work on calculations

libs/utils/src/calculations/index.ts

@@ -43,6 +43,12 @@ export interface RiskMetrics {
   downside_deviation: number;
   calmar_ratio: number;
   sortino_ratio: number;
+  beta: number;
+  alpha: number;
+  sharpeRatio: number;
+  treynorRatio: number;
+  trackingError: number;
+  informationRatio: number;
 }
 
 export interface TechnicalIndicators {
@@ -59,7 +65,36 @@ export interface TechnicalIndicators {
   roc: number[];
 }
 
-// Export interfaces from all modules
+// Additional interfaces for new functionality
+export interface TradeExecution {
+  entry: number;
+  exit: number;
+  peak?: number;
+  trough?: number;
+  volume: number;
+  timestamp: Date;
+}
+
+export interface MarketData {
+  price: number;
+  volume: number;
+  timestamp: Date;
+  bid?: number;
+  ask?: number;
+  bidSize?: number;
+  askSize?: number;
+}
+
+export interface BacktestResults {
+  trades: TradeExecution[];
+  equityCurve: Array<{ value: number; date: Date }>;
+
+  performance: PortfolioMetrics;
+  riskMetrics: RiskMetrics;
+  drawdownAnalysis: any; // Import from performance-metrics
+}
+
+// Export all calculation functions
 export * from './basic-calculations';
 export * from './technical-indicators';
 export * from './risk-metrics';
@@ -70,3 +105,62 @@ export * from './performance-metrics';
 export * from './market-statistics';
 export * from './volatility-models';
 export * from './correlation-analysis';
+
+// Import specific functions for convenience functions
+import { 
+  sma, ema, rsi, macd, bollingerBands, atr, stochastic, 
+  williamsR, cci, momentum, roc 
+} from './technical-indicators';
+import { calculateRiskMetrics } from './risk-metrics';
+import { calculateStrategyMetrics } from './performance-metrics';
+
+// Convenience function to calculate all technical indicators at once
+export function calculateAllTechnicalIndicators(
+  ohlcv: OHLCVData[],
+  periods: { sma?: number; ema?: number; rsi?: number; atr?: number } = {}
+): TechnicalIndicators {
+  const {
+    sma: smaPeriod = 20,
+    ema: emaPeriod = 20,
+    rsi: rsiPeriod = 14,
+    atr: atrPeriod = 14
+  } = periods;
+  
+  const closes = ohlcv.map(d => d.close);
+  
+  return {
+    sma: sma(closes, smaPeriod),
+    ema: ema(closes, emaPeriod),
+    rsi: rsi(closes, rsiPeriod),
+    macd: macd(closes),
+    bollinger: bollingerBands(closes),
+    atr: atr(ohlcv, atrPeriod),
+    stochastic: stochastic(ohlcv),
+    williams_r: williamsR(ohlcv),
+    cci: cci(ohlcv),
+    momentum: momentum(closes),
+    roc: roc(closes)
+  };
+}
+
+// Convenience function for comprehensive portfolio analysis
+export function analyzePortfolio(
+  returns: number[],
+  equityCurve: Array<{ value: number; date: Date }>,
+  benchmarkReturns?: number[],
+  riskFreeRate: number = 0.02
+): {
+  performance: PortfolioMetrics;
+  risk: RiskMetrics;
+  trades?: any;
+  drawdown?: any;
+} {
+  const performance = calculateStrategyMetrics(equityCurve, benchmarkReturns, riskFreeRate);
+  const equityValues = equityCurve.map(point => point.value);
+  const risk = calculateRiskMetrics(returns, equityValues, benchmarkReturns, riskFreeRate);
+  
+  return {
+    performance,
+    risk
+  };
+}