@gbozee/ultimate 0.0.2-147 → 0.0.2-149

package/dist/mcp-server.js

@@ -59627,6 +59627,101 @@ function calculateZoneVolatility(zone_prices) {
   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;
 }
+function calculateTheoreticalKellyFixed({
+  current_entry,
+  zone_prices,
+  kind = "long",
+  config: config2 = {}
+}) {
+  const {
+    price_prediction_model = "uniform",
+    confidence_factor = 0.6,
+    volatility_adjustment = true
+  } = config2;
+  const sorted_prices = zone_prices;
+  const current_index = sorted_prices.findIndex((price) => price === current_entry);
+  if (current_index === -1)
+    return 0.02;
+  let stop_loss;
+  let target_zones;
+  if (kind === "long") {
+    stop_loss = Math.min(...zone_prices);
+    target_zones = zone_prices.filter((price) => price > current_entry);
+  } else {
+    stop_loss = Math.max(...zone_prices);
+    target_zones = zone_prices.filter((price) => price < current_entry);
+  }
+  const risk_amount = Math.abs(current_entry - stop_loss);
+  const avg_reward = target_zones.length > 0 ? target_zones.reduce((sum, price) => sum + Math.abs(price - current_entry), 0) / target_zones.length : risk_amount;
+  const risk_reward_ratio = avg_reward / risk_amount;
+  let position_quality;
+  if (kind === "long") {
+    const distance_from_stop = current_entry - stop_loss;
+    const max_distance = Math.max(...zone_prices) - stop_loss;
+    position_quality = 1 - distance_from_stop / max_distance;
+  } else {
+    const distance_from_stop = stop_loss - current_entry;
+    const max_distance = stop_loss - Math.min(...zone_prices);
+    position_quality = 1 - distance_from_stop / max_distance;
+  }
+  let base_probability = 0.5;
+  switch (price_prediction_model) {
+    case "uniform":
+      base_probability = 0.5;
+      break;
+    case "normal":
+      base_probability = 0.3 + position_quality * 0.4;
+      break;
+    case "exponential":
+      base_probability = 0.2 + Math.pow(position_quality, 0.5) * 0.6;
+      break;
+  }
+  const win_probability = base_probability * confidence_factor + (1 - confidence_factor) * 0.5;
+  const odds_ratio = Math.max(risk_reward_ratio, 0.5);
+  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 calculatePositionBasedKelly({
+  current_entry,
+  zone_prices,
+  kind = "long",
+  config: config2 = {}
+}) {
+  const {
+    price_prediction_model = "uniform",
+    confidence_factor: _confidence_factor = 0.6
+  } = config2;
+  const current_index = zone_prices.findIndex((price) => price === current_entry);
+  if (current_index === -1)
+    return 0.02;
+  const total_zones = zone_prices.length;
+  const position_score = (total_zones - current_index) / total_zones;
+  let adjusted_score;
+  switch (price_prediction_model) {
+    case "uniform":
+      adjusted_score = 0.5;
+      break;
+    case "normal":
+      adjusted_score = 0.3 + position_score * 0.4;
+      break;
+    case "exponential":
+      adjusted_score = 0.2 + Math.pow(position_score, 0.3) * 0.6;
+      break;
+    default:
+      adjusted_score = 0.5;
+  }
+  const base_kelly = 0.02;
+  const max_kelly = 0.2;
+  const kelly_fraction = base_kelly + adjusted_score * (max_kelly - base_kelly);
+  return to_f2(kelly_fraction, "%.4f");
+}
 
 // src/helpers/trade_signal.ts
 function determine_close_price2({
@@ -59714,6 +59809,7 @@ class Signal {
   kelly_prediction_model = "exponential";
   kelly_confidence_factor = 0.6;
   kelly_minimum_risk = 0.2;
+  kelly_func = "theoretical";
   constructor({
     focus,
     budget,
@@ -59738,7 +59834,8 @@ class Signal {
     use_kelly = false,
     kelly_prediction_model = "exponential",
     kelly_confidence_factor = 0.6,
-    kelly_minimum_risk = 0.2
+    kelly_minimum_risk = 0.2,
+    kelly_func = "theoretical"
   }) {
     this.minimum_size = minimum_size;
     this.first_order_size = first_order_size;
@@ -59764,6 +59861,7 @@ class Signal {
     this.kelly_prediction_model = kelly_prediction_model;
     this.kelly_confidence_factor = kelly_confidence_factor;
     this.kelly_minimum_risk = kelly_minimum_risk;
+    this.kelly_func = kelly_func;
   }
   build_entry({
     current_price,
@@ -60204,7 +60302,8 @@ class Signal {
         const new_stop = kind === "long" ? this.support : stop_loss;
         let risk_to_use = risk_per_trade;
         if (this.use_kelly) {
-          const theoretical_kelly = calculateTheoreticalKelly({
+          const func = this.kelly_func === "theoretical" ? calculateTheoreticalKelly : this.kelly_func === "position_based" ? calculatePositionBasedKelly : calculateTheoreticalKellyFixed;
+          const theoretical_kelly = func({
             current_entry: x,
             zone_prices: limit_orders,
             kind,
@@ -60412,7 +60511,8 @@ function buildConfig(app_config, {
   use_kelly = false,
   kelly_confidence_factor = 0.95,
   kelly_minimum_risk = 0.2,
-  kelly_prediction_model = "exponential"
+  kelly_prediction_model = "exponential",
+  kelly_func = "theoretical"
 }) {
   let fee = app_config.fee / 100;
   let working_risk = risk || app_config.risk_per_trade;
@@ -60440,7 +60540,8 @@ function buildConfig(app_config, {
     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
+    kelly_prediction_model: kelly_prediction_model || app_config.kelly?.kelly_prediction_model,
+    kelly_func: kelly_func || app_config.kelly?.kelly_func
   };
   const instance = new Signal(config2);
   if (raw_instance) {
@@ -60510,7 +60611,8 @@ function get_app_config_and_max_size(config2, payload) {
     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
+    kelly_prediction_model: payload.kelly_prediction_model,
+    kelly_func: payload.kelly_func
   });
   const max_size = initialResult[0]?.avg_size;
   const last_value = initialResult[0];
@@ -60547,7 +60649,8 @@ function buildAppConfig(config2, payload) {
     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
+    kelly_prediction_model: payload.kelly_prediction_model,
+    kelly_func: payload.kelly_func
   });
   app_config.max_size = max_size;
   app_config.entry = payload.entry || app_config.entry;
@@ -60558,7 +60661,8 @@ function buildAppConfig(config2, payload) {
     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
+    kelly_prediction_model: payload.kelly_prediction_model,
+    kelly_func: payload.kelly_func
   };
   return app_config;
 }
@@ -64939,6 +65043,7 @@ class ExchangeAccount {
       kelly_confidence_factor: config2.kelly?.kelly_confidence_factor,
       kelly_minimum_risk: config2.kelly?.kelly_minimum_risk,
       kelly_prediction_model: config2.kelly?.kelly_prediction_model,
+      kelly_func: config2.kelly?.kelly_func,
       ...override
     });
     return app_config;
@@ -65060,6 +65165,13 @@ class ExchangeAccount {
     app_config.risk_per_trade = solution.risk_per_trade;
     app_config.min_size = solution.min_size;
     app_config.risk_reward = solution.risk_reward;
+    app_config.kelly = {
+      use_kelly: solution.use_kelly,
+      kelly_confidence_factor: solution.kelly_confidence_factor,
+      kelly_minimum_risk: solution.kelly_minimum_risk,
+      kelly_prediction_model: solution.kelly_prediction_model,
+      kelly_func: solution.kelly_func
+    };
     const options = {
       take_profit: null,
       entry: app_config.entry,
@@ -65073,7 +65185,12 @@ class ExchangeAccount {
       gap: app_config.gap,
       rr: app_config.rr,
       price_places: app_config.price_places,
-      decimal_places: app_config.decimal_places
+      decimal_places: app_config.decimal_places,
+      use_kelly: solution.use_kelly,
+      kelly_confidence_factor: solution.kelly_confidence_factor,
+      kelly_minimum_risk: solution.kelly_minimum_risk,
+      kelly_prediction_model: solution.kelly_prediction_model,
+      kelly_func: solution.kelly_func
     };
     const trades = sortedBuildConfig(app_config, options);
     const entry_orders = {
@@ -65190,6 +65307,11 @@ class ExchangeAccount {
   }
   async placeSharedOrder(action, payload) {
     const { stop_percent = 100 } = payload;
+    const kind = payload.entry > payload.stop ? "long" : "short";
+    const config2 = await this.getPositionConfig({
+      symbol: payload.symbol,
+      kind
+    });
     const app_config = await this.buildAppConfig({
       entry: payload.entry,
       stop: payload.stop,
@@ -65197,7 +65319,12 @@ class ExchangeAccount {
       risk: payload.risk,
       symbol: payload.symbol,
       profit: 0,
-      update_db: payload.update_db
+      update_db: payload.update_db,
+      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,
+      kelly_func: config2.kelly?.kelly_func
     });
     const { entry_orders, stop_orders, trades } = await this.placeConfigOrders(app_config, {
       risk_reward: payload.risk_reward,
@@ -65208,7 +65335,12 @@ class ExchangeAccount {
       neg_pnl: 0,
       min_size: app_config.min_size,
       symbol: payload.symbol,
-      stop_percent
+      stop_percent,
+      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,
+      kelly_func: config2.kelly?.kelly_func
     }, false);
     if (payload.raw) {
       let actual_orders_to_buy = await this.determineAmountToBuy({

package/package.json

@@ -1,7 +1,7 @@
 {
   "name": "@gbozee/ultimate",
   "type": "module",
-  "version": "0.0.2-147",
+  "version": "0.0.2-149",
   "main": "./dist/index.cjs",
   "module": "./dist/index.js",
   "types": "./dist/index.d.ts",