turingtrader.js
Version:
A backtesting engine for Node.js
289 lines (242 loc) • 10.4 kB
JavaScript
;
Object.defineProperty(exports, "__esModule", {
value: true
});
exports.createReport = void 0;
function _createForOfIteratorHelper(o, allowArrayLike) { var it = typeof Symbol !== "undefined" && o[Symbol.iterator] || o["@@iterator"]; if (!it) { if (Array.isArray(o) || (it = _unsupportedIterableToArray(o)) || allowArrayLike && o && typeof o.length === "number") { if (it) o = it; var i = 0; var F = function F() {}; return { s: F, n: function n() { if (i >= o.length) return { done: true }; return { done: false, value: o[i++] }; }, e: function e(_e) { throw _e; }, f: F }; } throw new TypeError("Invalid attempt to iterate non-iterable instance.\nIn order to be iterable, non-array objects must have a [Symbol.iterator]() method."); } var normalCompletion = true, didErr = false, err; return { s: function s() { it = it.call(o); }, n: function n() { var step = it.next(); normalCompletion = step.done; return step; }, e: function e(_e2) { didErr = true; err = _e2; }, f: function f() { try { if (!normalCompletion && it["return"] != null) it["return"](); } finally { if (didErr) throw err; } } }; }
function _unsupportedIterableToArray(o, minLen) { if (!o) return; if (typeof o === "string") return _arrayLikeToArray(o, minLen); var n = Object.prototype.toString.call(o).slice(8, -1); if (n === "Object" && o.constructor) n = o.constructor.name; if (n === "Map" || n === "Set") return Array.from(o); if (n === "Arguments" || /^(?:Ui|I)nt(?:8|16|32)(?:Clamped)?Array$/.test(n)) return _arrayLikeToArray(o, minLen); }
function _arrayLikeToArray(arr, len) { if (len == null || len > arr.length) len = arr.length; for (var i = 0, arr2 = new Array(len); i < len; i++) { arr2[i] = arr[i]; } return arr2; }
//==============================================================================
// Name: reports/metrics
// Project: TuringTrader.js
// Description: Calculate metrics.
// History: FUB, 2021vii13, created
//==============================================================================
var dayInMs = 24 * 60 * 60 * 1000;
var yearInMs = 365.25 * dayInMs;
var createReport = function createReport(simResult) {
var data = {// cache cpu-hungry results here
};
var getMain = function getMain() {
return simResult;
};
var getBench = function getBench() {
return simResult.benchmark ? {
t: simResult.t,
c: simResult.benchmark.c
} : null;
};
var getRfRate = function getRfRate() {
return simResult.riskFree ? {
t: simResult.t,
c: simResult.riskFree.c
} : null;
};
var getMonthlyNavs = function getMonthlyNavs(series) {
var monthlyNavs = {
t: [],
c: []
};
var prevTime = null;
var prevNav = null;
for (var i = 0; i < series.t.length; i++) {
var curTime = series.t[i];
var curNav = series.c[i];
if (prevTime && curTime.getMonth() !== prevTime.getMonth()) {
// capture nav on first day of month
monthlyNavs.t.push(curTime);
monthlyNavs.c.push(curNav); // FIXME: we want to capture nav on the last day of the month
// however, to keep numbers consistent w/ previous releases,
// we did not enable this code, yet
//monthlyNavs.t.push(prevTime)
//monthlyNavs.c.push(prevNav)
}
prevTime = curTime;
prevNav = curNav;
}
return monthlyNavs;
};
var getMonthlyRets = function getMonthlyRets(series) {
var monthlyNavs = getMonthlyNavs(series);
var r = monthlyNavs.c.map(function (nav, idx) {
return idx > 0 ? Math.log(nav / monthlyNavs.c[idx - 1]) : null;
}).slice(1);
return {
t: monthlyNavs.t.slice(1),
r: r
};
};
var metricsInterface = {
//----- trading range
get firstBar() {
return getMain().t[0];
},
get lastBar() {
return getMain().t[simResult.t.length - 1];
},
get reportDays() {
return (metricsInterface.lastBar.getTime() - metricsInterface.firstBar.getTime()) / dayInMs;
},
get reportYears() {
return (metricsInterface.lastBar.getTime() - metricsInterface.firstBar.getTime()) / yearInMs;
},
get startValue() {
var bench = getBench();
return bench ? [getMain().o[0], getBench().c[0]] : getMain().o[0];
},
get endValue() {
var bench = getBench();
return bench ? [getMain().c[getMain().c.length - 1], getBench().c[getBench().c.length - 1]] : getMain().c[getMain().c.length - 1];
},
//----- statistical measures (cagr, stdev)
get cagr() {
var start = metricsInterface.startValue;
var end = metricsInterface.endValue;
var calcCagr = function calcCagr(start, end) {
return 100 * (Math.pow(end / start, 1 / metricsInterface.reportYears) - 1);
};
return Array.isArray(start) ? [calcCagr(start[0], end[0]), calcCagr(start[1], end[1])] : calcCagr(start, end);
},
cagrPeriod: function cagrPeriod(tradingDays) {
var bench = getBench();
return bench ? [100 * (getMain().c[getMain().c.length - 1] / getMain().c[getMain().c.length - tradingDays - 1] - 1), 100 * (getBench().c[getBench().c.length - 1] / getBench().c[getBench().c.length - tradingDays - 1] - 1)] : 100 * (getMain().c[getMain().c.length - 1] / getMain().c[getMain().c.length - tradingDays - 1] - 1);
},
get stdev() {
var calcStdev = function calcStdev(series) {
var returns = getMonthlyRets(series);
var average = returns.r.reduce(function (sum, ret) {
return sum + ret;
}, 0.0) / returns.r.length;
var stdevMonthly = Math.sqrt(returns.r.reduce(function (sum2, ret) {
return sum2 + Math.pow(ret - average, 2);
}, 0.0) / returns.r.length);
var stdevAnnualized = Math.sqrt(12.0) * stdevMonthly;
return 100 * stdevAnnualized;
};
var main = getMain();
var bench = getBench();
return bench ? [calcStdev(main), calcStdev(bench)] : calcStdev(main);
},
//----- drawdown measures (mdd, ulcer, mfd)
get mdd() {
var calcMdd = function calcMdd(series) {
var maxClose = 0;
return series.c.reduce(function (prevMdd, newClose) {
maxClose = Math.max(maxClose, newClose);
return Math.max(prevMdd, 100 * (1 - newClose / maxClose));
}, 0.0);
};
var main = getMain();
var bench = getBench();
return bench ? [calcMdd(main), calcMdd(bench)] : calcMdd(main);
},
get ulcer() {
var calcUlcer = function calcUlcer(series) {
var maxNav = 0;
var sumDd2 = 0;
var _iterator = _createForOfIteratorHelper(series.c),
_step;
try {
for (_iterator.s(); !(_step = _iterator.n()).done;) {
var nav = _step.value;
maxNav = Math.max(maxNav, nav);
var dd = 1.0 - nav / maxNav;
sumDd2 += dd * dd;
}
} catch (err) {
_iterator.e(err);
} finally {
_iterator.f();
}
var ulcer = Math.sqrt(sumDd2 / series.c.length);
return 100 * ulcer;
};
var main = getMain();
var bench = getBench();
return bench ? [calcUlcer(main), calcUlcer(bench)] : calcUlcer(main);
},
get mfd() {
var calcMfd = function calcMfd(series) {
var maxFlat = 0;
var maxIdx = 0;
for (var idx in series.t) {
var t = series.t[idx];
var nav = series.c[idx];
if (nav >= series.c[maxIdx]) {
maxFlat = Math.max(maxFlat, Math.round((t.getTime() - series.t[maxIdx].getTime()) / dayInMs));
maxIdx = idx;
}
}
return maxFlat;
};
var main = getMain();
var bench = getBench();
return bench ? [calcMfd(main), calcMfd(bench)] : calcMfd(main);
},
//----- risk-adjusted returns (sharpe, martin)
get sharpe() {
var calcSharpe = function calcSharpe(series) {
// FIXME: consider risk-free rate here
var assetReturns = getMonthlyRets(series);
var rfRate = getRfRate();
var riskFreeReturns = rfRate ? getMonthlyNavs(rfRate) : null;
var excessReturns = rfRate ? {
t: assetReturns.t,
r: assetReturns.r.map(function (ret, idx) {
return ret - riskFreeReturns.c[idx] / 12 / 100;
})
} : assetReturns;
var average = excessReturns.r.reduce(function (sum, ret) {
return sum + ret;
}, 0.0) / excessReturns.r.length;
var stdev = Math.sqrt(excessReturns.r.reduce(function (sum2, ret) {
return sum2 + Math.pow(ret - average, 2);
}, 0.0) / excessReturns.r.length);
var sharpeMonthly = average / stdev;
var sharpeAnnualized = Math.sqrt(12) * sharpeMonthly;
return sharpeAnnualized;
};
var main = getMain();
var bench = getBench();
return bench ? [calcSharpe(main), calcSharpe(bench)] : calcSharpe(main);
},
get martin() {
var cagr = metricsInterface.cagr;
var ulcer = metricsInterface.ulcer;
return Array.isArray(cagr) ? [cagr[0] / ulcer[0], cagr[1] / ulcer[1]] : cagr / ulcer;
},
//----- benchmarked measures (beta)
get beta() {
var calcBeta = function calcBeta(asset, bench) {
var assetRet = getMonthlyRets(asset);
var assetAvg = assetRet.r.reduce(function (sum, ret) {
return sum + ret;
}, 0) / assetRet.r.length;
var benchRet = getMonthlyRets(bench);
var benchAvg = benchRet.r.reduce(function (sum, ret) {
return sum + ret;
}, 0.0) / benchRet.r.length;
var benchVar = benchRet.r.reduce(function (sum, ret) {
return sum + Math.pow(ret - benchAvg, 2);
}) / (benchRet.r.length - 1);
var covar = assetRet.r.map(function (ret, idx) {
return (ret - assetAvg) * (benchRet.r[idx] - benchAvg);
}).reduce(function (sum, val) {
return sum + val;
}, 0.0) / (assetRet.r.length - 1);
var beta = covar / benchVar;
return beta;
};
var main = getMain();
var bench = getBench();
var beta = calcBeta(main, bench);
return beta;
}
};
return {
metrics: metricsInterface,
chartData: simResult
};
}; //==============================================================================
// end of file
exports.createReport = createReport;