@tradejs/cli 2.0.0 → 2.0.2

package/dist/lib/aiTrainCharts.js

@@ -34,6 +34,7 @@ var divideOrNull = (num, denom) => {
 var DAY_MS = 24 * 60 * 60 * 1e3;
 var DAYS_PER_WEEK = 7;
 var DAYS_PER_MONTH = 30.4375;
+var DAYS_PER_YEAR = 365;
 var getEvaluationPeriodDays = (evaluations) => {
   let minTimestamp = null;
   let maxTimestamp = null;
@@ -55,6 +56,40 @@ var getEvaluationPeriodDays = (evaluations) => {
   return Math.max((maxTimestamp - minTimestamp) / DAY_MS, 1);
 };
 var qualitySortKey = (quality) => quality == null ? Number.POSITIVE_INFINITY : quality;
+var calculateTradePnlRiskRatios = ({
+  profits,
+  totalProfit,
+  maxDrawdown,
+  periodDays
+}) => {
+  if (!profits.length || periodDays == null || periodDays <= 0) {
+    return {
+      sharpeRatio: null,
+      sortinoRatio: null,
+      calmarRatio: null
+    };
+  }
+  const meanProfit = totalProfit / profits.length;
+  const variance = profits.reduce((sum, profit) => {
+    const diff = profit - meanProfit;
+    return sum + diff * diff;
+  }, 0) / profits.length;
+  const stdDev = Math.sqrt(variance);
+  const downsideDeviation = Math.sqrt(
+    profits.reduce(
+      (sum, profit) => profit < 0 ? sum + profit * profit : sum,
+      0
+    ) / profits.length
+  );
+  const annualizationScale = Math.sqrt(
+    profits.length / periodDays * DAYS_PER_YEAR
+  );
+  return {
+    sharpeRatio: stdDev > 0 && annualizationScale > 0 ? meanProfit / stdDev * annualizationScale : null,
+    sortinoRatio: downsideDeviation > 0 && annualizationScale > 0 ? meanProfit / downsideDeviation * annualizationScale : null,
+    calmarRatio: maxDrawdown > 0 ? totalProfit / periodDays * DAYS_PER_YEAR / maxDrawdown : null
+  };
+};
 var emptyRiskSummary = () => ({
   trades: 0,
   totalProfit: 0,
@@ -70,12 +105,15 @@ var emptyRiskSummary = () => ({
   maxDrawdown: 0,
   maxDrawdownPctOfGrossProfit: null,
   maxDrawdownPctOfTotalProfit: null,
+  sharpeRatio: null,
+  sortinoRatio: null,
+  calmarRatio: null,
   recoveryFactor: null,
   ulcerIndex: null,
   maxConsecutiveWins: 0,
   maxConsecutiveLosses: 0
 });
-var summarizeApprovedRisk = (evaluations) => {
+var summarizeApprovedRisk = (evaluations, periodDays = getEvaluationPeriodDays(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;
@@ -98,8 +136,10 @@ var summarizeApprovedRisk = (evaluations) => {
   let currentLossStreak = 0;
   let maxConsecutiveWins = 0;
   let maxConsecutiveLosses = 0;
+  const approvedProfits = [];
   for (const evaluation of approvedEvaluations) {
     const profit = evaluation.profit;
+    approvedProfits.push(profit);
     if (profit > 0) {
       grossProfit += profit;
       wins += 1;
@@ -127,6 +167,12 @@ var summarizeApprovedRisk = (evaluations) => {
   const totalProfit = grossProfit - grossLoss;
   const avgWin = divideOrNull(grossProfit, wins);
   const avgLoss = divideOrNull(grossLoss, losses);
+  const riskRatios = calculateTradePnlRiskRatios({
+    profits: approvedProfits,
+    totalProfit,
+    maxDrawdown,
+    periodDays
+  });
   return {
     trades: approvedEvaluations.length,
     totalProfit,
@@ -142,6 +188,7 @@ var summarizeApprovedRisk = (evaluations) => {
     maxDrawdown,
     maxDrawdownPctOfGrossProfit: grossProfit > 0 ? maxDrawdown / grossProfit : null,
     maxDrawdownPctOfTotalProfit: totalProfit > 0 ? maxDrawdown / totalProfit : null,
+    ...riskRatios,
     recoveryFactor: maxDrawdown > 0 ? totalProfit / maxDrawdown : null,
     ulcerIndex: Math.sqrt(drawdownSquares / approvedEvaluations.length),
     maxConsecutiveWins,
@@ -240,7 +287,7 @@ var summarizeAiTrainEvaluations = (evaluations) => {
     avgApprovedTradesPerDay,
     avgApprovedTradesPerWeek,
     expectancyDelta,
-    approvedRisk: summarizeApprovedRisk(evaluations),
+    approvedRisk: summarizeApprovedRisk(evaluations, periodDays),
     qualityBuckets: [...bucketMap.values()].sort(
       (a, b) => qualitySortKey(a.quality) - qualitySortKey(b.quality)
     )

package/dist/lib/aiTrainMetrics.js

@@ -35,6 +35,7 @@ var divideOrNull = (num, denom) => {
 var DAY_MS = 24 * 60 * 60 * 1e3;
 var DAYS_PER_WEEK = 7;
 var DAYS_PER_MONTH = 30.4375;
+var DAYS_PER_YEAR = 365;
 var getEvaluationPeriodDays = (evaluations) => {
   let minTimestamp = null;
   let maxTimestamp = null;
@@ -56,6 +57,40 @@ var getEvaluationPeriodDays = (evaluations) => {
   return Math.max((maxTimestamp - minTimestamp) / DAY_MS, 1);
 };
 var qualitySortKey = (quality) => quality == null ? Number.POSITIVE_INFINITY : quality;
+var calculateTradePnlRiskRatios = ({
+  profits,
+  totalProfit,
+  maxDrawdown,
+  periodDays
+}) => {
+  if (!profits.length || periodDays == null || periodDays <= 0) {
+    return {
+      sharpeRatio: null,
+      sortinoRatio: null,
+      calmarRatio: null
+    };
+  }
+  const meanProfit = totalProfit / profits.length;
+  const variance = profits.reduce((sum, profit) => {
+    const diff = profit - meanProfit;
+    return sum + diff * diff;
+  }, 0) / profits.length;
+  const stdDev = Math.sqrt(variance);
+  const downsideDeviation = Math.sqrt(
+    profits.reduce(
+      (sum, profit) => profit < 0 ? sum + profit * profit : sum,
+      0
+    ) / profits.length
+  );
+  const annualizationScale = Math.sqrt(
+    profits.length / periodDays * DAYS_PER_YEAR
+  );
+  return {
+    sharpeRatio: stdDev > 0 && annualizationScale > 0 ? meanProfit / stdDev * annualizationScale : null,
+    sortinoRatio: downsideDeviation > 0 && annualizationScale > 0 ? meanProfit / downsideDeviation * annualizationScale : null,
+    calmarRatio: maxDrawdown > 0 ? totalProfit / periodDays * DAYS_PER_YEAR / maxDrawdown : null
+  };
+};
 var emptyRiskSummary = () => ({
   trades: 0,
   totalProfit: 0,
@@ -71,12 +106,15 @@ var emptyRiskSummary = () => ({
   maxDrawdown: 0,
   maxDrawdownPctOfGrossProfit: null,
   maxDrawdownPctOfTotalProfit: null,
+  sharpeRatio: null,
+  sortinoRatio: null,
+  calmarRatio: null,
   recoveryFactor: null,
   ulcerIndex: null,
   maxConsecutiveWins: 0,
   maxConsecutiveLosses: 0
 });
-var summarizeApprovedRisk = (evaluations) => {
+var summarizeApprovedRisk = (evaluations, periodDays = getEvaluationPeriodDays(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;
@@ -99,8 +137,10 @@ var summarizeApprovedRisk = (evaluations) => {
   let currentLossStreak = 0;
   let maxConsecutiveWins = 0;
   let maxConsecutiveLosses = 0;
+  const approvedProfits = [];
   for (const evaluation of approvedEvaluations) {
     const profit = evaluation.profit;
+    approvedProfits.push(profit);
     if (profit > 0) {
       grossProfit += profit;
       wins += 1;
@@ -128,6 +168,12 @@ var summarizeApprovedRisk = (evaluations) => {
   const totalProfit = grossProfit - grossLoss;
   const avgWin = divideOrNull(grossProfit, wins);
   const avgLoss = divideOrNull(grossLoss, losses);
+  const riskRatios = calculateTradePnlRiskRatios({
+    profits: approvedProfits,
+    totalProfit,
+    maxDrawdown,
+    periodDays
+  });
   return {
     trades: approvedEvaluations.length,
     totalProfit,
@@ -143,6 +189,7 @@ var summarizeApprovedRisk = (evaluations) => {
     maxDrawdown,
     maxDrawdownPctOfGrossProfit: grossProfit > 0 ? maxDrawdown / grossProfit : null,
     maxDrawdownPctOfTotalProfit: totalProfit > 0 ? maxDrawdown / totalProfit : null,
+    ...riskRatios,
     recoveryFactor: maxDrawdown > 0 ? totalProfit / maxDrawdown : null,
     ulcerIndex: Math.sqrt(drawdownSquares / approvedEvaluations.length),
     maxConsecutiveWins,
@@ -241,7 +288,7 @@ var summarizeAiTrainEvaluations = (evaluations) => {
     avgApprovedTradesPerDay,
     avgApprovedTradesPerWeek,
     expectancyDelta,
-    approvedRisk: summarizeApprovedRisk(evaluations),
+    approvedRisk: summarizeApprovedRisk(evaluations, periodDays),
     qualityBuckets: [...bucketMap.values()].sort(
       (a, b) => qualitySortKey(a.quality) - qualitySortKey(b.quality)
     )

package/dist/lib/aiTrainResearch.js

@@ -52,6 +52,7 @@ var divideOrNull = (num, denom) => {
 var DAY_MS = 24 * 60 * 60 * 1e3;
 var DAYS_PER_WEEK = 7;
 var DAYS_PER_MONTH = 30.4375;
+var DAYS_PER_YEAR = 365;
 var getEvaluationPeriodDays = (evaluations) => {
   let minTimestamp = null;
   let maxTimestamp = null;
@@ -73,6 +74,40 @@ var getEvaluationPeriodDays = (evaluations) => {
   return Math.max((maxTimestamp - minTimestamp) / DAY_MS, 1);
 };
 var qualitySortKey = (quality) => quality == null ? Number.POSITIVE_INFINITY : quality;
+var calculateTradePnlRiskRatios = ({
+  profits,
+  totalProfit,
+  maxDrawdown,
+  periodDays
+}) => {
+  if (!profits.length || periodDays == null || periodDays <= 0) {
+    return {
+      sharpeRatio: null,
+      sortinoRatio: null,
+      calmarRatio: null
+    };
+  }
+  const meanProfit = totalProfit / profits.length;
+  const variance = profits.reduce((sum, profit) => {
+    const diff = profit - meanProfit;
+    return sum + diff * diff;
+  }, 0) / profits.length;
+  const stdDev = Math.sqrt(variance);
+  const downsideDeviation = Math.sqrt(
+    profits.reduce(
+      (sum, profit) => profit < 0 ? sum + profit * profit : sum,
+      0
+    ) / profits.length
+  );
+  const annualizationScale = Math.sqrt(
+    profits.length / periodDays * DAYS_PER_YEAR
+  );
+  return {
+    sharpeRatio: stdDev > 0 && annualizationScale > 0 ? meanProfit / stdDev * annualizationScale : null,
+    sortinoRatio: downsideDeviation > 0 && annualizationScale > 0 ? meanProfit / downsideDeviation * annualizationScale : null,
+    calmarRatio: maxDrawdown > 0 ? totalProfit / periodDays * DAYS_PER_YEAR / maxDrawdown : null
+  };
+};
 var emptyRiskSummary = () => ({
   trades: 0,
   totalProfit: 0,
@@ -88,12 +123,15 @@ var emptyRiskSummary = () => ({
   maxDrawdown: 0,
   maxDrawdownPctOfGrossProfit: null,
   maxDrawdownPctOfTotalProfit: null,
+  sharpeRatio: null,
+  sortinoRatio: null,
+  calmarRatio: null,
   recoveryFactor: null,
   ulcerIndex: null,
   maxConsecutiveWins: 0,
   maxConsecutiveLosses: 0
 });
-var summarizeApprovedRisk = (evaluations) => {
+var summarizeApprovedRisk = (evaluations, periodDays = getEvaluationPeriodDays(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;
@@ -116,8 +154,10 @@ var summarizeApprovedRisk = (evaluations) => {
   let currentLossStreak = 0;
   let maxConsecutiveWins = 0;
   let maxConsecutiveLosses = 0;
+  const approvedProfits = [];
   for (const evaluation of approvedEvaluations) {
     const profit = evaluation.profit;
+    approvedProfits.push(profit);
     if (profit > 0) {
       grossProfit += profit;
       wins += 1;
@@ -145,6 +185,12 @@ var summarizeApprovedRisk = (evaluations) => {
   const totalProfit = grossProfit - grossLoss;
   const avgWin = divideOrNull(grossProfit, wins);
   const avgLoss = divideOrNull(grossLoss, losses);
+  const riskRatios = calculateTradePnlRiskRatios({
+    profits: approvedProfits,
+    totalProfit,
+    maxDrawdown,
+    periodDays
+  });
   return {
     trades: approvedEvaluations.length,
     totalProfit,
@@ -160,6 +206,7 @@ var summarizeApprovedRisk = (evaluations) => {
     maxDrawdown,
     maxDrawdownPctOfGrossProfit: grossProfit > 0 ? maxDrawdown / grossProfit : null,
     maxDrawdownPctOfTotalProfit: totalProfit > 0 ? maxDrawdown / totalProfit : null,
+    ...riskRatios,
     recoveryFactor: maxDrawdown > 0 ? totalProfit / maxDrawdown : null,
     ulcerIndex: Math.sqrt(drawdownSquares / approvedEvaluations.length),
     maxConsecutiveWins,
@@ -258,7 +305,7 @@ var summarizeAiTrainEvaluations = (evaluations) => {
     avgApprovedTradesPerDay,
     avgApprovedTradesPerWeek,
     expectancyDelta,
-    approvedRisk: summarizeApprovedRisk(evaluations),
+    approvedRisk: summarizeApprovedRisk(evaluations, periodDays),
     qualityBuckets: [...bucketMap.values()].sort(
       (a, b) => qualitySortKey(a.quality) - qualitySortKey(b.quality)
     )
@@ -273,7 +320,6 @@ var RESEARCH_CONTEXT_ENV_KEYS = [
   "INTERVAL",
   "DERIVATIVES_CONTEXT_ENABLED",
   "DERIVATIVES_CONTEXT_TARGET_ENABLED",
-  "DERIVATIVES_CONTEXT_INTERVALS",
   "DERIVATIVES_CONTEXT_LOOKBACK_HOURS",
   "DERIVATIVES_CONTEXT_EXTRA_REFERENCE_SYMBOLS",
   "DERIVATIVES_CONTEXT_EXCHANGE_PRIORITY",
@@ -287,6 +333,12 @@ var RESEARCH_CONTEXT_ENV_KEYS = [
   "COINMARKETCAP_CONTEXT_BACKFILL_MAX_DAYS",
   "COINMARKETCAP_CONTEXT_BACKFILL_WARMUP_DAYS"
 ];
+var DERIVATIVES_CONTEXT_DATA_MODEL = {
+  derivativesSourceIntervals: "15m",
+  derivativesDerivedIntervals: "1h",
+  derivativesHourlyFallback: "stored-1h",
+  derivativesDataModelVersion: 2
+};
 var normalizeForStableJson = (value) => {
   if (Array.isArray(value)) {
     return value.map(normalizeForStableJson);
@@ -399,6 +451,7 @@ var resolveGateFingerprint = async (projectRoot, strategyName, gitSha) => {
   const relativeCandidates = [
     `packages/strategies/src/${strategyName}/adapters/ai.ts`,
     `packages/strategies/src/${strategyName}/guardrails.ts`,
+    `packages/strategies/src/${strategyName}/pockets.ts`,
     `packages/strategies/src/${strategyName}/config.ts`,
     "packages/node/src/ai.ts"
   ];
@@ -445,7 +498,8 @@ var buildAiTrainLineage = async ({
     ...Object.fromEntries(
       RESEARCH_CONTEXT_ENV_KEYS.map((key) => [key, env[key] ?? null])
     ),
-    ...runContext
+    ...runContext,
+    ...DERIVATIVES_CONTEXT_DATA_MODEL
   };
   return {
     gitSha,