npm - backtest-kit - Versions diffs - 3.1.1 → 3.2.0 - Mend

backtest-kit 3.1.1 → 3.2.0

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Files changed (3) hide show

package/build/index.cjs CHANGED Viewed

@@ -2907,7 +2907,7 @@ class ExchangeConnectionService {
  * - Calculates weighted PNL: Σ(percent_i × pnl_i) for each partial + (remaining% × final_pnl)
  * - Each partial close has its own slippage
  * - Open fee is charged once; close fees are proportional to each partial's size
- * - Total fees = CC_PERCENT_FEE (open) + CC_PERCENT_FEE × 1 (closes sum to 100%) = 2 × CC_PERCENT_FEE
+ * - Total fees = CC_PERCENT_FEE (open) + Σ CC_PERCENT_FEE × (partial% / 100) × (closeWithSlip / openWithSlip)
  *
  * Formula breakdown:
  * 1. Apply slippage to open/close prices (worse execution)
@@ -2916,7 +2916,7 @@ class ExchangeConnectionService {
  * 2. Calculate raw PNL percentage
  *    - LONG: ((closePrice - openPrice) / openPrice) * 100
  *    - SHORT: ((openPrice - closePrice) / openPrice) * 100
- * 3. Subtract total fees (0.1% * 2 = 0.2% per transaction)
+ * 3. Subtract total fees: open fee + close fee adjusted for slippage-affected execution price
  *
  * @param signal - Closed signal with position details and optional partial history
  * @param priceClose - Actual close price at final exit
@@ -2956,67 +2956,47 @@ const toProfitLossDto = (signal, priceClose) => {
         let totalWeightedPnl = 0;
         // Open fee is paid once for the whole position
         let totalFees = GLOBAL_CONFIG.CC_PERCENT_FEE;
+        // priceOpenWithSlippage is the same for all partials — compute once
+        const priceOpenWithSlippage = signal.position === "long"
+            ? priceOpen * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100)
+            : priceOpen * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
         // Calculate PNL for each partial close
         for (const partial of signal._partial) {
             const partialPercent = partial.percent;
-            const partialPrice = partial.price;
-            // Apply slippage to prices
-            let priceOpenWithSlippage;
-            let priceCloseWithSlippage;
-            if (signal.position === "long") {
-                priceOpenWithSlippage = priceOpen * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
-                priceCloseWithSlippage = partialPrice * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
-            }
-            else {
-                priceOpenWithSlippage = priceOpen * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
-                priceCloseWithSlippage = partialPrice * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
-            }
+            const priceCloseWithSlippage = signal.position === "long"
+                ? partial.price * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100)
+                : partial.price * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
             // Calculate PNL for this partial
-            let partialPnl;
-            if (signal.position === "long") {
-                partialPnl = ((priceCloseWithSlippage - priceOpenWithSlippage) / priceOpenWithSlippage) * 100;
-            }
-            else {
-                partialPnl = ((priceOpenWithSlippage - priceCloseWithSlippage) / priceOpenWithSlippage) * 100;
-            }
+            const partialPnl = signal.position === "long"
+                ? ((priceCloseWithSlippage - priceOpenWithSlippage) / priceOpenWithSlippage) * 100
+                : ((priceOpenWithSlippage - priceCloseWithSlippage) / priceOpenWithSlippage) * 100;
             // Weight by percentage of position closed
-            const weightedPnl = (partialPercent / 100) * partialPnl;
-            totalWeightedPnl += weightedPnl;
-            // Close fee is proportional to the size of this partial
-            totalFees += GLOBAL_CONFIG.CC_PERCENT_FEE * (partialPercent / 100);
+            totalWeightedPnl += (partialPercent / 100) * partialPnl;
+            // Close fee is proportional to the size of this partial and adjusted for slippage
+            totalFees += GLOBAL_CONFIG.CC_PERCENT_FEE * (partialPercent / 100) * (priceCloseWithSlippage / priceOpenWithSlippage);
         }
         // Calculate PNL for remaining position (if any)
         // Compute totalClosed from _partial array
         const totalClosed = signal._partial.reduce((sum, p) => sum + p.percent, 0);
+        if (totalClosed > 100) {
+            throw new Error(`Partial closes exceed 100%: ${totalClosed}% (signal id: ${signal.id})`);
+        }
         const remainingPercent = 100 - totalClosed;
         if (remainingPercent > 0) {
-            // Apply slippage
-            let priceOpenWithSlippage;
-            let priceCloseWithSlippage;
-            if (signal.position === "long") {
-                priceOpenWithSlippage = priceOpen * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
-                priceCloseWithSlippage = priceClose * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
-            }
-            else {
-                priceOpenWithSlippage = priceOpen * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
-                priceCloseWithSlippage = priceClose * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
-            }
+            const priceCloseWithSlippage = signal.position === "long"
+                ? priceClose * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100)
+                : priceClose * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
             // Calculate PNL for remaining
-            let remainingPnl;
-            if (signal.position === "long") {
-                remainingPnl = ((priceCloseWithSlippage - priceOpenWithSlippage) / priceOpenWithSlippage) * 100;
-            }
-            else {
-                remainingPnl = ((priceOpenWithSlippage - priceCloseWithSlippage) / priceOpenWithSlippage) * 100;
-            }
+            const remainingPnl = signal.position === "long"
+                ? ((priceCloseWithSlippage - priceOpenWithSlippage) / priceOpenWithSlippage) * 100
+                : ((priceOpenWithSlippage - priceCloseWithSlippage) / priceOpenWithSlippage) * 100;
             // Weight by remaining percentage
-            const weightedRemainingPnl = (remainingPercent / 100) * remainingPnl;
-            totalWeightedPnl += weightedRemainingPnl;
-            // Close fee is proportional to the remaining size
-            totalFees += GLOBAL_CONFIG.CC_PERCENT_FEE * (remainingPercent / 100);
+            totalWeightedPnl += (remainingPercent / 100) * remainingPnl;
+            // Close fee is proportional to the remaining size and adjusted for slippage
+            totalFees += GLOBAL_CONFIG.CC_PERCENT_FEE * (remainingPercent / 100) * (priceCloseWithSlippage / priceOpenWithSlippage);
         }
         // Subtract total fees from weighted PNL
-        // totalFees = CC_PERCENT_FEE (open) + CC_PERCENT_FEE × 1 (all closes sum to 100%) = 2 × CC_PERCENT_FEE
+        // totalFees = CC_PERCENT_FEE (open) + Σ CC_PERCENT_FEE × (partialPercent/100) × (closeWithSlip/openWithSlip)
         const pnlPercentage = totalWeightedPnl - totalFees;
         return {
             pnlPercentage,
@@ -3037,8 +3017,8 @@ const toProfitLossDto = (signal, priceClose) => {
         priceOpenWithSlippage = priceOpen * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
         priceCloseWithSlippage = priceClose * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
     }
-    // Применяем комиссию дважды (при открытии и закрытии)
-    const totalFee = GLOBAL_CONFIG.CC_PERCENT_FEE * 2;
+    // Открытие: комиссия от цены входа; закрытие: комиссия от фактической цены выхода (с учётом slippage)
+    const totalFee = GLOBAL_CONFIG.CC_PERCENT_FEE * (1 + priceCloseWithSlippage / priceOpenWithSlippage);
     let pnlPercentage;
     if (signal.position === "long") {
         // LONG: прибыль при росте цены

package/build/index.mjs CHANGED Viewed

@@ -2887,7 +2887,7 @@ class ExchangeConnectionService {
  * - Calculates weighted PNL: Σ(percent_i × pnl_i) for each partial + (remaining% × final_pnl)
  * - Each partial close has its own slippage
  * - Open fee is charged once; close fees are proportional to each partial's size
- * - Total fees = CC_PERCENT_FEE (open) + CC_PERCENT_FEE × 1 (closes sum to 100%) = 2 × CC_PERCENT_FEE
+ * - Total fees = CC_PERCENT_FEE (open) + Σ CC_PERCENT_FEE × (partial% / 100) × (closeWithSlip / openWithSlip)
  *
  * Formula breakdown:
  * 1. Apply slippage to open/close prices (worse execution)
@@ -2896,7 +2896,7 @@ class ExchangeConnectionService {
  * 2. Calculate raw PNL percentage
  *    - LONG: ((closePrice - openPrice) / openPrice) * 100
  *    - SHORT: ((openPrice - closePrice) / openPrice) * 100
- * 3. Subtract total fees (0.1% * 2 = 0.2% per transaction)
+ * 3. Subtract total fees: open fee + close fee adjusted for slippage-affected execution price
  *
  * @param signal - Closed signal with position details and optional partial history
  * @param priceClose - Actual close price at final exit
@@ -2936,67 +2936,47 @@ const toProfitLossDto = (signal, priceClose) => {
         let totalWeightedPnl = 0;
         // Open fee is paid once for the whole position
         let totalFees = GLOBAL_CONFIG.CC_PERCENT_FEE;
+        // priceOpenWithSlippage is the same for all partials — compute once
+        const priceOpenWithSlippage = signal.position === "long"
+            ? priceOpen * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100)
+            : priceOpen * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
         // Calculate PNL for each partial close
         for (const partial of signal._partial) {
             const partialPercent = partial.percent;
-            const partialPrice = partial.price;
-            // Apply slippage to prices
-            let priceOpenWithSlippage;
-            let priceCloseWithSlippage;
-            if (signal.position === "long") {
-                priceOpenWithSlippage = priceOpen * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
-                priceCloseWithSlippage = partialPrice * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
-            }
-            else {
-                priceOpenWithSlippage = priceOpen * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
-                priceCloseWithSlippage = partialPrice * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
-            }
+            const priceCloseWithSlippage = signal.position === "long"
+                ? partial.price * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100)
+                : partial.price * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
             // Calculate PNL for this partial
-            let partialPnl;
-            if (signal.position === "long") {
-                partialPnl = ((priceCloseWithSlippage - priceOpenWithSlippage) / priceOpenWithSlippage) * 100;
-            }
-            else {
-                partialPnl = ((priceOpenWithSlippage - priceCloseWithSlippage) / priceOpenWithSlippage) * 100;
-            }
+            const partialPnl = signal.position === "long"
+                ? ((priceCloseWithSlippage - priceOpenWithSlippage) / priceOpenWithSlippage) * 100
+                : ((priceOpenWithSlippage - priceCloseWithSlippage) / priceOpenWithSlippage) * 100;
             // Weight by percentage of position closed
-            const weightedPnl = (partialPercent / 100) * partialPnl;
-            totalWeightedPnl += weightedPnl;
-            // Close fee is proportional to the size of this partial
-            totalFees += GLOBAL_CONFIG.CC_PERCENT_FEE * (partialPercent / 100);
+            totalWeightedPnl += (partialPercent / 100) * partialPnl;
+            // Close fee is proportional to the size of this partial and adjusted for slippage
+            totalFees += GLOBAL_CONFIG.CC_PERCENT_FEE * (partialPercent / 100) * (priceCloseWithSlippage / priceOpenWithSlippage);
         }
         // Calculate PNL for remaining position (if any)
         // Compute totalClosed from _partial array
         const totalClosed = signal._partial.reduce((sum, p) => sum + p.percent, 0);
+        if (totalClosed > 100) {
+            throw new Error(`Partial closes exceed 100%: ${totalClosed}% (signal id: ${signal.id})`);
+        }
         const remainingPercent = 100 - totalClosed;
         if (remainingPercent > 0) {
-            // Apply slippage
-            let priceOpenWithSlippage;
-            let priceCloseWithSlippage;
-            if (signal.position === "long") {
-                priceOpenWithSlippage = priceOpen * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
-                priceCloseWithSlippage = priceClose * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
-            }
-            else {
-                priceOpenWithSlippage = priceOpen * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
-                priceCloseWithSlippage = priceClose * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
-            }
+            const priceCloseWithSlippage = signal.position === "long"
+                ? priceClose * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100)
+                : priceClose * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
             // Calculate PNL for remaining
-            let remainingPnl;
-            if (signal.position === "long") {
-                remainingPnl = ((priceCloseWithSlippage - priceOpenWithSlippage) / priceOpenWithSlippage) * 100;
-            }
-            else {
-                remainingPnl = ((priceOpenWithSlippage - priceCloseWithSlippage) / priceOpenWithSlippage) * 100;
-            }
+            const remainingPnl = signal.position === "long"
+                ? ((priceCloseWithSlippage - priceOpenWithSlippage) / priceOpenWithSlippage) * 100
+                : ((priceOpenWithSlippage - priceCloseWithSlippage) / priceOpenWithSlippage) * 100;
             // Weight by remaining percentage
-            const weightedRemainingPnl = (remainingPercent / 100) * remainingPnl;
-            totalWeightedPnl += weightedRemainingPnl;
-            // Close fee is proportional to the remaining size
-            totalFees += GLOBAL_CONFIG.CC_PERCENT_FEE * (remainingPercent / 100);
+            totalWeightedPnl += (remainingPercent / 100) * remainingPnl;
+            // Close fee is proportional to the remaining size and adjusted for slippage
+            totalFees += GLOBAL_CONFIG.CC_PERCENT_FEE * (remainingPercent / 100) * (priceCloseWithSlippage / priceOpenWithSlippage);
         }
         // Subtract total fees from weighted PNL
-        // totalFees = CC_PERCENT_FEE (open) + CC_PERCENT_FEE × 1 (all closes sum to 100%) = 2 × CC_PERCENT_FEE
+        // totalFees = CC_PERCENT_FEE (open) + Σ CC_PERCENT_FEE × (partialPercent/100) × (closeWithSlip/openWithSlip)
         const pnlPercentage = totalWeightedPnl - totalFees;
         return {
             pnlPercentage,
@@ -3017,8 +2997,8 @@ const toProfitLossDto = (signal, priceClose) => {
         priceOpenWithSlippage = priceOpen * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
         priceCloseWithSlippage = priceClose * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
     }
-    // Применяем комиссию дважды (при открытии и закрытии)
-    const totalFee = GLOBAL_CONFIG.CC_PERCENT_FEE * 2;
+    // Открытие: комиссия от цены входа; закрытие: комиссия от фактической цены выхода (с учётом slippage)
+    const totalFee = GLOBAL_CONFIG.CC_PERCENT_FEE * (1 + priceCloseWithSlippage / priceOpenWithSlippage);
     let pnlPercentage;
     if (signal.position === "long") {
         // LONG: прибыль при росте цены

package/package.json CHANGED Viewed

@@ -1,6 +1,6 @@
 {
   "name": "backtest-kit",
-  "version": "3.1.1",
+  "version": "3.2.0",
   "description": "A TypeScript library for trading system backtest",
   "author": {
     "name": "Petr Tripolsky",