@gbozee/ultimate 0.0.2-144 → 0.0.2-146

package/dist/mcp-server.cjs

@@ -59565,6 +59565,92 @@ function createGapPairs(arr, gap, item) {
   return result;
 }
 
+// src/helpers/optimizations.ts
+function calculateTheoreticalKelly({
+  current_entry,
+  zone_prices,
+  kind = "long",
+  config: config2 = {}
+}) {
+  const {
+    price_prediction_model = "uniform",
+    confidence_factor = 0.6,
+    volatility_adjustment = true
+  } = config2;
+  const sorted_prices = kind === "long" ? zone_prices : zone_prices.reverse();
+  const current_index = sorted_prices.findIndex((price) => price === current_entry);
+  if (current_index === -1)
+    return 0.02;
+  const win_zones = kind === "long" ? sorted_prices.slice(current_index + 1) : sorted_prices.slice(0, current_index);
+  const lose_zones = kind === "long" ? sorted_prices.slice(0, current_index) : sorted_prices.slice(current_index + 1);
+  const { win_probability, avg_win_ratio, avg_loss_ratio } = calculateZoneProbabilities({
+    current_entry,
+    win_zones,
+    lose_zones,
+    price_prediction_model,
+    confidence_factor,
+    kind
+  });
+  const odds_ratio = avg_win_ratio / avg_loss_ratio;
+  const loss_probability = 1 - win_probability;
+  let kelly_fraction = (win_probability * odds_ratio - loss_probability) / odds_ratio;
+  if (volatility_adjustment) {
+    const zone_volatility = calculateZoneVolatility(sorted_prices);
+    const vol_adjustment = 1 / (1 + zone_volatility);
+    kelly_fraction *= vol_adjustment;
+  }
+  kelly_fraction = Math.max(0.005, Math.min(kelly_fraction, 0.5));
+  return to_f2(kelly_fraction, "%.4f");
+}
+function calculateZoneProbabilities({
+  current_entry,
+  win_zones,
+  lose_zones,
+  price_prediction_model,
+  confidence_factor,
+  kind
+}) {
+  if (win_zones.length === 0 && lose_zones.length === 0) {
+    return { win_probability: 0.5, avg_win_ratio: 0.02, avg_loss_ratio: 0.02 };
+  }
+  let win_probability;
+  switch (price_prediction_model) {
+    case "uniform":
+      win_probability = win_zones.length / (win_zones.length + lose_zones.length);
+      break;
+    case "normal":
+      const win_weight = win_zones.reduce((sum, _, idx) => sum + 1 / (idx + 1), 0);
+      const lose_weight = lose_zones.reduce((sum, _, idx) => sum + 1 / (idx + 1), 0);
+      win_probability = win_weight / (win_weight + lose_weight);
+      break;
+    case "exponential":
+      const exp_win_weight = win_zones.reduce((sum, _, idx) => sum + Math.exp(-idx * 0.5), 0);
+      const exp_lose_weight = lose_zones.reduce((sum, _, idx) => sum + Math.exp(-idx * 0.5), 0);
+      win_probability = exp_win_weight / (exp_win_weight + exp_lose_weight);
+      break;
+    default:
+      win_probability = 0.5;
+  }
+  win_probability = win_probability * confidence_factor + (1 - confidence_factor) * 0.5;
+  const avg_win_ratio = win_zones.length > 0 ? win_zones.reduce((sum, price) => {
+    return sum + Math.abs(price - current_entry) / current_entry;
+  }, 0) / win_zones.length : 0.02;
+  const avg_loss_ratio = lose_zones.length > 0 ? lose_zones.reduce((sum, price) => {
+    return sum + Math.abs(price - current_entry) / current_entry;
+  }, 0) / lose_zones.length : 0.02;
+  return {
+    win_probability: Math.max(0.1, Math.min(0.9, win_probability)),
+    avg_win_ratio: Math.max(0.005, avg_win_ratio),
+    avg_loss_ratio: Math.max(0.005, avg_loss_ratio)
+  };
+}
+function calculateZoneVolatility(zone_prices) {
+  if (zone_prices.length < 2)
+    return 0;
+  const price_changes = zone_prices.slice(1).map((price, i2) => Math.abs(price - zone_prices[i2]) / zone_prices[i2]);
+  return price_changes.reduce((sum, change) => sum + change, 0) / price_changes.length;
+}
+
 // src/helpers/trade_signal.ts
 function determine_close_price2({
   entry,
@@ -59647,6 +59733,10 @@ class Signal {
   first_order_size;
   gap = 10;
   max_size = 0;
+  use_kelly = false;
+  kelly_prediction_model = "exponential";
+  kelly_confidence_factor = 0.6;
+  kelly_minimum_risk = 0.2;
   constructor({
     focus,
     budget,
@@ -59667,7 +59757,11 @@ class Signal {
     minimum_size = 0,
     first_order_size = 0,
     gap = 10,
-    max_size = 0
+    max_size = 0,
+    use_kelly = false,
+    kelly_prediction_model = "exponential",
+    kelly_confidence_factor = 0.6,
+    kelly_minimum_risk = 0.2
   }) {
     this.minimum_size = minimum_size;
     this.first_order_size = first_order_size;
@@ -59689,6 +59783,10 @@ class Signal {
     this.increase_position = increase_position;
     this.gap = gap;
     this.max_size = max_size;
+    this.use_kelly = use_kelly;
+    this.kelly_prediction_model = kelly_prediction_model;
+    this.kelly_confidence_factor = kelly_confidence_factor;
+    this.kelly_minimum_risk = kelly_minimum_risk;
   }
   build_entry({
     current_price,
@@ -60127,10 +60225,25 @@ class Signal {
         }
         const defaultStopLoss = i2 === 0 ? stop_loss : _base;
         const new_stop = kind === "long" ? this.support : stop_loss;
+        let risk_to_use = risk_per_trade;
+        if (this.use_kelly) {
+          const theoretical_kelly = calculateTheoreticalKelly({
+            current_entry: x,
+            zone_prices: limit_orders,
+            kind,
+            config: {
+              price_prediction_model: this.kelly_prediction_model,
+              confidence_factor: this.kelly_confidence_factor,
+              volatility_adjustment: true
+            }
+          });
+          risk_to_use = theoretical_kelly * risk_per_trade / this.kelly_minimum_risk;
+          console.log({ risk_per_trade, theoretical_kelly });
+        }
         const y = this.build_trade_dict({
           entry: x,
           stop: (this.increase_position ? new_stop : defaultStopLoss) || defaultStopLoss,
-          risk: risk_per_trade,
+          risk: risk_to_use,
           arr: limit_orders,
           index: i2,
           new_fees: total_incurred_market_fees,
@@ -60318,7 +60431,11 @@ function buildConfig(app_config, {
   gap,
   rr = 1,
   price_places = "%.1f",
-  decimal_places = "%.3f"
+  decimal_places = "%.3f",
+  use_kelly = false,
+  kelly_confidence_factor = 0.95,
+  kelly_minimum_risk = 0.2,
+  kelly_prediction_model = "exponential"
 }) {
   let fee = app_config.fee / 100;
   let working_risk = risk || app_config.risk_per_trade;
@@ -60342,7 +60459,11 @@ function buildConfig(app_config, {
     kind: app_config.kind,
     gap,
     min_profit: min_profit || app_config.min_profit,
-    rr: rr || 1
+    rr: rr || 1,
+    use_kelly: use_kelly || app_config.kelly?.use_kelly,
+    kelly_confidence_factor: kelly_confidence_factor || app_config.kelly?.kelly_confidence_factor,
+    kelly_minimum_risk: kelly_minimum_risk || app_config.kelly?.kelly_minimum_risk,
+    kelly_prediction_model: kelly_prediction_model || app_config.kelly?.kelly_prediction_model
   };
   const instance = new Signal(config2);
   if (raw_instance) {
@@ -60354,6 +60475,7 @@ function buildConfig(app_config, {
   const condition = (kind === "long" ? entry > app_config.support : entry >= app_config.support) && stop >= app_config.support * 0.999;
   if (kind === "short") {
   }
+  console.log({ entry, stop, condition, working_risk, config: config2 });
   const result = entry === stop ? [] : condition ? instance.build_entry({
     current_price: entry,
     stop_loss: stop,
@@ -60407,7 +60529,11 @@ function get_app_config_and_max_size(config2, payload) {
     increase: true,
     gap: app_config.gap,
     price_places: app_config.price_places,
-    decimal_places: app_config.decimal_places
+    decimal_places: app_config.decimal_places,
+    use_kelly: payload.use_kelly,
+    kelly_confidence_factor: payload.kelly_confidence_factor,
+    kelly_minimum_risk: payload.kelly_minimum_risk,
+    kelly_prediction_model: payload.kelly_prediction_model
   });
   const max_size = initialResult[0]?.avg_size;
   const last_value = initialResult[0];
@@ -60440,13 +60566,23 @@ function buildAppConfig(config2, payload) {
   }, {
     entry: payload.entry,
     stop: payload.stop,
-    kind: payload.entry > payload.stop ? "long" : "short"
+    kind: payload.entry > payload.stop ? "long" : "short",
+    use_kelly: payload.use_kelly,
+    kelly_confidence_factor: payload.kelly_confidence_factor,
+    kelly_minimum_risk: payload.kelly_minimum_risk,
+    kelly_prediction_model: payload.kelly_prediction_model
   });
   app_config.max_size = max_size;
   app_config.entry = payload.entry || app_config.entry;
   app_config.stop = payload.stop || app_config.stop;
   app_config.last_value = last_value;
   app_config.entries = entries;
+  app_config.kelly = {
+    use_kelly: payload.use_kelly,
+    kelly_confidence_factor: payload.kelly_confidence_factor,
+    kelly_minimum_risk: payload.kelly_minimum_risk,
+    kelly_prediction_model: payload.kelly_prediction_model
+  };
   return app_config;
 }
 function getOptimumStopAndRisk(app_config, params) {
@@ -64821,7 +64957,11 @@ class ExchangeAccount {
       stop: config2.stop,
       risk_reward: config2.risk_reward,
       risk: config2.risk,
-      symbol
+      symbol,
+      use_kelly: config2.kelly?.use_kelly,
+      kelly_confidence_factor: config2.kelly?.kelly_confidence_factor,
+      kelly_minimum_risk: config2.kelly?.kelly_minimum_risk,
+      kelly_prediction_model: config2.kelly?.kelly_prediction_model
     });
     return app_config;
   }
@@ -65611,15 +65751,25 @@ class ExchangeAccount {
     }
   }
   async increasePositionAtStop(payload) {
-    const { symbol, kind, place = false } = payload;
+    const { symbol, kind, place = false, increase = true } = payload;
     const position2 = await this.syncAccount({
       symbol,
       kind,
       as_view: true
     });
     console.log(position2);
-    if (position2 && position2.stop_loss) {
-      const { price, quantity } = position2.stop_loss;
+    let price_params = {
+      price: payload.price,
+      quantity: payload.quantity
+    };
+    if (!payload.price && position2 && position2.stop_loss) {
+      price_params.price = position2.stop_loss.price;
+    }
+    if (!payload.quantity && position2 && position2.stop_loss) {
+      price_params.quantity = position2.stop_loss.quantity;
+    }
+    if (price_params.price && price_params.quantity) {
+      const { price, quantity } = price_params;
       const symbol_config = await this.recomputeSymbolConfig({
         symbol
       });
@@ -65639,7 +65789,7 @@ class ExchangeAccount {
         quantity,
         price_places,
         decimal_places,
-        increase: true,
+        increase,
         place
       });
     }

package/dist/mcp-server.js

@@ -59542,6 +59542,92 @@ function createGapPairs(arr, gap, item) {
   return result;
 }
 
+// src/helpers/optimizations.ts
+function calculateTheoreticalKelly({
+  current_entry,
+  zone_prices,
+  kind = "long",
+  config: config2 = {}
+}) {
+  const {
+    price_prediction_model = "uniform",
+    confidence_factor = 0.6,
+    volatility_adjustment = true
+  } = config2;
+  const sorted_prices = kind === "long" ? zone_prices : zone_prices.reverse();
+  const current_index = sorted_prices.findIndex((price) => price === current_entry);
+  if (current_index === -1)
+    return 0.02;
+  const win_zones = kind === "long" ? sorted_prices.slice(current_index + 1) : sorted_prices.slice(0, current_index);
+  const lose_zones = kind === "long" ? sorted_prices.slice(0, current_index) : sorted_prices.slice(current_index + 1);
+  const { win_probability, avg_win_ratio, avg_loss_ratio } = calculateZoneProbabilities({
+    current_entry,
+    win_zones,
+    lose_zones,
+    price_prediction_model,
+    confidence_factor,
+    kind
+  });
+  const odds_ratio = avg_win_ratio / avg_loss_ratio;
+  const loss_probability = 1 - win_probability;
+  let kelly_fraction = (win_probability * odds_ratio - loss_probability) / odds_ratio;
+  if (volatility_adjustment) {
+    const zone_volatility = calculateZoneVolatility(sorted_prices);
+    const vol_adjustment = 1 / (1 + zone_volatility);
+    kelly_fraction *= vol_adjustment;
+  }
+  kelly_fraction = Math.max(0.005, Math.min(kelly_fraction, 0.5));
+  return to_f2(kelly_fraction, "%.4f");
+}
+function calculateZoneProbabilities({
+  current_entry,
+  win_zones,
+  lose_zones,
+  price_prediction_model,
+  confidence_factor,
+  kind
+}) {
+  if (win_zones.length === 0 && lose_zones.length === 0) {
+    return { win_probability: 0.5, avg_win_ratio: 0.02, avg_loss_ratio: 0.02 };
+  }
+  let win_probability;
+  switch (price_prediction_model) {
+    case "uniform":
+      win_probability = win_zones.length / (win_zones.length + lose_zones.length);
+      break;
+    case "normal":
+      const win_weight = win_zones.reduce((sum, _, idx) => sum + 1 / (idx + 1), 0);
+      const lose_weight = lose_zones.reduce((sum, _, idx) => sum + 1 / (idx + 1), 0);
+      win_probability = win_weight / (win_weight + lose_weight);
+      break;
+    case "exponential":
+      const exp_win_weight = win_zones.reduce((sum, _, idx) => sum + Math.exp(-idx * 0.5), 0);
+      const exp_lose_weight = lose_zones.reduce((sum, _, idx) => sum + Math.exp(-idx * 0.5), 0);
+      win_probability = exp_win_weight / (exp_win_weight + exp_lose_weight);
+      break;
+    default:
+      win_probability = 0.5;
+  }
+  win_probability = win_probability * confidence_factor + (1 - confidence_factor) * 0.5;
+  const avg_win_ratio = win_zones.length > 0 ? win_zones.reduce((sum, price) => {
+    return sum + Math.abs(price - current_entry) / current_entry;
+  }, 0) / win_zones.length : 0.02;
+  const avg_loss_ratio = lose_zones.length > 0 ? lose_zones.reduce((sum, price) => {
+    return sum + Math.abs(price - current_entry) / current_entry;
+  }, 0) / lose_zones.length : 0.02;
+  return {
+    win_probability: Math.max(0.1, Math.min(0.9, win_probability)),
+    avg_win_ratio: Math.max(0.005, avg_win_ratio),
+    avg_loss_ratio: Math.max(0.005, avg_loss_ratio)
+  };
+}
+function calculateZoneVolatility(zone_prices) {
+  if (zone_prices.length < 2)
+    return 0;
+  const price_changes = zone_prices.slice(1).map((price, i2) => Math.abs(price - zone_prices[i2]) / zone_prices[i2]);
+  return price_changes.reduce((sum, change) => sum + change, 0) / price_changes.length;
+}
+
 // src/helpers/trade_signal.ts
 function determine_close_price2({
   entry,
@@ -59624,6 +59710,10 @@ class Signal {
   first_order_size;
   gap = 10;
   max_size = 0;
+  use_kelly = false;
+  kelly_prediction_model = "exponential";
+  kelly_confidence_factor = 0.6;
+  kelly_minimum_risk = 0.2;
   constructor({
     focus,
     budget,
@@ -59644,7 +59734,11 @@ class Signal {
     minimum_size = 0,
     first_order_size = 0,
     gap = 10,
-    max_size = 0
+    max_size = 0,
+    use_kelly = false,
+    kelly_prediction_model = "exponential",
+    kelly_confidence_factor = 0.6,
+    kelly_minimum_risk = 0.2
   }) {
     this.minimum_size = minimum_size;
     this.first_order_size = first_order_size;
@@ -59666,6 +59760,10 @@ class Signal {
     this.increase_position = increase_position;
     this.gap = gap;
     this.max_size = max_size;
+    this.use_kelly = use_kelly;
+    this.kelly_prediction_model = kelly_prediction_model;
+    this.kelly_confidence_factor = kelly_confidence_factor;
+    this.kelly_minimum_risk = kelly_minimum_risk;
   }
   build_entry({
     current_price,
@@ -60104,10 +60202,25 @@ class Signal {
         }
         const defaultStopLoss = i2 === 0 ? stop_loss : _base;
         const new_stop = kind === "long" ? this.support : stop_loss;
+        let risk_to_use = risk_per_trade;
+        if (this.use_kelly) {
+          const theoretical_kelly = calculateTheoreticalKelly({
+            current_entry: x,
+            zone_prices: limit_orders,
+            kind,
+            config: {
+              price_prediction_model: this.kelly_prediction_model,
+              confidence_factor: this.kelly_confidence_factor,
+              volatility_adjustment: true
+            }
+          });
+          risk_to_use = theoretical_kelly * risk_per_trade / this.kelly_minimum_risk;
+          console.log({ risk_per_trade, theoretical_kelly });
+        }
         const y = this.build_trade_dict({
           entry: x,
           stop: (this.increase_position ? new_stop : defaultStopLoss) || defaultStopLoss,
-          risk: risk_per_trade,
+          risk: risk_to_use,
           arr: limit_orders,
           index: i2,
           new_fees: total_incurred_market_fees,
@@ -60295,7 +60408,11 @@ function buildConfig(app_config, {
   gap,
   rr = 1,
   price_places = "%.1f",
-  decimal_places = "%.3f"
+  decimal_places = "%.3f",
+  use_kelly = false,
+  kelly_confidence_factor = 0.95,
+  kelly_minimum_risk = 0.2,
+  kelly_prediction_model = "exponential"
 }) {
   let fee = app_config.fee / 100;
   let working_risk = risk || app_config.risk_per_trade;
@@ -60319,7 +60436,11 @@ function buildConfig(app_config, {
     kind: app_config.kind,
     gap,
     min_profit: min_profit || app_config.min_profit,
-    rr: rr || 1
+    rr: rr || 1,
+    use_kelly: use_kelly || app_config.kelly?.use_kelly,
+    kelly_confidence_factor: kelly_confidence_factor || app_config.kelly?.kelly_confidence_factor,
+    kelly_minimum_risk: kelly_minimum_risk || app_config.kelly?.kelly_minimum_risk,
+    kelly_prediction_model: kelly_prediction_model || app_config.kelly?.kelly_prediction_model
   };
   const instance = new Signal(config2);
   if (raw_instance) {
@@ -60331,6 +60452,7 @@ function buildConfig(app_config, {
   const condition = (kind === "long" ? entry > app_config.support : entry >= app_config.support) && stop >= app_config.support * 0.999;
   if (kind === "short") {
   }
+  console.log({ entry, stop, condition, working_risk, config: config2 });
   const result = entry === stop ? [] : condition ? instance.build_entry({
     current_price: entry,
     stop_loss: stop,
@@ -60384,7 +60506,11 @@ function get_app_config_and_max_size(config2, payload) {
     increase: true,
     gap: app_config.gap,
     price_places: app_config.price_places,
-    decimal_places: app_config.decimal_places
+    decimal_places: app_config.decimal_places,
+    use_kelly: payload.use_kelly,
+    kelly_confidence_factor: payload.kelly_confidence_factor,
+    kelly_minimum_risk: payload.kelly_minimum_risk,
+    kelly_prediction_model: payload.kelly_prediction_model
   });
   const max_size = initialResult[0]?.avg_size;
   const last_value = initialResult[0];
@@ -60417,13 +60543,23 @@ function buildAppConfig(config2, payload) {
   }, {
     entry: payload.entry,
     stop: payload.stop,
-    kind: payload.entry > payload.stop ? "long" : "short"
+    kind: payload.entry > payload.stop ? "long" : "short",
+    use_kelly: payload.use_kelly,
+    kelly_confidence_factor: payload.kelly_confidence_factor,
+    kelly_minimum_risk: payload.kelly_minimum_risk,
+    kelly_prediction_model: payload.kelly_prediction_model
   });
   app_config.max_size = max_size;
   app_config.entry = payload.entry || app_config.entry;
   app_config.stop = payload.stop || app_config.stop;
   app_config.last_value = last_value;
   app_config.entries = entries;
+  app_config.kelly = {
+    use_kelly: payload.use_kelly,
+    kelly_confidence_factor: payload.kelly_confidence_factor,
+    kelly_minimum_risk: payload.kelly_minimum_risk,
+    kelly_prediction_model: payload.kelly_prediction_model
+  };
   return app_config;
 }
 function getOptimumStopAndRisk(app_config, params) {
@@ -64798,7 +64934,11 @@ class ExchangeAccount {
       stop: config2.stop,
       risk_reward: config2.risk_reward,
       risk: config2.risk,
-      symbol
+      symbol,
+      use_kelly: config2.kelly?.use_kelly,
+      kelly_confidence_factor: config2.kelly?.kelly_confidence_factor,
+      kelly_minimum_risk: config2.kelly?.kelly_minimum_risk,
+      kelly_prediction_model: config2.kelly?.kelly_prediction_model
     });
     return app_config;
   }
@@ -65588,15 +65728,25 @@ class ExchangeAccount {
     }
   }
   async increasePositionAtStop(payload) {
-    const { symbol, kind, place = false } = payload;
+    const { symbol, kind, place = false, increase = true } = payload;
     const position2 = await this.syncAccount({
       symbol,
       kind,
       as_view: true
     });
     console.log(position2);
-    if (position2 && position2.stop_loss) {
-      const { price, quantity } = position2.stop_loss;
+    let price_params = {
+      price: payload.price,
+      quantity: payload.quantity
+    };
+    if (!payload.price && position2 && position2.stop_loss) {
+      price_params.price = position2.stop_loss.price;
+    }
+    if (!payload.quantity && position2 && position2.stop_loss) {
+      price_params.quantity = position2.stop_loss.quantity;
+    }
+    if (price_params.price && price_params.quantity) {
+      const { price, quantity } = price_params;
       const symbol_config = await this.recomputeSymbolConfig({
         symbol
       });
@@ -65616,7 +65766,7 @@ class ExchangeAccount {
         quantity,
         price_places,
         decimal_places,
-        increase: true,
+        increase,
         place
       });
     }

package/package.json

@@ -1,7 +1,7 @@
 {
   "name": "@gbozee/ultimate",
   "type": "module",
-  "version": "0.0.2-144",
+  "version": "0.0.2-146",
   "main": "./dist/index.cjs",
   "module": "./dist/index.js",
   "types": "./dist/index.d.ts",