openalgo-script 0.4.0 → 0.5.0

package/dist/adapters/charts/venue.js.map

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package/dist/core/accounting/analysis.d.ts

@@ -0,0 +1,111 @@
+/**
+ * The trades taken apart: by direction, by extreme, and by run.
+ *
+ * The summary answers what the whole run did. Three questions it cannot answer
+ * are asked here, and each of them is a question about whether the summary
+ * means what it looks like it means.
+ *
+ * **Which side made the money.** A run whose long trades paid for its short
+ * ones reports a healthy net and is two strategies, one of which is losing. The
+ * summary cannot show that, because every figure in it is folded over both
+ * sides at once. Splitting it is not a refinement of the headline number, it is
+ * the first thing that can contradict it.
+ *
+ * **Whether one trade is the result.** A hundred trades and a profit factor of
+ * two reads as an edge until the largest win is the whole of the net. The
+ * expectancy's standard error already says how wide the spread is; the largest
+ * win and the largest loss say where the width came from, which is the part a
+ * reader can act on.
+ *
+ * **What the run of losses was.** The deepest drawdown is a money figure and
+ * the longest one is a bar count, and neither is the number that actually stops
+ * somebody trading a strategy. That number is how many times in a row it was
+ * wrong. It is not derivable from anything in the summary: the same win rate
+ * over the same trades gives a streak of two or a streak of eleven depending on
+ * an ordering the summary folds away.
+ *
+ * ## Every figure here is over closed trades, and that is the whole rule
+ *
+ * An open trade has no net to win or lose by, so it is in none of these counts,
+ * on either side, in no streak and in no extreme. `statistics.ts` has three
+ * different answers to which trades a figure is counted over, because a summary
+ * carries a capital figure and a bar count that are facts about the run rather
+ * than about its trades. Nothing here is a fact about the run, so there is one
+ * answer, and a reader can hold it.
+ *
+ * The consequence worth stating: `longCount + shortCount` is `tradeCount` and
+ * not the length of the list folded. A run holding an open position reports
+ * fewer trades here than it has, and the summary's `openTradeCount` is where
+ * the difference is accounted for.
+ */
+import type { Money } from './shapes.js';
+import type { Trade } from './trades.js';
+/** One direction's own figures, folded over that side's closed trades. */
+export interface SideAnalysis {
+    readonly count: number;
+    readonly wins: number;
+    readonly losses: number;
+    /** Exactly zero net, counted in neither half, as in the summary. */
+    readonly scratches: number;
+    /** Net after charges, which is the figure the sides are compared on. */
+    readonly netProfit: Money;
+    /** `wins / (wins + losses)`, null where this side decided nothing. */
+    readonly winRate: number | null;
+}
+/**
+ * The trades by direction, by extreme and by run.
+ *
+ * `long` and `short` partition the closed trades, so their counts sum to the
+ * summary's `tradeCount` and their nets sum to its `netProfit`. That is
+ * asserted rather than assumed, because a partition that stops partitioning is
+ * the defect this shape exists to make visible and it would otherwise show up
+ * as two panels that quietly disagree.
+ */
+export interface TradeAnalysis {
+    readonly long: SideAnalysis;
+    readonly short: SideAnalysis;
+    /**
+     * The best closed trade's net, zero where none closed and zero where every
+     * closed trade lost.
+     *
+     * Zero rather than null, and it is the one place here that is worth arguing
+     * about. A run whose every trade lost has no winning trade to name, and null
+     * would say so. It reports zero because the figure is read beside
+     * `largestLoss` and against `netProfit`, and a null in a column of money
+     * forces every reader of the report to handle a case that means "nothing
+     * won", which is what zero already means in this column.
+     */
+    readonly largestWin: Money;
+    /** The worst closed trade's net as a positive magnitude, zero where none lost. */
+    readonly largestLoss: Money;
+    /**
+     * The longest run of consecutive winning closed trades, in the order they
+     * closed.
+     *
+     * In the order they closed, and not the order they opened, because that is
+     * the order the account experienced them in and the streak is a fact about
+     * what the account experienced. The two orders differ whenever a trade is
+     * held across another one's whole life, which is every scaling strategy.
+     */
+    readonly maxConsecutiveWins: number;
+    /** The same, for losses. */
+    readonly maxConsecutiveLosses: number;
+}
+/**
+ * One pass over the closed trades, in closing order.
+ *
+ * The list arrives in opening order, which is what the equity fold needs and
+ * what `tradesOf` produces. The streaks need closing order, so the closed
+ * trades are ordered here rather than anywhere else: reordering the list the
+ * caller holds would change the equity curve, and taking a second list in
+ * opening order and calling its streaks correct would be the defect this
+ * function is supposed to have caught.
+ *
+ * A trade whose net is exactly zero is a scratch, which is the summary's rule
+ * and is applied here for the same reason. A scratch **breaks** a streak
+ * without extending either one: a strategy that went right, flat, right was not
+ * right twice running, and counting the flat trade as either would make the
+ * streak a figure that depends on a rounding at the last digit.
+ */
+export declare function analysisOf(trades: readonly Trade[]): TradeAnalysis;
+//# sourceMappingURL=analysis.d.ts.map

package/dist/core/accounting/analysis.d.ts.map

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package/dist/core/accounting/analysis.js

@@ -0,0 +1,123 @@
+/**
+ * The trades taken apart: by direction, by extreme, and by run.
+ *
+ * The summary answers what the whole run did. Three questions it cannot answer
+ * are asked here, and each of them is a question about whether the summary
+ * means what it looks like it means.
+ *
+ * **Which side made the money.** A run whose long trades paid for its short
+ * ones reports a healthy net and is two strategies, one of which is losing. The
+ * summary cannot show that, because every figure in it is folded over both
+ * sides at once. Splitting it is not a refinement of the headline number, it is
+ * the first thing that can contradict it.
+ *
+ * **Whether one trade is the result.** A hundred trades and a profit factor of
+ * two reads as an edge until the largest win is the whole of the net. The
+ * expectancy's standard error already says how wide the spread is; the largest
+ * win and the largest loss say where the width came from, which is the part a
+ * reader can act on.
+ *
+ * **What the run of losses was.** The deepest drawdown is a money figure and
+ * the longest one is a bar count, and neither is the number that actually stops
+ * somebody trading a strategy. That number is how many times in a row it was
+ * wrong. It is not derivable from anything in the summary: the same win rate
+ * over the same trades gives a streak of two or a streak of eleven depending on
+ * an ordering the summary folds away.
+ *
+ * ## Every figure here is over closed trades, and that is the whole rule
+ *
+ * An open trade has no net to win or lose by, so it is in none of these counts,
+ * on either side, in no streak and in no extreme. `statistics.ts` has three
+ * different answers to which trades a figure is counted over, because a summary
+ * carries a capital figure and a bar count that are facts about the run rather
+ * than about its trades. Nothing here is a fact about the run, so there is one
+ * answer, and a reader can hold it.
+ *
+ * The consequence worth stating: `longCount + shortCount` is `tradeCount` and
+ * not the length of the list folded. A run holding an open position reports
+ * fewer trades here than it has, and the summary's `openTradeCount` is where
+ * the difference is accounted for.
+ */
+function emptySide() {
+    return { count: 0, wins: 0, losses: 0, scratches: 0, netProfit: 0 };
+}
+function sideOf(tally) {
+    const decided = tally.wins + tally.losses;
+    return {
+        count: tally.count,
+        wins: tally.wins,
+        losses: tally.losses,
+        scratches: tally.scratches,
+        netProfit: tally.netProfit,
+        winRate: decided === 0 ? null : tally.wins / decided,
+    };
+}
+/**
+ * One pass over the closed trades, in closing order.
+ *
+ * The list arrives in opening order, which is what the equity fold needs and
+ * what `tradesOf` produces. The streaks need closing order, so the closed
+ * trades are ordered here rather than anywhere else: reordering the list the
+ * caller holds would change the equity curve, and taking a second list in
+ * opening order and calling its streaks correct would be the defect this
+ * function is supposed to have caught.
+ *
+ * A trade whose net is exactly zero is a scratch, which is the summary's rule
+ * and is applied here for the same reason. A scratch **breaks** a streak
+ * without extending either one: a strategy that went right, flat, right was not
+ * right twice running, and counting the flat trade as either would make the
+ * streak a figure that depends on a rounding at the last digit.
+ */
+export function analysisOf(trades) {
+    const long = emptySide();
+    const short = emptySide();
+    let largestWin = 0;
+    let largestLoss = 0;
+    let maxConsecutiveWins = 0;
+    let maxConsecutiveLosses = 0;
+    let winStreak = 0;
+    let lossStreak = 0;
+    const closed = trades.filter((trade) => !trade.isOpen).slice();
+    // A trade closes on a bar, and two can close on the same one. The opening
+    // order breaks the tie, because it is the order the list arrived in and the
+    // only other fact available: a sort that is not total gives two engines two
+    // different streaks from one list of trades.
+    closed.sort((a, b) => (a.closedOnBar ?? 0) - (b.closedOnBar ?? 0) || a.index - b.index);
+    for (const trade of closed) {
+        const side = trade.side === 'long' ? long : short;
+        side.count += 1;
+        side.netProfit += trade.netProfit;
+        if (trade.netProfit > 0) {
+            side.wins += 1;
+            if (trade.netProfit > largestWin)
+                largestWin = trade.netProfit;
+            winStreak += 1;
+            lossStreak = 0;
+            if (winStreak > maxConsecutiveWins)
+                maxConsecutiveWins = winStreak;
+        }
+        else if (trade.netProfit < 0) {
+            side.losses += 1;
+            if (-trade.netProfit > largestLoss)
+                largestLoss = -trade.netProfit;
+            lossStreak += 1;
+            winStreak = 0;
+            if (lossStreak > maxConsecutiveLosses)
+                maxConsecutiveLosses = lossStreak;
+        }
+        else {
+            side.scratches += 1;
+            winStreak = 0;
+            lossStreak = 0;
+        }
+    }
+    return {
+        long: sideOf(long),
+        short: sideOf(short),
+        largestWin,
+        largestLoss,
+        maxConsecutiveWins,
+        maxConsecutiveLosses,
+    };
+}
+//# sourceMappingURL=analysis.js.map

package/dist/core/accounting/analysis.js.map

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package/dist/core/accounting/equity.d.ts

@@ -104,6 +104,33 @@ export interface EquityPoint {
     readonly drawdown: Money;
     /** `drawdown / runningPeak`, a fraction and not a figure times a hundred. */
     readonly drawdownPercent: number;
+    /**
+     * The distance above the running trough, zero or positive.
+     *
+     * Drawdown's mirror, and carried for the same reason drawdown is: it is the
+     * run's best stretch measured the same way its worst one is, so the two can
+     * be read against each other. A reader handed only the depth learns how bad
+     * it got and nothing about whether the run ever climbed far enough for that
+     * depth to be a giving back rather than a steady bleed.
+     */
+    readonly runUp: Money;
+    /**
+     * `runUp / runningTrough`, a fraction and not a figure times a hundred, and
+     * zero where the trough is not above zero.
+     *
+     * Not the same guard drawdown gets, because the two bases are not the same
+     * kind of number. The running peak starts at the capital and only ever rises,
+     * so a run with capital above zero has a peak above zero at every point. The
+     * running trough starts there and only ever falls, so an account that lost
+     * everything has a trough at or below zero, and from that bar on this figure
+     * is zero rather than a fraction. Zero is the wrong answer for a run that
+     * recovered, and it is reported anyway, because the alternative is a
+     * percentage against a negative basis: a positive climb reported as a
+     * negative fraction, which is the shape that once gave a profit factor of
+     * minus a half. `runUp` itself is unaffected and stays the figure to read on
+     * such a run.
+     */
+    readonly runUpPercent: number;
 }
 /**
  * Whether this trade was still held at the close of this bar.
@@ -141,6 +168,12 @@ export declare function ratioOf(value: number, basis: number): number;
  * The running peak starts at the capital rather than at the first point, so a
  * run that is down from its first bar is in drawdown at its first bar. Starting
  * it at the first point would report every run as having begun at its high.
+ *
+ * The running trough starts at the capital for the same reason and not for a
+ * symmetrical one: a run that is up from its first bar has run up from the
+ * money it was given, which is the figure a reader is measuring against. Anchor
+ * it at the first point instead and a run that gapped up on bar zero reports
+ * that gain as having come from nowhere.
  */
 export declare function equityOver(trades: readonly Trade[], marks: readonly BarMark[], contract: Contract, capital: Money): readonly EquityPoint[];
 /**

package/dist/core/accounting/equity.d.ts.map

@@ -1 +1 @@
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package/dist/core/accounting/equity.js

@@ -40,6 +40,12 @@ export function ratioOf(value, basis) {
  * The running peak starts at the capital rather than at the first point, so a
  * run that is down from its first bar is in drawdown at its first bar. Starting
  * it at the first point would report every run as having begun at its high.
+ *
+ * The running trough starts at the capital for the same reason and not for a
+ * symmetrical one: a run that is up from its first bar has run up from the
+ * money it was given, which is the figure a reader is measuring against. Anchor
+ * it at the first point instead and a run that gapped up on bar zero reports
+ * that gain as having come from nowhere.
  */
 export function equityOver(trades, marks, contract, capital) {
     const points = [];
@@ -48,6 +54,7 @@ export function equityOver(trades, marks, contract, capital) {
     let realised = 0;
     let charges = 0;
     let peak = capital;
+    let trough = capital;
     let mark = null;
     for (const bar of marks) {
         // Opened by this bar, charges and all. The pointer is why the trades have
@@ -93,7 +100,10 @@ export function equityOver(trades, marks, contract, capital) {
         const equity = cash + openProfit;
         if (equity > peak)
             peak = equity;
+        if (equity < trough)
+            trough = equity;
         const drawdown = equity - peak;
+        const runUp = equity - trough;
         points.push({
             barIndex: bar.barIndex,
             time: bar.time,
@@ -105,6 +115,8 @@ export function equityOver(trades, marks, contract, capital) {
             exposure,
             drawdown,
             drawdownPercent: ratioOf(drawdown, peak),
+            runUp,
+            runUpPercent: ratioOf(runUp, trough),
         });
     }
     return points;

package/dist/core/accounting/equity.js.map

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package/dist/core/accounting/index.d.ts

@@ -37,6 +37,8 @@ export { monthlyOver } from './monthly.js';
 export type { MonthlyReturn } from './monthly.js';
 export { markersOf } from './markers.js';
 export type { TradeMarker } from './markers.js';
+export { analysisOf } from './analysis.js';
+export type { SideAnalysis, TradeAnalysis } from './analysis.js';
 export { summaryOf } from './statistics.js';
 export type { Summary } from './statistics.js';
 export { reportOf } from './report.js';

package/dist/core/accounting/index.d.ts.map

@@ -1 +1 @@
-{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../../../src/core/accounting/index.ts"],"names":[],"mappings":"AAAA;;;;;;;;;;;;;;;;;;;;;;;;;;;GA2BG;AACH,OAAO,EAAE,SAAS,EAAE,uBAAuB,EAAE,eAAe,EAAE,MAAM,cAAc,CAAC;AACnF,YAAY,EAAE,OAAO,EAAE,QAAQ,EAAE,KAAK,EAAE,YAAY,EAAE,MAAM,aAAa,CAAC;AAC1E,YAAY,EACV,UAAU,EACV,eAAe,EACf,UAAU,EACV,cAAc,EACd,UAAU,GACX,MAAM,cAAc,CAAC;AACtB,OAAO,EAAE,QAAQ,EAAE,MAAM,aAAa,CAAC;AACvC,YAAY,EAAE,KAAK,EAAE,MAAM,aAAa,CAAC;AACzC,OAAO,EAAE,UAAU,EAAE,MAAM,aAAa,CAAC;AACzC,YAAY,EAAE,WAAW,EAAE,MAAM,aAAa,CAAC;AAC/C,OAAO,EAAE,WAAW,EAAE,MAAM,cAAc,CAAC;AAC3C,YAAY,EAAE,aAAa,EAAE,MAAM,cAAc,CAAC;AAClD,OAAO,EAAE,SAAS,EAAE,MAAM,cAAc,CAAC;AACzC,YAAY,EAAE,WAAW,EAAE,MAAM,cAAc,CAAC;AAChD,OAAO,EAAE,SAAS,EAAE,MAAM,iBAAiB,CAAC;AAC5C,YAAY,EAAE,OAAO,EAAE,MAAM,iBAAiB,CAAC;AAC/C,OAAO,EAAE,QAAQ,EAAE,MAAM,aAAa,CAAC;AACvC,YAAY,EAAE,MAAM,EAAE,MAAM,aAAa,CAAC"}
+{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../../../src/core/accounting/index.ts"],"names":[],"mappings":"AAAA;;;;;;;;;;;;;;;;;;;;;;;;;;;GA2BG;AACH,OAAO,EAAE,SAAS,EAAE,uBAAuB,EAAE,eAAe,EAAE,MAAM,cAAc,CAAC;AACnF,YAAY,EAAE,OAAO,EAAE,QAAQ,EAAE,KAAK,EAAE,YAAY,EAAE,MAAM,aAAa,CAAC;AAC1E,YAAY,EACV,UAAU,EACV,eAAe,EACf,UAAU,EACV,cAAc,EACd,UAAU,GACX,MAAM,cAAc,CAAC;AACtB,OAAO,EAAE,QAAQ,EAAE,MAAM,aAAa,CAAC;AACvC,YAAY,EAAE,KAAK,EAAE,MAAM,aAAa,CAAC;AACzC,OAAO,EAAE,UAAU,EAAE,MAAM,aAAa,CAAC;AACzC,YAAY,EAAE,WAAW,EAAE,MAAM,aAAa,CAAC;AAC/C,OAAO,EAAE,WAAW,EAAE,MAAM,cAAc,CAAC;AAC3C,YAAY,EAAE,aAAa,EAAE,MAAM,cAAc,CAAC;AAClD,OAAO,EAAE,SAAS,EAAE,MAAM,cAAc,CAAC;AACzC,YAAY,EAAE,WAAW,EAAE,MAAM,cAAc,CAAC;AAChD,OAAO,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AAC3C,YAAY,EAAE,YAAY,EAAE,aAAa,EAAE,MAAM,eAAe,CAAC;AACjE,OAAO,EAAE,SAAS,EAAE,MAAM,iBAAiB,CAAC;AAC5C,YAAY,EAAE,OAAO,EAAE,MAAM,iBAAiB,CAAC;AAC/C,OAAO,EAAE,QAAQ,EAAE,MAAM,aAAa,CAAC;AACvC,YAAY,EAAE,MAAM,EAAE,MAAM,aAAa,CAAC"}

package/dist/core/accounting/index.js

@@ -31,6 +31,7 @@ export { tradesOf } from './trades.js';
 export { equityOver } from './equity.js';
 export { monthlyOver } from './monthly.js';
 export { markersOf } from './markers.js';
+export { analysisOf } from './analysis.js';
 export { summaryOf } from './statistics.js';
 export { reportOf } from './report.js';
 //# sourceMappingURL=index.js.map

package/dist/core/accounting/index.js.map

@@ -1 +1 @@
-{"version":3,"file":"index.js","sourceRoot":"","sources":["../../../src/core/accounting/index.ts"],"names":[],"mappings":"AAAA;;;;;;;;;;;;;;;;;;;;;;;;;;;GA2BG;AACH,OAAO,EAAE,SAAS,EAAE,uBAAuB,EAAE,eAAe,EAAE,MAAM,cAAc,CAAC;AASnF,OAAO,EAAE,QAAQ,EAAE,MAAM,aAAa,CAAC;AAEvC,OAAO,EAAE,UAAU,EAAE,MAAM,aAAa,CAAC;AAEzC,OAAO,EAAE,WAAW,EAAE,MAAM,cAAc,CAAC;AAE3C,OAAO,EAAE,SAAS,EAAE,MAAM,cAAc,CAAC;AAEzC,OAAO,EAAE,SAAS,EAAE,MAAM,iBAAiB,CAAC;AAE5C,OAAO,EAAE,QAAQ,EAAE,MAAM,aAAa,CAAC"}
+{"version":3,"file":"index.js","sourceRoot":"","sources":["../../../src/core/accounting/index.ts"],"names":[],"mappings":"AAAA;;;;;;;;;;;;;;;;;;;;;;;;;;;GA2BG;AACH,OAAO,EAAE,SAAS,EAAE,uBAAuB,EAAE,eAAe,EAAE,MAAM,cAAc,CAAC;AASnF,OAAO,EAAE,QAAQ,EAAE,MAAM,aAAa,CAAC;AAEvC,OAAO,EAAE,UAAU,EAAE,MAAM,aAAa,CAAC;AAEzC,OAAO,EAAE,WAAW,EAAE,MAAM,cAAc,CAAC;AAE3C,OAAO,EAAE,SAAS,EAAE,MAAM,cAAc,CAAC;AAEzC,OAAO,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AAE3C,OAAO,EAAE,SAAS,EAAE,MAAM,iBAAiB,CAAC;AAE5C,OAAO,EAAE,QAAQ,EAAE,MAAM,aAAa,CAAC"}

package/dist/core/accounting/report.d.ts

@@ -1,3 +1,4 @@
+import type { TradeAnalysis } from './analysis.js';
 import type { ChargeSchedule } from './charges.js';
 import type { EquityPoint } from './equity.js';
 import type { MonthlyReturn } from './monthly.js';
@@ -8,6 +9,8 @@ import type { Trade } from './trades.js';
 /** Everything a run is reported as, and nothing a chart has to compute. */
 export interface Report {
     readonly summary: Summary;
+    /** The trades by direction, by extreme and by run. */
+    readonly analysis: TradeAnalysis;
     readonly trades: readonly Trade[];
     readonly equity: readonly EquityPoint[];
     readonly monthly: readonly MonthlyReturn[];

package/dist/core/accounting/report.d.ts.map

@@ -1 +1 @@
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+{"version":3,"file":"report.d.ts","sourceRoot":"","sources":["../../../src/core/accounting/report.ts"],"names":[],"mappings":"AAsBA,OAAO,KAAK,EAAE,aAAa,EAAE,MAAM,eAAe,CAAC;AAEnD,OAAO,KAAK,EAAE,cAAc,EAAE,MAAM,cAAc,CAAC;AAEnD,OAAO,KAAK,EAAE,WAAW,EAAE,MAAM,aAAa,CAAC;AAE/C,OAAO,KAAK,EAAE,aAAa,EAAE,MAAM,cAAc,CAAC;AAElD,OAAO,KAAK,EAAE,WAAW,EAAE,MAAM,cAAc,CAAC;AAChD,OAAO,KAAK,EAAE,OAAO,EAAE,QAAQ,EAAE,KAAK,EAAE,YAAY,EAAE,MAAM,aAAa,CAAC;AAE1E,OAAO,KAAK,EAAE,OAAO,EAAE,MAAM,iBAAiB,CAAC;AAE/C,OAAO,KAAK,EAAE,KAAK,EAAE,MAAM,aAAa,CAAC;AAEzC,2EAA2E;AAC3E,MAAM,WAAW,MAAM;IACrB,QAAQ,CAAC,OAAO,EAAE,OAAO,CAAC;IAC1B,sDAAsD;IACtD,QAAQ,CAAC,QAAQ,EAAE,aAAa,CAAC;IACjC,QAAQ,CAAC,MAAM,EAAE,SAAS,KAAK,EAAE,CAAC;IAClC,QAAQ,CAAC,MAAM,EAAE,SAAS,WAAW,EAAE,CAAC;IACxC,QAAQ,CAAC,OAAO,EAAE,SAAS,aAAa,EAAE,CAAC;IAC3C,QAAQ,CAAC,OAAO,EAAE,SAAS,WAAW,EAAE,CAAC;CAC1C;AAED;;;;;;;;;;;;;;;;;;;;GAoBG;AACH,wBAAgB,QAAQ,CACtB,KAAK,EAAE,SAAS,YAAY,EAAE,EAC9B,KAAK,EAAE,SAAS,OAAO,EAAE,EACzB,QAAQ,EAAE,cAAc,GAAG,IAAI,EAC/B,QAAQ,EAAE,QAAQ,EAClB,OAAO,EAAE,KAAK,GACb,MAAM,CAkBR"}

package/dist/core/accounting/report.js

@@ -19,6 +19,7 @@
  * structural half of keeping that decision open: when it is taken, the engine
  * calls this, and there is no second implementation to disagree with.
  */
+import { analysisOf } from './analysis.js';
 import { chargeFor } from './charges.js';
 import { equityOver } from './equity.js';
 import { monthlyOver } from './monthly.js';
@@ -54,6 +55,7 @@ export function reportOf(fills, marks, schedule, contract, capital) {
     const summary = summaryOf(trades, equity, contract, capital);
     return {
         summary,
+        analysis: analysisOf(trades),
         trades,
         equity,
         monthly: monthlyOver(equity, trades),

package/dist/core/accounting/report.js.map

@@ -1 +1 @@
-{"version":3,"file":"report.js","sourceRoot":"","sources":["../../../src/core/accounting/report.ts"],"names":[],"mappings":"AAAA;;;;;;;;;;;;;;;;;;;;GAoBG;AACH,OAAO,EAAE,SAAS,EAAE,MAAM,cAAc,CAAC;AAEzC,OAAO,EAAE,UAAU,EAAE,MAAM,aAAa,CAAC;AAEzC,OAAO,EAAE,WAAW,EAAE,MAAM,cAAc,CAAC;AAE3C,OAAO,EAAE,SAAS,EAAE,MAAM,cAAc,CAAC;AAGzC,OAAO,EAAE,SAAS,EAAE,MAAM,iBAAiB,CAAC;AAE5C,OAAO,EAAE,QAAQ,EAAE,MAAM,aAAa,CAAC;AAYvC;;;;;;;;;;;;;;;;;;;;GAoBG;AACH,MAAM,UAAU,QAAQ,CACtB,KAA8B,EAC9B,KAAyB,EACzB,QAA+B,EAC/B,QAAkB,EAClB,OAAc;IAEd,MAAM,OAAO,GAAG,KAAK,CAAC,KAAK,EAAE,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,GAAG,GAAG,CAAC,CAAC,GAAG,CAAC,CAAC;IAC5D,MAAM,OAAO,GAAG,OAAO,CAAC,GAAG,CAAC,CAAC,IAAI,EAAE,EAAE,CACnC,QAAQ,KAAK,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,SAAS,CAAC,QAAQ,EAAE,IAAI,EAAE,QAAQ,CAAC,CAAC,KAAK,CAClE,CAAC;IAEF,MAAM,MAAM,GAAG,QAAQ,CAAC,OAAO,EAAE,OAAO,EAAE,KAAK,EAAE,QAAQ,CAAC,CAAC;IAC3D,MAAM,MAAM,GAAG,UAAU,CAAC,MAAM,EAAE,KAAK,EAAE,QAAQ,EAAE,OAAO,CAAC,CAAC;IAC5D,MAAM,OAAO,GAAG,SAAS,CAAC,MAAM,EAAE,MAAM,EAAE,QAAQ,EAAE,OAAO,CAAC,CAAC;IAE7D,OAAO;QACL,OAAO;QACP,MAAM;QACN,MAAM;QACN,OAAO,EAAE,WAAW,CAAC,MAAM,EAAE,MAAM,CAAC;QACpC,OAAO,EAAE,SAAS,CAAC,OAAO,EAAE,MAAM,CAAC;KACpC,CAAC;AACJ,CAAC"}
+{"version":3,"file":"report.js","sourceRoot":"","sources":["../../../src/core/accounting/report.ts"],"names":[],"mappings":"AAAA;;;;;;;;;;;;;;;;;;;;GAoBG;AACH,OAAO,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AAE3C,OAAO,EAAE,SAAS,EAAE,MAAM,cAAc,CAAC;AAEzC,OAAO,EAAE,UAAU,EAAE,MAAM,aAAa,CAAC;AAEzC,OAAO,EAAE,WAAW,EAAE,MAAM,cAAc,CAAC;AAE3C,OAAO,EAAE,SAAS,EAAE,MAAM,cAAc,CAAC;AAGzC,OAAO,EAAE,SAAS,EAAE,MAAM,iBAAiB,CAAC;AAE5C,OAAO,EAAE,QAAQ,EAAE,MAAM,aAAa,CAAC;AAcvC;;;;;;;;;;;;;;;;;;;;GAoBG;AACH,MAAM,UAAU,QAAQ,CACtB,KAA8B,EAC9B,KAAyB,EACzB,QAA+B,EAC/B,QAAkB,EAClB,OAAc;IAEd,MAAM,OAAO,GAAG,KAAK,CAAC,KAAK,EAAE,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,GAAG,GAAG,CAAC,CAAC,GAAG,CAAC,CAAC;IAC5D,MAAM,OAAO,GAAG,OAAO,CAAC,GAAG,CAAC,CAAC,IAAI,EAAE,EAAE,CACnC,QAAQ,KAAK,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,SAAS,CAAC,QAAQ,EAAE,IAAI,EAAE,QAAQ,CAAC,CAAC,KAAK,CAClE,CAAC;IAEF,MAAM,MAAM,GAAG,QAAQ,CAAC,OAAO,EAAE,OAAO,EAAE,KAAK,EAAE,QAAQ,CAAC,CAAC;IAC3D,MAAM,MAAM,GAAG,UAAU,CAAC,MAAM,EAAE,KAAK,EAAE,QAAQ,EAAE,OAAO,CAAC,CAAC;IAC5D,MAAM,OAAO,GAAG,SAAS,CAAC,MAAM,EAAE,MAAM,EAAE,QAAQ,EAAE,OAAO,CAAC,CAAC;IAE7D,OAAO;QACL,OAAO;QACP,QAAQ,EAAE,UAAU,CAAC,MAAM,CAAC;QAC5B,MAAM;QACN,MAAM;QACN,OAAO,EAAE,WAAW,CAAC,MAAM,EAAE,MAAM,CAAC;QACpC,OAAO,EAAE,SAAS,CAAC,OAAO,EAAE,MAAM,CAAC;KACpC,CAAC;AACJ,CAAC"}

package/dist/core/accounting/statistics.d.ts

@@ -59,6 +59,18 @@ export interface Summary {
     /** A bar time, never an index. */
     readonly maxDrawdownAt: number | null;
     readonly longestDrawdownBars: number;
+    /**
+     * Zero or positive, the mirror of `maxDrawdown` and read against it.
+     *
+     * The pair is the point of it. A run that made ten and gave back nine is a
+     * different strategy from one that made one and never gave any of it back,
+     * and the two report the same net. Neither figure says that on its own.
+     */
+    readonly maxRunUp: Money;
+    /** The highest point's own fraction, not the best fraction of any point. */
+    readonly maxRunUpPercent: number;
+    /** A bar time, never an index, and not the bar `maxDrawdownAt` addresses. */
+    readonly maxRunUpAt: number | null;
     readonly averageBarsHeld: number | null;
     readonly barsInMarket: number;
     readonly barCount: number;

package/dist/core/accounting/statistics.d.ts.map

@@ -1 +1 @@
-{"version":3,"file":"statistics.d.ts","sourceRoot":"","sources":["../../../src/core/accounting/statistics.ts"],"names":[],"mappings":"AA6DA,OAAO,KAAK,EAAE,WAAW,EAAE,MAAM,aAAa,CAAC;AAC/C,OAAO,KAAK,EAAE,QAAQ,EAAE,KAAK,EAAE,MAAM,aAAa,CAAC;AACnD,OAAO,KAAK,EAAE,KAAK,EAAE,MAAM,aAAa,CAAC;AAEzC,kCAAkC;AAClC,MAAM,WAAW,OAAO;IACtB,QAAQ,CAAC,OAAO,EAAE,KAAK,CAAC;IACxB,QAAQ,CAAC,QAAQ,EAAE,MAAM,CAAC;IAC1B,QAAQ,CAAC,SAAS,EAAE,KAAK,CAAC;IAC1B,6CAA6C;IAC7C,QAAQ,CAAC,WAAW,EAAE,KAAK,CAAC;IAC5B;;;;;;;;;;;;OAYG;IACH,QAAQ,CAAC,SAAS,EAAE,KAAK,CAAC;IAC1B,QAAQ,CAAC,OAAO,EAAE,KAAK,CAAC;IACxB,0EAA0E;IAC1E,QAAQ,CAAC,aAAa,EAAE,MAAM,CAAC;IAC/B,mBAAmB;IACnB,QAAQ,CAAC,UAAU,EAAE,MAAM,CAAC;IAC5B,QAAQ,CAAC,cAAc,EAAE,MAAM,CAAC;IAChC,QAAQ,CAAC,IAAI,EAAE,MAAM,CAAC;IACtB,QAAQ,CAAC,MAAM,EAAE,MAAM,CAAC;IACxB,wBAAwB;IACxB,QAAQ,CAAC,SAAS,EAAE,MAAM,CAAC;IAC3B,qDAAqD;IACrD,QAAQ,CAAC,OAAO,EAAE,MAAM,GAAG,IAAI,CAAC;IAChC,QAAQ,CAAC,UAAU,EAAE,KAAK,CAAC;IAC3B,0BAA0B;IAC1B,QAAQ,CAAC,WAAW,EAAE,KAAK,CAAC;IAC5B,8BAA8B;IAC9B,QAAQ,CAAC,UAAU,EAAE,KAAK,CAAC;IAC3B,QAAQ,CAAC,uBAAuB,EAAE,KAAK,CAAC;IACxC;;;;;;;;;;OAUG;IACH,QAAQ,CAAC,YAAY,EAAE,MAAM,GAAG,IAAI,CAAC;IACrC,gEAAgE;IAChE,QAAQ,CAAC,WAAW,EAAE,KAAK,CAAC;IAC5B,6EAA6E;IAC7E,QAAQ,CAAC,kBAAkB,EAAE,MAAM,CAAC;IACpC,kCAAkC;IAClC,QAAQ,CAAC,aAAa,EAAE,MAAM,GAAG,IAAI,CAAC;IACtC,QAAQ,CAAC,mBAAmB,EAAE,MAAM,CAAC;IACrC,QAAQ,CAAC,eAAe,EAAE,MAAM,GAAG,IAAI,CAAC;IACxC,QAAQ,CAAC,YAAY,EAAE,MAAM,CAAC;IAC9B,QAAQ,CAAC,QAAQ,EAAE,MAAM,CAAC;CAC3B;AA2BD;;;;;;;GAOG;AACH,wBAAgB,SAAS,CACvB,MAAM,EAAE,SAAS,KAAK,EAAE,EACxB,MAAM,EAAE,SAAS,WAAW,EAAE,EAC9B,QAAQ,EAAE,QAAQ,EAClB,OAAO,EAAE,KAAK,GACb,OAAO,CAuCT"}
+{"version":3,"file":"statistics.d.ts","sourceRoot":"","sources":["../../../src/core/accounting/statistics.ts"],"names":[],"mappings":"AA6DA,OAAO,KAAK,EAAE,WAAW,EAAE,MAAM,aAAa,CAAC;AAC/C,OAAO,KAAK,EAAE,QAAQ,EAAE,KAAK,EAAE,MAAM,aAAa,CAAC;AACnD,OAAO,KAAK,EAAE,KAAK,EAAE,MAAM,aAAa,CAAC;AAEzC,kCAAkC;AAClC,MAAM,WAAW,OAAO;IACtB,QAAQ,CAAC,OAAO,EAAE,KAAK,CAAC;IACxB,QAAQ,CAAC,QAAQ,EAAE,MAAM,CAAC;IAC1B,QAAQ,CAAC,SAAS,EAAE,KAAK,CAAC;IAC1B,6CAA6C;IAC7C,QAAQ,CAAC,WAAW,EAAE,KAAK,CAAC;IAC5B;;;;;;;;;;;;OAYG;IACH,QAAQ,CAAC,SAAS,EAAE,KAAK,CAAC;IAC1B,QAAQ,CAAC,OAAO,EAAE,KAAK,CAAC;IACxB,0EAA0E;IAC1E,QAAQ,CAAC,aAAa,EAAE,MAAM,CAAC;IAC/B,mBAAmB;IACnB,QAAQ,CAAC,UAAU,EAAE,MAAM,CAAC;IAC5B,QAAQ,CAAC,cAAc,EAAE,MAAM,CAAC;IAChC,QAAQ,CAAC,IAAI,EAAE,MAAM,CAAC;IACtB,QAAQ,CAAC,MAAM,EAAE,MAAM,CAAC;IACxB,wBAAwB;IACxB,QAAQ,CAAC,SAAS,EAAE,MAAM,CAAC;IAC3B,qDAAqD;IACrD,QAAQ,CAAC,OAAO,EAAE,MAAM,GAAG,IAAI,CAAC;IAChC,QAAQ,CAAC,UAAU,EAAE,KAAK,CAAC;IAC3B,0BAA0B;IAC1B,QAAQ,CAAC,WAAW,EAAE,KAAK,CAAC;IAC5B,8BAA8B;IAC9B,QAAQ,CAAC,UAAU,EAAE,KAAK,CAAC;IAC3B,QAAQ,CAAC,uBAAuB,EAAE,KAAK,CAAC;IACxC;;;;;;;;;;OAUG;IACH,QAAQ,CAAC,YAAY,EAAE,MAAM,GAAG,IAAI,CAAC;IACrC,gEAAgE;IAChE,QAAQ,CAAC,WAAW,EAAE,KAAK,CAAC;IAC5B,6EAA6E;IAC7E,QAAQ,CAAC,kBAAkB,EAAE,MAAM,CAAC;IACpC,kCAAkC;IAClC,QAAQ,CAAC,aAAa,EAAE,MAAM,GAAG,IAAI,CAAC;IACtC,QAAQ,CAAC,mBAAmB,EAAE,MAAM,CAAC;IACrC;;;;;;OAMG;IACH,QAAQ,CAAC,QAAQ,EAAE,KAAK,CAAC;IACzB,4EAA4E;IAC5E,QAAQ,CAAC,eAAe,EAAE,MAAM,CAAC;IACjC,6EAA6E;IAC7E,QAAQ,CAAC,UAAU,EAAE,MAAM,GAAG,IAAI,CAAC;IACnC,QAAQ,CAAC,eAAe,EAAE,MAAM,GAAG,IAAI,CAAC;IACxC,QAAQ,CAAC,YAAY,EAAE,MAAM,CAAC;IAC9B,QAAQ,CAAC,QAAQ,EAAE,MAAM,CAAC;CAC3B;AA8BD;;;;;;;GAOG;AACH,wBAAgB,SAAS,CACvB,MAAM,EAAE,SAAS,KAAK,EAAE,EACxB,MAAM,EAAE,SAAS,WAAW,EAAE,EAC9B,QAAQ,EAAE,QAAQ,EAClB,OAAO,EAAE,KAAK,GACb,OAAO,CA0CT"}

package/dist/core/accounting/statistics.js

@@ -100,6 +100,9 @@ export function summaryOf(trades, equity, contract, capital) {
         maxDrawdownPercent: depth.maxDrawdownPercent,
         maxDrawdownAt: depth.maxDrawdownAt,
         longestDrawdownBars: depth.longestDrawdownBars,
+        maxRunUp: depth.maxRunUp,
+        maxRunUpPercent: depth.maxRunUpPercent,
+        maxRunUpAt: depth.maxRunUpAt,
         averageBarsHeld: tally.heldCount === 0 ? null : tally.heldTotal / tally.heldCount,
         barsInMarket: barsInMarketOver(trades, equity),
         barCount: equity.length,
@@ -202,6 +205,9 @@ function depthOf(equity) {
     let maxDrawdownAt = null;
     let longestDrawdownBars = 0;
     let under = 0;
+    let maxRunUp = 0;
+    let maxRunUpPercent = 0;
+    let maxRunUpAt = null;
     for (const point of equity) {
         if (point.drawdown < maxDrawdown) {
             maxDrawdown = point.drawdown;
@@ -216,8 +222,24 @@ function depthOf(equity) {
         else {
             under = 0;
         }
+        // Strictly greater, so the earliest bar reaching the height wins the tie,
+        // which is the rule the depth above is picked by. The two figures address
+        // different bars and each addresses the first bar that reached it.
+        if (point.runUp > maxRunUp) {
+            maxRunUp = point.runUp;
+            maxRunUpPercent = point.runUpPercent;
+            maxRunUpAt = point.time;
+        }
     }
-    return { maxDrawdown, maxDrawdownPercent, maxDrawdownAt, longestDrawdownBars };
+    return {
+        maxDrawdown,
+        maxDrawdownPercent,
+        maxDrawdownAt,
+        longestDrawdownBars,
+        maxRunUp,
+        maxRunUpPercent,
+        maxRunUpAt,
+    };
 }
 /**
  * The standard error of the expectancy: the sample deviation over the root of

package/dist/core/accounting/statistics.js.map

@@ -1 +1 @@
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package/dist/core/backtest/case.d.ts

@@ -0,0 +1,60 @@
+import type { RunRecord } from './record.js';
+/** The files of one case, keyed by the name `conformance.md` section 2 gives them. */
+export type CaseFiles = Readonly<Record<string, string>>;
+/** Why a record could not become a case. */
+export interface CaseRefusal {
+    readonly ok: false;
+    readonly reason: string;
+    /**
+     * The catalogue code the refusal is filed under, or null.
+     *
+     * A refusal about a setting of the run is the catalogue's, OS6021, because
+     * it is the same refusal the run makes of a setting it cannot be carried out
+     * under. The others here are about what the record holds, a text it never
+     * carried, a bar list it only points at, a fact its host never stated, and
+     * no catalogue entry is about those.
+     */
+    readonly code: string | null;
+}
+export interface CaseWritten {
+    readonly ok: true;
+    readonly files: CaseFiles;
+}
+export type CaseResult = CaseWritten | CaseRefusal;
+/** What the caller has to say, because a record cannot know it. */
+export interface CaseIdentity {
+    /**
+     * The directory path under the suite root, which is also the case id.
+     *
+     * The caller's because a record does not know where it will live, and
+     * `case.json` repeats it on purpose so a directory that is moved without its
+     * id being changed is caught by the suite rather than by a confused reader.
+     */
+    readonly id: string;
+    /** One sentence. It is the failure message a runner prints. */
+    readonly description: string;
+    /** Section 7's categories. Defaults to the one a strategy run belongs to. */
+    readonly category?: string;
+}
+/**
+ * `conformance.md` section 6: the loosest bounds a conformance case may declare.
+ *
+ * Core reads no page, so the two figures are written here, and
+ * `tests/backtest/case-settings.test.ts` reads them out of section 6 and holds
+ * these to the page, which is the arrangement `stdlib.md` section 20's figures
+ * are under. Past either bound a run may still be a useful comparison; what it
+ * is not is a case, so the projection makes no file of it.
+ */
+export declare const TOLERANCE_CAP: {
+    readonly rel: number;
+    readonly abs: number;
+};
+/**
+ * The files for one case, or the reason there are none.
+ *
+ * `now` is written only when the run pinned one. A case that names it when the
+ * script never asked pins a clock the run did not depend on, and the next
+ * reader has to work out whether it mattered.
+ */
+export declare function caseFilesFrom(record: RunRecord, identity: CaseIdentity): CaseResult;
+//# sourceMappingURL=case.d.ts.map

package/dist/core/backtest/case.d.ts.map

@@ -0,0 +1 @@
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