@tradejs/cli 2.0.1 → 2.0.2

package/dist/cli.js

@@ -3005,7 +3005,7 @@ var init_aiTrainDataset = __esm({
 });
 
 // src/lib/aiTrainMetrics.ts
-var divideOrNull, DAY_MS, DAYS_PER_WEEK, DAYS_PER_MONTH, getEvaluationPeriodDays, qualitySortKey, emptyRiskSummary, summarizeApprovedRisk, summarizeAiTrainEvaluations, getDirectionSortKey, getMonthKey, isDirectionMatchAtThreshold, summarizeAiTrainEvaluationsByDirection, summarizeAiTrainEvaluationsByMonth, summarizeAiTrainEvaluationsByQualityThreshold;
+var divideOrNull, DAY_MS, DAYS_PER_WEEK, DAYS_PER_MONTH, DAYS_PER_YEAR, getEvaluationPeriodDays, qualitySortKey, calculateTradePnlRiskRatios, emptyRiskSummary, summarizeApprovedRisk, summarizeAiTrainEvaluations, getDirectionSortKey, getMonthKey, isDirectionMatchAtThreshold, summarizeAiTrainEvaluationsByDirection, summarizeAiTrainEvaluationsByMonth, summarizeAiTrainEvaluationsByQualityThreshold;
 var init_aiTrainMetrics = __esm({
   "src/lib/aiTrainMetrics.ts"() {
     "use strict";
@@ -3018,6 +3018,7 @@ var init_aiTrainMetrics = __esm({
     DAY_MS = 24 * 60 * 60 * 1e3;
     DAYS_PER_WEEK = 7;
     DAYS_PER_MONTH = 30.4375;
+    DAYS_PER_YEAR = 365;
     getEvaluationPeriodDays = (evaluations) => {
       let minTimestamp = null;
       let maxTimestamp = null;
@@ -3039,6 +3040,40 @@ var init_aiTrainMetrics = __esm({
       return Math.max((maxTimestamp - minTimestamp) / DAY_MS, 1);
     };
     qualitySortKey = (quality) => quality == null ? Number.POSITIVE_INFINITY : quality;
+    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((sum2, profit) => {
+        const diff = profit - meanProfit;
+        return sum2 + diff * diff;
+      }, 0) / profits.length;
+      const stdDev = Math.sqrt(variance);
+      const downsideDeviation = Math.sqrt(
+        profits.reduce(
+          (sum2, profit) => profit < 0 ? sum2 + profit * profit : sum2,
+          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
+      };
+    };
     emptyRiskSummary = () => ({
       trades: 0,
       totalProfit: 0,
@@ -3054,12 +3089,15 @@ var init_aiTrainMetrics = __esm({
       maxDrawdown: 0,
       maxDrawdownPctOfGrossProfit: null,
       maxDrawdownPctOfTotalProfit: null,
+      sharpeRatio: null,
+      sortinoRatio: null,
+      calmarRatio: null,
       recoveryFactor: null,
       ulcerIndex: null,
       maxConsecutiveWins: 0,
       maxConsecutiveLosses: 0
     });
-    summarizeApprovedRisk = (evaluations) => {
+    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;
@@ -3082,8 +3120,10 @@ var init_aiTrainMetrics = __esm({
       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;
@@ -3111,6 +3151,12 @@ var init_aiTrainMetrics = __esm({
       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,
@@ -3126,6 +3172,7 @@ var init_aiTrainMetrics = __esm({
         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,
@@ -3224,7 +3271,7 @@ var init_aiTrainMetrics = __esm({
         avgApprovedTradesPerDay,
         avgApprovedTradesPerWeek,
         expectancyDelta,
-        approvedRisk: summarizeApprovedRisk(evaluations),
+        approvedRisk: summarizeApprovedRisk(evaluations, periodDays),
         qualityBuckets: [...bucketMap.values()].sort(
           (a, b) => qualitySortKey(a.quality) - qualitySortKey(b.quality)
         )
@@ -6135,7 +6182,7 @@ var init_aiTrainEvaluationDump = __esm({
 });
 
 // src/lib/aiTrainResearch.ts
-var import_node_child_process2, import_node_crypto2, import_promises4, import_node_path3, DAY_MS3, RESEARCH_CONTEXT_ENV_KEYS, normalizeForStableJson, fingerprintResearchValue, getTimestampRange, summarizeAiTrainCoverage, summarizeAiTrainRejectReasons, summarizeAiTrainTerminalWindows, readOptionalFile, getGitLineage, resolveGateFingerprint, buildAiTrainLineage;
+var import_node_child_process2, import_node_crypto2, import_promises4, import_node_path3, DAY_MS3, RESEARCH_CONTEXT_ENV_KEYS, DERIVATIVES_CONTEXT_DATA_MODEL, normalizeForStableJson, fingerprintResearchValue, getTimestampRange, summarizeAiTrainCoverage, summarizeAiTrainRejectReasons, summarizeAiTrainTerminalWindows, readOptionalFile, getGitLineage, resolveGateFingerprint, buildAiTrainLineage;
 var init_aiTrainResearch = __esm({
   "src/lib/aiTrainResearch.ts"() {
     "use strict";
@@ -6164,6 +6211,12 @@ var init_aiTrainResearch = __esm({
       "COINMARKETCAP_CONTEXT_BACKFILL_MAX_DAYS",
       "COINMARKETCAP_CONTEXT_BACKFILL_WARMUP_DAYS"
     ];
+    DERIVATIVES_CONTEXT_DATA_MODEL = {
+      derivativesSourceIntervals: "15m",
+      derivativesDerivedIntervals: "1h",
+      derivativesHourlyFallback: "stored-1h",
+      derivativesDataModelVersion: 2
+    };
     normalizeForStableJson = (value) => {
       if (Array.isArray(value)) {
         return value.map(normalizeForStableJson);
@@ -6276,6 +6329,7 @@ var init_aiTrainResearch = __esm({
       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"
       ];
@@ -6322,7 +6376,8 @@ var init_aiTrainResearch = __esm({
         ...Object.fromEntries(
           RESEARCH_CONTEXT_ENV_KEYS.map((key) => [key, env[key] ?? null])
         ),
-        ...runContext
+        ...runContext,
+        ...DERIVATIVES_CONTEXT_DATA_MODEL
       };
       return {
         gitSha,
@@ -7402,6 +7457,9 @@ var init_aiTrain = __esm({
               import_chalk5.default.gray("CALENDAR/D"),
               import_chalk5.default.gray("WR"),
               import_chalk5.default.gray("PF"),
+              import_chalk5.default.gray("SHARPE"),
+              import_chalk5.default.gray("SORTINO"),
+              import_chalk5.default.gray("CALMAR"),
               import_chalk5.default.gray("PNL"),
               import_chalk5.default.gray("MAX_DD"),
               import_chalk5.default.gray("TOP REJECT")
@@ -7416,6 +7474,9 @@ var init_aiTrain = __esm({
               colorizeMetricNumber(window2.approvedPerCalendarDay),
               colorizeRatio2(window2.outcome.approvedRisk.winRate),
               colorizeMetricNumber(window2.outcome.approvedRisk.profitFactor),
+              colorizeMetricNumber(window2.outcome.approvedRisk.sharpeRatio),
+              colorizeMetricNumber(window2.outcome.approvedRisk.sortinoRatio),
+              colorizeMetricNumber(window2.outcome.approvedRisk.calmarRatio),
               colorizeProfit2(window2.outcome.approvedRisk.totalProfit),
               colorizeProfit2(-window2.outcome.approvedRisk.maxDrawdown),
               import_chalk5.default.gray(
@@ -7464,6 +7525,18 @@ var init_aiTrain = __esm({
               "profit_factor",
               colorizeMetricNumber(summary.approvedRisk.profitFactor)
             ],
+            [
+              "sharpe_ratio",
+              colorizeMetricNumber(summary.approvedRisk.sharpeRatio)
+            ],
+            [
+              "sortino_ratio",
+              colorizeMetricNumber(summary.approvedRisk.sortinoRatio)
+            ],
+            [
+              "calmar_ratio",
+              colorizeMetricNumber(summary.approvedRisk.calmarRatio)
+            ],
             [
               "payoff_ratio",
               colorizeMetricNumber(summary.approvedRisk.payoffRatio)
@@ -8590,7 +8663,7 @@ var init_binanceMarketContextBackfill = __esm({
 });
 
 // src/lib/derivativesContextBackfill.ts
-var import_chalk7, import_progress4, import_async, import_constants5, import_indicators, import_timescale2, import_userSettings2, HOUR_MS, DAY_MS6, DEFAULT_LOOKBACK_HOURS, SOURCE_INTERVALS, coinalyzeIntervalMap, derivativesIntervalMs, lastRequestTs, asInt2, parseList, parseBooleanFlag, normalizeSymbols, isDerivativesTargetContextEnabled, resolveDerivativesContextBackfillSymbols, chunkArray, isBacktestDerivativesContextEnabled, isSignalsDerivativesContextEnabled, isDerivativesContextBackfillEnabled, shouldBackfillDerivativesContextForBacktest, shouldBackfillDerivativesContextForSignals, resolveDerivativesContextIntervals, resolveDerivativesContextLookbackMs, resolveDerivativesContextBackfillWindow, resolveDerivativesContextIntervalBackfillWindow, resolveDerivativesContextMissingFetchFromMs, resolveDerivativesContextFetchFromMs, countBackfillWindows, buildBackfillWindows, hasDerivativesWindowCoverage, resolveDerivativesContextMissingCoverageFetchFromMs, groupDerivativesContextMissingFetchRanges, getMissingClosedDerivativesSymbols, coverageKey, extendEdges, getCoinalyzeApiKey, getCoinalyzeBaseUrl, getRequestDelayMs, getRequestTimeoutMs, networkErrorCodes, getNestedErrorValue, getCoinalyzeErrorCause, isRetryableCoinalyzeFetchError, formatCoinalyzeRequestError, fetchJsonWithRateLimit, fetchCoinalyzeMarkets, selectBestMarket, buildMatches, normalizeMetricPoint, toSeriesMap, fetchMetricBatch, skippedBackfillResult2, backfillDerivativesContext, backfillDerivativesContextForBacktest, backfillDerivativesContextForSignals;
+var import_chalk7, import_progress4, import_async, import_constants5, import_indicators, import_timescale2, import_userSettings2, HOUR_MS, DAY_MS6, DEFAULT_LOOKBACK_HOURS, SOURCE_INTERVALS, coinalyzeIntervalMap, derivativesIntervalMs, lastRequestTs, asInt2, parseList, parseBooleanFlag, normalizeSymbols, isDerivativesTargetContextEnabled, resolveDerivativesContextBackfillSymbols, chunkArray, isBacktestDerivativesContextEnabled, isSignalsDerivativesContextEnabled, isDerivativesContextBackfillEnabled, shouldBackfillDerivativesContextForBacktest, shouldBackfillDerivativesContextForSignals, resolveDerivativesContextIntervals, resolveDerivativesContextLookbackMs, resolveDerivativesContextBackfillWindow, resolveDerivativesContextIntervalBackfillWindow, resolveDerivativesContextMissingFetchFromMs, resolveDerivativesContextFetchFromMs, resolveDerivativesContextRequiredFetchFromMs, countBackfillWindows, buildBackfillWindows, hasDerivativesWindowCoverage, resolveDerivativesContextMissingCoverageFetchFromMs, groupDerivativesContextMissingFetchRanges, getMissingClosedDerivativesSymbols, coverageKey, extendEdges, getCoinalyzeApiKey, getCoinalyzeBaseUrl, getRequestDelayMs, getRequestTimeoutMs, networkErrorCodes, getNestedErrorValue, getCoinalyzeErrorCause, isRetryableCoinalyzeFetchError, formatCoinalyzeRequestError, fetchJsonWithRateLimit, fetchCoinalyzeMarkets, selectBestMarket, buildMatches, normalizeMetricPoint, toSeriesMap, fetchMetricBatch, skippedBackfillResult2, backfillDerivativesContext, backfillDerivativesContextForBacktest, backfillDerivativesContextForSignals;
 var init_derivativesContextBackfill = __esm({
   "src/lib/derivativesContextBackfill.ts"() {
     "use strict";
@@ -8722,6 +8795,38 @@ var init_derivativesContextBackfill = __esm({
       return null;
     };
     resolveDerivativesContextFetchFromMs = (params) => resolveDerivativesContextMissingFetchFromMs(params) ?? (params.refreshClosedTail ? params.toMs : null);
+    resolveDerivativesContextRequiredFetchFromMs = (params) => {
+      const dataCoverageFromMs = params.dataCoverageKeyExists ? null : params.mode === "signals" ? params.fromMs : resolveDerivativesContextMissingCoverageFetchFromMs({
+        ranges: params.dataCoverageRanges,
+        fromMs: params.fromMs,
+        toMs: params.toMs,
+        intervalMs: params.intervalMs
+      });
+      const edgesFromMs = dataCoverageFromMs == null ? null : resolveDerivativesContextFetchFromMs({
+        edges: params.edges,
+        fromMs: params.fromMs,
+        toMs: params.toMs,
+        intervalMs: params.intervalMs,
+        refreshClosedTail: params.mode === "signals"
+      });
+      const dataFetchFromMs = dataCoverageFromMs != null && edgesFromMs != null ? Math.max(dataCoverageFromMs, edgesFromMs) : null;
+      const confirmedLiquidationWindow = (0, import_indicators.resolveCoinalyzeConfirmedIntradayCoverage)({
+        interval: params.interval,
+        fromMs: params.fromMs,
+        toMs: params.toMs,
+        nowMs: params.nowMs
+      });
+      const liquidationFetchFromMs = confirmedLiquidationWindow ? resolveDerivativesContextMissingCoverageFetchFromMs({
+        ranges: params.liquidationCoverageRanges,
+        fromMs: confirmedLiquidationWindow.fromMs,
+        toMs: confirmedLiquidationWindow.toMs,
+        intervalMs: params.intervalMs
+      }) : null;
+      const fetchStarts = [dataFetchFromMs, liquidationFetchFromMs].filter(
+        (value) => value != null
+      );
+      return fetchStarts.length ? Math.min(...fetchStarts) : null;
+    };
     countBackfillWindows = (params) => {
       let count = 0;
       let cursor = params.fromMs;
@@ -9057,7 +9162,8 @@ var init_derivativesContextBackfill = __esm({
         mode,
         startMs,
         endMs,
-        preloadStartMs: params.preloadStartMs
+        preloadStartMs: params.preloadStartMs,
+        nowMs: Date.now()
       });
       if (safeEndMs <= fromMs) {
         return skippedBackfillResult2();
@@ -9091,15 +9197,33 @@ var init_derivativesContextBackfill = __esm({
       );
       const coverageKeysByInterval = /* @__PURE__ */ new Map();
       const coverageRangesByInterval = /* @__PURE__ */ new Map();
+      const liquidationCoverageRangesByInterval = /* @__PURE__ */ new Map();
+      const coverageNowMs = Date.now();
       await Promise.all(
         intervalWindows.map(async (window2) => {
-          const coverageRows = await (0, import_timescale2.getDerivativesBackfillCoverage)({
-            source: "coinalyze",
-            symbols,
+          const confirmedLiquidationWindow = (0, import_indicators.resolveCoinalyzeConfirmedIntradayCoverage)({
             interval: window2.interval,
             fromMs: window2.fromMs,
-            toMs: window2.toMs
+            toMs: window2.toMs,
+            nowMs: coverageNowMs
           });
+          const [coverageRows, liquidationCoverageRows] = await Promise.all([
+            (0, import_timescale2.getDerivativesBackfillCoverage)({
+              source: "coinalyze",
+              symbols,
+              interval: window2.interval,
+              fromMs: window2.fromMs,
+              toMs: window2.toMs
+            }),
+            confirmedLiquidationWindow ? (0, import_timescale2.getDerivativesMetricCoverage)({
+              source: "coinalyze",
+              metric: "liquidation",
+              symbols,
+              interval: window2.interval,
+              fromMs: confirmedLiquidationWindow.fromMs,
+              toMs: confirmedLiquidationWindow.toMs
+            }) : Promise.resolve([])
+          ]);
           coverageKeysByInterval.set(
             window2.interval,
             new Set(
@@ -9121,6 +9245,17 @@ var init_derivativesContextBackfill = __esm({
             rangesBySymbol.set(symbol, ranges);
           }
           coverageRangesByInterval.set(window2.interval, rangesBySymbol);
+          const liquidationRangesBySymbol = /* @__PURE__ */ new Map();
+          for (const row of liquidationCoverageRows) {
+            const symbol = row.symbol.toUpperCase();
+            const ranges = liquidationRangesBySymbol.get(symbol) ?? [];
+            ranges.push({ fromMs: row.fromMs, toMs: row.toMs });
+            liquidationRangesBySymbol.set(symbol, ranges);
+          }
+          liquidationCoverageRangesByInterval.set(
+            window2.interval,
+            liquidationRangesBySymbol
+          );
         })
       );
       const cachedWindows = intervalWindows.reduce(
@@ -9145,7 +9280,7 @@ var init_derivativesContextBackfill = __esm({
           (symbol) => backfillWindows.every((backfillWindow) => {
             const normalizedSymbol = symbol.toUpperCase();
             const coverageRanges = coverageRangesByInterval.get(window2.interval)?.get(normalizedSymbol) ?? [];
-            return hasDerivativesWindowCoverage({
+            const dataCovered = hasDerivativesWindowCoverage({
               edges: edgesBySymbol?.get(normalizedSymbol),
               fromMs: backfillWindow.fromMs,
               toMs: backfillWindow.toMs
@@ -9162,6 +9297,19 @@ var init_derivativesContextBackfill = __esm({
                 toMs: backfillWindow.toMs
               })
             );
+            const confirmedLiquidationWindow = (0, import_indicators.resolveCoinalyzeConfirmedIntradayCoverage)({
+              interval: window2.interval,
+              fromMs: backfillWindow.fromMs,
+              toMs: backfillWindow.toMs,
+              nowMs: coverageNowMs
+            });
+            const liquidationCovered = confirmedLiquidationWindow == null || resolveDerivativesContextMissingCoverageFetchFromMs({
+              ranges: liquidationCoverageRangesByInterval.get(window2.interval)?.get(normalizedSymbol) ?? [],
+              fromMs: confirmedLiquidationWindow.fromMs,
+              toMs: confirmedLiquidationWindow.toMs,
+              intervalMs: window2.intervalMs
+            }) == null;
+            return dataCovered && liquidationCovered;
           })
         );
       });
@@ -9246,6 +9394,11 @@ var init_derivativesContextBackfill = __esm({
         coverageKeysByInterval.set(interval5, coverageKeys);
         const coverageRangesBySymbol = coverageRangesByInterval.get(interval5) ?? /* @__PURE__ */ new Map();
         coverageRangesByInterval.set(interval5, coverageRangesBySymbol);
+        const liquidationCoverageRangesBySymbol = liquidationCoverageRangesByInterval.get(interval5) ?? /* @__PURE__ */ new Map();
+        liquidationCoverageRangesByInterval.set(
+          interval5,
+          liquidationCoverageRangesBySymbol
+        );
         for (let batchIdx = 0; batchIdx < symbolBatches.length; batchIdx += 1) {
           const batch = symbolBatches[batchIdx];
           let cursor = window2.fromMs;
@@ -9258,33 +9411,25 @@ var init_derivativesContextBackfill = __esm({
                 fromMs: cursor,
                 toMs
               });
-              if (coverageKeys.has(key)) {
-                return null;
-              }
               const normalizedSymbol = item.symbol.toUpperCase();
-              const coverageFromMs = mode === "signals" ? cursor : resolveDerivativesContextMissingCoverageFetchFromMs({
-                ranges: coverageRangesBySymbol.get(normalizedSymbol),
-                fromMs: cursor,
-                toMs,
-                intervalMs: intervalMs2
-              });
-              if (coverageFromMs == null) {
-                return null;
-              }
-              const edges = edgesBySymbol.get(normalizedSymbol);
-              const edgesFromMs = resolveDerivativesContextFetchFromMs({
-                edges,
-                fromMs: cursor,
-                toMs,
-                intervalMs: intervalMs2,
-                refreshClosedTail: mode === "signals"
-              });
-              if (edgesFromMs == null) {
-                return null;
-              }
+              const requiredFromMs = resolveDerivativesContextRequiredFetchFromMs(
+                {
+                  mode,
+                  interval: interval5,
+                  intervalMs: intervalMs2,
+                  fromMs: cursor,
+                  toMs,
+                  nowMs: coverageNowMs,
+                  dataCoverageKeyExists: coverageKeys.has(key),
+                  dataCoverageRanges: coverageRangesBySymbol.get(normalizedSymbol),
+                  liquidationCoverageRanges: liquidationCoverageRangesBySymbol.get(normalizedSymbol),
+                  edges: edgesBySymbol.get(normalizedSymbol)
+                }
+              );
+              if (requiredFromMs == null) return null;
               return {
                 item,
-                fromMs: Math.max(coverageFromMs, edgesFromMs)
+                fromMs: requiredFromMs
               };
             }).filter(
               (item) => item != null
@@ -9309,6 +9454,7 @@ var init_derivativesContextBackfill = __esm({
                   );
                   let rows = [];
                   let missingClosedSymbols = [];
+                  let liquidationRowsByMarket = /* @__PURE__ */ new Map();
                   for (let attempt = 1; attempt <= maxClosedBarAttempts; attempt += 1) {
                     const oiMap = await fetchMetricBatch({
                       endpoint: oiPath,
@@ -9328,7 +9474,7 @@ var init_derivativesContextBackfill = __esm({
                       fromMs: group.fromMs,
                       toMs
                     });
-                    const liqMap = await fetchMetricBatch({
+                    liquidationRowsByMarket = await fetchMetricBatch({
                       endpoint: liqPath,
                       metric: "liq",
                       marketSymbols,
@@ -9343,7 +9489,7 @@ var init_derivativesContextBackfill = __esm({
                         symbol: item.symbol,
                         oiRaw: oiMap.get(marketSymbol) ?? [],
                         fundingRaw: fundingMap.get(marketSymbol) ?? [],
-                        liqRaw: liqMap.get(marketSymbol) ?? []
+                        liqRaw: liquidationRowsByMarket.get(marketSymbol) ?? []
                       });
                       return (0, import_indicators.coinalyzePointsToRows)(points, interval5, "coinalyze");
                     });
@@ -9366,6 +9512,42 @@ var init_derivativesContextBackfill = __esm({
                     await (0, import_timescale2.upsertDerivatives)(rows);
                     totalRows += rows.length;
                   }
+                  const confirmedLiquidationWindow = (0, import_indicators.resolveCoinalyzeConfirmedIntradayCoverage)({
+                    interval: interval5,
+                    fromMs: group.fromMs,
+                    toMs,
+                    nowMs: coverageNowMs
+                  });
+                  if (confirmedLiquidationWindow) {
+                    const metricCoverageRows = missingBatch.map((item) => {
+                      const marketSymbol = item.marketSymbol.toUpperCase();
+                      const eventRowsCount = (liquidationRowsByMarket.get(marketSymbol) ?? []).filter((point) => {
+                        const timestamp = (0, import_indicators.toCoinalyzeTimestampMs)(
+                          point.t ?? point.ts ?? point.time ?? point.timestamp
+                        );
+                        return timestamp != null && timestamp >= confirmedLiquidationWindow.fromMs && timestamp <= confirmedLiquidationWindow.toMs;
+                      }).length;
+                      return {
+                        source: "coinalyze",
+                        metric: "liquidation",
+                        symbol: item.symbol,
+                        interval: interval5,
+                        fromMs: confirmedLiquidationWindow.fromMs,
+                        toMs: confirmedLiquidationWindow.toMs,
+                        eventRowsCount
+                      };
+                    });
+                    await (0, import_timescale2.applyDerivativesMetricCoverage)(metricCoverageRows);
+                    for (const coverageRow of metricCoverageRows) {
+                      const symbol = coverageRow.symbol.toUpperCase();
+                      const ranges = liquidationCoverageRangesBySymbol.get(symbol) ?? [];
+                      ranges.push({
+                        fromMs: coverageRow.fromMs,
+                        toMs: coverageRow.toMs
+                      });
+                      liquidationCoverageRangesBySymbol.set(symbol, ranges);
+                    }
+                  }
                   if (mode === "backtest") {
                     const rowsCountBySymbol = /* @__PURE__ */ new Map();
                     for (const row of rows) {
@@ -19393,6 +19575,36 @@ var init_derivativesIngestCoinalyzeAll = __esm({
                 await (0, import_timescale7.upsertDerivatives)(rows);
                 totalRows += rows.length;
               }
+              const confirmedLiquidationWindow = (0, import_indicators3.resolveCoinalyzeConfirmedIntradayCoverage)({
+                interval: interval5,
+                fromMs: cursor,
+                toMs,
+                nowMs: now2
+              });
+              if (confirmedLiquidationWindow) {
+                await (0, import_timescale7.applyDerivativesMetricCoverage)(
+                  batch.map((item) => {
+                    const marketSymbol = item.marketSymbol.toUpperCase();
+                    const eventRowsCount = (liqMap.get(marketSymbol) ?? []).filter(
+                      (point) => {
+                        const timestamp = (0, import_indicators3.toCoinalyzeTimestampMs)(
+                          point.t ?? point.ts ?? point.time ?? point.timestamp
+                        );
+                        return timestamp != null && timestamp >= confirmedLiquidationWindow.fromMs && timestamp <= confirmedLiquidationWindow.toMs;
+                      }
+                    ).length;
+                    return {
+                      source: "coinalyze",
+                      metric: "liquidation",
+                      symbol: item.symbol,
+                      interval: interval5,
+                      fromMs: confirmedLiquidationWindow.fromMs,
+                      toMs: confirmedLiquidationWindow.toMs,
+                      eventRowsCount
+                    };
+                  })
+                );
+              }
             } catch (error) {
               failedWindows += 1;
               console.error(

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)
     )