backtest-kit 8.1.0 → 8.1.2

package/build/index.cjs

@@ -21926,10 +21926,10 @@ let ReportStorage$a = class ReportStorage {
         const fallVariance = fallReturns.reduce((sum, r) => sum + Math.pow(r, 2), 0) / totalSignals;
         const fallDeviation = Math.sqrt(fallVariance);
         const sortinoRatio = fallDeviation > 0 ? avgPnl / fallDeviation : 0;
-        // Avg absolute peak drawdown per signal — used as denominator for Calmar and Recovery
-        const avgAbsFall = fallReturns.reduce((sum, r) => sum + Math.abs(r), 0) / totalSignals;
-        const calmarRatio = avgAbsFall > 0 ? expectedYearlyReturns / avgAbsFall : 0;
-        const recoveryFactor = avgAbsFall > 0 ? totalPnl / avgAbsFall : 0;
+        // Max absolute drawdown across all signals — used as denominator for Calmar and Recovery
+        const maxAbsFall = fallReturns.reduce((max, r) => Math.max(max, Math.abs(r)), 0);
+        const calmarRatio = maxAbsFall > 0 ? expectedYearlyReturns / maxAbsFall : 0;
+        const recoveryFactor = maxAbsFall > 0 ? totalPnl / maxAbsFall : 0;
         return {
             signalList: this._signalList,
             totalSignals,
@@ -22658,12 +22658,10 @@ let ReportStorage$9 = class ReportStorage {
             const fallDeviation = Math.sqrt(fallVariance);
             sortinoRatio = fallDeviation > 0 ? avgPnl / fallDeviation : 0;
         }
-        // Avg absolute peak drawdown per signal — denominator for Calmar and Recovery
-        const avgAbsFall = totalClosed > 0
-            ? fallReturns.reduce((sum, r) => sum + Math.abs(r), 0) / totalClosed
-            : 0;
-        const calmarRatio = avgAbsFall > 0 ? expectedYearlyReturns / avgAbsFall : 0;
-        const recoveryFactor = avgAbsFall > 0 ? totalPnl / avgAbsFall : 0;
+        // Max absolute drawdown across all signals — denominator for Calmar and Recovery
+        const maxAbsFall = fallReturns.reduce((max, r) => Math.max(max, Math.abs(r)), 0);
+        const calmarRatio = maxAbsFall > 0 ? expectedYearlyReturns / maxAbsFall : 0;
+        const recoveryFactor = maxAbsFall > 0 ? totalPnl / maxAbsFall : 0;
         return {
             eventList: this._eventList,
             totalEvents: this._eventList.length,
@@ -24657,15 +24655,21 @@ class HeatmapStorage {
                 sortinoRatio = avgPnl / fallDeviation;
             }
         }
-        // Avg absolute peak drawdown per signal — denominator for Calmar and Recovery
-        const avgAbsFall = signals.length > 0
-            ? fallReturns.reduce((acc, r) => acc + Math.abs(r), 0) / signals.length
-            : 0;
+        // Max absolute drawdown across all signals — denominator for Calmar and Recovery
+        const maxAbsFall = fallReturns.reduce((max, r) => Math.max(max, Math.abs(r)), 0);
+        // Expected yearly returns — needed for Calmar
+        let expectedYearlyReturns = 0;
+        if (signals.length > 0 && avgPnl !== null) {
+            const avgDurationMs = signals.reduce((sum, s) => sum + (s.closeTimestamp - s.signal.pendingAt), 0) / signals.length;
+            const avgDurationDays = avgDurationMs / (1000 * 60 * 60 * 24);
+            const tradesPerYear = avgDurationDays > 0 ? 365 / avgDurationDays : 0;
+            expectedYearlyReturns = avgPnl * tradesPerYear;
+        }
         let calmarRatio = null;
         let recoveryFactor = null;
-        if (avgAbsFall > 0 && totalPnl !== null) {
-            calmarRatio = totalPnl / avgAbsFall;
-            recoveryFactor = totalPnl / avgAbsFall;
+        if (maxAbsFall > 0 && totalPnl !== null) {
+            calmarRatio = expectedYearlyReturns / maxAbsFall;
+            recoveryFactor = totalPnl / maxAbsFall;
         }
         // Apply safe math checks
         if (isUnsafe(winRate))

package/build/index.mjs

@@ -21906,10 +21906,10 @@ let ReportStorage$a = class ReportStorage {
         const fallVariance = fallReturns.reduce((sum, r) => sum + Math.pow(r, 2), 0) / totalSignals;
         const fallDeviation = Math.sqrt(fallVariance);
         const sortinoRatio = fallDeviation > 0 ? avgPnl / fallDeviation : 0;
-        // Avg absolute peak drawdown per signal — used as denominator for Calmar and Recovery
-        const avgAbsFall = fallReturns.reduce((sum, r) => sum + Math.abs(r), 0) / totalSignals;
-        const calmarRatio = avgAbsFall > 0 ? expectedYearlyReturns / avgAbsFall : 0;
-        const recoveryFactor = avgAbsFall > 0 ? totalPnl / avgAbsFall : 0;
+        // Max absolute drawdown across all signals — used as denominator for Calmar and Recovery
+        const maxAbsFall = fallReturns.reduce((max, r) => Math.max(max, Math.abs(r)), 0);
+        const calmarRatio = maxAbsFall > 0 ? expectedYearlyReturns / maxAbsFall : 0;
+        const recoveryFactor = maxAbsFall > 0 ? totalPnl / maxAbsFall : 0;
         return {
             signalList: this._signalList,
             totalSignals,
@@ -22638,12 +22638,10 @@ let ReportStorage$9 = class ReportStorage {
             const fallDeviation = Math.sqrt(fallVariance);
             sortinoRatio = fallDeviation > 0 ? avgPnl / fallDeviation : 0;
         }
-        // Avg absolute peak drawdown per signal — denominator for Calmar and Recovery
-        const avgAbsFall = totalClosed > 0
-            ? fallReturns.reduce((sum, r) => sum + Math.abs(r), 0) / totalClosed
-            : 0;
-        const calmarRatio = avgAbsFall > 0 ? expectedYearlyReturns / avgAbsFall : 0;
-        const recoveryFactor = avgAbsFall > 0 ? totalPnl / avgAbsFall : 0;
+        // Max absolute drawdown across all signals — denominator for Calmar and Recovery
+        const maxAbsFall = fallReturns.reduce((max, r) => Math.max(max, Math.abs(r)), 0);
+        const calmarRatio = maxAbsFall > 0 ? expectedYearlyReturns / maxAbsFall : 0;
+        const recoveryFactor = maxAbsFall > 0 ? totalPnl / maxAbsFall : 0;
         return {
             eventList: this._eventList,
             totalEvents: this._eventList.length,
@@ -24637,15 +24635,21 @@ class HeatmapStorage {
                 sortinoRatio = avgPnl / fallDeviation;
             }
         }
-        // Avg absolute peak drawdown per signal — denominator for Calmar and Recovery
-        const avgAbsFall = signals.length > 0
-            ? fallReturns.reduce((acc, r) => acc + Math.abs(r), 0) / signals.length
-            : 0;
+        // Max absolute drawdown across all signals — denominator for Calmar and Recovery
+        const maxAbsFall = fallReturns.reduce((max, r) => Math.max(max, Math.abs(r)), 0);
+        // Expected yearly returns — needed for Calmar
+        let expectedYearlyReturns = 0;
+        if (signals.length > 0 && avgPnl !== null) {
+            const avgDurationMs = signals.reduce((sum, s) => sum + (s.closeTimestamp - s.signal.pendingAt), 0) / signals.length;
+            const avgDurationDays = avgDurationMs / (1000 * 60 * 60 * 24);
+            const tradesPerYear = avgDurationDays > 0 ? 365 / avgDurationDays : 0;
+            expectedYearlyReturns = avgPnl * tradesPerYear;
+        }
         let calmarRatio = null;
         let recoveryFactor = null;
-        if (avgAbsFall > 0 && totalPnl !== null) {
-            calmarRatio = totalPnl / avgAbsFall;
-            recoveryFactor = totalPnl / avgAbsFall;
+        if (maxAbsFall > 0 && totalPnl !== null) {
+            calmarRatio = expectedYearlyReturns / maxAbsFall;
+            recoveryFactor = totalPnl / maxAbsFall;
         }
         // Apply safe math checks
         if (isUnsafe(winRate))

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "backtest-kit",
-  "version": "8.1.0",
+  "version": "8.1.2",
   "description": "A TypeScript library for trading system backtest",
   "author": {
     "name": "Petr Tripolsky",