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| <html class="default" lang="en" data-base=".."><head><meta charset="utf-8"/><meta http-equiv="x-ua-compatible" content="IE=edge"/><title>BacktestStatisticsModel | backtest-kit</title><meta name="description" content="Documentation for backtest-kit"/><meta name="viewport" content="width=device-width, initial-scale=1"/><link rel="stylesheet" href="../assets/style.css"/><link rel="stylesheet" href="../assets/highlight.css"/><script defer src="../assets/main.js"></script><script async src="../assets/icons.js" id="tsd-icons-script"></script><script async src="../assets/search.js" id="tsd-search-script"></script><script async src="../assets/navigation.js" id="tsd-nav-script"></script><script async src="../assets/hierarchy.js" id="tsd-hierarchy-script"></script></head><body><script>document.documentElement.dataset.theme = localStorage.getItem("tsd-theme") || "os";document.body.style.display="none";setTimeout(() => app?app.showPage():document.body.style.removeProperty("display"),500)</script><header class="tsd-page-toolbar"><div class="tsd-toolbar-contents container"><div class="table-cell" id="tsd-search"><div class="field"><label for="tsd-search-field" class="tsd-widget tsd-toolbar-icon search no-caption"><svg width="16" height="16" viewBox="0 0 16 16" fill="none" aria-hidden="true"><use href="../assets/icons.svg#icon-search"></use></svg></label><input type="text" id="tsd-search-field" aria-label="Search"/></div><div class="field"><div id="tsd-toolbar-links"></div></div><ul class="results"><li class="state loading">Preparing search index...</li><li class="state failure">The search index is not available</li></ul><a href="../index.html" class="title">backtest-kit</a></div><div class="table-cell" id="tsd-widgets"><a href="#" class="tsd-widget tsd-toolbar-icon menu no-caption" data-toggle="menu" aria-label="Menu"><svg width="16" height="16" viewBox="0 0 16 16" fill="none" aria-hidden="true"><use href="../assets/icons.svg#icon-menu"></use></svg></a></div></div></header><div class="container container-main"><div class="col-content"><div class="tsd-page-title"><ul class="tsd-breadcrumb"><li><a href="../modules.html">backtest-kit</a></li><li><a href="../modules/types.html">types</a></li><li><a href="types.BacktestStatisticsModel.html">BacktestStatisticsModel</a></li></ul><h1>Interface BacktestStatisticsModel</h1></div><section class="tsd-panel tsd-comment"><div class="tsd-comment tsd-typography"><p>Statistical data calculated from backtest results.</p> | |
| <p>All numeric values are null if calculation is unsafe (NaN, Infinity, etc). | |
| Provides comprehensive metrics for strategy performance analysis.</p> | |
| </div><div class="tsd-comment tsd-typography"><div class="tsd-tag-example"><h4 class="tsd-anchor-link"><a id="example" class="tsd-anchor"></a>Example<a href="#example" aria-label="Permalink" class="tsd-anchor-icon"><svg viewBox="0 0 24 24" aria-hidden="true"><use href="../assets/icons.svg#icon-anchor"></use></svg></a></h4><pre><code class="typescript"><span class="hl-3">const</span><span class="hl-1"> </span><span class="hl-8">stats</span><span class="hl-1"> = </span><span class="hl-4">await</span><span class="hl-1"> </span><span class="hl-5">Backtest</span><span class="hl-1">.</span><span class="hl-0">getData</span><span class="hl-1">(</span><span class="hl-2">"my-strategy"</span><span class="hl-1">);</span><br/><br/><span class="hl-5">console</span><span class="hl-1">.</span><span class="hl-0">log</span><span class="hl-1">(</span><span class="hl-2">`Total signals: </span><span class="hl-3">${</span><span class="hl-5">stats</span><span class="hl-9">.</span><span class="hl-5">totalSignals</span><span class="hl-3">}</span><span class="hl-2">`</span><span class="hl-1">);</span><br/><span class="hl-5">console</span><span class="hl-1">.</span><span class="hl-0">log</span><span class="hl-1">(</span><span class="hl-2">`Win rate: </span><span class="hl-3">${</span><span class="hl-5">stats</span><span class="hl-9">.</span><span class="hl-5">winRate</span><span class="hl-3">}</span><span class="hl-2">%`</span><span class="hl-1">);</span><br/><span class="hl-5">console</span><span class="hl-1">.</span><span class="hl-0">log</span><span class="hl-1">(</span><span class="hl-2">`Sharpe Ratio: </span><span class="hl-3">${</span><span class="hl-5">stats</span><span class="hl-9">.</span><span class="hl-5">sharpeRatio</span><span class="hl-3">}</span><span class="hl-2">`</span><span class="hl-1">);</span><br/><br/><span class="hl-6">// Access raw signal data</span><br/><span class="hl-5">stats</span><span class="hl-1">.</span><span class="hl-5">signalList</span><span class="hl-1">.</span><span class="hl-0">forEach</span><span class="hl-1">(</span><span class="hl-5">signal</span><span class="hl-1"> </span><span class="hl-3">=></span><span class="hl-1"> {</span><br/><span class="hl-1"> </span><span class="hl-5">console</span><span class="hl-1">.</span><span class="hl-0">log</span><span class="hl-1">(</span><span class="hl-2">`Signal </span><span class="hl-3">${</span><span class="hl-5">signal</span><span class="hl-9">.</span><span class="hl-5">signal</span><span class="hl-9">.</span><span class="hl-5">id</span><span class="hl-3">}</span><span class="hl-2">: </span><span class="hl-3">${</span><span class="hl-5">signal</span><span class="hl-9">.</span><span class="hl-5">pnl</span><span class="hl-9">.</span><span class="hl-5">pnlPercentage</span><span class="hl-3">}</span><span class="hl-2">%`</span><span class="hl-1">);</span><br/><span class="hl-1">});</span> | |
| </code><button type="button">Copy</button></pre> | |
| </div></div></section><div class="tsd-signature"><span class="tsd-signature-keyword">interface</span> <span class="tsd-kind-interface">BacktestStatisticsModel</span> <span class="tsd-signature-symbol">{</span><br/> <a class="tsd-kind-property" href="types.BacktestStatisticsModel.html#annualizedsharperatio">annualizedSharpeRatio</a><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span><span class="tsd-signature-symbol">;</span><br/> <a class="tsd-kind-property" href="types.BacktestStatisticsModel.html#avgfallpnl">avgFallPnl</a><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span><span class="tsd-signature-symbol">;</span><br/> <a class="tsd-kind-property" href="types.BacktestStatisticsModel.html#avgpeakpnl">avgPeakPnl</a><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span><span class="tsd-signature-symbol">;</span><br/> <a class="tsd-kind-property" href="types.BacktestStatisticsModel.html#avgpnl">avgPnl</a><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span><span class="tsd-signature-symbol">;</span><br/> <a class="tsd-kind-property" href="types.BacktestStatisticsModel.html#calmarratio">calmarRatio</a><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span><span class="tsd-signature-symbol">;</span><br/> <a class="tsd-kind-property" href="types.BacktestStatisticsModel.html#certaintyratio">certaintyRatio</a><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span><span class="tsd-signature-symbol">;</span><br/> <a class="tsd-kind-property" href="types.BacktestStatisticsModel.html#expectedyearlyreturns">expectedYearlyReturns</a><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span><span class="tsd-signature-symbol">;</span><br/> <a class="tsd-kind-property" href="types.BacktestStatisticsModel.html#losscount">lossCount</a><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span><span class="tsd-signature-symbol">;</span><br/> <a class="tsd-kind-property" href="types.BacktestStatisticsModel.html#recoveryfactor">recoveryFactor</a><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span><span class="tsd-signature-symbol">;</span><br/> <a class="tsd-kind-property" href="types.BacktestStatisticsModel.html#sharperatio">sharpeRatio</a><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span><span class="tsd-signature-symbol">;</span><br/> <a class="tsd-kind-property" href="types.BacktestStatisticsModel.html#signallist">signalList</a><span class="tsd-signature-symbol">:</span> <a href="types.IStrategyTickResultClosed.html" class="tsd-signature-type tsd-kind-interface">IStrategyTickResultClosed</a><span class="tsd-signature-symbol">[]</span><span class="tsd-signature-symbol">;</span><br/> <a class="tsd-kind-property" href="types.BacktestStatisticsModel.html#sortinoratio">sortinoRatio</a><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span><span class="tsd-signature-symbol">;</span><br/> <a class="tsd-kind-property" href="types.BacktestStatisticsModel.html#stddev">stdDev</a><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span><span class="tsd-signature-symbol">;</span><br/> <a class="tsd-kind-property" href="types.BacktestStatisticsModel.html#totalpnl">totalPnl</a><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span><span class="tsd-signature-symbol">;</span><br/> <a class="tsd-kind-property" href="types.BacktestStatisticsModel.html#totalsignals">totalSignals</a><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span><span class="tsd-signature-symbol">;</span><br/> <a class="tsd-kind-property" href="types.BacktestStatisticsModel.html#wincount">winCount</a><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span><span class="tsd-signature-symbol">;</span><br/> <a class="tsd-kind-property" href="types.BacktestStatisticsModel.html#winrate">winRate</a><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span><span class="tsd-signature-symbol">;</span><br/><span class="tsd-signature-symbol">}</span></div><aside class="tsd-sources"><ul><li>Defined in <a href="https://github.com/tripolskypetr/backtest-kit/blob/b93fe7a5178c040a7a01701ecef340babde42e22/types.d.ts#L4440">types.d.ts:4440</a></li></ul></aside><section class="tsd-panel-group tsd-index-group"><section class="tsd-panel tsd-index-panel"><details class="tsd-index-content tsd-accordion" open><summary class="tsd-accordion-summary tsd-index-summary"><h5 class="tsd-index-heading uppercase" role="button" aria-expanded="false" tabIndex="0"><svg width="16" height="16" viewBox="0 0 16 16" fill="none" aria-hidden="true"><use href="../assets/icons.svg#icon-chevronSmall"></use></svg> Index</h5></summary><div class="tsd-accordion-details"><section class="tsd-index-section"><h3 class="tsd-index-heading">Properties</h3><div class="tsd-index-list"><a href="types.BacktestStatisticsModel.html#annualizedsharperatio" class="tsd-index-link"><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>annualized<wbr/>Sharpe<wbr/>Ratio</span></a> | |
| <a href="types.BacktestStatisticsModel.html#avgfallpnl" class="tsd-index-link"><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>avg<wbr/>Fall<wbr/>Pnl</span></a> | |
| <a href="types.BacktestStatisticsModel.html#avgpeakpnl" class="tsd-index-link"><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>avg<wbr/>Peak<wbr/>Pnl</span></a> | |
| <a href="types.BacktestStatisticsModel.html#avgpnl" class="tsd-index-link"><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>avg<wbr/>Pnl</span></a> | |
| <a href="types.BacktestStatisticsModel.html#calmarratio" class="tsd-index-link"><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>calmar<wbr/>Ratio</span></a> | |
| <a href="types.BacktestStatisticsModel.html#certaintyratio" class="tsd-index-link"><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>certainty<wbr/>Ratio</span></a> | |
| <a href="types.BacktestStatisticsModel.html#expectedyearlyreturns" class="tsd-index-link"><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>expected<wbr/>Yearly<wbr/>Returns</span></a> | |
| <a href="types.BacktestStatisticsModel.html#losscount" class="tsd-index-link"><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>loss<wbr/>Count</span></a> | |
| <a href="types.BacktestStatisticsModel.html#recoveryfactor" class="tsd-index-link"><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>recovery<wbr/>Factor</span></a> | |
| <a href="types.BacktestStatisticsModel.html#sharperatio" class="tsd-index-link"><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>sharpe<wbr/>Ratio</span></a> | |
| <a href="types.BacktestStatisticsModel.html#signallist" class="tsd-index-link"><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>signal<wbr/>List</span></a> | |
| <a href="types.BacktestStatisticsModel.html#sortinoratio" class="tsd-index-link"><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>sortino<wbr/>Ratio</span></a> | |
| <a href="types.BacktestStatisticsModel.html#stddev" class="tsd-index-link"><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>std<wbr/>Dev</span></a> | |
| <a href="types.BacktestStatisticsModel.html#totalpnl" class="tsd-index-link"><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>total<wbr/>Pnl</span></a> | |
| <a href="types.BacktestStatisticsModel.html#totalsignals" class="tsd-index-link"><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>total<wbr/>Signals</span></a> | |
| <a href="types.BacktestStatisticsModel.html#wincount" class="tsd-index-link"><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>win<wbr/>Count</span></a> | |
| <a href="types.BacktestStatisticsModel.html#winrate" class="tsd-index-link"><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>win<wbr/>Rate</span></a> | |
| </div></section></div></details></section></section><details class="tsd-panel-group tsd-member-group tsd-accordion" open><summary class="tsd-accordion-summary" data-key="section-Properties"><h2><svg width="20" height="20" viewBox="0 0 24 24" fill="none" aria-hidden="true"><use href="../assets/icons.svg#icon-chevronDown"></use></svg> Properties</h2></summary><section><section class="tsd-panel tsd-member"><a id="annualizedsharperatio" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>annualized<wbr/>Sharpe<wbr/>Ratio</span><a href="#annualizedsharperatio" aria-label="Permalink" class="tsd-anchor-icon"><svg viewBox="0 0 24 24" aria-hidden="true"><use href="../assets/icons.svg#icon-anchor"></use></svg></a></h3><div class="tsd-signature"><span class="tsd-kind-property">annualizedSharpeRatio</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Annualized Sharpe Ratio (sharpeRatio × √365), null if unsafe. Higher is better.</p> | |
| </div><div class="tsd-comment tsd-typography"></div><aside class="tsd-sources"><ul><li>Defined in <a href="https://github.com/tripolskypetr/backtest-kit/blob/b93fe7a5178c040a7a01701ecef340babde42e22/types.d.ts#L4460">types.d.ts:4460</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="avgfallpnl" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>avg<wbr/>Fall<wbr/>Pnl</span><a href="#avgfallpnl" aria-label="Permalink" class="tsd-anchor-icon"><svg viewBox="0 0 24 24" aria-hidden="true"><use href="../assets/icons.svg#icon-anchor"></use></svg></a></h3><div class="tsd-signature"><span class="tsd-kind-property">avgFallPnl</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Average fall PNL percentage across all signals (_fall.pnlPercentage), null if unsafe. Lower (more negative) means deeper drawdowns.</p> | |
| </div><div class="tsd-comment tsd-typography"></div><aside class="tsd-sources"><ul><li>Defined in <a href="https://github.com/tripolskypetr/backtest-kit/blob/b93fe7a5178c040a7a01701ecef340babde42e22/types.d.ts#L4468">types.d.ts:4468</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="avgpeakpnl" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>avg<wbr/>Peak<wbr/>Pnl</span><a href="#avgpeakpnl" aria-label="Permalink" class="tsd-anchor-icon"><svg viewBox="0 0 24 24" aria-hidden="true"><use href="../assets/icons.svg#icon-anchor"></use></svg></a></h3><div class="tsd-signature"><span class="tsd-kind-property">avgPeakPnl</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Average peak PNL percentage across all signals (_peak.pnlPercentage), null if unsafe. Higher is better.</p> | |
| </div><div class="tsd-comment tsd-typography"></div><aside class="tsd-sources"><ul><li>Defined in <a href="https://github.com/tripolskypetr/backtest-kit/blob/b93fe7a5178c040a7a01701ecef340babde42e22/types.d.ts#L4466">types.d.ts:4466</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="avgpnl" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>avg<wbr/>Pnl</span><a href="#avgpnl" aria-label="Permalink" class="tsd-anchor-icon"><svg viewBox="0 0 24 24" aria-hidden="true"><use href="../assets/icons.svg#icon-anchor"></use></svg></a></h3><div class="tsd-signature"><span class="tsd-kind-property">avgPnl</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Average PNL per signal as percentage, null if unsafe. Higher is better.</p> | |
| </div><div class="tsd-comment tsd-typography"></div><aside class="tsd-sources"><ul><li>Defined in <a href="https://github.com/tripolskypetr/backtest-kit/blob/b93fe7a5178c040a7a01701ecef340babde42e22/types.d.ts#L4452">types.d.ts:4452</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="calmarratio" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>calmar<wbr/>Ratio</span><a href="#calmarratio" aria-label="Permalink" class="tsd-anchor-icon"><svg viewBox="0 0 24 24" aria-hidden="true"><use href="../assets/icons.svg#icon-anchor"></use></svg></a></h3><div class="tsd-signature"><span class="tsd-kind-property">calmarRatio</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Calmar Ratio (annualized expected return / max drawdown), null if unsafe. Higher is better.</p> | |
| </div><div class="tsd-comment tsd-typography"></div><aside class="tsd-sources"><ul><li>Defined in <a href="https://github.com/tripolskypetr/backtest-kit/blob/b93fe7a5178c040a7a01701ecef340babde42e22/types.d.ts#L4472">types.d.ts:4472</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="certaintyratio" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>certainty<wbr/>Ratio</span><a href="#certaintyratio" aria-label="Permalink" class="tsd-anchor-icon"><svg viewBox="0 0 24 24" aria-hidden="true"><use href="../assets/icons.svg#icon-anchor"></use></svg></a></h3><div class="tsd-signature"><span class="tsd-kind-property">certaintyRatio</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Certainty Ratio (avgWin / |avgLoss|), null if unsafe. Higher is better.</p> | |
| </div><div class="tsd-comment tsd-typography"></div><aside class="tsd-sources"><ul><li>Defined in <a href="https://github.com/tripolskypetr/backtest-kit/blob/b93fe7a5178c040a7a01701ecef340babde42e22/types.d.ts#L4462">types.d.ts:4462</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="expectedyearlyreturns" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>expected<wbr/>Yearly<wbr/>Returns</span><a href="#expectedyearlyreturns" aria-label="Permalink" class="tsd-anchor-icon"><svg viewBox="0 0 24 24" aria-hidden="true"><use href="../assets/icons.svg#icon-anchor"></use></svg></a></h3><div class="tsd-signature"><span class="tsd-kind-property">expectedYearlyReturns</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Expected yearly returns based on average trade duration and PNL, null if unsafe. Higher is better.</p> | |
| </div><div class="tsd-comment tsd-typography"></div><aside class="tsd-sources"><ul><li>Defined in <a href="https://github.com/tripolskypetr/backtest-kit/blob/b93fe7a5178c040a7a01701ecef340babde42e22/types.d.ts#L4464">types.d.ts:4464</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="losscount" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>loss<wbr/>Count</span><a href="#losscount" aria-label="Permalink" class="tsd-anchor-icon"><svg viewBox="0 0 24 24" aria-hidden="true"><use href="../assets/icons.svg#icon-anchor"></use></svg></a></h3><div class="tsd-signature"><span class="tsd-kind-property">lossCount</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Number of losing signals (PNL < 0)</p> | |
| </div><div class="tsd-comment tsd-typography"></div><aside class="tsd-sources"><ul><li>Defined in <a href="https://github.com/tripolskypetr/backtest-kit/blob/b93fe7a5178c040a7a01701ecef340babde42e22/types.d.ts#L4448">types.d.ts:4448</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="recoveryfactor" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>recovery<wbr/>Factor</span><a href="#recoveryfactor" aria-label="Permalink" class="tsd-anchor-icon"><svg viewBox="0 0 24 24" aria-hidden="true"><use href="../assets/icons.svg#icon-anchor"></use></svg></a></h3><div class="tsd-signature"><span class="tsd-kind-property">recoveryFactor</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Recovery Factor (totalPnl / max drawdown), null if unsafe. Higher is better.</p> | |
| </div><div class="tsd-comment tsd-typography"></div><aside class="tsd-sources"><ul><li>Defined in <a href="https://github.com/tripolskypetr/backtest-kit/blob/b93fe7a5178c040a7a01701ecef340babde42e22/types.d.ts#L4474">types.d.ts:4474</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="sharperatio" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>sharpe<wbr/>Ratio</span><a href="#sharperatio" aria-label="Permalink" class="tsd-anchor-icon"><svg viewBox="0 0 24 24" aria-hidden="true"><use href="../assets/icons.svg#icon-anchor"></use></svg></a></h3><div class="tsd-signature"><span class="tsd-kind-property">sharpeRatio</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Sharpe Ratio (risk-adjusted return = avgPnl / stdDev), null if unsafe. Higher is better.</p> | |
| </div><div class="tsd-comment tsd-typography"></div><aside class="tsd-sources"><ul><li>Defined in <a href="https://github.com/tripolskypetr/backtest-kit/blob/b93fe7a5178c040a7a01701ecef340babde42e22/types.d.ts#L4458">types.d.ts:4458</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="signallist" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>signal<wbr/>List</span><a href="#signallist" aria-label="Permalink" class="tsd-anchor-icon"><svg viewBox="0 0 24 24" aria-hidden="true"><use href="../assets/icons.svg#icon-anchor"></use></svg></a></h3><div class="tsd-signature"><span class="tsd-kind-property">signalList</span><span class="tsd-signature-symbol">:</span> <a href="types.IStrategyTickResultClosed.html" class="tsd-signature-type tsd-kind-interface">IStrategyTickResultClosed</a><span class="tsd-signature-symbol">[]</span></div><div class="tsd-comment tsd-typography"><p>Array of all closed signals with full details (price, PNL, timestamps, etc.)</p> | |
| </div><div class="tsd-comment tsd-typography"></div><aside class="tsd-sources"><ul><li>Defined in <a href="https://github.com/tripolskypetr/backtest-kit/blob/b93fe7a5178c040a7a01701ecef340babde42e22/types.d.ts#L4442">types.d.ts:4442</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="sortinoratio" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>sortino<wbr/>Ratio</span><a href="#sortinoratio" aria-label="Permalink" class="tsd-anchor-icon"><svg viewBox="0 0 24 24" aria-hidden="true"><use href="../assets/icons.svg#icon-anchor"></use></svg></a></h3><div class="tsd-signature"><span class="tsd-kind-property">sortinoRatio</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Sortino Ratio (avgPnl / downside deviation — stdDev of losses only), null if unsafe. Higher is better.</p> | |
| </div><div class="tsd-comment tsd-typography"></div><aside class="tsd-sources"><ul><li>Defined in <a href="https://github.com/tripolskypetr/backtest-kit/blob/b93fe7a5178c040a7a01701ecef340babde42e22/types.d.ts#L4470">types.d.ts:4470</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="stddev" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>std<wbr/>Dev</span><a href="#stddev" aria-label="Permalink" class="tsd-anchor-icon"><svg viewBox="0 0 24 24" aria-hidden="true"><use href="../assets/icons.svg#icon-anchor"></use></svg></a></h3><div class="tsd-signature"><span class="tsd-kind-property">stdDev</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Standard deviation of returns (volatility metric), null if unsafe. Lower is better.</p> | |
| </div><div class="tsd-comment tsd-typography"></div><aside class="tsd-sources"><ul><li>Defined in <a href="https://github.com/tripolskypetr/backtest-kit/blob/b93fe7a5178c040a7a01701ecef340babde42e22/types.d.ts#L4456">types.d.ts:4456</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="totalpnl" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>total<wbr/>Pnl</span><a href="#totalpnl" aria-label="Permalink" class="tsd-anchor-icon"><svg viewBox="0 0 24 24" aria-hidden="true"><use href="../assets/icons.svg#icon-anchor"></use></svg></a></h3><div class="tsd-signature"><span class="tsd-kind-property">totalPnl</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Cumulative PNL across all signals as percentage, null if unsafe. Higher is better.</p> | |
| </div><div class="tsd-comment tsd-typography"></div><aside class="tsd-sources"><ul><li>Defined in <a href="https://github.com/tripolskypetr/backtest-kit/blob/b93fe7a5178c040a7a01701ecef340babde42e22/types.d.ts#L4454">types.d.ts:4454</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="totalsignals" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>total<wbr/>Signals</span><a href="#totalsignals" aria-label="Permalink" class="tsd-anchor-icon"><svg viewBox="0 0 24 24" aria-hidden="true"><use href="../assets/icons.svg#icon-anchor"></use></svg></a></h3><div class="tsd-signature"><span class="tsd-kind-property">totalSignals</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Total number of closed signals</p> | |
| </div><div class="tsd-comment tsd-typography"></div><aside class="tsd-sources"><ul><li>Defined in <a href="https://github.com/tripolskypetr/backtest-kit/blob/b93fe7a5178c040a7a01701ecef340babde42e22/types.d.ts#L4444">types.d.ts:4444</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="wincount" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>win<wbr/>Count</span><a href="#wincount" aria-label="Permalink" class="tsd-anchor-icon"><svg viewBox="0 0 24 24" aria-hidden="true"><use href="../assets/icons.svg#icon-anchor"></use></svg></a></h3><div class="tsd-signature"><span class="tsd-kind-property">winCount</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Number of winning signals (PNL > 0)</p> | |
| </div><div class="tsd-comment tsd-typography"></div><aside class="tsd-sources"><ul><li>Defined in <a href="https://github.com/tripolskypetr/backtest-kit/blob/b93fe7a5178c040a7a01701ecef340babde42e22/types.d.ts#L4446">types.d.ts:4446</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="winrate" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>win<wbr/>Rate</span><a href="#winrate" aria-label="Permalink" class="tsd-anchor-icon"><svg viewBox="0 0 24 24" aria-hidden="true"><use href="../assets/icons.svg#icon-anchor"></use></svg></a></h3><div class="tsd-signature"><span class="tsd-kind-property">winRate</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Win rate as percentage (0-100), null if unsafe. Higher is better.</p> | |
| </div><div class="tsd-comment tsd-typography"></div><aside class="tsd-sources"><ul><li>Defined in <a href="https://github.com/tripolskypetr/backtest-kit/blob/b93fe7a5178c040a7a01701ecef340babde42e22/types.d.ts#L4450">types.d.ts:4450</a></li></ul></aside></section></section></details></div><div class="col-sidebar"><div class="page-menu"><div class="tsd-navigation settings"><details class="tsd-accordion"><summary class="tsd-accordion-summary"><h3><svg width="20" height="20" viewBox="0 0 24 24" fill="none" aria-hidden="true"><use href="../assets/icons.svg#icon-chevronDown"></use></svg>Settings</h3></summary><div class="tsd-accordion-details"><div class="tsd-filter-visibility"><span class="settings-label">Member Visibility</span><ul id="tsd-filter-options"><li class="tsd-filter-item"><label class="tsd-filter-input"><input type="checkbox" id="tsd-filter-protected" name="protected"/><svg width="32" height="32" viewBox="0 0 32 32" aria-hidden="true"><rect class="tsd-checkbox-background" width="30" height="30" x="1" y="1" rx="6" fill="none"></rect><path class="tsd-checkbox-checkmark" d="M8.35422 16.8214L13.2143 21.75L24.6458 10.25" stroke="none" stroke-width="3.5" stroke-linejoin="round" fill="none"></path></svg><span>Protected</span></label></li><li class="tsd-filter-item"><label class="tsd-filter-input"><input type="checkbox" id="tsd-filter-inherited" name="inherited" checked/><svg width="32" height="32" viewBox="0 0 32 32" aria-hidden="true"><rect class="tsd-checkbox-background" width="30" height="30" x="1" y="1" rx="6" fill="none"></rect><path class="tsd-checkbox-checkmark" d="M8.35422 16.8214L13.2143 21.75L24.6458 10.25" stroke="none" stroke-width="3.5" stroke-linejoin="round" fill="none"></path></svg><span>Inherited</span></label></li><li class="tsd-filter-item"><label class="tsd-filter-input"><input type="checkbox" id="tsd-filter-external" name="external"/><svg width="32" height="32" viewBox="0 0 32 32" aria-hidden="true"><rect class="tsd-checkbox-background" width="30" height="30" x="1" y="1" rx="6" fill="none"></rect><path class="tsd-checkbox-checkmark" d="M8.35422 16.8214L13.2143 21.75L24.6458 10.25" stroke="none" stroke-width="3.5" stroke-linejoin="round" fill="none"></path></svg><span>External</span></label></li></ul></div><div class="tsd-theme-toggle"><label class="settings-label" for="tsd-theme">Theme</label><select id="tsd-theme"><option value="os">OS</option><option value="light">Light</option><option value="dark">Dark</option></select></div></div></details></div><details open class="tsd-accordion tsd-page-navigation"><summary class="tsd-accordion-summary"><h3><svg width="20" height="20" viewBox="0 0 24 24" fill="none" aria-hidden="true"><use href="../assets/icons.svg#icon-chevronDown"></use></svg>On This Page</h3></summary><div class="tsd-accordion-details"><details open class="tsd-accordion tsd-page-navigation-section"><summary class="tsd-accordion-summary" data-key="section-Properties"><svg width="20" height="20" viewBox="0 0 24 24" fill="none" aria-hidden="true"><use href="../assets/icons.svg#icon-chevronDown"></use></svg>Properties</summary><div><a href="#annualizedsharperatio" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>annualized<wbr/>Sharpe<wbr/>Ratio</span></a><a href="#avgfallpnl" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>avg<wbr/>Fall<wbr/>Pnl</span></a><a href="#avgpeakpnl" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>avg<wbr/>Peak<wbr/>Pnl</span></a><a href="#avgpnl" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>avg<wbr/>Pnl</span></a><a href="#calmarratio" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>calmar<wbr/>Ratio</span></a><a href="#certaintyratio" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>certainty<wbr/>Ratio</span></a><a href="#expectedyearlyreturns" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>expected<wbr/>Yearly<wbr/>Returns</span></a><a href="#losscount" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>loss<wbr/>Count</span></a><a href="#recoveryfactor" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>recovery<wbr/>Factor</span></a><a href="#sharperatio" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>sharpe<wbr/>Ratio</span></a><a href="#signallist" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>signal<wbr/>List</span></a><a href="#sortinoratio" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>sortino<wbr/>Ratio</span></a><a href="#stddev" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>std<wbr/>Dev</span></a><a href="#totalpnl" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>total<wbr/>Pnl</span></a><a href="#totalsignals" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>total<wbr/>Signals</span></a><a href="#wincount" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>win<wbr/>Count</span></a><a href="#winrate" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>win<wbr/>Rate</span></a></div></details></div></details></div><div class="site-menu"><nav class="tsd-navigation"><a href="../modules.html">backtest-kit</a><ul class="tsd-small-nested-navigation" id="tsd-nav-container"><li>Loading...</li></ul></nav></div></div></div><footer><p class="tsd-generator">Generated using <a href="https://typedoc.org/" target="_blank">TypeDoc</a></p></footer><div class="overlay"></div></body></html> | |
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