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phase-1: optimize code

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Kazuma
2026-06-04 01:32:05 -04:00
parent cd74497de6
commit 3513024fc6
58 changed files with 7380 additions and 850 deletions
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tests/MarketRegime.test.js
+29 -5
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@@ -3,7 +3,7 @@ import assert from 'node:assert/strict';
import { MarketRegime } from '../src/market/MarketRegime.js';
import { SECTOR, ASSET_TYPE } from '../src/config/constants.js';
const regime = (benchmarks) => new MarketRegime({ benchmarks });
const regime = (benchmarks, extra = {}) => new MarketRegime({ benchmarks, ...extra });
test('stock inflated P/E = marketPE × 1.5', () => {
const { gates } = regime({ marketPE: 24 }).getInflatedOverrides(ASSET_TYPE.STOCK, SECTOR.GENERAL);
@@ -18,22 +18,46 @@ test('tech inflated P/E = techPE × 1.3', () => {
assert.equal(gates.maxPERatio, Math.round(40 * 1.3)); // 52
});
test('REIT inflated minYield = reitYield × 0.85', () => {
const { thresholds } = regime({ reitYield: 4.0 }).getInflatedOverrides(
test('REIT inflated minYield = reitYield × 0.85 in NORMAL rate regime', () => {
const { thresholds } = regime({ reitYield: 4.0 }, { rateRegime: 'NORMAL' }).getInflatedOverrides(
ASSET_TYPE.STOCK,
SECTOR.REIT,
);
assert.equal(thresholds.minYield, +(4.0 * 0.85).toFixed(2)); // 3.40
});
test('bond inflated minSpread = igSpread × 0.80', () => {
const { thresholds } = regime({ igSpread: 1.5 }).getInflatedOverrides(
test('REIT inflated minYield = reitYield × 0.95 in HIGH rate regime', () => {
const { thresholds } = regime({ reitYield: 4.0 }, { rateRegime: 'HIGH' }).getInflatedOverrides(
ASSET_TYPE.STOCK,
SECTOR.REIT,
);
assert.equal(thresholds.minYield, +(4.0 * 0.95).toFixed(2)); // 3.80
});
test('bond inflated minSpread = igSpread × 0.80 in NORMAL rate regime', () => {
const { thresholds } = regime({ igSpread: 1.5 }, { rateRegime: 'NORMAL' }).getInflatedOverrides(
ASSET_TYPE.BOND,
SECTOR.GENERAL,
);
assert.equal(thresholds.minSpread, +(1.5 * 0.8).toFixed(2)); // 1.20
});
test('bond inflated minSpread = igSpread × 0.90 in HIGH rate regime', () => {
const { thresholds } = regime({ igSpread: 1.5 }, { rateRegime: 'HIGH' }).getInflatedOverrides(
ASSET_TYPE.BOND,
SECTOR.GENERAL,
);
assert.equal(thresholds.minSpread, +(1.5 * 0.9).toFixed(2)); // 1.35
});
test('GENERAL stock P/E multiplier compresses to 1.2× in HIGH rate regime', () => {
const { gates } = regime({ marketPE: 25 }, { rateRegime: 'HIGH' }).getInflatedOverrides(
ASSET_TYPE.STOCK,
SECTOR.GENERAL,
);
assert.equal(gates.maxPERatio, Math.round(25 * 1.2)); // 30
});
test('ETF inflated loosens expense gate to 0.75', () => {
const { gates } = regime({}).getInflatedOverrides(ASSET_TYPE.ETF);
assert.equal(gates.maxExpenseRatio, 0.75);