backtest-kit 12.1.0 → 12.3.0

package/build/index.cjs

@@ -12383,6 +12383,10 @@ const CREATE_COMMIT_SCHEDULE_PING_FN = (self) => functoolsKit.trycatch(async (sy
         backtest,
         timestamp,
     };
+    {
+        await self.priceMetaService.next(symbol, currentPrice, { strategyName, exchangeName, frameName: data.frameName }, backtest);
+        await self.timeMetaService.next(symbol, timestamp, { strategyName, exchangeName, frameName: data.frameName }, backtest);
+    }
     await schedulePingSubject.next(event);
     await self.actionCoreService.pingScheduled(backtest, event, { strategyName, exchangeName, frameName: data.frameName });
 }, {
@@ -12417,6 +12421,10 @@ const CREATE_COMMIT_IDLE_PING_FN = (self) => functoolsKit.trycatch(async (symbol
         backtest,
         timestamp,
     };
+    {
+        await self.priceMetaService.next(symbol, currentPrice, { strategyName, exchangeName, frameName: frameName }, backtest);
+        await self.timeMetaService.next(symbol, timestamp, { strategyName, exchangeName, frameName: frameName }, backtest);
+    }
     await idlePingSubject.next(event);
     await self.actionCoreService.pingIdle(backtest, event, { strategyName, exchangeName, frameName });
 }, {
@@ -12451,6 +12459,10 @@ const CREATE_COMMIT_ACTIVE_PING_FN = (self) => functoolsKit.trycatch(async (symb
         backtest,
         timestamp,
     };
+    {
+        await self.priceMetaService.next(symbol, currentPrice, { strategyName, exchangeName, frameName: data.frameName }, backtest);
+        await self.timeMetaService.next(symbol, timestamp, { strategyName, exchangeName, frameName: data.frameName }, backtest);
+    }
     await activePingSubject.next(event);
     await self.actionCoreService.pingActive(backtest, event, { strategyName, exchangeName, frameName: data.frameName });
 }, {
@@ -27679,9 +27691,12 @@ class HeatmapStorage {
         }
         // Per-trade Sharpe Ratio
         let sharpeRatio = null;
+        // canComputeRatios gate is explicit here (matching the standalone Backtest/Live
+        // paths) even though stdDev is already null below MIN_SIGNALS_FOR_RATIOS — relying
+        // on the stdDev===null implication would couple the gate to an unrelated branch.
         // STDDEV_EPSILON guard — protects against float-artifact stdDev producing
         // spuriously astronomical sharpe on identical-returns symbols.
-        if (avgPnl !== null && stdDev !== null && stdDev > STDDEV_EPSILON) {
+        if (canComputeRatios && avgPnl !== null && stdDev !== null && stdDev > STDDEV_EPSILON) {
             sharpeRatio = avgPnl / stdDev;
         }
         // Equity-curve max drawdown via compounded equity ("as-if 100% allocation per trade").
@@ -27874,17 +27889,21 @@ class HeatmapStorage {
                 : sorted[mid];
         }
         // Expectancy — probabilities from observed win/loss counts (break-evens contribute 0).
+        // Gated by MIN_SIGNALS_FOR_RATIOS (via canComputeRatios), same as the standalone
+        // Backtest/Live paths and the portfolio-level pooled Expectancy below — on a tiny
+        // sample the per-trade EV is too noisy to publish, and an ungated per-symbol value
+        // would disagree with the symbol's own standalone report (which IS gated).
         let expectancy = null;
-        if (totalTrades > 0 && avgWin !== null && avgLoss !== null) {
+        if (canComputeRatios && totalTrades > 0 && avgWin !== null && avgLoss !== null) {
             const winProb = winCount / totalTrades;
             const lossProb = lossCount / totalTrades;
             expectancy = winProb * avgWin + lossProb * avgLoss;
         }
-        else if (totalTrades > 0 && avgWin !== null && avgLoss === null) {
+        else if (canComputeRatios && totalTrades > 0 && avgWin !== null && avgLoss === null) {
             // No losing trades — expectancy is just average win frequency × avgWin
             expectancy = (winCount / totalTrades) * avgWin;
         }
-        else if (totalTrades > 0 && avgWin === null && avgLoss !== null) {
+        else if (canComputeRatios && totalTrades > 0 && avgWin === null && avgLoss !== null) {
             expectancy = (lossCount / totalTrades) * avgLoss;
         }
         // Average only over signals that have the value — do not dilute the mean with zeros.
@@ -28594,7 +28613,7 @@ class HeatmapStorage {
             `*Sortino Ratio (column): per-symbol Avg PNL / downside deviation, where downside deviation = √( Σ min(0, per-trade PNL)² / total trade count ) (canonical Sortino: MAR = 0, divide by N_total). UNITS: dimensionless. Null when that symbol's trade count < ${MIN_SIGNALS_FOR_RATIOS}, OR no losing trades, OR downside deviation ≤ 1e-9 (float-artifact guard).*`,
             `*Calmar Ratio (column): per-symbol Expected Yearly Returns / Max Drawdown, clamped to ±${MAX_CALMAR_RATIO}. Denominator is the mark-to-market max drawdown of that symbol's compounded equity curve. Null when Expected Yearly Returns is null (requires ≥ ${MIN_SIGNALS_FOR_ANNUALIZATION} signals and a calendar span ≥ ${MIN_CALENDAR_SPAN_DAYS} days for that symbol) OR Max Drawdown ≤ 0.*`,
             `*Recovery Factor (column): per-symbol (final equity − 1) × 100 / Max Drawdown, clamped to ±${MAX_CALMAR_RATIO}. The numerator is the compounded total return of that symbol's equity curve. Null when that symbol's trade count < ${MIN_SIGNALS_FOR_RATIOS}, the equity curve blew up (reached ≤ 0), or Max Drawdown ≤ 0.*`,
-            `*Expectancy (column): per-symbol expected value per trade. Three cases depending on what kinds of trades exist for that symbol: (a) BOTH winning and losing trades present → (winning-trade count / Total Trades) × Avg Win + (losing-trade count / Total Trades) × Avg Loss; (b) only winning trades present → (winning-trade count / Total Trades) × Avg Win (zero contribution from non-existent losses); (c) only losing trades present → (losing-trade count / Total Trades) × Avg Loss. Break-even trades contribute 0 (excluded from both probabilities). UNITS: percent per trade. NOT gated by MIN_SIGNALS — computed whenever Total Trades ≥ 1 and at least one decisive trade exists. (Note: the portfolio-level Expectancy further up in this report uses a single combined formula and IS gated by MIN_SIGNALS_FOR_RATIOS over the pooled count; per-symbol Expectancy is intentionally looser to populate the row early.)*`,
+            `*Expectancy (column): per-symbol expected value per trade. Three cases depending on what kinds of trades exist for that symbol: (a) BOTH winning and losing trades present → (winning-trade count / Total Trades) × Avg Win + (losing-trade count / Total Trades) × Avg Loss; (b) only winning trades present → (winning-trade count / Total Trades) × Avg Win (zero contribution from non-existent losses); (c) only losing trades present → (losing-trade count / Total Trades) × Avg Loss. Break-even trades contribute 0 (excluded from both probabilities). UNITS: percent per trade. Null when that symbol's trade count < ${MIN_SIGNALS_FOR_RATIOS} — the same sample-size gate as the standalone Backtest/Live report and the portfolio-level pooled Expectancy further up, so the per-symbol value never disagrees with the symbol's own standalone report.*`,
             `*Max Drawdown (column): per-symbol mark-to-market max drawdown — the symbol's compounded equity curve applies each closed signal's worst intra-trade excursion (its trough-PNL snapshot, ≤ 0) before booking the realised close, so deep round-trip dips count rather than only realised close-to-close drops. UNITS: percent. NOT realised-only.*`,
             `*Avg Peak PNL / Avg Max Drawdown PNL (columns): per-symbol arithmetic means of each closed signal's peak-PNL / trough-PNL snapshot — the best / worst mark-to-market PNL recorded while the position was open. Signals that never recorded the snapshot are excluded — no zero dilution. UNITS: percent. NOT gated by MIN_SIGNALS — each is null only if no signal for that symbol carries the corresponding snapshot.*`,
             `*Peak Profit PNL / Max Drawdown PNL (columns): per-symbol MAX of the peak-PNL snapshot / MIN of the trough-PNL snapshot across the symbol's stored closed signals. UNITS: percent. The single best best-case and worst worst-case excursions for that symbol — tail behaviour the averages hide. NOT gated by MIN_SIGNALS — each is null only if no signal for that symbol carries the corresponding snapshot.*`,

package/build/index.mjs

@@ -12363,6 +12363,10 @@ const CREATE_COMMIT_SCHEDULE_PING_FN = (self) => trycatch(async (symbol, strateg
         backtest,
         timestamp,
     };
+    {
+        await self.priceMetaService.next(symbol, currentPrice, { strategyName, exchangeName, frameName: data.frameName }, backtest);
+        await self.timeMetaService.next(symbol, timestamp, { strategyName, exchangeName, frameName: data.frameName }, backtest);
+    }
     await schedulePingSubject.next(event);
     await self.actionCoreService.pingScheduled(backtest, event, { strategyName, exchangeName, frameName: data.frameName });
 }, {
@@ -12397,6 +12401,10 @@ const CREATE_COMMIT_IDLE_PING_FN = (self) => trycatch(async (symbol, strategyNam
         backtest,
         timestamp,
     };
+    {
+        await self.priceMetaService.next(symbol, currentPrice, { strategyName, exchangeName, frameName: frameName }, backtest);
+        await self.timeMetaService.next(symbol, timestamp, { strategyName, exchangeName, frameName: frameName }, backtest);
+    }
     await idlePingSubject.next(event);
     await self.actionCoreService.pingIdle(backtest, event, { strategyName, exchangeName, frameName });
 }, {
@@ -12431,6 +12439,10 @@ const CREATE_COMMIT_ACTIVE_PING_FN = (self) => trycatch(async (symbol, strategyN
         backtest,
         timestamp,
     };
+    {
+        await self.priceMetaService.next(symbol, currentPrice, { strategyName, exchangeName, frameName: data.frameName }, backtest);
+        await self.timeMetaService.next(symbol, timestamp, { strategyName, exchangeName, frameName: data.frameName }, backtest);
+    }
     await activePingSubject.next(event);
     await self.actionCoreService.pingActive(backtest, event, { strategyName, exchangeName, frameName: data.frameName });
 }, {
@@ -27659,9 +27671,12 @@ class HeatmapStorage {
         }
         // Per-trade Sharpe Ratio
         let sharpeRatio = null;
+        // canComputeRatios gate is explicit here (matching the standalone Backtest/Live
+        // paths) even though stdDev is already null below MIN_SIGNALS_FOR_RATIOS — relying
+        // on the stdDev===null implication would couple the gate to an unrelated branch.
         // STDDEV_EPSILON guard — protects against float-artifact stdDev producing
         // spuriously astronomical sharpe on identical-returns symbols.
-        if (avgPnl !== null && stdDev !== null && stdDev > STDDEV_EPSILON) {
+        if (canComputeRatios && avgPnl !== null && stdDev !== null && stdDev > STDDEV_EPSILON) {
             sharpeRatio = avgPnl / stdDev;
         }
         // Equity-curve max drawdown via compounded equity ("as-if 100% allocation per trade").
@@ -27854,17 +27869,21 @@ class HeatmapStorage {
                 : sorted[mid];
         }
         // Expectancy — probabilities from observed win/loss counts (break-evens contribute 0).
+        // Gated by MIN_SIGNALS_FOR_RATIOS (via canComputeRatios), same as the standalone
+        // Backtest/Live paths and the portfolio-level pooled Expectancy below — on a tiny
+        // sample the per-trade EV is too noisy to publish, and an ungated per-symbol value
+        // would disagree with the symbol's own standalone report (which IS gated).
         let expectancy = null;
-        if (totalTrades > 0 && avgWin !== null && avgLoss !== null) {
+        if (canComputeRatios && totalTrades > 0 && avgWin !== null && avgLoss !== null) {
             const winProb = winCount / totalTrades;
             const lossProb = lossCount / totalTrades;
             expectancy = winProb * avgWin + lossProb * avgLoss;
         }
-        else if (totalTrades > 0 && avgWin !== null && avgLoss === null) {
+        else if (canComputeRatios && totalTrades > 0 && avgWin !== null && avgLoss === null) {
             // No losing trades — expectancy is just average win frequency × avgWin
             expectancy = (winCount / totalTrades) * avgWin;
         }
-        else if (totalTrades > 0 && avgWin === null && avgLoss !== null) {
+        else if (canComputeRatios && totalTrades > 0 && avgWin === null && avgLoss !== null) {
             expectancy = (lossCount / totalTrades) * avgLoss;
         }
         // Average only over signals that have the value — do not dilute the mean with zeros.
@@ -28574,7 +28593,7 @@ class HeatmapStorage {
             `*Sortino Ratio (column): per-symbol Avg PNL / downside deviation, where downside deviation = √( Σ min(0, per-trade PNL)² / total trade count ) (canonical Sortino: MAR = 0, divide by N_total). UNITS: dimensionless. Null when that symbol's trade count < ${MIN_SIGNALS_FOR_RATIOS}, OR no losing trades, OR downside deviation ≤ 1e-9 (float-artifact guard).*`,
             `*Calmar Ratio (column): per-symbol Expected Yearly Returns / Max Drawdown, clamped to ±${MAX_CALMAR_RATIO}. Denominator is the mark-to-market max drawdown of that symbol's compounded equity curve. Null when Expected Yearly Returns is null (requires ≥ ${MIN_SIGNALS_FOR_ANNUALIZATION} signals and a calendar span ≥ ${MIN_CALENDAR_SPAN_DAYS} days for that symbol) OR Max Drawdown ≤ 0.*`,
             `*Recovery Factor (column): per-symbol (final equity − 1) × 100 / Max Drawdown, clamped to ±${MAX_CALMAR_RATIO}. The numerator is the compounded total return of that symbol's equity curve. Null when that symbol's trade count < ${MIN_SIGNALS_FOR_RATIOS}, the equity curve blew up (reached ≤ 0), or Max Drawdown ≤ 0.*`,
-            `*Expectancy (column): per-symbol expected value per trade. Three cases depending on what kinds of trades exist for that symbol: (a) BOTH winning and losing trades present → (winning-trade count / Total Trades) × Avg Win + (losing-trade count / Total Trades) × Avg Loss; (b) only winning trades present → (winning-trade count / Total Trades) × Avg Win (zero contribution from non-existent losses); (c) only losing trades present → (losing-trade count / Total Trades) × Avg Loss. Break-even trades contribute 0 (excluded from both probabilities). UNITS: percent per trade. NOT gated by MIN_SIGNALS — computed whenever Total Trades ≥ 1 and at least one decisive trade exists. (Note: the portfolio-level Expectancy further up in this report uses a single combined formula and IS gated by MIN_SIGNALS_FOR_RATIOS over the pooled count; per-symbol Expectancy is intentionally looser to populate the row early.)*`,
+            `*Expectancy (column): per-symbol expected value per trade. Three cases depending on what kinds of trades exist for that symbol: (a) BOTH winning and losing trades present → (winning-trade count / Total Trades) × Avg Win + (losing-trade count / Total Trades) × Avg Loss; (b) only winning trades present → (winning-trade count / Total Trades) × Avg Win (zero contribution from non-existent losses); (c) only losing trades present → (losing-trade count / Total Trades) × Avg Loss. Break-even trades contribute 0 (excluded from both probabilities). UNITS: percent per trade. Null when that symbol's trade count < ${MIN_SIGNALS_FOR_RATIOS} — the same sample-size gate as the standalone Backtest/Live report and the portfolio-level pooled Expectancy further up, so the per-symbol value never disagrees with the symbol's own standalone report.*`,
             `*Max Drawdown (column): per-symbol mark-to-market max drawdown — the symbol's compounded equity curve applies each closed signal's worst intra-trade excursion (its trough-PNL snapshot, ≤ 0) before booking the realised close, so deep round-trip dips count rather than only realised close-to-close drops. UNITS: percent. NOT realised-only.*`,
             `*Avg Peak PNL / Avg Max Drawdown PNL (columns): per-symbol arithmetic means of each closed signal's peak-PNL / trough-PNL snapshot — the best / worst mark-to-market PNL recorded while the position was open. Signals that never recorded the snapshot are excluded — no zero dilution. UNITS: percent. NOT gated by MIN_SIGNALS — each is null only if no signal for that symbol carries the corresponding snapshot.*`,
             `*Peak Profit PNL / Max Drawdown PNL (columns): per-symbol MAX of the peak-PNL snapshot / MIN of the trough-PNL snapshot across the symbol's stored closed signals. UNITS: percent. The single best best-case and worst worst-case excursions for that symbol — tail behaviour the averages hide. NOT gated by MIN_SIGNALS — each is null only if no signal for that symbol carries the corresponding snapshot.*`,

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "backtest-kit",
-  "version": "12.1.0",
+  "version": "12.3.0",
   "description": "A TypeScript library for trading system backtest",
   "author": {
     "name": "Petr Tripolsky",