openalgo-script 0.4.0 → 0.6.0

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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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 @@
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+{"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 @@
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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 @@
+{"version":3,"file":"case.d.ts","sourceRoot":"","sources":["../../../src/core/backtest/case.ts"],"names":[],"mappings":"AAoCA,OAAO,KAAK,EAA8B,SAAS,EAAE,MAAM,aAAa,CAAC;AAGzE,sFAAsF;AACtF,MAAM,MAAM,SAAS,GAAG,QAAQ,CAAC,MAAM,CAAC,MAAM,EAAE,MAAM,CAAC,CAAC,CAAC;AAEzD,4CAA4C;AAC5C,MAAM,WAAW,WAAW;IAC1B,QAAQ,CAAC,EAAE,EAAE,KAAK,CAAC;IACnB,QAAQ,CAAC,MAAM,EAAE,MAAM,CAAC;IACxB;;;;;;;;OAQG;IACH,QAAQ,CAAC,IAAI,EAAE,MAAM,GAAG,IAAI,CAAC;CAC9B;AAED,MAAM,WAAW,WAAW;IAC1B,QAAQ,CAAC,EAAE,EAAE,IAAI,CAAC;IAClB,QAAQ,CAAC,KAAK,EAAE,SAAS,CAAC;CAC3B;AAED,MAAM,MAAM,UAAU,GAAG,WAAW,GAAG,WAAW,CAAC;AAEnD,mEAAmE;AACnE,MAAM,WAAW,YAAY;IAC3B;;;;;;OAMG;IACH,QAAQ,CAAC,EAAE,EAAE,MAAM,CAAC;IACpB,+DAA+D;IAC/D,QAAQ,CAAC,WAAW,EAAE,MAAM,CAAC;IAC7B,6EAA6E;IAC7E,QAAQ,CAAC,QAAQ,CAAC,EAAE,MAAM,CAAC;CAC5B;AAWD;;;;;;;;GAQG;AACH,eAAO,MAAM,aAAa,EAAE;IAAE,QAAQ,CAAC,GAAG,EAAE,MAAM,CAAC;IAAC,QAAQ,CAAC,GAAG,EAAE,MAAM,CAAA;CAGvE,CAAC;AA8BF;;;;;;GAMG;AACH,wBAAgB,aAAa,CAAC,MAAM,EAAE,SAAS,EAAE,QAAQ,EAAE,YAAY,GAAG,UAAU,CAsFnF"}

package/dist/core/backtest/case.js

@@ -0,0 +1,319 @@
+/**
+ * A run record, turned into the files a conformance case is made of.
+ *
+ * **The suite is harvested rather than written.** A case invented by hand tests
+ * what somebody imagined a run does; a case taken from a run tests what a run
+ * actually did. `conformance.md` section 2 says a case is one directory of named
+ * files, and a record already holds every one of them: the script it ran, the
+ * bars it ran over, the settings it ran with, and what came back. So this is a
+ * projection and not a computation. Nothing here folds money, re-reads a report
+ * or decides anything a run did not already decide.
+ *
+ * **Text out, and no I/O.** Core writes no files, so this returns the bytes and
+ * the caller puts them where it likes. That also makes it testable without a
+ * disk and usable from a browser, which is where most runs happen.
+ *
+ * **What it refuses, it refuses loudly.** A case with a missing file is worse
+ * than no case: it fails on somebody else's engine and the blame lands on them.
+ * So a record that cannot make a whole case does not make a partial one, and a
+ * record that cannot make a faithful file does not guess at one: the script it
+ * has no text for and the instrument fact its host never stated are both
+ * refusals, never a hole and never a default.
+ *
+ * **Every setting of the run has a place in the case, and the table below says
+ * which.** A run once harvested to a case that said nothing about the digit
+ * count its money was rounded to, the charge schedule its host supplied or the
+ * window its report was about, so a second engine ran under other values and
+ * took the blame. `CARRIED` names the file each field of the settings is
+ * carried in, the type refuses to compile when the settings gain a field with
+ * no row, and a record whose settings hold a field the table does not know is
+ * refused by name rather than written into a case that ran under something it
+ * does not state.
+ */
+import { diagnosticFor } from '../diagnostics/index.js';
+import { canonicalNumber, canonicalise } from '../emit/index.js';
+/**
+ * The channels a strategy run can be held to.
+ *
+ * Only what the record carries folded, and only what another engine could
+ * produce independently. A case asserts the channels it names and no others, so
+ * a change to drawing output cannot break a case about money.
+ */
+const STRATEGY_ASSERTS = ['diagnostics', 'orders', 'trades', 'performance'];
+/**
+ * `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 const TOLERANCE_CAP = {
+    rel: 1e-9,
+    abs: 1e-12,
+};
+/**
+ * Where each setting of a run is carried in a case, sections 2 and 3.
+ *
+ * Every field of the settings has a row and the type makes a field without one
+ * a compile error, so a setting the record gains cannot be left out of a case
+ * by forgetting. `fill` is the simulated destination's policy, and what it
+ * decided is the frames, which are input: an engine handed `frames.csv` folds
+ * them and fills nothing itself.
+ */
+const CARRIED = {
+    contract: 'instrument.json, and backtest.json for the digit count',
+    costs: 'backtest.json',
+    range: 'backtest.json',
+    inputs: 'settings.json',
+    now: 'case.json',
+    tolerance: 'case.json',
+    fill: 'frames.csv, as the frames it decided',
+};
+/**
+ * Where a refusal about a setting points: nowhere in the script.
+ *
+ * A run setting is what the host stated before the first bar, and a caret
+ * under a line of the strategy would blame the one party that did not choose
+ * it. The run's own settings check states the same position for the same reason.
+ */
+const NO_POSITION = { offset: 0, length: 0, line: 0, column: 0 };
+/**
+ * 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 function caseFilesFrom(record, identity) {
+    if (record.sourceText === null) {
+        return refused('the record carries no source text, so the case would have no script.os: ' +
+            'record it with sourceText, or re-run the script to record one that has it');
+    }
+    if (record.bars.form !== 'inline') {
+        return refused('the record points at its bars instead of holding them, and a case holds every ' +
+            'byte of its own input: record it with form "inline"');
+    }
+    if (identity.id.trim() === '')
+        return refused('a case needs an id');
+    if (identity.description.trim() === '') {
+        return refused('a case needs a one-sentence description, which is its failure message');
+    }
+    const instrument = instrumentOf(record);
+    if (!instrument.ok)
+        return instrument;
+    const settings = settingsRefusal(record.settings);
+    if (settings !== null)
+        return settings;
+    const files = {
+        'case.json': json({
+            id: identity.id,
+            category: identity.category ?? 'strategy',
+            profile: 'strategy',
+            languageVersion: Number(record.languageVersion),
+            description: identity.description,
+            asserts: [...STRATEGY_ASSERTS],
+            ...(record.settings.now === null ? {} : { now: record.settings.now }),
+            tolerance: record.settings.tolerance,
+        }),
+        'script.os': endsWithNewline(record.sourceText),
+        'bars.csv': barsCsv(record.bars.rows),
+        // `conformance.md` section 4: performance is a list of one flat object
+        // holding the summary statistics and nothing nested. The trades are their
+        // own channel and are not repeated inside it, because a figure stated
+        // twice in one case is a figure that can disagree with itself. The equity
+        // curve, the monthly table and the markers are not written at all: the
+        // first two are not conformance channels, being derived from fills and
+        // closes the case already fixes, and a marker is a chart output the
+        // `markers` channel owns, which a case about money does not assert.
+        'expected.json': json({
+            diagnostics: record.diagnostics,
+            orders: record.orders,
+            trades: record.report.trades,
+            performance: [record.report.summary],
+        }),
+        // Section 2: the record of `host-interface.md` 4.1, which is what the
+        // engine was handed and not the money layer's contract. The suite's
+        // defaults for an absent file are boring on purpose and are not this run's
+        // instrument, so the file is always written.
+        'instrument.json': json(instrument.value),
+        // Section 3: what the report was folded under and the script never states.
+        // Always written, because every run rounds money to some digit count, and a
+        // strategy case that left it out would be run under whatever count a runner
+        // assumed. `costs` is null for the declaration's own schedule and `range`
+        // carries null for a bound nobody stated, so the file says what the run ran
+        // under in every case rather than leaving a default to a runner.
+        'backtest.json': json({
+            digits: record.settings.contract.digits,
+            costs: record.settings.costs,
+            range: record.settings.range,
+        }),
+    };
+    // Without this the case is unpassable, on every engine including the one that
+    // wrote it. `conformance.md` section 3 ends "a case with no `frames.csv` is
+    // handed no frames at all", and what `expected.json` asserts through the
+    // orders channel is what came of the frames: a status, a cumulative quantity,
+    // an average fill price. An engine handed none of them folds nothing and
+    // disagrees with every row, and the failure reads as a defect in that engine.
+    //
+    // Written only when the run had frames, because an empty file and an absent
+    // one mean the same thing here and the absent one says it in fewer bytes.
+    if (record.frames.length > 0)
+        files['frames.csv'] = framesCsv(record.frames);
+    // Written only when the run had inputs to write. An empty settings.json says
+    // "these are the values" about nothing, and section 2 reads an absent one as
+    // every input taking its declared default, which is what actually happened.
+    if (Object.keys(record.settings.inputs).length > 0) {
+        files['settings.json'] = json(record.settings.inputs);
+    }
+    return { ok: true, files };
+}
+/** A refusal about what the record holds, which no catalogue entry is about. */
+function refused(reason) {
+    return { ok: false, reason, code: null };
+}
+/**
+ * The instrument record a case can state faithfully, or why there is none.
+ *
+ * Two refusals, and both are the same refusal: the file `conformance.md`
+ * section 2 names is the record of `host-interface.md` 4.1, and a record that
+ * cannot produce that record cannot produce the file.
+ *
+ * A record written before version 3 carries none, because the facts beside
+ * the contract were handed to the engine and written down nowhere. And 4.1
+ * requires one fact of every host, `hasVolume`, which is the one the engine
+ * does not refuse a run without: a run whose host never stated it ran with the
+ * flag absent, so a file stating it would hand a second engine a different
+ * study than the one the expected output came from, and a file omitting it is
+ * not a 4.1 record. The other rules that page states about a record, a session
+ * with no timezone to read it in, are refused at load, so a run that happened
+ * cannot carry one.
+ */
+function instrumentOf(record) {
+    if (record.instrument === null) {
+        return refused('the record carries no instrument record, so the case would have no instrument.json: ' +
+            'it was written before record version 3, and re-running the script records one');
+    }
+    if (typeof record.instrument.hasVolume !== 'boolean') {
+        return refused('the run was handed no hasVolume, which host-interface.md 4.1 requires of every ' +
+            'host, so instrument.json cannot be the record that page defines: run the script ' +
+            'with the instrument facts stated');
+    }
+    return { ok: true, value: record.instrument };
+}
+/**
+ * Whether every setting the run was carried out under has a place in the case,
+ * and whether its tolerance is one the suite accepts.
+ *
+ * The first question is asked of the record rather than of the type, because a
+ * record read back from JSON is whatever was written: a field this projection
+ * has no file for is refused with its name, never passed over into a case that
+ * then ran under a value it does not state.
+ */
+function settingsRefusal(settings) {
+    for (const key of Object.keys(settings)) {
+        if (key in CARRIED)
+            continue;
+        return refused(`the record's settings carry ${key}, which no file of conformance.md section 2 has a ` +
+            'place for, so a case written from it would run under a setting it does not state: ' +
+            'give the setting a file on that page and a row in this projection first');
+    }
+    return toleranceRefusal(settings.tolerance);
+}
+/**
+ * A tolerance past the cap is a comparison somebody may find useful and is not
+ * a case, `conformance.md` section 6.
+ *
+ * Refused here, where the case is written, and not only where one is read,
+ * because a directory the suite will not accept fails every runner it meets
+ * and the blame lands on the engine under test. The run's own settings check
+ * refuses a bound with no reason and a bound below zero before a record
+ * exists; the cap is the one rule about a tolerance that is the suite's rather
+ * than the run's, so it is the one asked here.
+ */
+function toleranceRefusal(tolerance) {
+    const { abs, rel } = tolerance;
+    if (!Number.isFinite(abs) || !Number.isFinite(rel)) {
+        return settingRefusal('a bound is not a finite number');
+    }
+    if (abs <= TOLERANCE_CAP.abs && rel <= TOLERANCE_CAP.rel)
+        return null;
+    return settingRefusal(`a bound of ${canonicalNumber(abs)} absolute and ${canonicalNumber(rel)} relative is ` +
+        'past the cap conformance.md section 6 puts on a conformance case, ' +
+        `${canonicalNumber(TOLERANCE_CAP.abs)} absolute and ${canonicalNumber(TOLERANCE_CAP.rel)} ` +
+        'relative, so this run is a comparison and not a case');
+}
+/** A refusal about the comparison tolerance, filed under the run's own code for a setting. */
+function settingRefusal(problem) {
+    const diagnostic = diagnosticFor('OS6021', NO_POSITION, {
+        setting: 'The comparison tolerance',
+        problem,
+    });
+    return { ok: false, reason: diagnostic.message, code: diagnostic.code };
+}
+/**
+ * Through the canonical writer, so a case's bytes are the record's bytes.
+ *
+ * There is one canonical writer in this repository and this is not a second
+ * one: key order and number form are fixed for everybody, which is what lets a
+ * case be compared as text at all.
+ */
+function json(value) {
+    return `${canonicalise(value)}\n`;
+}
+/** `conformance.md` section 3: header, one row per bar, oldest first, `none` for absent. */
+function barsCsv(rows) {
+    const lines = ['time,open,high,low,close,volume'];
+    for (const bar of rows) {
+        lines.push([bar.time, bar.open, bar.high, bar.low, bar.close, bar.volume].map(cell).join(','));
+    }
+    return `${lines.join('\n')}\n`;
+}
+/**
+ * `conformance.md` section 3: the fields of a frame, in the order that page names.
+ *
+ * A projection and not a translation. The record already holds an intent as an
+ * ordinal rather than as this engine's own id, for the reason the same section
+ * gives: a case cannot know the id another engine minted and must not depend on
+ * its spelling.
+ *
+ * The instant is written on every row, `none` where the destination stated
+ * none, through the same cell writer as an absent price. A case whose frames
+ * carried instants and whose file did not would assert an `updatedAt` that its
+ * own input cannot reproduce, which is what the column closes.
+ */
+function framesCsv(frames) {
+    const lines = ['afterBar,intent,status,filledQty,avgFillPrice,orderRef,text,time'];
+    for (const frame of frames) {
+        lines.push([
+            canonicalNumber(frame.afterBar),
+            canonicalNumber(frame.intent),
+            frame.status,
+            canonicalNumber(frame.filledQty),
+            cell(frame.avgFillPrice),
+            frame.orderRef ?? '',
+            frame.text ?? '',
+            cell(frame.time),
+        ].join(','));
+    }
+    return `${lines.join('\n')}\n`;
+}
+/**
+ * One cell, through the one number writer.
+ *
+ * An absent field is `none` rather than empty, because an empty cell between two
+ * commas is indistinguishable from a file somebody's editor trimmed, and a
+ * language whose central idea is the absent value cannot be vague about it. A
+ * case is compared as text, so the number is written by the rule of
+ * `language.md` 5.5 and by the same function that writes every other number in
+ * the repository, never by a second spelling that agrees until it does not.
+ */
+function cell(value) {
+    return value === null || !Number.isFinite(value) ? 'none' : canonicalNumber(value);
+}
+/** A text file ends with a newline, so appending to it never joins two lines. */
+function endsWithNewline(text) {
+    return text.endsWith('\n') ? text : `${text}\n`;
+}
+//# sourceMappingURL=case.js.map

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

@@ -1 +1 @@
-{"version":3,"file":"compare.d.ts","sourceRoot":"","sources":["../../../src/core/backtest/compare.ts"],"names":[],"mappings":"AAiBA,OAAO,KAAK,EAAE,SAAS,EAAE,MAAM,aAAa,CAAC;AAE7C,gDAAgD;AAChD,MAAM,WAAW,aAAa;IAC5B,uDAAuD;IACvD,QAAQ,CAAC,UAAU,EAAE,OAAO,CAAC;IAC7B,QAAQ,CAAC,WAAW,EAAE,SAAS;QAC7B,QAAQ,CAAC,IAAI,EAAE,MAAM,GAAG,UAAU,GAAG,OAAO,GAAG,MAAM,GAAG,QAAQ,GAAG,SAAS,GAAG,OAAO,CAAC;QACvF,QAAQ,CAAC,MAAM,EAAE,MAAM,CAAC;KACzB,EAAE,CAAC;IACJ,QAAQ,CAAC,MAAM,EAAE,SAAS;QACxB,0BAA0B;QAC1B,QAAQ,CAAC,IAAI,EAAE,MAAM,CAAC;QACtB,QAAQ,CAAC,MAAM,EAAE,MAAM,CAAC;QACxB,QAAQ,CAAC,KAAK,EAAE,MAAM,CAAC;QACvB,QAAQ,CAAC,KAAK,EAAE,MAAM,CAAC;KACxB,EAAE,CAAC;IACJ,yDAAyD;IACzD,QAAQ,CAAC,UAAU,EAAE,MAAM,GAAG,IAAI,CAAC;IACnC,iEAAiE;IACjE,QAAQ,CAAC,YAAY,EAAE,MAAM,CAAC;CAC/B;AAuCD;;;;;;;;;;;;;;GAcG;AACH,wBAAgB,WAAW,CAAC,MAAM,EAAE,SAAS,EAAE,KAAK,EAAE,SAAS,GAAG,aAAa,CAa9E"}
+{"version":3,"file":"compare.d.ts","sourceRoot":"","sources":["../../../src/core/backtest/compare.ts"],"names":[],"mappings":"AAiBA,OAAO,KAAK,EAAE,SAAS,EAAE,MAAM,aAAa,CAAC;AAE7C,gDAAgD;AAChD,MAAM,WAAW,aAAa;IAC5B,uDAAuD;IACvD,QAAQ,CAAC,UAAU,EAAE,OAAO,CAAC;IAC7B,QAAQ,CAAC,WAAW,EAAE,SAAS;QAC7B,QAAQ,CAAC,IAAI,EAAE,MAAM,GAAG,UAAU,GAAG,OAAO,GAAG,MAAM,GAAG,QAAQ,GAAG,SAAS,GAAG,OAAO,CAAC;QACvF,QAAQ,CAAC,MAAM,EAAE,MAAM,CAAC;KACzB,EAAE,CAAC;IACJ,QAAQ,CAAC,MAAM,EAAE,SAAS;QACxB,0BAA0B;QAC1B,QAAQ,CAAC,IAAI,EAAE,MAAM,CAAC;QACtB,QAAQ,CAAC,MAAM,EAAE,MAAM,CAAC;QACxB,QAAQ,CAAC,KAAK,EAAE,MAAM,CAAC;QACvB,QAAQ,CAAC,KAAK,EAAE,MAAM,CAAC;KACxB,EAAE,CAAC;IACJ,yDAAyD;IACzD,QAAQ,CAAC,UAAU,EAAE,MAAM,GAAG,IAAI,CAAC;IACnC,iEAAiE;IACjE,QAAQ,CAAC,YAAY,EAAE,MAAM,CAAC;CAC/B;AAyCD;;;;;;;;;;;;;;GAcG;AACH,wBAAgB,WAAW,CAAC,MAAM,EAAE,SAAS,EAAE,KAAK,EAAE,SAAS,GAAG,aAAa,CAa9E"}

package/dist/core/backtest/compare.js

@@ -28,6 +28,8 @@ const COMPARED = [
     'maxDrawdown',
     'maxDrawdownPercent',
     'longestDrawdownBars',
+    'maxRunUp',
+    'maxRunUpPercent',
     'averageBarsHeld',
     'barsInMarket',
     'barCount',

package/dist/core/backtest/compare.js.map

@@ -1 +1 @@
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