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Public API / @insiderfinance/totalfinance

@insiderfinance/totalfinance/performance/metrics

import from '@insiderfinance/totalfinance/performance/metrics'

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SortinoOptions · annualizedReturn · calmar · sortino

interface

SortinoOptions

Public declaration. Read the signature and parameter/member contracts below; no additional behavior is inferred.

export interface SortinoOptions extends SharpeOptions {
    /** Minimum acceptable per-period return (default 0). */
    targetReturn?: number;
}
Fields, parameters & returned members (3)
Name / typeMeaning & unitOptional / default
periodsPerYear
number		Periods per year for annualization. Defaults to 252 (daily); pass 12 monthly, 52 weekly.
per year (count)		Optional
No @default declared; consult the signature and description.
riskFreeRate
number		Annualized risk-free rate (decimal, default 0).
decimal rate (0.05 = 5%)		Optional
No @default declared; consult the signature and description.
targetReturn
number		Minimum acceptable per-period return (default 0).
unitless by name		Optional
No @default declared; consult the signature and description.
Stability, warnings & conventions
stable-by-law (pre-1.0; not a 1.0 stability guarantee)

Declared field units are shown above. “Unitless by name” means the name alone does not establish a unit, not that a financial quantity has none. Check source descriptions, conventions, and the returned diagnostics. Errors and warnings are part of the result contract.

function

annualizedReturn

Geometric annualized return from a per-period return series.

export declare const annualizedReturn: import('@insiderfinance/totalfinance/core').SeriesFacade<[returns: ArrayLike<number>, options?: AnnualizationOptions | undefined], number | null, AnnualizationExtra>;
Fields, parameters & returned members (7)
Name / typeMeaning & unitOptional / default
(callArguments)
[returns: ArrayLike<number>, options?: AnnualizationOptions | undefined]
unitless by name		Required / declared member
No @default declared; consult the signature and description.
explain
(returns: ArrayLike<number>, options?: AnnualizationOptions | undefined) => Computed<number | null, AnnualizationExtra>
unitless by name		Required / declared member
No @default declared; consult the signature and description.
explain().return.assumptions
import('@insiderfinance/totalfinance/core').Assumptions<AnnualizationExtra>		Every applied convention, echoed back.
unitless by name		Required / declared member
No @default declared; consult the signature and description.
explain().return.diagnostics
import('@insiderfinance/totalfinance/core').Diagnostics		How the value was computed, plus any warnings.
unitless by name		Required / declared member
No @default declared; consult the signature and description.
explain().return.provenance
import('@insiderfinance/totalfinance/core').Provenance		Optional data lineage when the inputs came from a provider.
unitless by name		Optional
No @default declared; consult the signature and description.
explain().return.value
number | null		The computed value. Never `NaN` or `±Infinity`: a value the model cannot produce is `null` beside a diagnostic that says why (Law 7 — a warning never licenses a non-finite number).
unitless by name		Required / declared member
No @default declared; consult the signature and description.
explain(callArguments)
[returns: ArrayLike<number>, options?: AnnualizationOptions | undefined]
unitless by name		Required / declared member
No @default declared; consult the signature and description.
Stability, warnings & conventions
stable-by-law (pre-1.0; not a 1.0 stability guarantee)

Declared field units are shown above. “Unitless by name” means the name alone does not establish a unit, not that a financial quantity has none. Check source descriptions, conventions, and the returned diagnostics. Errors and warnings are part of the result contract.

function

calmar

Calmar ratio: annualized return divided by maximum drawdown.

export declare const calmar: import('@insiderfinance/totalfinance/core').SeriesFacade<[returns: ArrayLike<number>, options?: AnnualizationOptions | undefined], number | null, AnnualizationExtra>;
Fields, parameters & returned members (7)
Name / typeMeaning & unitOptional / default
(callArguments)
[returns: ArrayLike<number>, options?: AnnualizationOptions | undefined]
unitless by name		Required / declared member
No @default declared; consult the signature and description.
explain
(returns: ArrayLike<number>, options?: AnnualizationOptions | undefined) => Computed<number | null, AnnualizationExtra>
unitless by name		Required / declared member
No @default declared; consult the signature and description.
explain().return.assumptions
import('@insiderfinance/totalfinance/core').Assumptions<AnnualizationExtra>		Every applied convention, echoed back.
unitless by name		Required / declared member
No @default declared; consult the signature and description.
explain().return.diagnostics
import('@insiderfinance/totalfinance/core').Diagnostics		How the value was computed, plus any warnings.
unitless by name		Required / declared member
No @default declared; consult the signature and description.
explain().return.provenance
import('@insiderfinance/totalfinance/core').Provenance		Optional data lineage when the inputs came from a provider.
unitless by name		Optional
No @default declared; consult the signature and description.
explain().return.value
number | null		The computed value. Never `NaN` or `±Infinity`: a value the model cannot produce is `null` beside a diagnostic that says why (Law 7 — a warning never licenses a non-finite number).
unitless by name		Required / declared member
No @default declared; consult the signature and description.
explain(callArguments)
[returns: ArrayLike<number>, options?: AnnualizationOptions | undefined]
unitless by name		Required / declared member
No @default declared; consult the signature and description.
Stability, warnings & conventions
stable-by-law (pre-1.0; not a 1.0 stability guarantee)

Declared field units are shown above. “Unitless by name” means the name alone does not establish a unit, not that a financial quantity has none. Check source descriptions, conventions, and the returned diagnostics. Errors and warnings are part of the result contract.

function

sortino

Annualized Sortino ratio (downside-deviation-adjusted).

export declare const sortino: import('@insiderfinance/totalfinance/core').SeriesFacade<[returns: ArrayLike<number>, options?: SortinoOptions | undefined], number | null, RiskAdjustedExtra>;
Fields, parameters & returned members (7)
Name / typeMeaning & unitOptional / default
(callArguments)
[returns: ArrayLike<number>, options?: SortinoOptions | undefined]
unitless by name		Required / declared member
No @default declared; consult the signature and description.
explain
(returns: ArrayLike<number>, options?: SortinoOptions | undefined) => Computed<number | null, RiskAdjustedExtra>
unitless by name		Required / declared member
No @default declared; consult the signature and description.
explain().return.assumptions
import('@insiderfinance/totalfinance/core').Assumptions<RiskAdjustedExtra>		Every applied convention, echoed back.
unitless by name		Required / declared member
No @default declared; consult the signature and description.
explain().return.diagnostics
import('@insiderfinance/totalfinance/core').Diagnostics		How the value was computed, plus any warnings.
unitless by name		Required / declared member
No @default declared; consult the signature and description.
explain().return.provenance
import('@insiderfinance/totalfinance/core').Provenance		Optional data lineage when the inputs came from a provider.
unitless by name		Optional
No @default declared; consult the signature and description.
explain().return.value
number | null		The computed value. Never `NaN` or `±Infinity`: a value the model cannot produce is `null` beside a diagnostic that says why (Law 7 — a warning never licenses a non-finite number).
unitless by name		Required / declared member
No @default declared; consult the signature and description.
explain(callArguments)
[returns: ArrayLike<number>, options?: SortinoOptions | undefined]
unitless by name		Required / declared member
No @default declared; consult the signature and description.
Stability, warnings & conventions
stable-by-law (pre-1.0; not a 1.0 stability guarantee)

Declared field units are shown above. “Unitless by name” means the name alone does not establish a unit, not that a financial quantity has none. Check source descriptions, conventions, and the returned diagnostics. Errors and warnings are part of the result contract.