Strategy Indices

6 algorithms in Index and Benchmark Engineering · 6 with asserted arithmetic.

In this family#

1. Leveraged Daily-Reset Index verified

   Applies a leverage multiple that resets every day. Daily reset is why a 2× product does not deliver 2× over a month: in a choppy market, compounding the reset erodes the level even when the underlying ends flat.

   calculate(data)
2. Inverse Daily-Reset Index verified

   An inverse multiple reset daily. The same path dependence as the leveraged case and in the same direction: over any period longer than a day, the result is not the negative of the underlying's return.

   calculate(data)
3. Volatility-Control Index verified

   Scales exposure to hold realised volatility near a target, cutting it when markets get rough. Exposure is set from *trailing* volatility, so the mechanism always acts after the fact — it dampens rather than avoids.

   calculate(data)
4. Fixed-Decrement Index verified

   Deducts a fixed number of index points per year. Decrement indices exist to make option pricing on them cheaper, and the deduction is a real drag borne by the holder — not a fee schedule.

   calculate(data)
5. Percentage-Decrement Index verified

   The same idea as a fixed decrement, but proportional to the level. The two diverge as the index moves: a points decrement bites harder when the level is low, a percentage one scales with it.

   calculate(data)
6. Index-of-Indices verified

   Combines several index return streams into one under fixed weights. Straightforward, with one thing to get right: the component returns must be the same variant — mixing a price-return component with a total-return one biases the blend.

   calculate(data)

What they share#

Every topic here is a record-transform, so once you have called one the rest follow the same shape. Import paths differ only in the final segment:

import { calculate } from "fintech-algorithms/index-and-benchmark-engineering/strategy-indices/leveraged-daily-reset-index";
import { calculate } from "fintech-algorithms/index-and-benchmark-engineering/strategy-indices/inverse-daily-reset-index";

Read them in the order above — the sequence is pedagogical, not alphabetical.

Where this sits#

Index and Benchmark Engineering collects 40 algorithms across 6 families. For the concept behind this family rather than the call signatures, see the concept guides.