elemento-alpha-tools 1.3.6 → 1.3.9

package/dist/index.d.ts

@@ -28,6 +28,7 @@ export { RealOrder as RealOrder } from "./sort/real/RealOrder";
 export { ReturnGoal as ReturnGoal } from "./optimization/search/portfolio/goals/ReturnGoal";
 export { VolatilityGoal as VolatilityGoal } from "./optimization/search/portfolio/goals/VolatilityGoal";
 export { PortfolioSearch as PortfolioSearch } from "./optimization/search/portfolio/SPEA2PortfolioSearch";
+export { computeAssetMetrics as computeAssetMetrics, AssetMetrics as AssetMetrics } from "./optimization/assetsMetricsCalculator/AssetMetricsCalculator";
 export { applyLoginMocks as applyLoginMocks } from "./crud/test/LoginServiceMocks";
 export { applyPlatformMocks as applyPlatformMocks } from "./crud/test/PlatformMocks";
 export { applyRoleMocks as applyRoleMocks } from "./crud/test/RoleMocks";

package/dist/index.js

@@ -1,6 +1,6 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.applyTypeMocks = exports.applyStatusMocks = exports.applyRoleMocks = exports.applyPlatformMocks = exports.applyLoginMocks = exports.PortfolioSearch = exports.VolatilityGoal = exports.ReturnGoal = exports.RealOrder = exports.PortfolioXOver = exports.PortfolioMutation = exports.PopulationGenerator = exports.PortfolioIndividualBuilder = exports.PortfolioSpace = exports.UserManager = exports.UserCredentialsManager = exports.TypeManager = exports.StatusManager = exports.SourcesManager = exports.RoleManager = exports.PortfolioBenchmarkManager = exports.PlatformManager = exports.OptimizationManager = exports.MarketDataManager = exports.IntermediaryDataManager = exports.IntermediaryManager = exports.ForecastManager = exports.ComponentManager = exports.BusinessManager = exports.AvailablePlataformManager = exports.ConfigManager = exports.AssetsManager = exports.RoleServicePermissionsChecker = exports.ServiceSessionChecker = exports.ExpressLogableConfig = void 0;
+exports.applyTypeMocks = exports.applyStatusMocks = exports.applyRoleMocks = exports.applyPlatformMocks = exports.applyLoginMocks = exports.computeAssetMetrics = exports.PortfolioSearch = exports.VolatilityGoal = exports.ReturnGoal = exports.RealOrder = exports.PortfolioXOver = exports.PortfolioMutation = exports.PopulationGenerator = exports.PortfolioIndividualBuilder = exports.PortfolioSpace = exports.UserManager = exports.UserCredentialsManager = exports.TypeManager = exports.StatusManager = exports.SourcesManager = exports.RoleManager = exports.PortfolioBenchmarkManager = exports.PlatformManager = exports.OptimizationManager = exports.MarketDataManager = exports.IntermediaryDataManager = exports.IntermediaryManager = exports.ForecastManager = exports.ComponentManager = exports.BusinessManager = exports.AvailablePlataformManager = exports.ConfigManager = exports.AssetsManager = exports.RoleServicePermissionsChecker = exports.ServiceSessionChecker = exports.ExpressLogableConfig = void 0;
 var ExpressLogableConfig_1 = require("./ap\u00ED/ExpressLogableConfig");
 Object.defineProperty(exports, "ExpressLogableConfig", { enumerable: true, get: function () { return ExpressLogableConfig_1.ExpressLogableConfig; } });
 var ServiceSessionChecker_1 = require("./ap\u00ED/checkers/ServiceSessionChecker");
@@ -61,6 +61,8 @@ var VolatilityGoal_1 = require("./optimization/search/portfolio/goals/Volatility
 Object.defineProperty(exports, "VolatilityGoal", { enumerable: true, get: function () { return VolatilityGoal_1.VolatilityGoal; } });
 var SPEA2PortfolioSearch_1 = require("./optimization/search/portfolio/SPEA2PortfolioSearch");
 Object.defineProperty(exports, "PortfolioSearch", { enumerable: true, get: function () { return SPEA2PortfolioSearch_1.PortfolioSearch; } });
+var AssetMetricsCalculator_1 = require("./optimization/assetsMetricsCalculator/AssetMetricsCalculator");
+Object.defineProperty(exports, "computeAssetMetrics", { enumerable: true, get: function () { return AssetMetricsCalculator_1.computeAssetMetrics; } });
 var LoginServiceMocks_1 = require("./crud/test/LoginServiceMocks");
 Object.defineProperty(exports, "applyLoginMocks", { enumerable: true, get: function () { return LoginServiceMocks_1.applyLoginMocks; } });
 var PlatformMocks_1 = require("./crud/test/PlatformMocks");

package/dist/index.js.map

@@ -1 +1 @@
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package/dist/optimization/assetsMetricsCalculator/AssetMetricsCalculator.d.ts

@@ -0,0 +1,9 @@
+export interface AssetMetrics {
+    return: number;
+    volatility: number;
+    ratio: number;
+    sortino: number;
+    maxdrawdown: number;
+    downsiderisk: number;
+}
+export declare function computeAssetMetrics(rawPrices: Array<number | null | undefined>): AssetMetrics | null;

package/dist/optimization/assetsMetricsCalculator/AssetMetricsCalculator.js

@@ -0,0 +1,65 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.computeAssetMetrics = computeAssetMetrics;
+const ANNUALIZATION_DAYS = 365;
+function dailyReturns(prices) {
+    const returns = [];
+    for (let i = 1; i < prices.length; i++)
+        returns.push(prices[i] / prices[i - 1] - 1);
+    return returns;
+}
+function average(values) {
+    return values.reduce((total, value) => total + value, 0) / values.length;
+}
+function annualizedReturn(returns) {
+    return Math.pow(1 + average(returns), ANNUALIZATION_DAYS) - 1;
+}
+function annualizedVolatility(returns) {
+    const mean = average(returns);
+    const variance = average(returns.map(r => Math.pow((r - mean), 2)));
+    return Math.sqrt(variance * ANNUALIZATION_DAYS);
+}
+function annualizedDownsideRisk(returns) {
+    const negatives = returns.filter(r => r < 0);
+    if (negatives.length === 0)
+        return 0;
+    const mean = average(negatives);
+    const variance = average(negatives.map(r => Math.pow((r - mean), 2)));
+    return Math.sqrt(variance) * Math.sqrt(ANNUALIZATION_DAYS);
+}
+function maxDrawdown(returns) {
+    let value = 100;
+    let peak = value;
+    let worst = 0;
+    for (const r of returns) {
+        value *= 1 + r;
+        if (value > peak)
+            peak = value;
+        else {
+            const drawdown = Math.abs(value / peak - 1);
+            if (drawdown > worst)
+                worst = drawdown;
+        }
+    }
+    return worst;
+}
+function computeAssetMetrics(rawPrices) {
+    const prices = rawPrices.filter((price) => typeof price === 'number' && Number.isFinite(price) && price > 0);
+    if (prices.length <= 2)
+        return null;
+    const returns = dailyReturns(prices);
+    const annualReturn = annualizedReturn(returns);
+    const volatility = annualizedVolatility(returns);
+    const downsiderisk = annualizedDownsideRisk(returns);
+    if (![annualReturn, volatility, downsiderisk].every(Number.isFinite))
+        return null;
+    return {
+        return: annualReturn,
+        volatility,
+        ratio: volatility > 0 ? annualReturn / volatility : 0,
+        sortino: downsiderisk > 0 ? annualReturn / downsiderisk : 0,
+        maxdrawdown: maxDrawdown(returns),
+        downsiderisk
+    };
+}
+//# sourceMappingURL=AssetMetricsCalculator.js.map

package/dist/optimization/assetsMetricsCalculator/AssetMetricsCalculator.js.map

@@ -0,0 +1 @@
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package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "elemento-alpha-tools",
-  "version": "1.3.6",
+  "version": "1.3.9",
   "description": "Librería para los servicios de elemento alpha",
   "main": "dist/index.js",
   "types": "dist/index.d.ts",
@@ -34,17 +34,17 @@
     "@types/express": "^5.0.6",
     "@types/jest": "^30.0.0",
     "@types/morgan": "^1.9.9",
-    "@types/node": "^25.9.3",
+    "@types/node": "^26.1.2",
     "jest": "^30.4.2",
     "rimraf": "^6.1.3",
-    "ts-jest": "^29.4.11",
+    "ts-jest": "^29.4.12",
     "typescript": "^6.0.3"
   },
   "dependencies": {
-    "axios": "^1.18.0",
+    "axios": "^1.18.1",
     "crypto-js": "^4.2.0",
     "dotenv": "^17.4.2",
-    "itrm-tools": "^1.3.43",
+    "itrm-tools": "^1.3.49",
     "morgan": "^1.11.0"
   },
   "optionalDependencies": {