qntjs-lib 1.1.4 → 2.0.0

package/README.md

@@ -114,9 +114,9 @@ const filled = arr.ffill(a);
 
  - **`math.*`** : `add`, `sub`, `avg`, `mul`, `div`, `scale`, `abs`, `sign`, `round`, `floor`, `ceil`, `eq`, `neq`, `gt`, `gte`, `lt`, `lte`, `and`, `or`, `not`, `clamp`, `sum`, `prod`, `min`, `max`, `argmin`, `argmax`, `cumsum`, `cumprod`, `cummax`, `cummin`, `rollsum`, `rollmin`, `rollmax`, `rollminmax`, `rollprod`, `rollargmin`, `rollargmax`, `diff`, `randuniform`, `randnormal`, `dot`, `norm`, `ols`, `olsMulti`
 
- - **`stats.*`** : `mean`, `hmean`, `gmean`, `mad`, `skew`, `kurtosis`, `median`, `quantile`, `percentiles`, `var`, `covar`, `stdev`, `corr`, `zscore`, `norminmax`, `winsorize`, `sample`, `shuffle`, `bootstrap`
+ - **`stats.*`** : `mean`, `hmean`, `gmean`, `mad`, `skew`, `kurtosis`, `median`, `quantile`, `percentiles`, `var`, `covar`, `stdev`, `corr`, `zscore`, `norminmax`, `winsorize`, `sample`, `shuffle`, `bootstrap`, `rollmean`, `rollmedian`, `rollquantile`, `rollvar`, `rollcovar`, `rollstdev`, `rollcorr`, `rollskew`, `rollkurtosis`
 
-- **`ta.*`** : `dema`, `ema`, `hma`, `kama`, `sma`, `wma`, `vwma`, `trima`, `t3`, `tema`, `rma`, `ao`, `apo`, `aroon`, `change`, `cmo`, `kst`, `macd`, `mom`, `ppo`, `roc`, `rsi`, `stoch`, `stochrsi`, `ultosc`, `wpr`, `supertrend`, `adx`, `adxr`, `dx`, `cci`, `di`, `dpo`, `ichimoku`, `psar`, `atr`, `tr`, `natr`, `bb`, `bbw`, `donchian`, `keltner`, `adosc`, `obv`, `pnvi`, `wad`, `ad`, `mfi`, `cross`, `crossover`, `crossunder`, `rising`, `falling`
+ - **`ta.*`** : `dema`, `ema`, `hma`, `kama`, `sma`, `wma`, `vwma`, `trima`, `t3`, `tema`, `rma`, `ao`, `apo`, `aroon`, `change`, `cmo`, `kst`, `macd`, `mom`, `ppo`, `roc`, `rsi`, `stoch`, `stochrsi`, `ultosc`, `wpr`, `supertrend`, `adx`, `adxr`, `dx`, `cci`, `di`, `dpo`, `ichimoku`, `psar`, `atr`, `tr`, `natr`, `bb`, `bbw`, `donchian`, `keltner`, `adosc`, `obv`, `pnvi`, `wad`, `ad`, `mfi`, `cross`, `crossover`, `crossunder`, `rising`, `falling`
 
  - **`perf.*`** : `returns`, `logreturns`, `cumreturns`, `cagr`, `dailyReturns`, `dd`, `maxdd`, `maxddDetails`, `dduration`, `rollmaxdd`, `recoveryFactor`, `calmarRatio`, `ulcerIndex`, `rollUlcerIndex`, `sharpe`, `sortino`, `rollsharpe`, `rollsortino`, `vol`, `rollvol`, `valueAtRisk`, `expectedShortfall`, `tailRatio`, `omegaRatio`
 

package/dist/bundle/index.d.ts

@@ -1613,7 +1613,7 @@ declare function cagr(returns: ArrayLike<number>, freq?: number): number;
  * @param tzOffsetMinutes Optional timezone offset in minutes (default 0, UTC)
  * @returns Object { days: number[], dailyReturns: Float32Array }
  */
-declare function dailyReturns(tsMs: ArrayLike<number>, returnsArr: ArrayLike<number>, tzOffsetMinutes?: number): {
+declare function dailyreturns(tsMs: ArrayLike<number>, returnsArr: ArrayLike<number>, tzOffsetMinutes?: number): {
     days: number[];
     dailyReturns: Float32Array<ArrayBuffer>;
 };
@@ -1672,7 +1672,7 @@ declare function dduration(equity: ArrayLike<number>): DrawdownDurationResult;
  * @param freq Periods per year (default 252)
  * @returns Recovery factor or NaN
  */
-declare function recoveryFactor(equity: ArrayLike<number>, freq?: number): number;
+declare function recoveryfactor(equity: ArrayLike<number>, freq?: number): number;
 /**
  * Calmar ratio: CAGR over a lookback period divided by the max drawdown magnitude over the same period.
  * If `lookbackPeriodYears` is null uses the entire series. Returns NaN on invalid inputs or zero drawdown.
@@ -1681,14 +1681,14 @@ declare function recoveryFactor(equity: ArrayLike<number>, freq?: number): numbe
  * @param freq Periods per year (default 252)
  * @returns Calmar ratio or NaN
  */
-declare function calmarRatio(equity: ArrayLike<number>, lookbackPeriodYears?: number | null, freq?: number): number;
+declare function calmar(equity: ArrayLike<number>, lookbackPeriodYears?: number | null, freq?: number): number;
 /**
  * Ulcer Index: measures depth and duration of drawdowns (root-mean-square of depths).
  * Returns NaN for empty input.
  * @param equity Array-like equity or price series
  * @returns Ulcer Index (>=0) or NaN
  */
-declare function ulcerIndex(equity: ArrayLike<number>): number;
+declare function ulcer(equity: ArrayLike<number>): number;
 /**
  * Rolling Ulcer Index computed over a trailing window.
  * Returns NaN for windows with insufficient valid samples (< minPeriod) or invalid window.
@@ -1697,7 +1697,7 @@ declare function ulcerIndex(equity: ArrayLike<number>): number;
  * @param minPeriod Minimum number of valid points required in window
  * @returns Float64Array of rolling ulcer index values
  */
-declare function rollUlcerIndex(equity: ArrayLike<number>, window: number, minPeriod?: number): Float64Array;
+declare function rollulcer(equity: ArrayLike<number>, window: number, minPeriod?: number): Float64Array;
 
 /**
  * Compute the (annualized) Sharpe ratio for a returns series.
@@ -1780,7 +1780,7 @@ declare function valueAtRisk(returns: ArrayLike<number>, alpha?: number, method?
  * @param method 'historical' | 'parametric' (default 'historical')
  * @returns Expected shortfall (left-tail) or NaN
  */
-declare function expectedShortfall(returns: ArrayLike<number>, alpha?: number, method?: 'historical' | 'parametric'): number;
+declare function expshortfall(returns: ArrayLike<number>, alpha?: number, method?: 'historical' | 'parametric'): number;
 /**
  * Tail ratio: mean of upper tail divided by absolute mean of lower tail.
  * Returns NaN for empty inputs, invalid alpha, or when either tail has no observations or lower mean is zero.
@@ -1788,7 +1788,7 @@ declare function expectedShortfall(returns: ArrayLike<number>, alpha?: number, m
  * @param alpha Tail probability (default 0.05)
  * @returns Tail ratio or NaN
  */
-declare function tailRatio(returns: ArrayLike<number>, alpha?: number): number;
+declare function tail(returns: ArrayLike<number>, alpha?: number): number;
 /**
  * Omega ratio: sum of gains above `requiredReturn` divided by sum of losses below it.
  * Returns NaN for empty inputs or when there is no variation (all gains or all losses zero).
@@ -1796,36 +1796,35 @@ declare function tailRatio(returns: ArrayLike<number>, alpha?: number): number;
  * @param requiredReturn Threshold for gains/losses (default 0)
  * @returns Omega ratio number, Infinity if no losses, or NaN when no variation
  */
-declare function omegaRatio(returns: ArrayLike<number>, requiredReturn?: number): number;
+declare function omega(returns: ArrayLike<number>, requiredReturn?: number): number;
 
 type index_d_DrawdownDurationResult = DrawdownDurationResult;
 type index_d_MaxDrawdownInfo = MaxDrawdownInfo;
 declare const index_d_cagr: typeof cagr;
-declare const index_d_calmarRatio: typeof calmarRatio;
+declare const index_d_calmar: typeof calmar;
 declare const index_d_cumreturns: typeof cumreturns;
-declare const index_d_dailyReturns: typeof dailyReturns;
+declare const index_d_dailyreturns: typeof dailyreturns;
 declare const index_d_dd: typeof dd;
 declare const index_d_dduration: typeof dduration;
-declare const index_d_expectedShortfall: typeof expectedShortfall;
+declare const index_d_expshortfall: typeof expshortfall;
 declare const index_d_logreturns: typeof logreturns;
 declare const index_d_maxdd: typeof maxdd;
 declare const index_d_maxddDetails: typeof maxddDetails;
-declare const index_d_omegaRatio: typeof omegaRatio;
-declare const index_d_recoveryFactor: typeof recoveryFactor;
+declare const index_d_omega: typeof omega;
+declare const index_d_recoveryfactor: typeof recoveryfactor;
 declare const index_d_returns: typeof returns;
-declare const index_d_rollUlcerIndex: typeof rollUlcerIndex;
 declare const index_d_rollmaxdd: typeof rollmaxdd;
 declare const index_d_rollsharpe: typeof rollsharpe;
 declare const index_d_rollsortino: typeof rollsortino;
+declare const index_d_rollulcer: typeof rollulcer;
 declare const index_d_rollvol: typeof rollvol;
 declare const index_d_sharpe: typeof sharpe;
 declare const index_d_sortino: typeof sortino;
-declare const index_d_tailRatio: typeof tailRatio;
-declare const index_d_ulcerIndex: typeof ulcerIndex;
-declare const index_d_valueAtRisk: typeof valueAtRisk;
+declare const index_d_tail: typeof tail;
+declare const index_d_ulcer: typeof ulcer;
 declare const index_d_vol: typeof vol;
 declare namespace index_d {
-  export { index_d_cagr as cagr, index_d_calmarRatio as calmarRatio, index_d_cumreturns as cumreturns, index_d_dailyReturns as dailyReturns, index_d_dd as dd, index_d_dduration as dduration, index_d_expectedShortfall as expectedShortfall, index_d_logreturns as logreturns, index_d_maxdd as maxdd, index_d_maxddDetails as maxddDetails, index_d_omegaRatio as omegaRatio, index_d_recoveryFactor as recoveryFactor, index_d_returns as returns, index_d_rollUlcerIndex as rollUlcerIndex, index_d_rollmaxdd as rollmaxdd, index_d_rollsharpe as rollsharpe, index_d_rollsortino as rollsortino, index_d_rollvol as rollvol, index_d_sharpe as sharpe, index_d_sortino as sortino, index_d_tailRatio as tailRatio, index_d_ulcerIndex as ulcerIndex, index_d_valueAtRisk as valueAtRisk, index_d_vol as vol };
+  export { index_d_cagr as cagr, index_d_calmar as calmar, index_d_cumreturns as cumreturns, index_d_dailyreturns as dailyreturns, index_d_dd as dd, index_d_dduration as dduration, index_d_expshortfall as expshortfall, index_d_logreturns as logreturns, index_d_maxdd as maxdd, index_d_maxddDetails as maxddDetails, index_d_omega as omega, index_d_recoveryfactor as recoveryfactor, index_d_returns as returns, index_d_rollmaxdd as rollmaxdd, index_d_rollsharpe as rollsharpe, index_d_rollsortino as rollsortino, index_d_rollulcer as rollulcer, index_d_rollvol as rollvol, index_d_sharpe as sharpe, index_d_sortino as sortino, index_d_tail as tail, index_d_ulcer as ulcer, valueAtRisk as var, index_d_vol as vol };
   export type { index_d_DrawdownDurationResult as DrawdownDurationResult, index_d_MaxDrawdownInfo as MaxDrawdownInfo };
 }
 

package/dist/bundle/index.js

@@ -10,7 +10,7 @@ function $(t, n) {
     e[r] = t[r] + l[r];
   return e;
 }
-function B(t, n) {
+function X(t, n) {
   if (typeof n == "number") {
     const r = t.length, i = new Float64Array(r);
     for (let s = 0; s < r; s++)
@@ -108,7 +108,7 @@ function qt(t) {
     l[o] = Math.ceil(t[o]);
   return l;
 }
-function Rt(t) {
+function Bt(t) {
   const n = t.length;
   if (n === 0)
     return new Float64Array(0);
@@ -118,7 +118,7 @@ function Rt(t) {
     l[o] = t[o] - t[o - 1];
   return l;
 }
-function Bt(t, n) {
+function Xt(t, n) {
   const l = t.length, o = n;
   for (let e = 0; e < l; e++)
     t[e] = o(t[e], e);
@@ -136,7 +136,7 @@ function q(t, n, l) {
     e[s] = l(t[s], r[s]) ? 1 : 0;
   return e;
 }
-function Xt(t, n) {
+function Rt(t, n) {
   return q(t, n, (o, e) => o < e);
 }
 function zt(t, n) {
@@ -858,14 +858,14 @@ const Io = /* @__PURE__ */ Object.freeze(/* @__PURE__ */ Object.defineProperty({
   cummin: Mn,
   cumprod: Zt,
   cumsum: hn,
-  diff: Rt,
+  diff: Bt,
   div: jt,
   dot: xn,
   eq: Ht,
   floor: Ut,
   gt: Kt,
   gte: Yt,
-  lt: Xt,
+  lt: Rt,
   lte: zt,
   max: vn,
   min: gn,
@@ -889,7 +889,7 @@ const Io = /* @__PURE__ */ Object.freeze(/* @__PURE__ */ Object.defineProperty({
   round: Tt,
   scale: Pt,
   sign: Ct,
-  sub: B,
+  sub: X,
   sum: ot
 }, Symbol.toStringTag, { value: "Module" }));
 function Sn(t, n, l, o) {
@@ -1158,11 +1158,11 @@ function qn(t, n) {
     i[a] = 2 * s[a] - f[a];
   return J(i, r, !1);
 }
-function Rn(t, n, l = 2, o = 30, e = !0) {
+function Bn(t, n, l = 2, o = 30, e = !0) {
   if (n <= 0)
     throw new Error("Period must be positive");
   const r = t.length, i = new Float64Array(r);
-  return r < n ? (i.fill(NaN), i) : (e && !V() && !k(t) && (e = !1), e ? Bn(t, n, l, o) : rt(t, n, l, o));
+  return r < n ? (i.fill(NaN), i) : (e && !V() && !k(t) && (e = !1), e ? Xn(t, n, l, o) : rt(t, n, l, o));
 }
 function rt(t, n, l, o) {
   const e = t.length, r = new Float64Array(e);
@@ -1183,7 +1183,7 @@ function rt(t, n, l, o) {
   }
   return r;
 }
-function Bn(t, n, l, o) {
+function Xn(t, n, l, o) {
   const e = t.length, r = new Float64Array(e);
   r.fill(NaN);
   let i = !1;
@@ -1208,7 +1208,7 @@ function Bn(t, n, l, o) {
   }
   return r;
 }
-function Xn(t, n, l, o) {
+function Rn(t, n, l, o) {
   for (let i = 0; i < n; i++)
     o[i] = NaN;
   if (n === 1) {
@@ -1246,7 +1246,7 @@ function lt(t, n, l = !0) {
   if (n <= 0)
     throw new Error("Period must be positive");
   const o = t.length, e = new Float64Array(o);
-  return o < n ? (e.fill(NaN), e) : (l && !V() && !k(t) && (l = !1), l ? zn(t, n, o, e) : Xn(t, n, o, e));
+  return o < n ? (e.fill(NaN), e) : (l && !V() && !k(t) && (l = !1), l ? zn(t, n, o, e) : Rn(t, n, o, e));
 }
 function Kn(t, n, l) {
   if (n <= 0)
@@ -1338,7 +1338,7 @@ function Ft(t, n = { ddof: 1, skipna: !0 }) {
   const a = s - l;
   return a <= 0 ? NaN : (i - s * f * f) / a;
 }
-function X(t, n = { ddof: 1, skipna: !0 }) {
+function R(t, n = { ddof: 1, skipna: !0 }) {
   const l = Ft(t, n);
   return Math.sqrt(l);
 }
@@ -1445,7 +1445,7 @@ function xt(t, n, l, o = { ddof: 1 }) {
   }
   return i;
 }
-function R(t, n, l = { skipna: !0, ddof: 1 }) {
+function B(t, n, l = { skipna: !0, ddof: 1 }) {
   const o = dt(t, n, l), e = new Float64Array(o.length);
   for (let r = 0; r < o.length; r++)
     e[r] = Math.sqrt(o[r]);
@@ -1848,7 +1848,7 @@ function ee(t, n = !0) {
   if (l === 0)
     return o;
   !V() && n && (k(t) || (n = !1));
-  const e = C(t, { skipna: n }), r = X(t, { ddof: 1, skipna: n });
+  const e = C(t, { skipna: n }), r = R(t, { ddof: 1, skipna: n });
   if (r === 0 || r !== r)
     return o.fill(NaN), o;
   for (let i = 0; i < l; i++)
@@ -1932,7 +1932,7 @@ function le(t, n, l, o) {
     for (let h = 0; h < r; h++)
       s[h] = h < t.length ? t[h] : NaN, f[h] = h < n.length ? n[h] : NaN;
   }
-  const a = xt(s, f, l), c = R(s, l, { skipna: i }), u = R(f, l, { skipna: i }), N = new Float64Array(r);
+  const a = xt(s, f, l), c = B(s, l, { skipna: i }), u = B(f, l, { skipna: i }), N = new Float64Array(r);
   for (let h = 0; h < r; h++) {
     const m = c[h] * u[h];
     m > 1e-12 ? N[h] = a[h] / m : N[h] = NaN;
@@ -2122,12 +2122,12 @@ const ko = /* @__PURE__ */ Object.freeze(/* @__PURE__ */ Object.defineProperty({
   rollmedian: pn,
   rollquantile: ne,
   rollskew: ae,
-  rollstdev: R,
+  rollstdev: B,
   rollvar: dt,
   sample: Ne,
   shuffle: ue,
   skew: se,
-  stdev: X,
+  stdev: R,
   var: Ft,
   winsorize: ie,
   zscore: ee
@@ -2512,17 +2512,17 @@ function Ie(t, n, l = 1) {
 function ke(t, n = 0, l = 252) {
   if (t.length === 0)
     return NaN;
-  const e = n / l, r = B(t, e), i = C(r);
+  const e = n / l, r = X(t, e), i = C(r);
   if (i !== i)
     return NaN;
-  const s = X(r, { ddof: 1, skipna: !0 });
+  const s = R(r, { ddof: 1, skipna: !0 });
   return s === 0 || s !== s ? NaN : i * Math.sqrt(l) / s;
 }
 function Ve(t, n = 0, l = 252, o = 1) {
   const e = t.length;
   if (e === 0)
     return NaN;
-  const r = n / l, i = B(t, r), s = C(i);
+  const r = n / l, i = X(t, r), s = C(i);
   if (s !== s)
     return NaN;
   let f = 0, a = 0;
@@ -2539,7 +2539,7 @@ function Se(t, n, l = 0, o = 252, e = 1) {
   const r = t.length, i = new Float64Array(r);
   if (r === 0)
     return i;
-  const s = l / o, f = B(t, s), a = _(f), c = ct(f, n), u = R(f, n, { skipna: !0, ddof: 0 }), N = Z(a, n);
+  const s = l / o, f = X(t, s), a = _(f), c = ct(f, n), u = B(f, n, { skipna: !0, ddof: 0 }), N = Z(a, n);
   for (let h = 0; h < r; h++) {
     const m = N[h];
     if (m !== m || m < e) {
@@ -2563,12 +2563,12 @@ function Le(t, n, l = 0, o = 252, e = 1) {
   const r = t.length, i = new Float64Array(r);
   if (r === 0)
     return i;
-  const s = l / o, f = B(t, s), a = new Float64Array(r);
+  const s = l / o, f = X(t, s), a = new Float64Array(r);
   for (let m = 0; m < r; m++) {
     const w = f[m];
     a[m] = w === w && w < 0 ? w : NaN;
   }
-  const c = _(a), u = ct(f, n), N = R(a, n, { skipna: !0, ddof: 0 }), h = Z(c, n);
+  const c = _(a), u = ct(f, n), N = B(a, n, { skipna: !0, ddof: 0 }), h = Z(c, n);
   for (let m = 0; m < r; m++) {
     const w = h[m], g = u[m];
     if (w !== w || g !== g || w < 2) {
@@ -2587,14 +2587,14 @@ function Le(t, n, l = 0, o = 252, e = 1) {
 function _e(t, n = 252) {
   if (t.length === 0)
     return NaN;
-  const o = X(t, { ddof: 1, skipna: !0 });
+  const o = R(t, { ddof: 1, skipna: !0 });
   return o !== o || o === 0 ? NaN : o * Math.sqrt(n);
 }
 function je(t, n, l = 252, o = 1) {
   const e = t.length, r = new Float64Array(e);
   if (e === 0)
     return r;
-  const i = R(t, n, { skipna: !0, ddof: 0 }), s = Z(_(t), n);
+  const i = B(t, n, { skipna: !0, ddof: 0 }), s = Z(_(t), n);
   for (let f = 0; f < e; f++) {
     const a = s[f];
     if (a !== a || a < o) {
@@ -2631,7 +2631,7 @@ function De(t, n = 0.05, l = "historical") {
     const s = Y(t);
     return s.length === 0 ? NaN : O(s, n);
   }
-  const e = C(t), r = X(t);
+  const e = C(t), r = R(t);
   if (e !== e || r !== r || r === 0)
     return NaN;
   const i = kt(n);
@@ -2654,7 +2654,7 @@ function Oe(t, n = 0.05, l = "historical") {
     }
     return c / u;
   }
-  const e = C(t), r = X(t);
+  const e = C(t), r = R(t);
   if (e !== e || r !== r || r === 0)
     return NaN;
   const i = kt(n);
@@ -2693,28 +2693,28 @@ function Te(t, n = 0) {
 const Vo = /* @__PURE__ */ Object.freeze(/* @__PURE__ */ Object.defineProperty({
   __proto__: null,
   cagr: ve,
-  calmarRatio: xe,
+  calmar: xe,
   cumreturns: ge,
-  dailyReturns: Ae,
+  dailyreturns: Ae,
   dd: ye,
   dduration: Fe,
-  expectedShortfall: Oe,
+  expshortfall: Oe,
   logreturns: we,
   maxdd: ut,
   maxddDetails: be,
-  omegaRatio: Te,
-  recoveryFactor: de,
+  omega: Te,
+  recoveryfactor: de,
   returns: me,
-  rollUlcerIndex: Ie,
   rollmaxdd: Me,
   rollsharpe: Se,
   rollsortino: Le,
+  rollulcer: Ie,
   rollvol: je,
   sharpe: ke,
   sortino: Ve,
-  tailRatio: Ce,
-  ulcerIndex: Ee,
-  valueAtRisk: De,
+  tail: Ce,
+  ulcer: Ee,
+  var: De,
   vol: _e
 }, Symbol.toStringTag, { value: "Module" }));
 function Ue(t, n, l = 5, o = 34, e = !0) {
@@ -2743,7 +2743,7 @@ function Ue(t, n, l = 5, o = 34, e = !0) {
     return i;
   }
   const f = mt(t, n), a = L(f, l), c = L(f, o);
-  return B(a, c);
+  return X(a, c);
 }
 function qe(t, n, l) {
   if (n <= 0 || l <= 0)
@@ -2767,7 +2767,7 @@ function qe(t, n, l) {
   }
   return e;
 }
-function Re(t, n) {
+function Be(t, n) {
   if (n <= 0)
     throw new Error("Period must be positive");
   const l = t.length, o = new Float64Array(l);
@@ -2795,7 +2795,7 @@ function Re(t, n) {
   }
   return o;
 }
-function Be(t, n, l, o) {
+function Xe(t, n, l, o) {
   if (n <= 0 || l <= 0 || o <= 0)
     throw new Error("Periods must be positive");
   const e = t.length, r = new Float64Array(e), i = new Float64Array(e), s = new Float64Array(e);
@@ -2820,7 +2820,7 @@ function Be(t, n, l, o) {
   }
   return [r, i, s];
 }
-function Xe(t, n) {
+function Re(t, n) {
   if (n <= 0)
     throw new Error("Period must be positive");
   const l = t.length, o = new Float64Array(l).fill(NaN, 0, Math.min(l, n));
@@ -3312,7 +3312,7 @@ function tt(t, n, l, o) {
 }
 function io(t, n, l, o) {
   const e = tt(t, n, l, o);
-  return Bt(e, (r, i) => r / l[i] * 100), e;
+  return Xt(e, (r, i) => r / l[i] * 100), e;
 }
 function so(t, n, l, o, e) {
   if (o <= 0)
@@ -3412,7 +3412,7 @@ function _t(t, n, l) {
   const o = t.length, e = L(t, n, !0), r = new Float64Array(o), i = new Float64Array(o);
   if (i.fill(NaN, 0, Math.min(o, n)), r.fill(NaN, 0, Math.min(o, n)), o < n)
     return [e.fill(NaN), r.fill(NaN), i.fill(NaN)];
-  const s = !(V() === !1 && !k(t)), f = R(t, n, { skipna: s, ddof: 0 });
+  const s = !(V() === !1 && !k(t)), f = B(t, n, { skipna: s, ddof: 0 });
   for (let a = n - 1; a < o; a++) {
     const c = e[a], u = f[a];
     if (c !== c || u !== u) {
@@ -3704,7 +3704,7 @@ const So = /* @__PURE__ */ Object.freeze(/* @__PURE__ */ Object.defineProperty({
   bbw: No,
   cci: pe,
   change: Ke,
-  cmo: Re,
+  cmo: Be,
   cross: ft,
   crossover: en,
   crossunder: on,
@@ -3717,12 +3717,12 @@ const So = /* @__PURE__ */ Object.freeze(/* @__PURE__ */ Object.defineProperty({
   falling: nn,
   hma: qn,
   ichimoku: uo,
-  kama: Rn,
+  kama: Bn,
   keltner: mo,
   kst: Ze,
-  macd: Be,
+  macd: Xe,
   mfi: yo,
-  mom: Xe,
+  mom: Re,
   natr: io,
   obv: bo,
   pnvi: Mo,

package/dist/perf/dd.d.ts

@@ -52,7 +52,7 @@ export declare function dduration(equity: ArrayLike<number>): DrawdownDurationRe
  * @param freq Periods per year (default 252)
  * @returns Recovery factor or NaN
  */
-export declare function recoveryFactor(equity: ArrayLike<number>, freq?: number): number;
+export declare function recoveryfactor(equity: ArrayLike<number>, freq?: number): number;
 /**
  * Calmar ratio: CAGR over a lookback period divided by the max drawdown magnitude over the same period.
  * If `lookbackPeriodYears` is null uses the entire series. Returns NaN on invalid inputs or zero drawdown.
@@ -61,14 +61,14 @@ export declare function recoveryFactor(equity: ArrayLike<number>, freq?: number)
  * @param freq Periods per year (default 252)
  * @returns Calmar ratio or NaN
  */
-export declare function calmarRatio(equity: ArrayLike<number>, lookbackPeriodYears?: number | null, freq?: number): number;
+export declare function calmar(equity: ArrayLike<number>, lookbackPeriodYears?: number | null, freq?: number): number;
 /**
  * Ulcer Index: measures depth and duration of drawdowns (root-mean-square of depths).
  * Returns NaN for empty input.
  * @param equity Array-like equity or price series
  * @returns Ulcer Index (>=0) or NaN
  */
-export declare function ulcerIndex(equity: ArrayLike<number>): number;
+export declare function ulcer(equity: ArrayLike<number>): number;
 /**
  * Rolling Ulcer Index computed over a trailing window.
  * Returns NaN for windows with insufficient valid samples (< minPeriod) or invalid window.
@@ -77,4 +77,4 @@ export declare function ulcerIndex(equity: ArrayLike<number>): number;
  * @param minPeriod Minimum number of valid points required in window
  * @returns Float64Array of rolling ulcer index values
  */
-export declare function rollUlcerIndex(equity: ArrayLike<number>, window: number, minPeriod?: number): Float64Array;
+export declare function rollulcer(equity: ArrayLike<number>, window: number, minPeriod?: number): Float64Array;

package/dist/perf/distribution.d.ts

@@ -17,7 +17,7 @@ export declare function valueAtRisk(returns: ArrayLike<number>, alpha?: number,
  * @param method 'historical' | 'parametric' (default 'historical')
  * @returns Expected shortfall (left-tail) or NaN
  */
-export declare function expectedShortfall(returns: ArrayLike<number>, alpha?: number, method?: 'historical' | 'parametric'): number;
+export declare function expshortfall(returns: ArrayLike<number>, alpha?: number, method?: 'historical' | 'parametric'): number;
 /**
  * Tail ratio: mean of upper tail divided by absolute mean of lower tail.
  * Returns NaN for empty inputs, invalid alpha, or when either tail has no observations or lower mean is zero.
@@ -25,7 +25,7 @@ export declare function expectedShortfall(returns: ArrayLike<number>, alpha?: nu
  * @param alpha Tail probability (default 0.05)
  * @returns Tail ratio or NaN
  */
-export declare function tailRatio(returns: ArrayLike<number>, alpha?: number): number;
+export declare function tail(returns: ArrayLike<number>, alpha?: number): number;
 /**
  * Omega ratio: sum of gains above `requiredReturn` divided by sum of losses below it.
  * Returns NaN for empty inputs or when there is no variation (all gains or all losses zero).
@@ -33,11 +33,11 @@ export declare function tailRatio(returns: ArrayLike<number>, alpha?: number): n
  * @param requiredReturn Threshold for gains/losses (default 0)
  * @returns Omega ratio number, Infinity if no losses, or NaN when no variation
  */
-export declare function omegaRatio(returns: ArrayLike<number>, requiredReturn?: number): number;
+export declare function omega(returns: ArrayLike<number>, requiredReturn?: number): number;
 declare const _default: {
     valueAtRisk: typeof valueAtRisk;
-    expectedShortfall: typeof expectedShortfall;
-    tailRatio: typeof tailRatio;
-    omegaRatio: typeof omegaRatio;
+    expectedShortfall: typeof expshortfall;
+    tailRatio: typeof tail;
+    omegaRatio: typeof omega;
 };
 export default _default;

package/dist/perf/index.d.ts

@@ -1,5 +1,5 @@
-export { cagr, cumreturns, logreturns, returns, dailyReturns } from './returns.js';
-export { dd, dduration, maxdd, maxddDetails, recoveryFactor, calmarRatio, rollmaxdd, ulcerIndex, rollUlcerIndex } from './dd.js';
-export type { DrawdownDurationResult, MaxDrawdownInfo } from './dd.js';
+export { cagr, cumreturns, logreturns, returns, dailyreturns } from './returns.js';
+export { dd, dduration, maxdd, maxddDetails, recoveryfactor, calmar, rollmaxdd, ulcer, rollulcer } from './dd.js';
 export { sharpe, sortino, rollsharpe, rollsortino, vol, rollvol } from './volatility.js';
-export { valueAtRisk, expectedShortfall, omegaRatio, tailRatio } from './distribution.js';
+export { valueAtRisk as var, expshortfall, omega, tail } from './distribution.js';
+export type { DrawdownDurationResult, MaxDrawdownInfo } from './dd.js';

package/dist/perf/returns.d.ts

@@ -41,7 +41,7 @@ export declare function cagr(returns: ArrayLike<number>, freq?: number): number;
  * @param tzOffsetMinutes Optional timezone offset in minutes (default 0, UTC)
  * @returns Object { days: number[], dailyReturns: Float32Array }
  */
-export declare function dailyReturns(tsMs: ArrayLike<number>, returnsArr: ArrayLike<number>, tzOffsetMinutes?: number): {
+export declare function dailyreturns(tsMs: ArrayLike<number>, returnsArr: ArrayLike<number>, tzOffsetMinutes?: number): {
     days: number[];
     dailyReturns: Float32Array<ArrayBuffer>;
 };

package/dist/untyped/index.d.ts

@@ -1221,7 +1221,7 @@ declare namespace perf {
    * @param freq Periods per year (default 252)
    * @returns Calmar ratio or NaN
    */
-  export function calmarRatio(equity: ArrayLike<number>, lookbackPeriodYears?: number | null, freq?: number): number;
+  export function calmar(equity: ArrayLike<number>, lookbackPeriodYears?: number | null, freq?: number): number;
   /**
    * Compute cumulative compound returns from a returns series, skipping NaNs.
    * Cumulative return at i is prod_{j<=i, r_j finite} (1+r_j) - 1; NaN inputs leave an output NaN at that position.
@@ -1241,7 +1241,7 @@ declare namespace perf {
    * @param tzOffsetMinutes Optional timezone offset in minutes (default 0, UTC)
    * @returns Object { days: number[], dailyReturns: Float32Array }
    */
-  export function dailyReturns(tsMs: ArrayLike<number>, returnsArr: ArrayLike<number>, tzOffsetMinutes?: number): {
+  export function dailyreturns(tsMs: ArrayLike<number>, returnsArr: ArrayLike<number>, tzOffsetMinutes?: number): {
     days: number[];
     dailyReturns: number[];
 };
@@ -1268,7 +1268,7 @@ declare namespace perf {
    * @param method 'historical' | 'parametric' (default 'historical')
    * @returns Expected shortfall (left-tail) or NaN
    */
-  export function expectedShortfall(returns: ArrayLike<number>, alpha?: number, method?: 'historical' | 'parametric'): number;
+  export function expshortfall(returns: ArrayLike<number>, alpha?: number, method?: 'historical' | 'parametric'): number;
   /**
    * Compute log returns from a level series.
    * For each i>0: logreturns[i] = log(source[i]/source[i-1]) when both values are finite and previous>0.
@@ -1298,7 +1298,7 @@ declare namespace perf {
    * @param requiredReturn Threshold for gains/losses (default 0)
    * @returns Omega ratio number, Infinity if no losses, or NaN when no variation
    */
-  export function omegaRatio(returns: ArrayLike<number>, requiredReturn?: number): number;
+  export function omega(returns: ArrayLike<number>, requiredReturn?: number): number;
   /**
    * Recovery factor: ratio of annualized return (CAGR) to maximum drawdown magnitude.
    * Returns NaN if insufficient data, invalid start value, or zero/NaN max drawdown.
@@ -1306,7 +1306,7 @@ declare namespace perf {
    * @param freq Periods per year (default 252)
    * @returns Recovery factor or NaN
    */
-  export function recoveryFactor(equity: ArrayLike<number>, freq?: number): number;
+  export function recoveryfactor(equity: ArrayLike<number>, freq?: number): number;
   /**
    * Compute simple period returns from a level series.
    * For each i>0: returns[i] = source[i]/source[i-1] - 1 when both values are finite and previous != 0.
@@ -1315,15 +1315,6 @@ declare namespace perf {
    * @returns Float32Array of simple returns (same length as `source`)
    */
   export function returns(source: ArrayLike<number>): number[];
-  /**
-   * Rolling Ulcer Index computed over a trailing window.
-   * Returns NaN for windows with insufficient valid samples (< minPeriod) or invalid window.
-   * @param equity Array-like equity or price series
-   * @param window Rolling window length (positive integer)
-   * @param minPeriod Minimum number of valid points required in window
-   * @returns Float64Array of rolling ulcer index values
-   */
-  export function rollUlcerIndex(equity: ArrayLike<number>, window: number, minPeriod?: number): number[];
   /**
    * Rolling maximum drawdown over a trailing window.
    * For each index i computes the max drawdown observed within the trailing window.
@@ -1354,6 +1345,15 @@ declare namespace perf {
    * @returns Float64Array of rolling Sortino ratios
    */
   export function rollsortino(returns: ArrayLike<number>, window: number, requiredReturn?: number, freq?: number, minPeriod?: number): number[];
+  /**
+   * Rolling Ulcer Index computed over a trailing window.
+   * Returns NaN for windows with insufficient valid samples (< minPeriod) or invalid window.
+   * @param equity Array-like equity or price series
+   * @param window Rolling window length (positive integer)
+   * @param minPeriod Minimum number of valid points required in window
+   * @returns Float64Array of rolling ulcer index values
+   */
+  export function rollulcer(equity: ArrayLike<number>, window: number, minPeriod?: number): number[];
   /**
    * Rolling annualized volatility (sample stddev) over a trailing window.
    * Outputs NaN for windows with insufficient valid samples or zero/NaN sigma.
@@ -1392,14 +1392,14 @@ declare namespace perf {
    * @param alpha Tail probability (default 0.05)
    * @returns Tail ratio or NaN
    */
-  export function tailRatio(returns: ArrayLike<number>, alpha?: number): number;
+  export function tail(returns: ArrayLike<number>, alpha?: number): number;
   /**
    * Ulcer Index: measures depth and duration of drawdowns (root-mean-square of depths).
    * Returns NaN for empty input.
    * @param equity Array-like equity or price series
    * @returns Ulcer Index (>=0) or NaN
    */
-  export function ulcerIndex(equity: ArrayLike<number>): number;
+  export function ulcer(equity: ArrayLike<number>): number;
   /**
    * Value-at-Risk (VaR) estimator.
    * Supports `historical` (empirical quantile) and `parametric` (normal) methods.

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "qntjs-lib",
-  "version": "1.1.4",
+  "version": "2.0.0",
   "type": "module",
   "main": "./dist/bundle/index.js",
   "types": "./dist/index.d.ts",
@@ -47,6 +47,8 @@
     "tema",
     "kama",
     "mfi",
+    "quantitative-trading",
+    "sharpe-ratio",
     "typescript",
     "javascript",
     "array-utils"