@elizaos/plugin-auto-trader 2.0.0-alpha.1

package/README.md

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+# ElizaOS AutoTrader Plugin (`plugin-auto-trader`)
+
+## 1. Overview
+
+The `plugin-auto-trader` is an ElizaOS plugin designed to provide autonomous and configurable cryptocurrency trading capabilities. It allows agents to execute trading strategies, simulate these strategies against historical data, and analyze their performance.
+
+This plugin is built with a modular approach, enabling the easy addition of new trading strategies and data sources.
+
+## 2. Key Features
+
+*   **Pluggable Trading Strategy Framework:**
+    *   A core `TradingStrategy` interface that all strategies implement.
+    *   `StrategyRegistryService` for discovering and managing available strategies.
+*   **Implemented Trading Strategies:**
+    *   **`RandomStrategy`**: Makes random buy/sell decisions. Useful as a baseline.
+        *   Configurable: `tradeAttemptProbability`, `buyProbability`, `maxTradeSizePercentage`, `fixedTradeQuantity`.
+    *   **`RuleBasedStrategy`**: Executes trades based on technical indicators and market conditions.
+        *   Configurable: A list of `RuleCondition` objects (RSI, SMA/EMA Crossover, Volume triggers), stop-loss/take-profit settings, trade sizing.
+        *   *Note: Currently uses mock calculations for TI. Integration with a library like `technicalindicators` is planned.*
+    *   **`LLMStrategy`**: Leverages a Large Language Model (LLM) to make trading decisions.
+        *   Configurable: `modelName`, `systemPrompt`, `customPromptPrefix/Suffix`, trade sizing defaults.
+        *   Builds a detailed prompt based on market data and agent state.
+        *   Parses JSON responses from the LLM.
+        *   *Note: Requires integration with a core ElizaOS LLM service.*
+*   **Simulation Engine:**
+    *   **`HistoricalDataService`**: Fetches and caches historical OHLCV data.
+        *   Supports a `mockSource` for testing and a conceptual `birdeye` API integration (requires `BIRDEYE_API_KEY` environment variable).
+        *   Conceptual filesystem-based caching (actual file I/O is placeholder).
+    *   **`SimulationService`**: Runs backtests of trading strategies against historical data.
+        *   Simulates trade execution, including transaction costs and basic slippage.
+        *   Tracks portfolio value, P&L (including realized P&L per closing trade), and individual trades.
+*   **Benchmarking & Reporting:**
+    *   **`PerformanceReportingService`**: Generates detailed performance reports (`SimulationReport`).
+    *   Calculates key metrics: Total P&L (absolute and percentage), Win/Loss Ratio, Average Win/Loss size, Max Drawdown, Total Trades, Buy & Hold P&L benchmark.
+    *   *Note: Advanced metrics like Sharpe/Sortino Ratio are placeholders.*
+
+## 3. Installation & Setup (Conceptual)
+
+This plugin is intended to be part of the ElizaOS ecosystem.
+
+1.  Ensure `plugin-auto-trader` is included in your ElizaOS plugins directory.
+2.  The plugin will be initialized during ElizaOS startup via its `src/index.ts` (`initializePlugin` function).
+3.  **API Keys (Required for some features):**
+    *   For Birdeye data via `HistoricalDataService`: Set the `BIRDEYE_API_KEY` environment variable.
+4.  **External Libraries (Future):**
+    *   When `RuleBasedStrategy` is updated to use a real Technical Indicators library (e.g., `technicalindicators`), it will need to be installed: `npm install technicalindicators` (or `bun install`).
+
+## 4. How to Use (Conceptual - via direct service calls for now)
+
+Currently, interaction with the plugin's services would typically be done programmatically within another ElizaOS plugin or service that has access to the auto-trader's registered services.
+
+### 4.1. Accessing Services
+
+Services are registered with ElizaOS runtime (conceptually) during plugin initialization. You would typically retrieve them using `runtime.getService('serviceName')`:
+
+*   `runtime.getService('auto-trader/StrategyRegistryService')`
+*   `runtime.getService('auto-trader/HistoricalDataService')`
+*   `runtime.getService('auto-trader/SimulationService')`
+*   `runtime.getService('auto-trader/PerformanceReportingService')`
+
+*(Note: The exact service names depend on the runtime's registration mechanism. The plugin currently attempts to register service classes.)*
+
+### 4.2. Listing Available Strategies
+
+```typescript
+// const strategyRegistry = runtime.getService('auto-trader/StrategyRegistryService') as StrategyRegistryService;
+// const strategies = strategyRegistry.listStrategies();
+// console.log(strategies.map(s => s.name));
+```
+
+### 4.3. Running a Simulation
+
+Use the `SimulationService` to run a backtest:
+
+```typescript
+// const simulationService = runtime.getService('auto-trader/SimulationService') as SimulationService;
+// const historicalDataService = runtime.getService('auto-trader/HistoricalDataService') as DefaultHistoricalDataService;
+// const strategyRegistry = runtime.getService('auto-trader/StrategyRegistryService') as StrategyRegistryService;
+// const performanceReporting = new PerformanceReportingService(); // Or get from runtime if stateful
+
+// Ensure services are available, then:
+// const simService = new SimulationService(strategyRegistry, historicalDataService, performanceReporting);
+
+const simulationParams = {
+  strategyId: 'random-v1', // or 'rule-based-v1', 'llm-v1'
+  strategyParams: {
+    // Strategy-specific parameters, e.g., for RandomStrategy:
+    tradeAttemptProbability: 0.5,
+    buyProbability: 0.6,
+    fixedTradeQuantity: 2,
+    // e.g., for RuleBasedStrategy:
+    // rules: [{ type: 'RSI', rsiPeriod: 14, rsiOversold: 30, action: 'BUY' }],
+    // stopLossTakeProfit: { stopLossPercentage: 0.05 }
+  },
+  symbol: 'SOL/USDC', // Use a token address for Birdeye, e.g., 'So11111111111111111111111111111111111111112'
+  timeframe: '1h',
+  startDate: new Date('2023-01-01T00:00:00Z'),
+  endDate: new Date('2023-03-01T00:00:00Z'),
+  initialCapital: 10000,
+  transactionCostPercentage: 0.001, // 0.1%
+  slippagePercentage: { marketOrder: 0.0005 }, // 0.05%
+  dataApiSource: 'mockSource', // or 'birdeye' (if API key is set)
+};
+
+// async function runTestSimulation() {
+//   try {
+//     const report = await simulationService.runBacktest(simulationParams);
+//     console.log('Simulation Report:', JSON.stringify(report, null, 2));
+//     console.log('P&L:', report.metrics.totalPnlPercentage * 100, '%');
+//     console.log('Buy & Hold P&L:', report.metrics.buyAndHoldPnlPercentage * 100, '%');
+//   } catch (error) {
+//     console.error('Simulation failed:', error);
+//   }
+// }
+// runTestSimulation();
+```
+
+### 4.4. Strategy Configuration Parameters
+
+*   **`RandomStrategyParams`**: `tradeAttemptProbability`, `buyProbability`, `maxTradeSizePercentage`, `fixedTradeQuantity`.
+*   **`RuleBasedStrategyParams`**: `rules` (array of `RuleCondition`), `stopLossTakeProfit`, `tradeSizePercentage`, `fixedTradeQuantity`, `minIndicatorDataPoints`.
+    *   `RuleCondition`: `type` (`RSI`, `SMA_CROSSOVER`, etc.), `action` (`BUY`/`SELL`), and type-specific params (e.g., `rsiPeriod`, `shortMAPeriod`, `longMAPeriod`, `maType`).
+*   **`LLMStrategyParams`**: `modelName`, `systemPrompt`, `customPromptPrefix`, `customPromptSuffix`, `maxTokens`, `temperature`, `defaultTradeSizePercentage`, `defaultFixedTradeQuantity`, `structuredOutputSchema`.
+
+## 5. Current Limitations & Placeholders
+
+*   **Real Data Source Integration**: `HistoricalDataService` currently uses mock data for most sources. Birdeye integration is conceptual and requires a valid API key. Full implementation of other sources (CoinMarketCap, Jupiter, CCXT) is pending.
+*   **Real Technical Indicators**: `RuleBasedStrategy` uses mock calculations for technical indicators. It needs to be integrated with a library like `technicalindicators`.
+*   **Real LLM Service**: `LLMStrategy` requires integration with a functional ElizaOS core LLM service.
+*   **Order Execution Service**: No real implementation for live/paper trading yet; only simulation.
+*   **Advanced Metrics**: Sharpe Ratio, Sortino Ratio, and other advanced financial metrics are placeholders.
+*   **Filesystem Cache**: The filesystem cache in `HistoricalDataService` is conceptual; actual file I/O operations are commented out.
+
+## 6. Future Enhancements (from original spec)
+
+*   More sophisticated strategies (arbitrage, ML-based).
+*   Portfolio-level strategies.
+*   Walk-forward optimization.
+*   Live paper trading & real money trading.
+*   Strategy marketplace integration.
+*   Visual backtesting tools.
+
+This README provides a starting point and will be updated as the plugin evolves.

package/dist/MeanReversionStrategy-4ZBKT4XN.js

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+import {
+  MeanReversionStrategy
+} from "./chunk-BSXTWI5Q.js";
+import "./chunk-AS6N6A3H.js";
+import "./chunk-PZ5AY32C.js";
+export {
+  MeanReversionStrategy
+};
+//# sourceMappingURL=MeanReversionStrategy-4ZBKT4XN.js.map

package/dist/MeanReversionStrategy-4ZBKT4XN.js.map

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+{"version":3,"sources":[],"sourcesContent":[],"mappings":"","names":[]}

package/dist/MomentumBreakoutStrategy-O7I3EMGB.js

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+import {
+  MomentumBreakoutStrategy
+} from "./chunk-Z6SUPK5O.js";
+import "./chunk-AS6N6A3H.js";
+import "./chunk-PZ5AY32C.js";
+export {
+  MomentumBreakoutStrategy
+};
+//# sourceMappingURL=MomentumBreakoutStrategy-O7I3EMGB.js.map

package/dist/MomentumBreakoutStrategy-O7I3EMGB.js.map

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+{"version":3,"sources":[],"sourcesContent":[],"mappings":"","names":[]}

package/dist/RandomStrategy-GPGG56MV.js

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+import {
+  RandomStrategy
+} from "./chunk-KB2EBQUN.js";
+import "./chunk-AS6N6A3H.js";
+import "./chunk-PZ5AY32C.js";
+export {
+  RandomStrategy
+};
+//# sourceMappingURL=RandomStrategy-GPGG56MV.js.map

package/dist/RandomStrategy-GPGG56MV.js.map

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+{"version":3,"sources":[],"sourcesContent":[],"mappings":"","names":[]}

package/dist/RuleBasedStrategy-7O47DGTU.js

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+import {
+  RuleBasedStrategy
+} from "./chunk-GYTZTIWK.js";
+import "./chunk-AS6N6A3H.js";
+import "./chunk-PZ5AY32C.js";
+export {
+  RuleBasedStrategy
+};
+//# sourceMappingURL=RuleBasedStrategy-7O47DGTU.js.map

package/dist/RuleBasedStrategy-7O47DGTU.js.map

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+{"version":3,"sources":[],"sourcesContent":[],"mappings":"","names":[]}

package/dist/chunk-AS6N6A3H.js

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+// src/types.ts
+var TradeType = /* @__PURE__ */ ((TradeType2) => {
+  TradeType2["BUY"] = "BUY";
+  TradeType2["SELL"] = "SELL";
+  return TradeType2;
+})(TradeType || {});
+var OrderType = /* @__PURE__ */ ((OrderType2) => {
+  OrderType2["MARKET"] = "MARKET";
+  OrderType2["LIMIT"] = "LIMIT";
+  OrderType2["STOP"] = "STOP";
+  return OrderType2;
+})(OrderType || {});
+
+export {
+  TradeType,
+  OrderType
+};
+//# sourceMappingURL=chunk-AS6N6A3H.js.map

package/dist/chunk-AS6N6A3H.js.map

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+{"version":3,"sources":["../src/types.ts"],"sourcesContent":["// Import core types\nimport type { IAgentRuntime as AgentRuntime, UUID } from \"@elizaos/core\";\n\n// Define wallet and token types locally since they're not exported from @elizaos/core\nexport interface TokenBalance {\n  mint: string;\n  balance: string;\n  decimals: number;\n  uiAmount: number;\n}\n\nexport interface TokenData {\n  address: string;\n  symbol: string;\n  name: string;\n  decimals: number;\n  price?: number;\n  volume24h?: number;\n  liquidity?: number;\n}\n\nexport interface WalletAsset {\n  mint: string;\n  balance: number;\n  decimals: number;\n  uiAmount: number;\n}\n\nexport interface IWalletService {\n  getBalance(): Promise<number>;\n  getTokenBalances(): Promise<TokenBalance[]>;\n}\n\n// #region --- Portfolio and Trading Data Interfaces ---\n\n/**\n * Core types for simulations and backtesting\n */\n\nexport interface OHLCV {\n  timestamp: number;\n  open: number;\n  high: number;\n  low: number;\n  close: number;\n  volume: number;\n}\n\nexport interface StrategyContextMarketData {\n  currentPrice: number;\n  lastPrices: number[];\n  indicators?: { [indicatorName: string]: number };\n  priceData?: OHLCV[]; // Full price data for custom analysis\n}\n\nexport interface AgentState {\n  portfolioValue: number;\n  volatility: number;\n  confidenceLevel: number;\n  recentTrades: number;\n  lastAction?: string;\n  sentiment?: number;\n}\n\nexport interface TradingStrategy {\n  id: string;\n  name: string;\n  description: string;\n  decide(params: {\n    marketData: StrategyContextMarketData;\n    agentState: AgentState;\n    portfolioSnapshot: PortfolioSnapshot;\n    agentRuntime?: AgentRuntime;\n  }): Promise<TradeOrder | null>;\n  initialize?(agentRuntime?: AgentRuntime): Promise<void>;\n  isReady(): boolean;\n  configure?(params: any): void;\n}\n\nexport enum TradeType {\n  BUY = \"BUY\",\n  SELL = \"SELL\",\n}\n\nexport enum OrderType {\n  MARKET = \"MARKET\",\n  LIMIT = \"LIMIT\",\n  STOP = \"STOP\",\n}\n\nexport interface TradeOrder {\n  pair: string;\n  action: TradeType;\n  quantity: number;\n  orderType: OrderType;\n  price?: number;\n  stopPrice?: number;\n  timestamp: number;\n  reason?: string;\n}\n\nexport interface Trade extends TradeOrder {\n  executedPrice: number;\n  executedTimestamp: number;\n  fees: number;\n  feeCurrency?: string; // Add optional feeCurrency\n  tradeId?: string; // Add optional tradeId\n  realizedPnl?: number; // Profit or loss realized on this trade (typically for SELL trades)\n}\n\nexport interface PortfolioSnapshot {\n  timestamp: number;\n  holdings: { [assetSymbol: string]: number };\n  totalValue: number;\n}\n\nexport interface PerformanceMetrics {\n  totalPnlAbsolute: number;\n  totalPnlPercentage: number;\n  sharpeRatio?: number;\n  sortinoRatio?: number;\n  winLossRatio: number;\n  averageWinAmount: number;\n  averageLossAmount: number;\n  maxDrawdown: number;\n  totalTrades: number;\n  winningTrades: number;\n  losingTrades: number;\n  firstAssetPrice?: number;\n  lastAssetPrice?: number;\n  buyAndHoldPnlPercentage?: number;\n}\n\nexport interface SimulationReport {\n  strategy: string;\n  pair: string;\n  startDate: number;\n  endDate: number;\n  trades: Trade[];\n  portfolioSnapshots: PortfolioSnapshot[];\n  finalPortfolioValue: number;\n  metrics: PerformanceMetrics;\n}\n\n// HistoricalDataService\nexport interface HistoricalDataService {\n  fetchData(\n    pair: string,\n    interval: string,\n    startDate: Date,\n    endDate: Date,\n    dataSource: string,\n  ): Promise<OHLCV[]>;\n}\n\n// #endregion --- Portfolio and Trading Data Interfaces ---\n\n// #region --- Service & Other Interfaces ---\n\nexport interface TradeSimulationResult {\n  isValid: boolean;\n  reason?: string;\n  updatedBalance?: number;\n  updatedPortfolio?: { [assetSymbol: string]: PortfolioAssetHolding };\n}\n\n// Wallet portfolio for auto-trader\nexport interface WalletPortfolio {\n  totalUsd: string;\n  totalSol?: string;\n  items: Array<{\n    name: string;\n    address: string;\n    symbol: string;\n    decimals: number;\n    balance: string;\n    uiAmount: string;\n    priceUsd: string;\n    valueUsd: string;\n    valueSol?: string;\n  }>;\n}\n\nexport interface PortfolioAssetHolding {\n  mint: string;\n  balance: number;\n  decimals: number;\n  uiAmount: number;\n  averagePrice: number;\n  symbol?: string;\n  assetAddress: string;\n}\n\nexport interface Position {\n  id: UUID;\n  tokenAddress: string;\n  amount: number;\n  entryPrice: number;\n  currentPrice?: number;\n  unrealizedPnl?: number;\n  realizedPnl?: number;\n}\n\nexport interface WalletOperationResult {\n  success: boolean;\n  transactionHash?: string;\n  error?: string;\n}\n\nexport interface PortfolioHolding {\n  tokenAddress: string;\n  tokenSymbol: string;\n  tokenName: string;\n  amount: number;\n  decimals: number;\n  usdValue: number;\n  tokenPriceUsd: number;\n}\n\nexport interface TrackedPosition {\n  tokenAddress: string;\n  symbol: string;\n  entryPrice: number;\n  currentPrice: number;\n  quantity: number;\n  value: number;\n  pnl: number;\n  pnlPercentage: number;\n}\n\n// Strategy-specific parameters\nexport interface RandomStrategyParams {\n  buyProbability?: number;\n  sellProbability?: number;\n  maxTradeSize?: number;\n  minTradeSize?: number;\n  randomSeed?: number;\n}\n\nexport interface RuleBasedStrategyParams {\n  indicators?: string[];\n  buyConditions?: {\n    [indicator: string]: { threshold: number; condition: \"above\" | \"below\" };\n  };\n  sellConditions?: {\n    [indicator: string]: { threshold: number; condition: \"above\" | \"below\" };\n  };\n  riskSettings?: {\n    maxPositionSize?: number;\n    stopLossPercentage?: number;\n    takeProfitPercentage?: number;\n  };\n}\n\nexport interface LLMStrategyParams {\n  modelName?: string;\n  customPromptPrefix?: string;\n  customPromptSuffix?: string;\n  maxTokens?: number;\n  temperature?: number;\n  defaultTradeSizePercentage?: number;\n  defaultFixedTradeQuantity?: number;\n  structuredOutputSchema?: any;\n  systemPrompt?: string;\n}\n\n// #endregion --- Service & Other Interfaces ---\n"],"mappings":";AA+EO,IAAK,YAAL,kBAAKA,eAAL;AACL,EAAAA,WAAA,SAAM;AACN,EAAAA,WAAA,UAAO;AAFG,SAAAA;AAAA,GAAA;AAKL,IAAK,YAAL,kBAAKC,eAAL;AACL,EAAAA,WAAA,YAAS;AACT,EAAAA,WAAA,WAAQ;AACR,EAAAA,WAAA,UAAO;AAHG,SAAAA;AAAA,GAAA;","names":["TradeType","OrderType"]}

package/dist/chunk-BSXTWI5Q.js

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+// src/strategies/MeanReversionStrategy.ts
+import * as talib from "technicalindicators";
+var MeanReversionStrategy = class {
+  id = "mean-reversion-strategy";
+  name = "MeanReversionStrategy";
+  description = "A strategy that trades on mean reversion patterns using Bollinger Bands and RSI";
+  config;
+  initialized = false;
+  runtime = null;
+  constructor(config) {
+    this.config = {
+      // Default configuration
+      bbPeriod: 20,
+      bbStdDev: 2,
+      rsiPeriod: 14,
+      rsiOversold: 30,
+      rsiOverbought: 70,
+      positionSizePercent: 0.02,
+      stopLossPercent: 0.03,
+      takeProfitPercent: 0.02,
+      minVolatility: 0.01,
+      maxVolatility: 0.05,
+      minVolumeRatio: 1.2,
+      bbEntryThreshold: 0.95,
+      rsiConfirmation: true,
+      ...config
+    };
+  }
+  async initialize(runtime) {
+    this.runtime = runtime;
+    this.initialized = true;
+    console.log(`[${this.name}] Initialized with config:`, this.config);
+  }
+  isReady() {
+    return this.initialized;
+  }
+  async decide(params) {
+    const { marketData, agentState, portfolioSnapshot } = params;
+    const { priceData, currentPrice } = marketData;
+    if (!priceData || priceData.length < Math.max(this.config.bbPeriod, this.config.rsiPeriod) + 10) {
+      return null;
+    }
+    const closes = priceData.map((c) => c.close);
+    const _highs = priceData.map((c) => c.high);
+    const _lows = priceData.map((c) => c.low);
+    const volumes = priceData.map((c) => c.volume);
+    const bb = this.calculateBollingerBands(closes);
+    const rsi = this.calculateRSI(closes);
+    const volatility = agentState.volatility;
+    const volumeRatio = this.calculateVolumeRatio(volumes);
+    if (!bb || !rsi || rsi.length === 0) return null;
+    const currentRSI = rsi[rsi.length - 1];
+    const { upper, lower, middle } = bb;
+    if (volatility < this.config.minVolatility || volatility > this.config.maxVolatility) {
+      console.log(
+        `[${this.name}] Volatility ${volatility.toFixed(4)} outside range [${this.config.minVolatility}, ${this.config.maxVolatility}]`
+      );
+      return null;
+    }
+    if (volumeRatio < this.config.minVolumeRatio) {
+      console.log(
+        `[${this.name}] Volume ratio ${volumeRatio.toFixed(2)} below minimum ${this.config.minVolumeRatio}`
+      );
+      return null;
+    }
+    const distanceFromUpper = (upper - currentPrice) / currentPrice;
+    const distanceFromLower = (currentPrice - lower) / currentPrice;
+    const distanceFromMiddle = Math.abs(currentPrice - middle) / middle;
+    if (currentPrice <= lower * (1 + (1 - this.config.bbEntryThreshold))) {
+      const rsiCondition = !this.config.rsiConfirmation || currentRSI < this.config.rsiOversold;
+      if (rsiCondition) {
+        const positionSize = this.calculatePositionSize(portfolioSnapshot.totalValue, currentPrice);
+        console.log(`[${this.name}] BUY SIGNAL - Price at lower BB, RSI: ${currentRSI.toFixed(2)}`);
+        return {
+          action: "BUY" /* BUY */,
+          orderType: "MARKET" /* MARKET */,
+          pair: "SOL/USDC",
+          // This should come from context
+          quantity: positionSize,
+          reason: `Mean reversion buy: Price ${distanceFromLower.toFixed(2)}% below lower BB, RSI: ${currentRSI.toFixed(2)}`,
+          timestamp: Date.now()
+        };
+      }
+    }
+    if (currentPrice >= upper * (1 - (1 - this.config.bbEntryThreshold))) {
+      const rsiCondition = !this.config.rsiConfirmation || currentRSI > this.config.rsiOverbought;
+      if (rsiCondition) {
+        const currentHolding2 = portfolioSnapshot.holdings.SOL || 0;
+        if (currentHolding2 > 0) {
+          console.log(
+            `[${this.name}] SELL SIGNAL - Price at upper BB, RSI: ${currentRSI.toFixed(2)}`
+          );
+          return {
+            action: "SELL" /* SELL */,
+            orderType: "MARKET" /* MARKET */,
+            pair: "SOL/USDC",
+            quantity: currentHolding2,
+            reason: `Mean reversion sell: Price ${distanceFromUpper.toFixed(2)}% above upper BB, RSI: ${currentRSI.toFixed(2)}`,
+            timestamp: Date.now()
+          };
+        }
+      }
+    }
+    const currentHolding = portfolioSnapshot.holdings.SOL || 0;
+    if (currentHolding > 0 && distanceFromMiddle < 0.01) {
+      console.log(`[${this.name}] Price returned to mean, exiting position`);
+      return {
+        action: "SELL" /* SELL */,
+        orderType: "MARKET" /* MARKET */,
+        pair: "SOL/USDC",
+        quantity: currentHolding,
+        reason: `Price returned to mean (${distanceFromMiddle.toFixed(2)}% from middle BB)`,
+        timestamp: Date.now()
+      };
+    }
+    return null;
+  }
+  calculateBollingerBands(closes) {
+    if (closes.length < this.config.bbPeriod) return null;
+    const bb = talib.BollingerBands.calculate({
+      period: this.config.bbPeriod,
+      values: closes,
+      stdDev: this.config.bbStdDev
+    });
+    if (!bb || bb.length === 0) return null;
+    const lastBB = bb[bb.length - 1];
+    return {
+      upper: lastBB.upper,
+      middle: lastBB.middle,
+      lower: lastBB.lower
+    };
+  }
+  calculateRSI(closes) {
+    const rsi = talib.RSI.calculate({
+      period: this.config.rsiPeriod,
+      values: closes
+    });
+    return rsi;
+  }
+  calculateVolumeRatio(volumes) {
+    if (volumes.length < 20) return 0;
+    const recentVolume = volumes.slice(-5).reduce((a, b) => a + b, 0) / 5;
+    const avgVolume = volumes.slice(-20).reduce((a, b) => a + b, 0) / 20;
+    return avgVolume > 0 ? recentVolume / avgVolume : 0;
+  }
+  calculatePositionSize(portfolioValue, price) {
+    const positionValue = portfolioValue * this.config.positionSizePercent;
+    return positionValue / price;
+  }
+  updateConfig(config) {
+    this.config = { ...this.config, ...config };
+    console.log(`[${this.name}] Config updated:`, this.config);
+  }
+  getConfig() {
+    return { ...this.config };
+  }
+};
+
+export {
+  MeanReversionStrategy
+};
+//# sourceMappingURL=chunk-BSXTWI5Q.js.map

package/dist/chunk-BSXTWI5Q.js.map

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+{"version":3,"sources":["../src/strategies/MeanReversionStrategy.ts"],"sourcesContent":["import type { AgentRuntime } from \"@elizaos/core\";\nimport * as talib from \"technicalindicators\";\nimport {\n  type AgentState,\n  type OHLCV,\n  OrderType,\n  type PortfolioSnapshot,\n  type StrategyContextMarketData,\n  type TradeOrder,\n  TradeType,\n  type TradingStrategy,\n} from \"../types.ts\";\n\nexport interface MeanReversionConfig {\n  // Bollinger Bands settings\n  bbPeriod: number;\n  bbStdDev: number;\n\n  // RSI settings\n  rsiPeriod: number;\n  rsiOversold: number;\n  rsiOverbought: number;\n\n  // Risk management\n  positionSizePercent: number;\n  stopLossPercent: number;\n  takeProfitPercent: number;\n\n  // Market condition filters\n  minVolatility: number;\n  maxVolatility: number;\n  minVolumeRatio: number;\n\n  // Entry/exit thresholds\n  bbEntryThreshold: number; // How far outside BB for entry\n  rsiConfirmation: boolean;\n}\n\nexport class MeanReversionStrategy implements TradingStrategy {\n  public readonly id = \"mean-reversion-strategy\";\n  public readonly name = \"MeanReversionStrategy\";\n  public readonly description =\n    \"A strategy that trades on mean reversion patterns using Bollinger Bands and RSI\";\n  private config: MeanReversionConfig;\n  private initialized = false;\n  private runtime: AgentRuntime | null = null;\n\n  constructor(config?: Partial<MeanReversionConfig>) {\n    this.config = {\n      // Default configuration\n      bbPeriod: 20,\n      bbStdDev: 2,\n      rsiPeriod: 14,\n      rsiOversold: 30,\n      rsiOverbought: 70,\n      positionSizePercent: 0.02,\n      stopLossPercent: 0.03,\n      takeProfitPercent: 0.02,\n      minVolatility: 0.01,\n      maxVolatility: 0.05,\n      minVolumeRatio: 1.2,\n      bbEntryThreshold: 0.95,\n      rsiConfirmation: true,\n      ...config,\n    };\n  }\n\n  async initialize(runtime: AgentRuntime): Promise<void> {\n    this.runtime = runtime;\n    this.initialized = true;\n    console.log(`[${this.name}] Initialized with config:`, this.config);\n  }\n\n  isReady(): boolean {\n    return this.initialized;\n  }\n\n  async decide(params: {\n    marketData: StrategyContextMarketData;\n    agentState: AgentState;\n    portfolioSnapshot: PortfolioSnapshot;\n    agentRuntime?: AgentRuntime;\n  }): Promise<TradeOrder | null> {\n    const { marketData, agentState, portfolioSnapshot } = params;\n    const { priceData, currentPrice } = marketData;\n\n    if (\n      !priceData ||\n      priceData.length < Math.max(this.config.bbPeriod, this.config.rsiPeriod) + 10\n    ) {\n      return null;\n    }\n\n    // Extract price arrays\n    const closes = priceData.map((c: OHLCV) => c.close);\n    const _highs = priceData.map((c: OHLCV) => c.high);\n    const _lows = priceData.map((c: OHLCV) => c.low);\n    const volumes = priceData.map((c: OHLCV) => c.volume);\n\n    // Calculate indicators\n    const bb = this.calculateBollingerBands(closes);\n    const rsi = this.calculateRSI(closes);\n    const volatility = agentState.volatility;\n    const volumeRatio = this.calculateVolumeRatio(volumes);\n\n    if (!bb || !rsi || rsi.length === 0) return null;\n\n    const currentRSI = rsi[rsi.length - 1];\n    const { upper, lower, middle } = bb;\n\n    // Market condition checks\n    if (volatility < this.config.minVolatility || volatility > this.config.maxVolatility) {\n      console.log(\n        `[${this.name}] Volatility ${volatility.toFixed(4)} outside range [${this.config.minVolatility}, ${this.config.maxVolatility}]`,\n      );\n      return null;\n    }\n\n    if (volumeRatio < this.config.minVolumeRatio) {\n      console.log(\n        `[${this.name}] Volume ratio ${volumeRatio.toFixed(2)} below minimum ${this.config.minVolumeRatio}`,\n      );\n      return null;\n    }\n\n    // Check for mean reversion opportunities\n    const distanceFromUpper = (upper - currentPrice) / currentPrice;\n    const distanceFromLower = (currentPrice - lower) / currentPrice;\n    const distanceFromMiddle = Math.abs(currentPrice - middle) / middle;\n\n    // Buy signal: Price near lower band + RSI oversold\n    if (currentPrice <= lower * (1 + (1 - this.config.bbEntryThreshold))) {\n      const rsiCondition = !this.config.rsiConfirmation || currentRSI < this.config.rsiOversold;\n\n      if (rsiCondition) {\n        const positionSize = this.calculatePositionSize(portfolioSnapshot.totalValue, currentPrice);\n\n        console.log(`[${this.name}] BUY SIGNAL - Price at lower BB, RSI: ${currentRSI.toFixed(2)}`);\n\n        return {\n          action: TradeType.BUY,\n          orderType: OrderType.MARKET,\n          pair: \"SOL/USDC\", // This should come from context\n          quantity: positionSize,\n          reason: `Mean reversion buy: Price ${distanceFromLower.toFixed(2)}% below lower BB, RSI: ${currentRSI.toFixed(2)}`,\n          timestamp: Date.now(),\n        };\n      }\n    }\n\n    // Sell signal: Price near upper band + RSI overbought\n    if (currentPrice >= upper * (1 - (1 - this.config.bbEntryThreshold))) {\n      const rsiCondition = !this.config.rsiConfirmation || currentRSI > this.config.rsiOverbought;\n\n      if (rsiCondition) {\n        const currentHolding = portfolioSnapshot.holdings.SOL || 0;\n\n        if (currentHolding > 0) {\n          console.log(\n            `[${this.name}] SELL SIGNAL - Price at upper BB, RSI: ${currentRSI.toFixed(2)}`,\n          );\n\n          return {\n            action: TradeType.SELL,\n            orderType: OrderType.MARKET,\n            pair: \"SOL/USDC\",\n            quantity: currentHolding,\n            reason: `Mean reversion sell: Price ${distanceFromUpper.toFixed(2)}% above upper BB, RSI: ${currentRSI.toFixed(2)}`,\n            timestamp: Date.now(),\n          };\n        }\n      }\n    }\n\n    // Exit position if price returns to mean\n    const currentHolding = portfolioSnapshot.holdings.SOL || 0;\n    if (currentHolding > 0 && distanceFromMiddle < 0.01) {\n      console.log(`[${this.name}] Price returned to mean, exiting position`);\n\n      return {\n        action: TradeType.SELL,\n        orderType: OrderType.MARKET,\n        pair: \"SOL/USDC\",\n        quantity: currentHolding,\n        reason: `Price returned to mean (${distanceFromMiddle.toFixed(2)}% from middle BB)`,\n        timestamp: Date.now(),\n      };\n    }\n\n    return null;\n  }\n\n  private calculateBollingerBands(\n    closes: number[],\n  ): { upper: number; middle: number; lower: number } | null {\n    if (closes.length < this.config.bbPeriod) return null;\n\n    const bb = talib.BollingerBands.calculate({\n      period: this.config.bbPeriod,\n      values: closes,\n      stdDev: this.config.bbStdDev,\n    });\n\n    if (!bb || bb.length === 0) return null;\n\n    const lastBB = bb[bb.length - 1];\n    return {\n      upper: lastBB.upper,\n      middle: lastBB.middle,\n      lower: lastBB.lower,\n    };\n  }\n\n  private calculateRSI(closes: number[]): number[] {\n    const rsi = talib.RSI.calculate({\n      period: this.config.rsiPeriod,\n      values: closes,\n    });\n    return rsi;\n  }\n\n  private calculateVolumeRatio(volumes: number[]): number {\n    if (volumes.length < 20) return 0;\n\n    const recentVolume = volumes.slice(-5).reduce((a, b) => a + b, 0) / 5;\n    const avgVolume = volumes.slice(-20).reduce((a, b) => a + b, 0) / 20;\n\n    return avgVolume > 0 ? recentVolume / avgVolume : 0;\n  }\n\n  private calculatePositionSize(portfolioValue: number, price: number): number {\n    const positionValue = portfolioValue * this.config.positionSizePercent;\n    return positionValue / price;\n  }\n\n  updateConfig(config: Partial<MeanReversionConfig>): void {\n    this.config = { ...this.config, ...config };\n    console.log(`[${this.name}] Config updated:`, this.config);\n  }\n\n  getConfig(): MeanReversionConfig {\n    return { ...this.config };\n  }\n}\n"],"mappings":";AACA,YAAY,WAAW;AAqChB,IAAM,wBAAN,MAAuD;AAAA,EAC5C,KAAK;AAAA,EACL,OAAO;AAAA,EACP,cACd;AAAA,EACM;AAAA,EACA,cAAc;AAAA,EACd,UAA+B;AAAA,EAEvC,YAAY,QAAuC;AACjD,SAAK,SAAS;AAAA;AAAA,MAEZ,UAAU;AAAA,MACV,UAAU;AAAA,MACV,WAAW;AAAA,MACX,aAAa;AAAA,MACb,eAAe;AAAA,MACf,qBAAqB;AAAA,MACrB,iBAAiB;AAAA,MACjB,mBAAmB;AAAA,MACnB,eAAe;AAAA,MACf,eAAe;AAAA,MACf,gBAAgB;AAAA,MAChB,kBAAkB;AAAA,MAClB,iBAAiB;AAAA,MACjB,GAAG;AAAA,IACL;AAAA,EACF;AAAA,EAEA,MAAM,WAAW,SAAsC;AACrD,SAAK,UAAU;AACf,SAAK,cAAc;AACnB,YAAQ,IAAI,IAAI,KAAK,IAAI,8BAA8B,KAAK,MAAM;AAAA,EACpE;AAAA,EAEA,UAAmB;AACjB,WAAO,KAAK;AAAA,EACd;AAAA,EAEA,MAAM,OAAO,QAKkB;AAC7B,UAAM,EAAE,YAAY,YAAY,kBAAkB,IAAI;AACtD,UAAM,EAAE,WAAW,aAAa,IAAI;AAEpC,QACE,CAAC,aACD,UAAU,SAAS,KAAK,IAAI,KAAK,OAAO,UAAU,KAAK,OAAO,SAAS,IAAI,IAC3E;AACA,aAAO;AAAA,IACT;AAGA,UAAM,SAAS,UAAU,IAAI,CAAC,MAAa,EAAE,KAAK;AAClD,UAAM,SAAS,UAAU,IAAI,CAAC,MAAa,EAAE,IAAI;AACjD,UAAM,QAAQ,UAAU,IAAI,CAAC,MAAa,EAAE,GAAG;AAC/C,UAAM,UAAU,UAAU,IAAI,CAAC,MAAa,EAAE,MAAM;AAGpD,UAAM,KAAK,KAAK,wBAAwB,MAAM;AAC9C,UAAM,MAAM,KAAK,aAAa,MAAM;AACpC,UAAM,aAAa,WAAW;AAC9B,UAAM,cAAc,KAAK,qBAAqB,OAAO;AAErD,QAAI,CAAC,MAAM,CAAC,OAAO,IAAI,WAAW,EAAG,QAAO;AAE5C,UAAM,aAAa,IAAI,IAAI,SAAS,CAAC;AACrC,UAAM,EAAE,OAAO,OAAO,OAAO,IAAI;AAGjC,QAAI,aAAa,KAAK,OAAO,iBAAiB,aAAa,KAAK,OAAO,eAAe;AACpF,cAAQ;AAAA,QACN,IAAI,KAAK,IAAI,gBAAgB,WAAW,QAAQ,CAAC,CAAC,mBAAmB,KAAK,OAAO,aAAa,KAAK,KAAK,OAAO,aAAa;AAAA,MAC9H;AACA,aAAO;AAAA,IACT;AAEA,QAAI,cAAc,KAAK,OAAO,gBAAgB;AAC5C,cAAQ;AAAA,QACN,IAAI,KAAK,IAAI,kBAAkB,YAAY,QAAQ,CAAC,CAAC,kBAAkB,KAAK,OAAO,cAAc;AAAA,MACnG;AACA,aAAO;AAAA,IACT;AAGA,UAAM,qBAAqB,QAAQ,gBAAgB;AACnD,UAAM,qBAAqB,eAAe,SAAS;AACnD,UAAM,qBAAqB,KAAK,IAAI,eAAe,MAAM,IAAI;AAG7D,QAAI,gBAAgB,SAAS,KAAK,IAAI,KAAK,OAAO,oBAAoB;AACpE,YAAM,eAAe,CAAC,KAAK,OAAO,mBAAmB,aAAa,KAAK,OAAO;AAE9E,UAAI,cAAc;AAChB,cAAM,eAAe,KAAK,sBAAsB,kBAAkB,YAAY,YAAY;AAE1F,gBAAQ,IAAI,IAAI,KAAK,IAAI,0CAA0C,WAAW,QAAQ,CAAC,CAAC,EAAE;AAE1F,eAAO;AAAA,UACL;AAAA,UACA;AAAA,UACA,MAAM;AAAA;AAAA,UACN,UAAU;AAAA,UACV,QAAQ,6BAA6B,kBAAkB,QAAQ,CAAC,CAAC,0BAA0B,WAAW,QAAQ,CAAC,CAAC;AAAA,UAChH,WAAW,KAAK,IAAI;AAAA,QACtB;AAAA,MACF;AAAA,IACF;AAGA,QAAI,gBAAgB,SAAS,KAAK,IAAI,KAAK,OAAO,oBAAoB;AACpE,YAAM,eAAe,CAAC,KAAK,OAAO,mBAAmB,aAAa,KAAK,OAAO;AAE9E,UAAI,cAAc;AAChB,cAAMA,kBAAiB,kBAAkB,SAAS,OAAO;AAEzD,YAAIA,kBAAiB,GAAG;AACtB,kBAAQ;AAAA,YACN,IAAI,KAAK,IAAI,2CAA2C,WAAW,QAAQ,CAAC,CAAC;AAAA,UAC/E;AAEA,iBAAO;AAAA,YACL;AAAA,YACA;AAAA,YACA,MAAM;AAAA,YACN,UAAUA;AAAA,YACV,QAAQ,8BAA8B,kBAAkB,QAAQ,CAAC,CAAC,0BAA0B,WAAW,QAAQ,CAAC,CAAC;AAAA,YACjH,WAAW,KAAK,IAAI;AAAA,UACtB;AAAA,QACF;AAAA,MACF;AAAA,IACF;AAGA,UAAM,iBAAiB,kBAAkB,SAAS,OAAO;AACzD,QAAI,iBAAiB,KAAK,qBAAqB,MAAM;AACnD,cAAQ,IAAI,IAAI,KAAK,IAAI,4CAA4C;AAErE,aAAO;AAAA,QACL;AAAA,QACA;AAAA,QACA,MAAM;AAAA,QACN,UAAU;AAAA,QACV,QAAQ,2BAA2B,mBAAmB,QAAQ,CAAC,CAAC;AAAA,QAChE,WAAW,KAAK,IAAI;AAAA,MACtB;AAAA,IACF;AAEA,WAAO;AAAA,EACT;AAAA,EAEQ,wBACN,QACyD;AACzD,QAAI,OAAO,SAAS,KAAK,OAAO,SAAU,QAAO;AAEjD,UAAM,KAAW,qBAAe,UAAU;AAAA,MACxC,QAAQ,KAAK,OAAO;AAAA,MACpB,QAAQ;AAAA,MACR,QAAQ,KAAK,OAAO;AAAA,IACtB,CAAC;AAED,QAAI,CAAC,MAAM,GAAG,WAAW,EAAG,QAAO;AAEnC,UAAM,SAAS,GAAG,GAAG,SAAS,CAAC;AAC/B,WAAO;AAAA,MACL,OAAO,OAAO;AAAA,MACd,QAAQ,OAAO;AAAA,MACf,OAAO,OAAO;AAAA,IAChB;AAAA,EACF;AAAA,EAEQ,aAAa,QAA4B;AAC/C,UAAM,MAAY,UAAI,UAAU;AAAA,MAC9B,QAAQ,KAAK,OAAO;AAAA,MACpB,QAAQ;AAAA,IACV,CAAC;AACD,WAAO;AAAA,EACT;AAAA,EAEQ,qBAAqB,SAA2B;AACtD,QAAI,QAAQ,SAAS,GAAI,QAAO;AAEhC,UAAM,eAAe,QAAQ,MAAM,EAAE,EAAE,OAAO,CAAC,GAAG,MAAM,IAAI,GAAG,CAAC,IAAI;AACpE,UAAM,YAAY,QAAQ,MAAM,GAAG,EAAE,OAAO,CAAC,GAAG,MAAM,IAAI,GAAG,CAAC,IAAI;AAElE,WAAO,YAAY,IAAI,eAAe,YAAY;AAAA,EACpD;AAAA,EAEQ,sBAAsB,gBAAwB,OAAuB;AAC3E,UAAM,gBAAgB,iBAAiB,KAAK,OAAO;AACnD,WAAO,gBAAgB;AAAA,EACzB;AAAA,EAEA,aAAa,QAA4C;AACvD,SAAK,SAAS,EAAE,GAAG,KAAK,QAAQ,GAAG,OAAO;AAC1C,YAAQ,IAAI,IAAI,KAAK,IAAI,qBAAqB,KAAK,MAAM;AAAA,EAC3D;AAAA,EAEA,YAAiC;AAC/B,WAAO,EAAE,GAAG,KAAK,OAAO;AAAA,EAC1B;AACF;","names":["currentHolding"]}