backtest-kit 7.8.0 → 8.0.0

package/package.json

@@ -1,86 +1,86 @@
-{
-  "name": "backtest-kit",
-  "version": "7.8.0",
-  "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": "^1.1.2"
-  },
-  "publishConfig": {
-    "access": "public"
-  }
-}
+{
+  "name": "backtest-kit",
+  "version": "8.0.0",
+  "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": "^1.1.2"
+  },
+  "publishConfig": {
+    "access": "public"
+  }
+}

package/types.d.ts

@@ -4466,6 +4466,12 @@ interface BacktestStatisticsModel {
     avgPeakPnl: number | null;
     /** Average fall PNL percentage across all signals (_fall.pnlPercentage), null if unsafe. Lower (more negative) means deeper drawdowns. */
     avgFallPnl: number | null;
+    /** Sortino Ratio (avgPnl / downside deviation — stdDev of losses only), null if unsafe. Higher is better. */
+    sortinoRatio: number | null;
+    /** Calmar Ratio (annualized expected return / max drawdown), null if unsafe. Higher is better. */
+    calmarRatio: number | null;
+    /** Recovery Factor (totalPnl / max drawdown), null if unsafe. Higher is better. */
+    recoveryFactor: number | null;
 }
 
 /**
@@ -10259,6 +10265,12 @@ interface IHeatmapRow {
     avgPeakPnl: number | null;
     /** Average fall PNL percentage across all trades (_fall.pnlPercentage). Closer to 0 is better. */
     avgFallPnl: number | null;
+    /** Sortino Ratio (avgPnl / downside deviation — stdDev of losses 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;
 }
 
 /**
@@ -12131,6 +12143,12 @@ interface LiveStatisticsModel {
     avgPeakPnl: number | null;
     /** Average fall PNL percentage across all closed signals (_fall.pnlPercentage), null if unsafe. Closer to 0 is better. */
     avgFallPnl: number | null;
+    /** Sortino Ratio (avgPnl / downside deviation — stdDev of losses only), null if unsafe. Higher is better. */
+    sortinoRatio: number | null;
+    /** Calmar Ratio (annualized expected return / max drawdown), null if unsafe. Higher is better. */
+    calmarRatio: number | null;
+    /** Recovery Factor (totalPnl / max drawdown), null if unsafe. Higher is better. */
+    recoveryFactor: number | null;
 }
 
 /**
@@ -14593,7 +14611,7 @@ declare class ReportBase implements TReportBase {
      * Waits for drain event if write buffer is full.
      * Times out after 15 seconds and returns TIMEOUT_SYMBOL.
      */
-    [WRITE_SAFE_SYMBOL]: (line: string) => Promise<symbol | void>;
+    [WRITE_SAFE_SYMBOL]: functools_kit.IWrappedQueuedFn<symbol | void, [line: string]>;
     /**
      * Initializes the JSONL file and write stream.
      * Safe to call multiple times - singleshot ensures one-time execution.