linting
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26 changed files with 532 additions and 186 deletions
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@ -68,7 +68,9 @@ export class PerformanceAnalyzer {
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}
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private calculateReturns(_period: 'daily' | 'weekly' | 'monthly'): number[] {
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if (this.snapshots.length < 2) {return [];}
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if (this.snapshots.length < 2) {
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return [];
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}
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const returns: number[] = [];
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@ -83,7 +85,9 @@ export class PerformanceAnalyzer {
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}
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private calculateTotalReturn(): number {
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if (this.snapshots.length < 2) {return 0;}
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if (this.snapshots.length < 2) {
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return 0;
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}
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const firstValue = this.snapshots[0].totalValue;
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const lastValue = this.snapshots[this.snapshots.length - 1].totalValue;
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@ -92,14 +96,18 @@ export class PerformanceAnalyzer {
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}
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private calculateAnnualizedReturn(returns: number[]): number {
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if (returns.length === 0) {return 0;}
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if (returns.length === 0) {
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return 0;
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}
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const avgReturn = returns.reduce((sum, ret) => sum + ret, 0) / returns.length;
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return Math.pow(1 + avgReturn, 252) - 1; // 252 trading days per year
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}
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private calculateVolatility(returns: number[]): number {
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if (returns.length === 0) {return 0;}
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if (returns.length === 0) {
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return 0;
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}
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const avgReturn = returns.reduce((sum, ret) => sum + ret, 0) / returns.length;
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const variance =
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@ -109,19 +117,25 @@ export class PerformanceAnalyzer {
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}
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private calculateSharpeRatio(returns: number[], riskFreeRate: number): number {
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if (returns.length === 0) {return 0;}
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if (returns.length === 0) {
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return 0;
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}
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const avgReturn = returns.reduce((sum, ret) => sum + ret, 0) / returns.length;
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const annualizedReturn = Math.pow(1 + avgReturn, 252) - 1;
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const volatility = this.calculateVolatility(returns);
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if (volatility === 0) {return 0;}
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if (volatility === 0) {
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return 0;
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}
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return (annualizedReturn - riskFreeRate) / volatility;
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}
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private calculateMaxDrawdown(): number {
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if (this.snapshots.length === 0) {return 0;}
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if (this.snapshots.length === 0) {
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return 0;
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}
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let maxDrawdown = 0;
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let peak = this.snapshots[0].totalValue;
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@ -139,7 +153,9 @@ export class PerformanceAnalyzer {
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}
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private calculateBeta(returns: number[]): number {
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if (returns.length === 0 || this.benchmarkReturns.length === 0) {return 1.0;}
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if (returns.length === 0 || this.benchmarkReturns.length === 0) {
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return 1.0;
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}
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// Simple beta calculation - would need actual benchmark data
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return 1.0; // Placeholder
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@ -157,7 +173,9 @@ export class PerformanceAnalyzer {
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const annualizedReturn = this.calculateAnnualizedReturn(returns);
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const maxDrawdown = this.calculateMaxDrawdown();
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if (maxDrawdown === 0) {return 0;}
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if (maxDrawdown === 0) {
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return 0;
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}
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return annualizedReturn / maxDrawdown;
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}
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@ -166,16 +184,22 @@ export class PerformanceAnalyzer {
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const annualizedReturn = this.calculateAnnualizedReturn(returns);
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const downsideDeviation = this.calculateDownsideDeviation(returns);
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if (downsideDeviation === 0) {return 0;}
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if (downsideDeviation === 0) {
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return 0;
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}
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return (annualizedReturn - riskFreeRate) / downsideDeviation;
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}
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private calculateDownsideDeviation(returns: number[]): number {
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if (returns.length === 0) {return 0;}
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if (returns.length === 0) {
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return 0;
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}
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const negativeReturns = returns.filter(ret => ret < 0);
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if (negativeReturns.length === 0) {return 0;}
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if (negativeReturns.length === 0) {
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return 0;
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}
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const avgNegativeReturn =
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negativeReturns.reduce((sum, ret) => sum + ret, 0) / negativeReturns.length;
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@ -187,7 +211,9 @@ export class PerformanceAnalyzer {
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}
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private calculateVaR(returns: number[], confidence: number): number {
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if (returns.length === 0) {return 0;}
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if (returns.length === 0) {
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return 0;
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}
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const sortedReturns = returns.slice().sort((a, b) => a - b);
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const index = Math.floor((1 - confidence) * sortedReturns.length);
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@ -196,13 +222,17 @@ export class PerformanceAnalyzer {
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}
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private calculateCVaR(returns: number[], confidence: number): number {
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if (returns.length === 0) {return 0;}
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if (returns.length === 0) {
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return 0;
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}
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const sortedReturns = returns.slice().sort((a, b) => a - b);
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const cutoffIndex = Math.floor((1 - confidence) * sortedReturns.length);
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const tailReturns = sortedReturns.slice(0, cutoffIndex + 1);
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if (tailReturns.length === 0) {return 0;}
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if (tailReturns.length === 0) {
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return 0;
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}
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const avgTailReturn = tailReturns.reduce((sum, ret) => sum + ret, 0) / tailReturns.length;
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return -avgTailReturn; // Return as positive value
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