tradelab 0.4.0 → 1.0.0

package/templates/report.js

@@ -34,87 +34,101 @@
     );
   }
 
-  plot("equity-chart", [
+  plot(
+    "equity-chart",
+    [
+      {
+        x: data.eqSeries.map((point) => point.t),
+        y: data.eqSeries.map((point) => point.equity),
+        type: "scatter",
+        mode: "lines",
+        name: "Equity",
+        line: { color: "#64e0c1", width: 2.5 },
+      },
+    ],
     {
-      x: data.eqSeries.map((point) => point.t),
-      y: data.eqSeries.map((point) => point.equity),
-      type: "scatter",
-      mode: "lines",
-      name: "Equity",
-      line: { color: "#64e0c1", width: 2.5 },
-    },
-  ], {
-    yaxis: { title: "Equity", gridcolor: "rgba(159,176,201,0.12)" },
-  });
+      yaxis: { title: "Equity", gridcolor: "rgba(159,176,201,0.12)" },
+    }
+  );
 
-  plot("drawdown-chart", [
+  plot(
+    "drawdown-chart",
+    [
+      {
+        x: data.drawdown.map((point) => point.t),
+        y: data.drawdown.map((point) => point.value),
+        type: "scatter",
+        mode: "lines",
+        name: "Drawdown",
+        line: { color: "#fb7185", width: 2.2 },
+        fill: "tozeroy",
+        fillcolor: "rgba(251,113,133,0.12)",
+      },
+    ],
     {
-      x: data.drawdown.map((point) => point.t),
-      y: data.drawdown.map((point) => point.value),
-      type: "scatter",
-      mode: "lines",
-      name: "Drawdown",
-      line: { color: "#fb7185", width: 2.2 },
-      fill: "tozeroy",
-      fillcolor: "rgba(251,113,133,0.12)",
-    },
-  ], {
-    yaxis: {
-      title: "Drawdown",
-      tickformat: ",.0%",
-      gridcolor: "rgba(159,176,201,0.12)",
-    },
-  });
+      yaxis: {
+        title: "Drawdown",
+        tickformat: ",.0%",
+        gridcolor: "rgba(159,176,201,0.12)",
+      },
+    }
+  );
 
   if (Array.isArray(data.dailyPnl) && data.dailyPnl.length) {
-    plot("daily-chart", [
-      {
-        x: data.dailyPnl.map((point) => point.date),
-        y: data.dailyPnl.map((point) => point.pnl),
-        type: "bar",
-        name: "Daily PnL",
-        marker: {
-          color: data.dailyPnl.map((point) =>
-            point.pnl >= 0 ? "#4ade80" : "#fb7185"
-          ),
+    plot(
+      "daily-chart",
+      [
+        {
+          x: data.dailyPnl.map((point) => point.date),
+          y: data.dailyPnl.map((point) => point.pnl),
+          type: "bar",
+          name: "Daily PnL",
+          marker: {
+            color: data.dailyPnl.map((point) => (point.pnl >= 0 ? "#4ade80" : "#fb7185")),
+          },
         },
-      },
-    ], {
-      yaxis: { title: "PnL", gridcolor: "rgba(159,176,201,0.12)" },
-    });
+      ],
+      {
+        yaxis: { title: "PnL", gridcolor: "rgba(159,176,201,0.12)" },
+      }
+    );
   }
 
   if (data.hasReplay && Array.isArray(data.replay.frames)) {
     const entries = data.replay.events.filter((event) => event.type === "entry");
     const exits = data.replay.events.filter((event) => event.type !== "entry");
 
-    plot("replay-chart", [
-      {
-        x: data.replay.frames.map((frame) => frame.t),
-        y: data.replay.frames.map((frame) => frame.price),
-        type: "scatter",
-        mode: "lines",
-        name: "Price",
-        line: { color: "#93c5fd", width: 2 },
-      },
-      {
-        x: entries.map((event) => event.t),
-        y: entries.map((event) => event.price),
-        type: "scatter",
-        mode: "markers",
-        name: "Entries",
-        marker: { color: "#4ade80", size: 9, symbol: "triangle-up" },
-      },
+    plot(
+      "replay-chart",
+      [
+        {
+          x: data.replay.frames.map((frame) => frame.t),
+          y: data.replay.frames.map((frame) => frame.price),
+          type: "scatter",
+          mode: "lines",
+          name: "Price",
+          line: { color: "#93c5fd", width: 2 },
+        },
+        {
+          x: entries.map((event) => event.t),
+          y: entries.map((event) => event.price),
+          type: "scatter",
+          mode: "markers",
+          name: "Entries",
+          marker: { color: "#4ade80", size: 9, symbol: "triangle-up" },
+        },
+        {
+          x: exits.map((event) => event.t),
+          y: exits.map((event) => event.price),
+          type: "scatter",
+          mode: "markers",
+          name: "Exits",
+          marker: { color: "#fb7185", size: 9, symbol: "triangle-down" },
+        },
+      ],
       {
-        x: exits.map((event) => event.t),
-        y: exits.map((event) => event.price),
-        type: "scatter",
-        mode: "markers",
-        name: "Exits",
-        marker: { color: "#fb7185", size: 9, symbol: "triangle-down" },
-      },
-    ], {
-      yaxis: { title: "Price", gridcolor: "rgba(159,176,201,0.12)" },
-    });
+        yaxis: { title: "Price", gridcolor: "rgba(159,176,201,0.12)" },
+      }
+    );
   }
 })();

package/types/index.d.ts

@@ -10,6 +10,20 @@ export interface Candle {
   [key: string]: unknown;
 }
 
+export interface Tick {
+  time: number;
+  price?: number;
+  last?: number;
+  bid?: number;
+  ask?: number;
+  high?: number;
+  low?: number;
+  close?: number;
+  size?: number;
+  volume?: number;
+  [key: string]: unknown;
+}
+
 /** Realized equity snapshot captured during a backtest. */
 export interface EquityPoint {
   /** Bar timestamp in Unix milliseconds. */
@@ -18,6 +32,10 @@ export interface EquityPoint {
   timestamp: number;
   /** Realized account equity at this point in the run. */
   equity: number;
+  /** Capital currently locked by open positions, when available. */
+  lockedCapital?: number;
+  /** Capital currently available for new positions, when available. */
+  availableCapital?: number;
 }
 
 /** Lightweight chart frame for replay/export consumers. */
@@ -32,6 +50,8 @@ export interface ReplayFrame {
   posSide: Side | null;
   /** Active position size at the frame time. */
   posSize: number;
+  lockedCapital?: number;
+  availableCapital?: number;
 }
 
 /** Replay event emitted for entries, exits, adds, and scale-outs. */
@@ -88,6 +108,22 @@ export interface BacktestTrade {
   [key: string]: unknown;
 }
 
+export interface OpenPosition {
+  id?: number;
+  symbol?: string;
+  side: Side;
+  entry: number;
+  entryFill?: number;
+  stop: number;
+  takeProfit: number;
+  size: number;
+  openTime: number;
+  markPrice: number;
+  unrealizedPnl: number;
+  _initRisk?: number;
+  [key: string]: unknown;
+}
+
 export interface SideBreakdownEntry {
   trades: number;
   winRate: number;
@@ -301,6 +337,29 @@ export interface BacktestOptions {
   strict?: boolean;
 }
 
+export interface BacktestTickOptions {
+  ticks: Tick[];
+  symbol?: string;
+  equity?: number;
+  riskPct?: number;
+  signal: SignalFunction;
+  interval?: string;
+  range?: string;
+  slippageBps?: number;
+  feeBps?: number;
+  costs?: ExecutionCostOptions;
+  finalTP_R?: number;
+  maxDailyLossPct?: number;
+  dailyMaxTrades?: number;
+  qtyStep?: number;
+  minQty?: number;
+  maxLeverage?: number;
+  collectEqSeries?: boolean;
+  collectReplay?: boolean;
+  queueFillProbability?: number;
+  oco?: OCOOptions;
+}
+
 /** Full result payload returned by `backtest()`. */
 export interface BacktestResult {
   symbol?: string;
@@ -310,6 +369,8 @@ export interface BacktestResult {
   trades: BacktestTrade[];
   /** Completed positions only, without intermediate realized legs. */
   positions: BacktestTrade[];
+  /** Open positions still active at end-of-data (if any). */
+  openPositions: OpenPosition[];
   /** Aggregate performance statistics. */
   metrics: BacktestMetrics;
   /** Realized equity points suitable for charts and exports. */
@@ -320,12 +381,16 @@ export interface BacktestResult {
 
 export interface PortfolioSystem extends Omit<BacktestOptions, "equity"> {
   weight?: number;
+  maxAllocation?: number;
+  maxAllocationPct?: number;
 }
 
 export interface PortfolioSystemResult {
   symbol: string;
   weight: number;
   equity: number;
+  allocationCapPct?: number;
+  allocationCap?: number;
   result: BacktestResult;
 }
 
@@ -340,12 +405,38 @@ export interface WalkForwardWindow {
   trainScore: number;
   trainMetrics: BacktestMetrics;
   testMetrics: BacktestMetrics;
+  oosTrades: number;
+  profitable: boolean;
+  stabilityScore: number;
   result: BacktestResult;
 }
 
+export interface WalkForwardBestParamsSummary {
+  adjacentRepeatRate: number;
+  uniqueWinnerCount: number;
+  dominant: {
+    params: Record<string, unknown>;
+    wins: number;
+    profitableWindows: number;
+    oosTrades: number;
+  } | null;
+  leaderboard: Array<{
+    params: Record<string, unknown>;
+    wins: number;
+    profitableWindows: number;
+    oosTrades: number;
+  }>;
+}
+
+export interface WalkForwardBestParams extends Array<Record<string, unknown>> {
+  winners: Array<Record<string, unknown>>;
+  stability: WalkForwardBestParamsSummary;
+}
+
 export interface WalkForwardResult extends BacktestResult {
   windows: WalkForwardWindow[];
-  bestParams: Array<Record<string, unknown>>;
+  bestParams: WalkForwardBestParams;
+  bestParamsSummary: WalkForwardBestParamsSummary;
 }
 
 export interface CsvLoadOptions {
@@ -459,12 +550,16 @@ export interface ArtifactPaths {
  * chart-friendly replay frames/events in `replay`.
  */
 export function backtest(options: BacktestOptions): BacktestResult;
+export function backtestTicks(options: BacktestTickOptions): BacktestResult;
 export function backtestPortfolio(options: {
   systems: PortfolioSystem[];
   equity?: number;
   allocation?: "equal" | "weight";
   collectEqSeries?: boolean;
   collectReplay?: boolean;
+  maxDailyLossPct?: number;
+  processingOrder?: "sequential" | "shuffle";
+  shuffleSeed?: number;
 }): PortfolioBacktestResult;
 export function walkForwardOptimize(options: {
   candles: Candle[];
@@ -473,6 +568,7 @@ export function walkForwardOptimize(options: {
   trainBars: number;
   testBars: number;
   stepBars?: number;
+  mode?: "rolling" | "anchored";
   scoreBy?: keyof BacktestMetrics;
   backtestOptions?: Omit<BacktestOptions, "candles" | "signal">;
 }): WalkForwardResult;
@@ -561,9 +657,7 @@ export function calculatePositionSize(input: {
 export function offsetET(timeMs: number): number;
 export function minutesET(timeMs: number): number;
 export function isSession(timeMs: number, session?: "NYSE" | "FUT" | "AUTO"): boolean;
-export function parseWindowsCSV(
-  csv: string
-): Array<{ aMin: number; bMin: number }> | null;
+export function parseWindowsCSV(csv: string): Array<{ aMin: number; bMin: number }> | null;
 export function inWindowsET(
   timeMs: number,
   windows: Array<{ aMin: number; bMin: number }>