fintech-algorithms

Leveraged Daily-Reset Index

Install and import

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

Signature

calculate(data)

Worked example

verified This is the worked example published in the article, replayed by the test suite on every run. The output cannot drift.

Input

data
{
  "returns": [0.02, -0.015, 0.01, -0.025, 0.018, 0.006],
  "leverage": 2,
  "dailyCost": 0.0001,
  "baseLevel": 1000
}

Call

calculate(data)

Returns

object with 4 fields: strategyReturns, levels, endingLevel, multiple

{
  "strategyReturns": [0.0399, -0.0301, 0.0199, -0.0501, 0.0359, 0.0119],
  "levels": [1000, 1039.9, 1008.59901, 1028.67013, 977.133757, 1012.212859],
  "endingLevel": 1024.258192,
  "multiple": 2
}

Diagrams

Leveraged Daily-Reset Index — article hero
Leveraged Daily-Reset Index — failure guard
Leveraged Daily-Reset Index — worked example

Calculation flow

Leveraged Daily-Reset Index calculation flow 
flowchart LR
    A["Point-in-time inputs"] --> B["Validate units and timing"]
    B --> C{"Contract feasible?"}
    C -->|No| D["Reject with reason"]
    C -->|Yes| E["Calculate Leveraged Daily-Reset Index"]
    E --> F["Recompute invariants"]
    F --> G{"Checks pass?"}
    G -->|No| D
    G -->|Yes| H["Publish audited output"]
Leveraged Daily-Reset Index methodology state 
stateDiagram-v2
    [*] --> FrozenInputs
    FrozenInputs --> Validated: contract passes
    FrozenInputs --> Rejected: missing or infeasible
    Validated --> Calculated: apply named rule
    Calculated --> Audited: invariants pass
    Calculated --> Rejected: invariant fails
    Audited --> Published: version and timestamp recorded
    Published --> Revised: approved correction
    Revised --> FrozenInputs: rebuild from retained source state

How it works

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References