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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-4">const</span><span class="hl-2"> </span><span class="hl-7">stats</span><span class="hl-2"> = </span><span class="hl-6">await</span><span class="hl-2"> </span><span class="hl-5">Backtest</span><span class="hl-2">.</span><span class="hl-1">getData</span><span class="hl-2">(</span><span class="hl-3">"my-strategy"</span><span class="hl-2">);</span><br/><br/><span class="hl-5">console</span><span class="hl-2">.</span><span class="hl-1">log</span><span class="hl-2">(</span><span class="hl-3">`Total signals: </span><span class="hl-4">${</span><span class="hl-5">stats</span><span class="hl-11">.</span><span class="hl-5">totalSignals</span><span class="hl-4">}</span><span class="hl-3">`</span><span class="hl-2">);</span><br/><span class="hl-5">console</span><span class="hl-2">.</span><span class="hl-1">log</span><span class="hl-2">(</span><span class="hl-3">`Win rate: </span><span class="hl-4">${</span><span class="hl-5">stats</span><span class="hl-11">.</span><span class="hl-5">winRate</span><span class="hl-4">}</span><span class="hl-3">%`</span><span class="hl-2">);</span><br/><span class="hl-5">console</span><span class="hl-2">.</span><span class="hl-1">log</span><span class="hl-2">(</span><span class="hl-3">`Sharpe Ratio: </span><span class="hl-4">${</span><span class="hl-5">stats</span><span class="hl-11">.</span><span class="hl-5">sharpeRatio</span><span class="hl-4">}</span><span class="hl-3">`</span><span class="hl-2">);</span><br/><br/><span class="hl-0">// Access raw signal data</span><br/><span class="hl-5">stats</span><span class="hl-2">.</span><span class="hl-5">signalList</span><span class="hl-2">.</span><span class="hl-1">forEach</span><span class="hl-2">(</span><span class="hl-5">signal</span><span class="hl-2"> </span><span class="hl-4">=></span><span class="hl-2"> {</span><br/><span class="hl-2"> </span><span class="hl-5">console</span><span class="hl-2">.</span><span class="hl-1">log</span><span class="hl-2">(</span><span class="hl-3">`Signal </span><span class="hl-4">${</span><span class="hl-5">signal</span><span class="hl-11">.</span><span class="hl-5">signal</span><span class="hl-11">.</span><span class="hl-5">id</span><span class="hl-4">}</span><span class="hl-3">: </span><span class="hl-4">${</span><span class="hl-5">signal</span><span class="hl-11">.</span><span class="hl-5">pnl</span><span class="hl-11">.</span><span class="hl-5">pnlPercentage</span><span class="hl-4">}</span><span class="hl-3">%`</span><span class="hl-2">);</span><br/><span class="hl-2">});</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#avgconsecutivelosspnl">avgConsecutiveLossPnl</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#avgconsecutivewinpnl">avgConsecutiveWinPnl</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#avgduration">avgDuration</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#avglossduration">avgLossDuration</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#avgwinduration">avgWinDuration</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#buyerpressure">buyerPressure</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#buyerstrength">buyerStrength</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#expectancy">expectancy</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#medianpnl">medianPnl</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#medianstepsize">medianStepSize</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#pressureimbalance">pressureImbalance</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#sellerpressure">sellerPressure</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#sellerstrength">sellerStrength</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#trend">trend</a><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">"bullish"</span> <span class="tsd-signature-symbol">|</span> <span class="tsd-signature-type">"bearish"</span> <span class="tsd-signature-symbol">|</span> <span class="tsd-signature-type">"sideways"</span> <span class="tsd-signature-symbol">|</span> <span class="tsd-signature-type">"neutral"</span><span class="tsd-signature-symbol">;</span><br/> <a class="tsd-kind-property" href="types.BacktestStatisticsModel.html#trendconfidence">trendConfidence</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#trendstrength">trendStrength</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5218">types.d.ts:5218</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#avgconsecutivelosspnl" 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/>Consecutive<wbr/>Loss<wbr/>Pnl</span></a> | |
| <a href="types.BacktestStatisticsModel.html#avgconsecutivewinpnl" 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/>Consecutive<wbr/>Win<wbr/>Pnl</span></a> | |
| <a href="types.BacktestStatisticsModel.html#avgduration" 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/>Duration</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#avglossduration" 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/>Loss<wbr/>Duration</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#avgwinduration" 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/>Win<wbr/>Duration</span></a> | |
| <a href="types.BacktestStatisticsModel.html#buyerpressure" 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>buyer<wbr/>Pressure</span></a> | |
| <a href="types.BacktestStatisticsModel.html#buyerstrength" 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>buyer<wbr/>Strength</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#expectancy" 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>expectancy</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#medianpnl" 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>median<wbr/>Pnl</span></a> | |
| <a href="types.BacktestStatisticsModel.html#medianstepsize" 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>median<wbr/>Step<wbr/>Size</span></a> | |
| <a href="types.BacktestStatisticsModel.html#pressureimbalance" 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>pressure<wbr/>Imbalance</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#sellerpressure" 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>seller<wbr/>Pressure</span></a> | |
| <a href="types.BacktestStatisticsModel.html#sellerstrength" 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>seller<wbr/>Strength</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#trend" 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>trend</span></a> | |
| <a href="types.BacktestStatisticsModel.html#trendconfidence" 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>trend<wbr/>Confidence</span></a> | |
| <a href="types.BacktestStatisticsModel.html#trendstrength" 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>trend<wbr/>Strength</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 × √tradesPerYear), 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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5238">types.d.ts:5238</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="avgconsecutivelosspnl" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>avg<wbr/>Consecutive<wbr/>Loss<wbr/>Pnl</span><a href="#avgconsecutivelosspnl" 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">avgConsecutiveLossPnl</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Average sum of pnlPercentage across consecutive losing streaks. Null if no loss streak. Closer to 0 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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5262">types.d.ts:5262</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="avgconsecutivewinpnl" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>avg<wbr/>Consecutive<wbr/>Win<wbr/>Pnl</span><a href="#avgconsecutivewinpnl" 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">avgConsecutiveWinPnl</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Average sum of pnlPercentage across consecutive winning streaks. Null if no win streak.</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5260">types.d.ts:5260</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="avgduration" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>avg<wbr/>Duration</span><a href="#avgduration" 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">avgDuration</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Average trade duration in minutes ((closeTimestamp - pendingAt) / 60_000), null if unsafe.</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5256">types.d.ts:5256</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5246">types.d.ts:5246</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="avglossduration" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>avg<wbr/>Loss<wbr/>Duration</span><a href="#avglossduration" 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">avgLossDuration</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Average duration in minutes of losing trades.</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5266">types.d.ts:5266</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5244">types.d.ts:5244</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5230">types.d.ts:5230</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="avgwinduration" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>avg<wbr/>Win<wbr/>Duration</span><a href="#avgwinduration" 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">avgWinDuration</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Average duration in minutes of winning trades.</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5264">types.d.ts:5264</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="buyerpressure" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>buyer<wbr/>Pressure</span><a href="#buyerpressure" 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">buyerPressure</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Fraction of up-moves among decisive close-to-close moves. 0..1. Higher = buyers more frequent.</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5270">types.d.ts:5270</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="buyerstrength" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>buyer<wbr/>Strength</span><a href="#buyerstrength" 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">buyerStrength</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Share of upward absolute movement in total close-to-close movement. 0..1.</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5274">types.d.ts:5274</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5250">types.d.ts:5250</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5240">types.d.ts:5240</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="expectancy" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>expectancy</span><a href="#expectancy" 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">expectancy</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Per-trade Expectancy (winProb<em>avgWin + lossProb</em>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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5254">types.d.ts:5254</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5242">types.d.ts:5242</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5226">types.d.ts:5226</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="medianpnl" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>median<wbr/>Pnl</span><a href="#medianpnl" 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">medianPnl</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Median pnlPercentage — robust to outliers; reveals distribution skew when paired with avgPnl.</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5258">types.d.ts:5258</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="medianstepsize" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>median<wbr/>Step<wbr/>Size</span><a href="#medianstepsize" 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">medianStepSize</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Median |close[i] - close[i-1]| / close[i-1] across trade closes, in %. Robust to outliers.</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5268">types.d.ts:5268</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="pressureimbalance" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>pressure<wbr/>Imbalance</span><a href="#pressureimbalance" 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">pressureImbalance</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>buyerStrength - sellerStrength ∈ [-1, 1]. Positive = bullish bias on magnitude.</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5278">types.d.ts:5278</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5252">types.d.ts:5252</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="sellerpressure" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>seller<wbr/>Pressure</span><a href="#sellerpressure" 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">sellerPressure</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Fraction of down-moves among decisive moves. 0..1. Equals 1 - buyerPressure.</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5272">types.d.ts:5272</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="sellerstrength" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>seller<wbr/>Strength</span><a href="#sellerstrength" 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">sellerStrength</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Share of downward absolute movement in total close-to-close movement. 0..1.</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5276">types.d.ts:5276</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5236">types.d.ts:5236</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5220">types.d.ts:5220</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 — RMS of losing trades 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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5248">types.d.ts:5248</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5234">types.d.ts:5234</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5232">types.d.ts:5232</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5222">types.d.ts:5222</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="trend" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>trend</span><a href="#trend" 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">trend</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">"bullish"</span> <span class="tsd-signature-symbol">|</span> <span class="tsd-signature-type">"bearish"</span> <span class="tsd-signature-symbol">|</span> <span class="tsd-signature-type">"sideways"</span> <span class="tsd-signature-symbol">|</span> <span class="tsd-signature-type">"neutral"</span></div><div class="tsd-comment tsd-typography"><p>Bivariate trend classification (slope × R²).</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5280">types.d.ts:5280</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="trendconfidence" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>trend<wbr/>Confidence</span><a href="#trendconfidence" 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">trendConfidence</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>R² of the log-price regression, in [0, 1].</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5284">types.d.ts:5284</a></li></ul></aside></section><section class="tsd-panel tsd-member"><a id="trendstrength" class="tsd-anchor"></a><h3 class="tsd-anchor-link"><span>trend<wbr/>Strength</span><a href="#trendstrength" 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">trendStrength</span><span class="tsd-signature-symbol">:</span> <span class="tsd-signature-type">number</span></div><div class="tsd-comment tsd-typography"><p>Log-price regression slope, in %/day.</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5282">types.d.ts:5282</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5224">types.d.ts:5224</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/b46ad698ac0e7123aa3667408fbdc063c547335d/types.d.ts#L5228">types.d.ts:5228</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="#avgconsecutivelosspnl" 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/>Consecutive<wbr/>Loss<wbr/>Pnl</span></a><a href="#avgconsecutivewinpnl" 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/>Consecutive<wbr/>Win<wbr/>Pnl</span></a><a href="#avgduration" 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/>Duration</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="#avglossduration" 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/>Loss<wbr/>Duration</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="#avgwinduration" 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/>Win<wbr/>Duration</span></a><a href="#buyerpressure" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>buyer<wbr/>Pressure</span></a><a href="#buyerstrength" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>buyer<wbr/>Strength</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="#expectancy" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>expectancy</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="#medianpnl" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>median<wbr/>Pnl</span></a><a href="#medianstepsize" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>median<wbr/>Step<wbr/>Size</span></a><a href="#pressureimbalance" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>pressure<wbr/>Imbalance</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="#sellerpressure" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>seller<wbr/>Pressure</span></a><a href="#sellerstrength" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>seller<wbr/>Strength</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="#trend" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>trend</span></a><a href="#trendconfidence" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>trend<wbr/>Confidence</span></a><a href="#trendstrength" class=""><svg class="tsd-kind-icon" viewBox="0 0 24 24" aria-label="Property"><use href="../assets/icons.svg#icon-1024"></use></svg><span>trend<wbr/>Strength</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/" 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