@railpath/finance-toolkit/dist/risk/calculateCalmarRatio.js

Production-ready finance library for portfolio construction, risk analytics, quantitative metrics, and ML-based regime detection

"use strict";
Object.defineProperty(exports, "__esModule", { value: true });
exports.calculateCalmarRatio = calculateCalmarRatio;
const CalmarRatioOptionsSchema_1 = require("../schemas/CalmarRatioOptionsSchema");
const CalmarRatioResultSchema_1 = require("../schemas/CalmarRatioResultSchema");
const calculateMaxDrawdown_1 = require("./calculateMaxDrawdown");
/**
 * Calculate Calmar Ratio
 *
 * Calmar = Annualized Return / Max Drawdown
 *
 * Measures return per unit of downside risk (drawdown).
 * Higher is better; typically calculated over 36 months.
 *
 * @param options - Prices, returns, annualization factor
 * @returns Calmar Ratio and components
 */
function calculateCalmarRatio(options) {
    const { prices, returns, annualizationFactor } = CalmarRatioOptionsSchema_1.CalmarRatioOptionsSchema.parse(options);
    // Mean return
    const meanReturn = returns.reduce((sum, r) => sum + r, 0) / returns.length;
    // Annualized return
    const annualizedReturn = meanReturn * annualizationFactor;
    // Max Drawdown
    const { maxDrawdownPercent } = (0, calculateMaxDrawdown_1.calculateMaxDrawdown)({ prices });
    // Calmar Ratio (use absolute value of drawdown)
    const calmarRatio = maxDrawdownPercent !== 0 ? annualizedReturn / Math.abs(maxDrawdownPercent) : 0;
    return CalmarRatioResultSchema_1.CalmarRatioResultSchema.parse({
        calmarRatio,
        annualizedReturn,
        maxDrawdownPercent,
    });
}