src/lib/perf.js

// JS port of get_return.py's core logic. Prices are taken from provided rows (date, price, recommended_action).

function sanitizeRows(rows) {
  const list = (rows || []).filter(r => r && r.date && r.price != null)
  list.sort((a, b) => (a.date > b.date ? 1 : -1))
  return list
}

export function computeBuyHoldEquity(rows, initial = 100000, fee = 0.0005) {
  const data = sanitizeRows(rows)
  if (data.length === 0) return []
  const firstPrice = Number(data[0].price)
  const equity = []
  // open with fee
  let capital = initial * (1 - fee)
  for (let i = 0; i < data.length; i++) {
    const price = Number(data[i].price)
    let value = firstPrice > 0 ? capital * (price / firstPrice) : capital
    if (i === data.length - 1) value = value * (1 - fee) // closing fee
    equity.push(Math.max(0, value))
  }
  return equity
}

export function computeStrategyEquity(rows, initial = 100000, fee = 0.0005, strategy = 'long_short', tradingMode = 'normal') {
  const data = sanitizeRows(rows)
  if (data.length === 0) return []
  let capital = initial
  let position = 'FLAT' // 'LONG' | 'SHORT' | 'FLAT'
  let entryPrice = 0
  const series = []
  for (let i = 0; i < data.length; i++) {
    const { price } = data[i]
    let dailyCapital = capital
    if (position === 'LONG') dailyCapital = entryPrice ? capital * (price / entryPrice) : capital
    else if (position === 'SHORT') dailyCapital = entryPrice ? capital * (1 + (entryPrice - price) / entryPrice) : capital

    const action = String(data[i].recommended_action || 'HOLD').toUpperCase()
    if (tradingMode === 'normal') {
      if (action === 'BUY') {
        if (position === 'FLAT') { position = 'LONG'; entryPrice = price; capital *= (1 - fee); dailyCapital = capital }
        else if (position === 'SHORT') {
          const ret = entryPrice ? (entryPrice - price) / entryPrice : 0
          capital *= (1 + ret) * (1 - fee)
          position = 'LONG'; entryPrice = price; capital *= (1 - fee); dailyCapital = capital
        }
      } else if (action === 'SELL') {
        if (position === 'LONG') {
          const ret = entryPrice ? (price - entryPrice) / entryPrice : 0
          capital *= (1 + ret) * (1 - fee); position = 'FLAT'; entryPrice = 0; dailyCapital = capital
        } else if (position === 'FLAT' && strategy === 'long_short') {
          position = 'SHORT'; entryPrice = price; capital *= (1 - fee); dailyCapital = capital
        }
      }
      // HOLD keeps position
    } else { // aggressive: HOLD forces flat, BUY/SELL switch directly
      if (action === 'HOLD') {
        if (position === 'LONG') {
          const ret = entryPrice ? (price - entryPrice) / entryPrice : 0
          capital *= (1 + ret) * (1 - fee); position = 'FLAT'; entryPrice = 0; dailyCapital = capital
        } else if (position === 'SHORT') {
          const ret = entryPrice ? (entryPrice - price) / entryPrice : 0
          capital *= (1 + ret) * (1 - fee); position = 'FLAT'; entryPrice = 0; dailyCapital = capital
        }
      } else if (action === 'BUY') {
        if (position === 'SHORT') {
          const ret = entryPrice ? (entryPrice - price) / entryPrice : 0
          capital *= (1 + ret) * (1 - fee); position = 'FLAT'; entryPrice = 0; dailyCapital = capital
        }
        if (position === 'FLAT') { position = 'LONG'; entryPrice = price; capital *= (1 - fee); dailyCapital = capital }
      } else if (action === 'SELL') {
        if (position === 'LONG') {
          const ret = entryPrice ? (price - entryPrice) / entryPrice : 0
          capital *= (1 + ret) * (1 - fee); position = 'FLAT'; entryPrice = 0; dailyCapital = capital
        }
        if (position === 'FLAT' && strategy === 'long_short') { position = 'SHORT'; entryPrice = price; capital *= (1 - fee); dailyCapital = capital }
      }
    }
    series.push(dailyCapital)
    if (i === data.length - 1 && position !== 'FLAT') {
      // force close last day
      if (position === 'LONG') { const ret = entryPrice ? (data[i].price - entryPrice) / entryPrice : 0; capital *= (1 + ret) * (1 - fee) }
      else if (position === 'SHORT') { const ret = entryPrice ? (entryPrice - data[i].price) / entryPrice : 0; capital *= (1 + ret) * (1 - fee) }
      series[series.length - 1] = capital
      position = 'FLAT'; entryPrice = 0
    }
  }
  return series
}

function pctChangeSeries(series) {
  const pct = []
  for (let i = 0; i < series.length; i++) {
    if (i === 0) pct.push(0)
    else pct.push(series[i - 1] ? (series[i] - series[i - 1]) / series[i - 1] : 0)
  }
  return pct
}

export function calculateMetricsFromSeries(series, assetType = 'stock') {
  if (!series || series.length === 0) return { total_return: 0, ann_return: 0, ann_vol: 0, sharpe_ratio: 0, max_drawdown: 0 }
  const total_return = ((series[series.length - 1] - series[0]) / series[0]) * 100
  const daily = pctChangeSeries(series)
  let annualDays = assetType === 'crypto' ? 365 : 252
  let baseReturns = daily
  if (assetType !== 'crypto') {
    const eff = daily.filter(v => Math.abs(v) > 1e-12)
    baseReturns = eff.length > 0 ? eff : daily
  }
  const mean = baseReturns.length > 0 ? baseReturns.reduce((a, b) => a + b, 0) / baseReturns.length : 0
  const variance = baseReturns.length > 1 ? baseReturns.reduce((a, b) => a + Math.pow(b - mean, 2), 0) / (baseReturns.length - 1) : 0
  const std = Math.sqrt(variance)
  const ann_vol = std * Math.sqrt(annualDays) * 100
  const n = baseReturns.length > 0 ? baseReturns.length : daily.length
  const ann_return = n > 1 ? ((Math.pow(series[series.length - 1] / series[0], annualDays / n) - 1) * 100) : total_return
  // sharpe (rf=0)
  const sharpe_ratio = std > 0 ? (mean / std) * Math.sqrt(annualDays) : 0
  // max drawdown
  let peak = -Infinity
  let maxDd = 0
  for (const v of series) {
    peak = Math.max(peak, v)
    maxDd = Math.min(maxDd, (v - peak) / peak)
  }
  return { total_return, ann_return, ann_vol, sharpe_ratio, max_drawdown: maxDd * 100 }
}

export function computeWinRate(rows, strategy = 'long_short', tradingMode = 'normal') {
  const data = sanitizeRows(rows)
  if (data.length === 0) return { winRate: 0, trades: 0 }
  let position = 'FLAT'
  let entryPrice = 0
  let wins = 0
  let trades = 0
  for (let i = 0; i < data.length; i++) {
    const { price } = data[i]
    const action = String(data[i].recommended_action || 'HOLD').toUpperCase()
    if (tradingMode === 'normal') {
      if (action === 'BUY') {
        if (position === 'SHORT') { const pnl = entryPrice - price; wins += pnl > 0 ? 1 : 0; trades++; position = 'LONG'; entryPrice = price }
        else if (position === 'FLAT') { position = 'LONG'; entryPrice = price }
      } else if (action === 'SELL') {
        if (position === 'LONG') { const pnl = price - entryPrice; wins += pnl > 0 ? 1 : 0; trades++; position = 'FLAT'; entryPrice = 0 }
        else if (position === 'FLAT' && strategy === 'long_short') { position = 'SHORT'; entryPrice = price }
      }
    } else {
      if (action === 'HOLD') {
        if (position === 'LONG') { const pnl = price - entryPrice; wins += pnl > 0 ? 1 : 0; trades++; position = 'FLAT'; entryPrice = 0 }
        else if (position === 'SHORT') { const pnl = entryPrice - price; wins += pnl > 0 ? 1 : 0; trades++; position = 'FLAT'; entryPrice = 0 }
      } else if (action === 'BUY') {
        if (position === 'SHORT') { const pnl = entryPrice - price; wins += pnl > 0 ? 1 : 0; trades++; position = 'FLAT'; entryPrice = 0 }
        if (position === 'FLAT') { position = 'LONG'; entryPrice = price }
      } else if (action === 'SELL') {
        if (position === 'LONG') { const pnl = price - entryPrice; wins += pnl > 0 ? 1 : 0; trades++; position = 'FLAT'; entryPrice = 0 }
        if (position === 'FLAT' && strategy === 'long_short') { position = 'SHORT'; entryPrice = price }
      }
    }
  }
  // force close last position
  if (position !== 'FLAT' && data.length > 0) {
    const lastPrice = Number(data[data.length - 1].price)
    if (position === 'LONG') {
      const pnl = lastPrice - entryPrice
      wins += pnl > 0 ? 1 : 0
      trades++
    } else if (position === 'SHORT') {
      const pnl = entryPrice - lastPrice
      wins += pnl > 0 ? 1 : 0
      trades++
    }
  }
  const winRate = trades > 0 ? Math.round((wins / trades) * 100) : 0
  return { winRate, trades }
}