Class OpenFrame

constructor

• new OpenFrame(
      constituents: OpenTimeSeries[],
      weights?: number[] | null,
      options?: { countries?: string | string[] },
  ): OpenFrame

  Parameters

  • constituents: OpenTimeSeries[]
  • weights: number[] | null = null
  • Optionaloptions: { countries?: string | string[] }

  Returns OpenFrame

columnLabels

constituents

countries

tsdf

weights

firstIdx

• get firstIdx(): string

  Returns string

itemCount

• get itemCount(): number

  Returns number

lastIdx

• get lastIdx(): string

  Returns string

length

• get length(): number

  Returns number

periodInAYear

• get periodInAYear(): number

  Returns number

addTimeseries

• addTimeseries(series: OpenTimeSeries): this

  Parameters

  • series: OpenTimeSeries

  Returns this

beta

• beta(assetColumn: number, marketColumn: number): number

  Parameters

  • assetColumn: number
  • marketColumn: number

  Returns number

captureRatio

• captureRatio(
      ratio: "both" | "up" | "down",
      baseColumn?: number,
      opts?: { freq?: ResampleFreq },
  ): number[]

  CAGR-based capture ratio vs benchmark column. Matches Python openseries capture_ratio_func behavior: uses frame data as-is (no resample) with dynamic time_factor = observations / (span_days/365.25).

  Parameters

  • ratio: "both" | "up" | "down"

    "up" | "down" | "both" (up/down or both = up/down)

  • baseColumn: number = -1

    Benchmark column index (-1 = last)

  • Optionalopts: { freq?: ResampleFreq }

    • Optionalfreq?: ResampleFreq

      If set, resample to period-end before computing (e.g. "ME" for monthly). When omitted, uses frame data as-is to match Python default.

  Returns number[]

correlMatrix

• correlMatrix(): number[][]

  Returns number[][]

filterToBusinessDays

• filterToBusinessDays(): this

  Filters tsdf to retain only business days. Mutates in place.

  Returns this

infoRatio

• infoRatio(baseColumn?: number): number[]

  Parameters

  • baseColumn: number = -1

  Returns number[]

jensenAlpha

• jensenAlpha(
      assetColumn: number,
      marketColumn: number,
      riskfreeRate?: number,
  ): number

  Parameters

  • assetColumn: number
  • marketColumn: number
  • riskfreeRate: number = 0

  Returns number

makePortfolio

• makePortfolio(
      name: string,
      weightStrat?: LiteralPortfolioWeightings,
  ): { dates: string[]; values: number[] }

  Parameters

  • name: string
  • OptionalweightStrat: LiteralPortfolioWeightings

  Returns { dates: string[]; values: number[] }

maxDrawdown

• maxDrawdown(): number[]

  Max drawdown per column (price series). Returns array of max drawdowns.

  Returns number[]

maxDrawdownBottomDate

• maxDrawdownBottomDate(): (string | undefined)[]

  Date when max drawdown bottom occurs per column. Returns array of date strings (or undefined when no drawdown).

  Returns (string | undefined)[]

mergeSeries

• mergeSeries(how?: "inner" | "outer"): this

  Parameters

  • how: "inner" | "outer" = "outer"

  Returns this

ordLeastSquaresFit

• ordLeastSquaresFit(
      yColumn: number,
      xColumn: number,
      opts?: { fittedSeries?: boolean },
  ): OrdLeastSquaresResult

  Ordinary Least Squares fit of y on x. Regresses tsdf column yColumn (dependent) on xColumn (explanatory). Matches Python openseries ord_least_squares_fit.

  Parameters

  • yColumn: number

    Column index of dependent variable y

  • xColumn: number

    Column index of exogenous variable x

  • Optionalopts: { fittedSeries?: boolean }

    • OptionalfittedSeries?: boolean

      If true, add fitted values as new column (default true)

  Returns OrdLeastSquaresResult

  Object with coefficient (slope), intercept, and rsquared

resampleToPeriodEnd

• resampleToPeriodEnd(freq?: ResampleFreq): this

  Resamples all constituents to business period-end frequency, then re-merges. Throws if any constituent is a return series.

  Parameters

  • freq: ResampleFreq = "ME"

  Returns this

returnColumns

• returnColumns(): number[][]

  Returns return columns (first element 0). Throws if mixed PRICE/RTRN.

  Returns number[][]

toDrawdownSeries

• toDrawdownSeries(): this

  Converts each column to drawdown series (value / running peak - 1). Operates on the frame's aligned tsdf. Call after mergeSeries and truncate so drawdown is computed on the truncated date range.

  Returns this

trackingError

• trackingError(
      baseColumn?: number,
      _opts?: { fromDate?: string; toDate?: string },
  ): number[]

  Parameters

  • baseColumn: number = -1
  • Optional_opts: { fromDate?: string; toDate?: string }

  Returns number[]

truncFrame

• truncFrame(
      opts?: {
          endCut?: string;
          startCut?: string;
          where?: "before" | "after" | "both";
      },
  ): this

  Truncates frame and constituents to a common date range.

  Parameters

  • opts: { endCut?: string; startCut?: string; where?: "before" | "after" | "both" } = {}

    Truncation options

    • OptionalendCut?: string

      New last date (default: earliest last date if where includes 'after')

    • OptionalstartCut?: string

      New first date (default: latest first date of all constituents if where includes 'before')

    • Optionalwhere?: "before" | "after" | "both"

      Which end(s) to truncate when cuts not provided

  Returns this