ./test/index.mjs",
-    "build:docs": "rimraf docs && mkdir docs && node ./scripts/dts-docs.cjs ./types.d.ts ./docs",
-    "docs:gpt": "npm run build && node ./tools/gpt-docs/index.mjs",
-    "docs:uml": "npm run build && node ./scripts/uml.mjs",
-    "docs:www": "rimraf docs/wwwroot && node ./tools/typedoc-packages-docs/index.mjs && typedoc && node ./tools/typedoc-yandex-metrica/index.mjs",
-    "repl": "dotenv -e .env -- npm run build && node -e \"import('./scripts/repl.mjs')\" --interactive"
-  },
-  "main": "build/index.cjs",
-  "module": "build/index.mjs",
-  "source": "src/index.ts",
-  "types": "./types.d.ts",
-  "exports": {
-    "require": "./build/index.cjs",
-    "types": "./types.d.ts",
-    "import": "./build/index.mjs",
-    "default": "./build/index.cjs"
-  },
-  "devDependencies": {
-    "@rollup/plugin-typescript": "11.1.6",
-    "@types/node": "22.9.0",
-    "glob": "11.0.1",
-    "plantuml": "0.0.2",
-    "rimraf": "6.0.1",
-    "rollup": "3.29.5",
-    "rollup-plugin-dts": "6.1.1",
-    "rollup-plugin-peer-deps-external": "2.2.4",
-    "ts-morph": "27.0.2",
-    "tslib": "2.7.0",
-    "typedoc": "0.27.9",
-    "worker-testbed": "2.0.0"
-  },
-  "peerDependencies": {
-    "typescript": "^5.0.0"
-  },
-  "dependencies": {
-    "di-kit": "^1.1.1",
-    "di-scoped": "^1.0.21",
-    "di-singleton": "^1.0.5",
-    "functools-kit": "^2.3.0",
-    "get-moment-stamp": "^2.0.0"
-  },
-  "publishConfig": {
-    "access": "public"
-  }
-}
+{
+  "name": "backtest-kit",
+  "version": "11.7.0",
+  "description": "A TypeScript library for trading system backtest",
+  "author": {
+    "name": "Petr Tripolsky",
+    "email": "tripolskypetr@gmail.com",
+    "url": "https://github.com/tripolskypetr"
+  },
+  "funding": {
+    "type": "individual",
+    "url": "http://paypal.me/tripolskypetr"
+  },
+  "license": "MIT",
+  "homepage": "https://backtest-kit.github.io/documents/article_07_ai_news_trading_signals.html",
+  "keywords": [
+    "backtesting",
+    "backtest",
+    "finance",
+    "trading",
+    "candles",
+    "indicators",
+    "multi value",
+    "multi symbol",
+    "framework"
+  ],
+  "files": [
+    "build",
+    "types.d.ts",
+    "README.md"
+  ],
+  "repository": {
+    "type": "git",
+    "url": "https://github.com/tripolskypetr/backtest-kit",
+    "documentation": "https://github.com/tripolskypetr/backtest-kit/tree/master/docs"
+  },
+  "bugs": {
+    "url": "https://github.com/tripolskypetr/backtest-kit/issues"
+  },
+  "scripts": {
+    "build": "rollup -c",
+    "test": "npm run build && node ./test/index.mjs",
+    "build:docs": "rimraf docs && mkdir docs && node ./scripts/dts-docs.cjs ./types.d.ts ./docs",
+    "docs:gpt": "npm run build && node ./tools/gpt-docs/index.mjs",
+    "docs:uml": "npm run build && node ./scripts/uml.mjs",
+    "docs:www": "rimraf docs/wwwroot && node ./tools/typedoc-packages-docs/index.mjs && typedoc && node ./tools/typedoc-yandex-metrica/index.mjs",
+    "repl": "dotenv -e .env -- npm run build && node -e \"import('./scripts/repl.mjs')\" --interactive"
+  },
+  "main": "build/index.cjs",
+  "module": "build/index.mjs",
+  "source": "src/index.ts",
+  "types": "./types.d.ts",
+  "exports": {
+    "require": "./build/index.cjs",
+    "types": "./types.d.ts",
+    "import": "./build/index.mjs",
+    "default": "./build/index.cjs"
+  },
+  "devDependencies": {
+    "@rollup/plugin-typescript": "11.1.6",
+    "@types/node": "22.9.0",
+    "glob": "11.0.1",
+    "plantuml": "0.0.2",
+    "rimraf": "6.0.1",
+    "rollup": "3.29.5",
+    "rollup-plugin-dts": "6.1.1",
+    "rollup-plugin-peer-deps-external": "2.2.4",
+    "ts-morph": "27.0.2",
+    "tslib": "2.7.0",
+    "typedoc": "0.27.9",
+    "worker-testbed": "2.0.0"
+  },
+  "peerDependencies": {
+    "typescript": "^5.0.0"
+  },
+  "dependencies": {
+    "di-kit": "^1.1.1",
+    "di-scoped": "^1.0.21",
+    "di-singleton": "^1.0.5",
+    "functools-kit": "^2.3.0",
+    "get-moment-stamp": "^2.0.0"
+  },
+  "publishConfig": {
+    "access": "public"
+  }
+}

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;
 }
 
 /**