@tradejs/cli 1.0.9 → 1.0.11

package/dist/lib/aiTrainResearch.js

@@ -0,0 +1,467 @@
+"use strict";
+var __create = Object.create;
+var __defProp = Object.defineProperty;
+var __getOwnPropDesc = Object.getOwnPropertyDescriptor;
+var __getOwnPropNames = Object.getOwnPropertyNames;
+var __getProtoOf = Object.getPrototypeOf;
+var __hasOwnProp = Object.prototype.hasOwnProperty;
+var __export = (target, all) => {
+  for (var name in all)
+    __defProp(target, name, { get: all[name], enumerable: true });
+};
+var __copyProps = (to, from, except, desc) => {
+  if (from && typeof from === "object" || typeof from === "function") {
+    for (let key of __getOwnPropNames(from))
+      if (!__hasOwnProp.call(to, key) && key !== except)
+        __defProp(to, key, { get: () => from[key], enumerable: !(desc = __getOwnPropDesc(from, key)) || desc.enumerable });
+  }
+  return to;
+};
+var __toESM = (mod, isNodeMode, target) => (target = mod != null ? __create(__getProtoOf(mod)) : {}, __copyProps(
+  // If the importer is in node compatibility mode or this is not an ESM
+  // file that has been converted to a CommonJS file using a Babel-
+  // compatible transform (i.e. "__esModule" has not been set), then set
+  // "default" to the CommonJS "module.exports" for node compatibility.
+  isNodeMode || !mod || !mod.__esModule ? __defProp(target, "default", { value: mod, enumerable: true }) : target,
+  mod
+));
+var __toCommonJS = (mod) => __copyProps(__defProp({}, "__esModule", { value: true }), mod);
+
+// src/lib/aiTrainResearch.ts
+var aiTrainResearch_exports = {};
+__export(aiTrainResearch_exports, {
+  buildAiTrainLineage: () => buildAiTrainLineage,
+  fingerprintResearchValue: () => fingerprintResearchValue,
+  summarizeAiTrainCoverage: () => summarizeAiTrainCoverage,
+  summarizeAiTrainRejectReasons: () => summarizeAiTrainRejectReasons,
+  summarizeAiTrainTerminalWindows: () => summarizeAiTrainTerminalWindows
+});
+module.exports = __toCommonJS(aiTrainResearch_exports);
+var import_node_child_process = require("child_process");
+var import_node_crypto = require("crypto");
+var import_promises = __toESM(require("fs/promises"));
+var import_node_path = __toESM(require("path"));
+
+// src/lib/aiTrainMetrics.ts
+var divideOrNull = (num, denom) => {
+  if (denom <= 0) {
+    return null;
+  }
+  return num / denom;
+};
+var DAY_MS = 24 * 60 * 60 * 1e3;
+var DAYS_PER_WEEK = 7;
+var DAYS_PER_MONTH = 30.4375;
+var getEvaluationPeriodDays = (evaluations) => {
+  let minTimestamp = null;
+  let maxTimestamp = null;
+  for (const evaluation of evaluations) {
+    const timestamp = typeof evaluation.timestamp === "number" && Number.isFinite(evaluation.timestamp) ? evaluation.timestamp : null;
+    if (timestamp == null) {
+      continue;
+    }
+    if (minTimestamp == null || timestamp < minTimestamp) {
+      minTimestamp = timestamp;
+    }
+    if (maxTimestamp == null || timestamp > maxTimestamp) {
+      maxTimestamp = timestamp;
+    }
+  }
+  if (minTimestamp == null || maxTimestamp == null) {
+    return null;
+  }
+  return Math.max((maxTimestamp - minTimestamp) / DAY_MS, 1);
+};
+var qualitySortKey = (quality) => quality == null ? Number.POSITIVE_INFINITY : quality;
+var emptyRiskSummary = () => ({
+  trades: 0,
+  totalProfit: 0,
+  grossProfit: 0,
+  grossLoss: 0,
+  profitFactor: null,
+  payoffRatio: null,
+  avgWin: null,
+  avgLoss: null,
+  largestWin: null,
+  largestLoss: null,
+  winRate: null,
+  maxDrawdown: 0,
+  maxDrawdownPctOfGrossProfit: null,
+  maxDrawdownPctOfTotalProfit: null,
+  recoveryFactor: null,
+  ulcerIndex: null,
+  maxConsecutiveWins: 0,
+  maxConsecutiveLosses: 0
+});
+var summarizeApprovedRisk = (evaluations) => {
+  const approvedEvaluations = evaluations.filter((evaluation) => evaluation.aiApproved).sort((left, right) => {
+    const leftTimestamp = typeof left.timestamp === "number" && Number.isFinite(left.timestamp) ? left.timestamp : Number.POSITIVE_INFINITY;
+    const rightTimestamp = typeof right.timestamp === "number" && Number.isFinite(right.timestamp) ? right.timestamp : Number.POSITIVE_INFINITY;
+    return leftTimestamp - rightTimestamp;
+  });
+  if (!approvedEvaluations.length) {
+    return emptyRiskSummary();
+  }
+  let grossProfit = 0;
+  let grossLoss = 0;
+  let wins = 0;
+  let losses = 0;
+  let largestWin = null;
+  let largestLoss = null;
+  let equity = 0;
+  let peakEquity = 0;
+  let maxDrawdown = 0;
+  let drawdownSquares = 0;
+  let currentWinStreak = 0;
+  let currentLossStreak = 0;
+  let maxConsecutiveWins = 0;
+  let maxConsecutiveLosses = 0;
+  for (const evaluation of approvedEvaluations) {
+    const profit = evaluation.profit;
+    if (profit > 0) {
+      grossProfit += profit;
+      wins += 1;
+      largestWin = largestWin == null ? profit : Math.max(largestWin, profit);
+      currentWinStreak += 1;
+      currentLossStreak = 0;
+    } else if (profit < 0) {
+      grossLoss += Math.abs(profit);
+      losses += 1;
+      largestLoss = largestLoss == null ? profit : Math.min(largestLoss, profit);
+      currentLossStreak += 1;
+      currentWinStreak = 0;
+    } else {
+      currentWinStreak = 0;
+      currentLossStreak = 0;
+    }
+    maxConsecutiveWins = Math.max(maxConsecutiveWins, currentWinStreak);
+    maxConsecutiveLosses = Math.max(maxConsecutiveLosses, currentLossStreak);
+    equity += profit;
+    peakEquity = Math.max(peakEquity, equity);
+    const drawdown = Math.max(0, peakEquity - equity);
+    maxDrawdown = Math.max(maxDrawdown, drawdown);
+    drawdownSquares += drawdown * drawdown;
+  }
+  const totalProfit = grossProfit - grossLoss;
+  const avgWin = divideOrNull(grossProfit, wins);
+  const avgLoss = divideOrNull(grossLoss, losses);
+  return {
+    trades: approvedEvaluations.length,
+    totalProfit,
+    grossProfit,
+    grossLoss,
+    profitFactor: grossLoss > 0 ? grossProfit / grossLoss : null,
+    payoffRatio: avgWin != null && avgLoss != null && avgLoss > 0 ? avgWin / avgLoss : null,
+    avgWin,
+    avgLoss,
+    largestWin,
+    largestLoss,
+    winRate: divideOrNull(wins, approvedEvaluations.length),
+    maxDrawdown,
+    maxDrawdownPctOfGrossProfit: grossProfit > 0 ? maxDrawdown / grossProfit : null,
+    maxDrawdownPctOfTotalProfit: totalProfit > 0 ? maxDrawdown / totalProfit : null,
+    recoveryFactor: maxDrawdown > 0 ? totalProfit / maxDrawdown : null,
+    ulcerIndex: Math.sqrt(drawdownSquares / approvedEvaluations.length),
+    maxConsecutiveWins,
+    maxConsecutiveLosses
+  };
+};
+var summarizeAiTrainEvaluations = (evaluations) => {
+  let approved = 0;
+  let rejected = 0;
+  let correct = 0;
+  let incorrect = 0;
+  let profitable = 0;
+  let unprofitable = 0;
+  let flat = 0;
+  let truePositive = 0;
+  let falsePositive = 0;
+  let trueNegative = 0;
+  let falseNegative = 0;
+  let totalProfitAll = 0;
+  let totalProfitApproved = 0;
+  const bucketMap = /* @__PURE__ */ new Map();
+  for (const evaluation of evaluations) {
+    const { profit, profitableTrade, aiApproved, quality } = evaluation;
+    totalProfitAll += profit;
+    if (profitableTrade) {
+      profitable += 1;
+    } else if (profit < 0) {
+      unprofitable += 1;
+    } else {
+      flat += 1;
+    }
+    if (aiApproved) {
+      approved += 1;
+      totalProfitApproved += profit;
+    } else {
+      rejected += 1;
+    }
+    const isCorrect = aiApproved === profitableTrade;
+    if (isCorrect) {
+      correct += 1;
+    } else {
+      incorrect += 1;
+    }
+    if (aiApproved && profitableTrade) {
+      truePositive += 1;
+    } else if (aiApproved && !profitableTrade) {
+      falsePositive += 1;
+    } else if (!aiApproved && profitableTrade) {
+      falseNegative += 1;
+    } else {
+      trueNegative += 1;
+    }
+    const bucket = bucketMap.get(quality) ?? {
+      quality,
+      count: 0,
+      approved: 0,
+      profitable: 0,
+      totalProfit: 0
+    };
+    bucket.count += 1;
+    bucket.totalProfit += profit;
+    if (aiApproved) {
+      bucket.approved += 1;
+    }
+    if (profitableTrade) {
+      bucket.profitable += 1;
+    }
+    bucketMap.set(quality, bucket);
+  }
+  const avgProfitAll = divideOrNull(totalProfitAll, evaluations.length);
+  const avgProfitApproved = divideOrNull(totalProfitApproved, approved);
+  const periodDays = getEvaluationPeriodDays(evaluations);
+  const avgProfitApprovedPerDay = periodDays == null ? null : divideOrNull(totalProfitApproved, periodDays);
+  const avgApprovedTradesPerDay = periodDays == null ? null : divideOrNull(approved, periodDays);
+  const avgProfitApprovedPerMonth = avgProfitApprovedPerDay == null ? null : avgProfitApprovedPerDay * DAYS_PER_MONTH;
+  const avgApprovedTradesPerWeek = avgApprovedTradesPerDay == null ? null : avgApprovedTradesPerDay * DAYS_PER_WEEK;
+  const expectancyDelta = avgProfitAll == null || avgProfitApproved == null ? null : avgProfitApproved - avgProfitAll;
+  return {
+    approved,
+    rejected,
+    correct,
+    incorrect,
+    truePositive,
+    falsePositive,
+    trueNegative,
+    falseNegative,
+    profitable,
+    unprofitable,
+    flat,
+    precisionApproved: divideOrNull(truePositive, approved),
+    recallWinners: divideOrNull(truePositive, profitable),
+    avgProfitAll,
+    avgProfitApproved,
+    avgProfitApprovedPerDay,
+    avgProfitApprovedPerMonth,
+    avgApprovedTradesPerDay,
+    avgApprovedTradesPerWeek,
+    expectancyDelta,
+    approvedRisk: summarizeApprovedRisk(evaluations),
+    qualityBuckets: [...bucketMap.values()].sort(
+      (a, b) => qualitySortKey(a.quality) - qualitySortKey(b.quality)
+    )
+  };
+};
+
+// src/lib/aiTrainResearch.ts
+var DAY_MS2 = 24 * 60 * 60 * 1e3;
+var RESEARCH_CONTEXT_ENV_KEYS = [
+  "AI_MODE",
+  "MIN_AI_QUALITY",
+  "INTERVAL",
+  "DERIVATIVES_CONTEXT_ENABLED",
+  "DERIVATIVES_CONTEXT_TARGET_ENABLED",
+  "DERIVATIVES_CONTEXT_INTERVALS",
+  "DERIVATIVES_CONTEXT_LOOKBACK_HOURS",
+  "DERIVATIVES_CONTEXT_EXTRA_REFERENCE_SYMBOLS",
+  "DERIVATIVES_CONTEXT_EXCHANGE_PRIORITY",
+  "COINMARKETCAP_CONTEXT_ENABLED",
+  "COINMARKETCAP_CONTEXT_MAX_AGE_MS",
+  "COINMARKETCAP_CONTEXT_EXCHANGE_LIQUIDITY_ENABLED",
+  "COINMARKETCAP_CONTEXT_EXCHANGE_SLUGS",
+  "COINMARKETCAP_CONTEXT_FEAR_GREED_ENABLED",
+  "COINMARKETCAP_CONTEXT_HISTORICAL_ACCESS_MONTHS",
+  "COINMARKETCAP_CONTEXT_BACKFILL_ENABLED",
+  "COINMARKETCAP_CONTEXT_BACKFILL_MAX_DAYS",
+  "COINMARKETCAP_CONTEXT_BACKFILL_WARMUP_DAYS"
+];
+var normalizeForStableJson = (value) => {
+  if (Array.isArray(value)) {
+    return value.map(normalizeForStableJson);
+  }
+  if (value && typeof value === "object") {
+    return Object.fromEntries(
+      Object.entries(value).sort(([left], [right]) => left.localeCompare(right)).map(([key, entry]) => [key, normalizeForStableJson(entry)])
+    );
+  }
+  return value;
+};
+var fingerprintResearchValue = (value) => (0, import_node_crypto.createHash)("sha256").update(JSON.stringify(normalizeForStableJson(value))).digest("hex").slice(0, 16);
+var getTimestampRange = (evaluations) => {
+  let minTimestamp = null;
+  let maxTimestamp = null;
+  for (const evaluation of evaluations) {
+    const timestamp = evaluation.timestamp;
+    if (typeof timestamp !== "number" || !Number.isFinite(timestamp)) {
+      continue;
+    }
+    minTimestamp = minTimestamp == null ? timestamp : Math.min(minTimestamp, timestamp);
+    maxTimestamp = maxTimestamp == null ? timestamp : Math.max(maxTimestamp, timestamp);
+  }
+  return { minTimestamp, maxTimestamp };
+};
+var summarizeAiTrainCoverage = (evaluations, now = Date.now()) => {
+  const { minTimestamp, maxTimestamp } = getTimestampRange(evaluations);
+  const timestamped = evaluations.filter(
+    (evaluation) => typeof evaluation.timestamp === "number" && Number.isFinite(evaluation.timestamp)
+  ).length;
+  return {
+    timestamped,
+    missingTimestamps: evaluations.length - timestamped,
+    minTimestamp,
+    maxTimestamp,
+    spanDays: minTimestamp == null || maxTimestamp == null ? null : (maxTimestamp - minTimestamp) / DAY_MS2,
+    dataLagDays: maxTimestamp == null ? null : Math.max(0, (now - maxTimestamp) / DAY_MS2)
+  };
+};
+var summarizeAiTrainRejectReasons = (evaluations, limit = 5) => {
+  const counts = /* @__PURE__ */ new Map();
+  for (const evaluation of evaluations) {
+    if (evaluation.aiApproved || !evaluation.rejectReason) {
+      continue;
+    }
+    for (const reason of evaluation.rejectReason.split(";").map((part) => part.trim()).filter(Boolean)) {
+      counts.set(reason, (counts.get(reason) ?? 0) + 1);
+    }
+  }
+  return [...counts.entries()].sort(
+    (left, right) => right[1] - left[1] || left[0].localeCompare(right[0])
+  ).slice(0, limit).map(([reason, count]) => ({ reason, count }));
+};
+var summarizeAiTrainTerminalWindows = (evaluations, windowDays) => {
+  const { minTimestamp, maxTimestamp } = getTimestampRange(evaluations);
+  if (minTimestamp == null || maxTimestamp == null) {
+    return [];
+  }
+  return windowDays.map((days) => {
+    const requestedSince = maxTimestamp - days * DAY_MS2;
+    const since = Math.max(minTimestamp, requestedSince);
+    const selected = evaluations.filter(
+      (evaluation) => typeof evaluation.timestamp === "number" && Number.isFinite(evaluation.timestamp) && evaluation.timestamp >= requestedSince && evaluation.timestamp <= maxTimestamp
+    );
+    const coverageDays = Math.max(1, (maxTimestamp - since) / DAY_MS2);
+    const outcome = summarizeAiTrainEvaluations(selected);
+    return {
+      label: `last${days}d`,
+      days,
+      complete: minTimestamp <= requestedSince,
+      since,
+      until: maxTimestamp,
+      coverageDays,
+      selected: selected.length,
+      approvedPerCalendarDay: outcome.approved / coverageDays,
+      outcome,
+      topRejectReasons: summarizeAiTrainRejectReasons(selected)
+    };
+  });
+};
+var readOptionalFile = async (filePath) => {
+  try {
+    return await import_promises.default.readFile(filePath);
+  } catch {
+    return null;
+  }
+};
+var getGitLineage = (projectRoot) => {
+  try {
+    const gitSha = (0, import_node_child_process.execFileSync)("git", ["rev-parse", "HEAD"], {
+      cwd: projectRoot,
+      encoding: "utf8",
+      stdio: ["ignore", "pipe", "ignore"]
+    }).trim();
+    const status = (0, import_node_child_process.execFileSync)(
+      "git",
+      ["status", "--porcelain", "--untracked-files=no"],
+      {
+        cwd: projectRoot,
+        encoding: "utf8",
+        stdio: ["ignore", "pipe", "ignore"]
+      }
+    ).trim();
+    return { gitSha: gitSha || null, gitDirty: status.length > 0 };
+  } catch {
+    return { gitSha: null, gitDirty: null };
+  }
+};
+var resolveGateFingerprint = async (projectRoot, strategyName, gitSha) => {
+  const relativeCandidates = [
+    `packages/strategies/src/${strategyName}/adapters/ai.ts`,
+    `packages/strategies/src/${strategyName}/guardrails.ts`,
+    `packages/strategies/src/${strategyName}/config.ts`,
+    "packages/node/src/ai.ts"
+  ];
+  const optionalSourceEntries = await Promise.all(
+    relativeCandidates.map(async (relativePath) => {
+      const content = await readOptionalFile(
+        import_node_path.default.join(projectRoot, relativePath)
+      );
+      return content == null ? null : { relativePath, content };
+    })
+  );
+  const sourceEntries = [];
+  for (const entry of optionalSourceEntries) {
+    if (entry != null) {
+      sourceEntries.push(entry);
+    }
+  }
+  const hash = (0, import_node_crypto.createHash)("sha256");
+  hash.update(strategyName);
+  if (sourceEntries.length) {
+    for (const entry of sourceEntries) {
+      hash.update(entry.relativePath);
+      hash.update(entry.content);
+    }
+  } else {
+    hash.update(gitSha ?? "unknown-git-sha");
+  }
+  return {
+    gateFingerprint: hash.digest("hex").slice(0, 16),
+    gateFingerprintFiles: sourceEntries.map((entry) => entry.relativePath)
+  };
+};
+var buildAiTrainLineage = async ({
+  projectRoot,
+  strategyName,
+  configIds,
+  runContext,
+  env = process.env
+}) => {
+  const { gitSha, gitDirty } = getGitLineage(projectRoot);
+  const gate = await resolveGateFingerprint(projectRoot, strategyName, gitSha);
+  const normalizedConfigIds = [...new Set(configIds.filter(Boolean))].sort();
+  const context = {
+    ...Object.fromEntries(
+      RESEARCH_CONTEXT_ENV_KEYS.map((key) => [key, env[key] ?? null])
+    ),
+    ...runContext
+  };
+  return {
+    gitSha,
+    gitDirty,
+    ...gate,
+    configIdsFingerprint: fingerprintResearchValue(normalizedConfigIds),
+    configIds: normalizedConfigIds,
+    contextFingerprint: fingerprintResearchValue(context),
+    context
+  };
+};
+// Annotate the CommonJS export names for ESM import in node:
+0 && (module.exports = {
+  buildAiTrainLineage,
+  fingerprintResearchValue,
+  summarizeAiTrainCoverage,
+  summarizeAiTrainRejectReasons,
+  summarizeAiTrainTerminalWindows
+});