WFA from precomputed windows (analyzeFromWindows)

If you already have WFA windows (for example, coming from sliceTradesIntoWindows or from your own slicing pipeline), you can run the public WFA entrypoint analyzeFromWindows().

Key points:

• PrecomputedWFAInput.wfaInputMode must be precomputed.
• input.windows.length must be at least 2.
• benchmark block is available only when equityCurve is provided.

TypeScript (synthetic windows)

import { analyzeFromWindows } from "@kiploks/engine-core";
import type { PrecomputedWFAInput } from "@kiploks/engine-contracts";

const input: PrecomputedWFAInput = {
  wfaInputMode: "precomputed",
  equityCurve: [
    { timestamp: 1577836800000, value: 10000 },
    { timestamp: 1580515200000, value: 10300 },
    { timestamp: 1583020800000, value: 10150 },
  ],
  windows: [
    {
      period: { start: "2020-01-01T00:00:00.000Z", end: "2020-03-01T00:00:00.000Z" },
      inSample: { return: 0.02 },
      outOfSample: { return: -0.01 },
    },
    {
      period: { start: "2020-02-01T00:00:00.000Z", end: "2020-04-01T00:00:00.000Z" },
      inSample: { return: 0.01 },
      outOfSample: { return: 0.015 },
    },
  ],
};

const result = analyzeFromWindows(input, { seed: 42, decimals: 8, permutationN: 1000 });

console.log("robustnessScore:", result.robustnessScore);
console.log("consistencyVerdict:", result.consistency.verdict);
console.log("wfe rankWfe:", result.wfe.rankWfe, "p:", result.wfe.permutationPValue, "n:", result.wfe.permutationN);

if (!result.benchmark.available) {
  console.log("benchmark unavailable:", result.benchmark.reason);
}

Notes

The period.start / period.end fields are ISO-8601 strings (UTC recommended). If you omit equityCurve, the engine still produces wfe / consistency, but the benchmark block becomes unavailable with an explicit available: false reason.

Optional permutationN on analyze options sets the permutation count for wfe.permutationPValue (default 1000, bounds 100..10000).