backtest-kit 8.1.1 → 8.1.2

package/build/index.cjs

@@ -24657,10 +24657,18 @@ class HeatmapStorage {
         }
         // 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 (maxAbsFall > 0 && totalPnl !== null) {
-            calmarRatio = totalPnl / maxAbsFall;
+            calmarRatio = expectedYearlyReturns / maxAbsFall;
             recoveryFactor = totalPnl / maxAbsFall;
         }
         // Apply safe math checks

package/build/index.mjs

@@ -24637,10 +24637,18 @@ class HeatmapStorage {
         }
         // 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 (maxAbsFall > 0 && totalPnl !== null) {
-            calmarRatio = totalPnl / maxAbsFall;
+            calmarRatio = expectedYearlyReturns / maxAbsFall;
             recoveryFactor = totalPnl / maxAbsFall;
         }
         // Apply safe math checks

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "backtest-kit",
-  "version": "8.1.1",
+  "version": "8.1.2",
   "description": "A TypeScript library for trading system backtest",
   "author": {
     "name": "Petr Tripolsky",