@tradejs/cli 3.1.29-beta.283 → 3.1.29-beta.284

package/dist/lib/aiPocketSearch.js

@@ -39,6 +39,7 @@ var DAYS_PER_WEEK = 7;
 var DAYS_PER_MONTH = 30.4375;
 var PRODUCTION_CANDIDATE_MIN_EVENTS = 25;
 var OUTCOME_SEGMENTS = /* @__PURE__ */ new Set([
+  "researchentrydecision",
   "actual",
   "aiapproved",
   "approvalallowednow",
@@ -323,6 +324,8 @@ var classifyAiPocketFeaturePath = (path) => {
   if (METADATA_LEAVES.has(leaf) || leaf.endsWith("fingerprint") || normalized.some((segment) => segment === "metadata")) {
     return "metadata";
   }
+  if (normalized.some((segment) => OUTCOME_SEGMENTS.has(segment)))
+    return "derived-policy";
   if (DERIVED_POLICY_FRAGMENTS.some(
     (fragment) => !(fragment === "gatefeature" && isStrategySetupEvidence) && normalizedPath.includes(fragment)
   )) {

package/dist/lib/aiTrainResearch.js

@@ -31,6 +31,7 @@ var __toCommonJS = (mod) => __copyProps(__defProp({}, "__esModule", { value: tru
 var aiTrainResearch_exports = {};
 __export(aiTrainResearch_exports, {
   buildAiTrainLineage: () => buildAiTrainLineage,
+  fingerprintResearchContextEnvironment: () => fingerprintResearchContextEnvironment,
   fingerprintResearchValue: () => fingerprintResearchValue,
   summarizeAiTrainCoverage: () => summarizeAiTrainCoverage,
   summarizeAiTrainRejectReasons: () => summarizeAiTrainRejectReasons,
@@ -548,6 +549,11 @@ var getGitLineage = (projectRoot) => {
     return { gitSha: null, gitDirty: null };
   }
 };
+var fingerprintResearchContextEnvironment = (env = process.env) => fingerprintResearchValue(
+  Object.fromEntries(
+    RESEARCH_CONTEXT_ENV_KEYS.map((key) => [key, env[key] ?? null])
+  )
+);
 var buildAiTrainLineage = async ({
   projectRoot,
   strategyName,
@@ -588,6 +594,7 @@ var buildAiTrainLineage = async ({
 // Annotate the CommonJS export names for ESM import in node:
 0 && (module.exports = {
   buildAiTrainLineage,
+  fingerprintResearchContextEnvironment,
   fingerprintResearchValue,
   summarizeAiTrainCoverage,
   summarizeAiTrainRejectReasons,

package/dist/lib/coreResearch.js

@@ -45,7 +45,7 @@ __export(coreResearch_exports, {
 module.exports = __toCommonJS(coreResearch_exports);
 
 // src/lib/coreResearch/orchestrator.ts
-var import_promises4 = __toESM(require("fs/promises"));
+var import_promises3 = __toESM(require("fs/promises"));
 var import_node_path6 = __toESM(require("path"));
 var import_node_child_process = require("child_process");
 var import_node_crypto5 = require("crypto");
@@ -1019,6 +1019,8 @@ var calendarClusterBootstrap = (params) => {
   const alpha = 1 - params.confidenceLevel;
   const positive = samples.filter((value) => value > 0).length;
   const probabilityPositive = positive / samples.length;
+  const observed = deltas.reduce((sum, value) => sum + value, 0) / deltas.length;
+  const oneSidedPValue = (1 + samples.filter((value) => value - observed >= observed - 1e-12).length) / (samples.length + 1);
   return {
     method: "calendar-cluster-bootstrap",
     clusterDays: params.clusterDays,
@@ -1030,7 +1032,7 @@ var calendarClusterBootstrap = (params) => {
       percentile(samples, 1 - alpha / 2)
     ],
     probabilityPositive,
-    oneSidedPValue: 1 - probabilityPositive,
+    oneSidedPValue,
     holmAdjustedPValue: null
   };
 };
@@ -1097,7 +1099,7 @@ var erf = (value) => {
   return sign * y;
 };
 var normalCdf = (value) => 0.5 * (1 + erf(value / Math.SQRT2));
-var deflatedSharpeDiagnostic = (returns, trials) => {
+var deflatedSharpeDiagnostic = (returns, trials, trialSharpes) => {
   const periods = returns.length;
   if (periods < 3) {
     return {
@@ -1122,9 +1124,18 @@ var deflatedSharpeDiagnostic = (returns, trials) => {
   const observedSharpe = mean / standardDeviation;
   const skew = centered.reduce((sum, value) => sum + (value / standardDeviation) ** 3, 0) / periods;
   const kurtosis = centered.reduce((sum, value) => sum + (value / standardDeviation) ** 4, 0) / periods;
-  const expectedMaximumSharpe = inverseNormalCdf(
-    (Math.max(1, trials) - 0.375) / (Math.max(1, trials) + 0.25)
-  );
+  const available = trialSharpes?.filter(Number.isFinite) ?? [];
+  if (trials > 1 && available.length < 2)
+    return {
+      periods,
+      observedSharpe,
+      expectedMaximumSharpe: null,
+      probabilityAboveSelectionBias: null
+    };
+  const trialMean = available.length ? available.reduce((sum, value) => sum + value, 0) / available.length : 0;
+  const trialVariance = available.length > 1 ? available.reduce((sum, value) => sum + (value - trialMean) ** 2, 0) / (available.length - 1) : 0;
+  const gamma = 0.5772156649015329;
+  const expectedMaximumSharpe = trials <= 1 ? 0 : Math.sqrt(trialVariance) * ((1 - gamma) * inverseNormalCdf(1 - 1 / trials) + gamma * inverseNormalCdf(1 - 1 / (trials * Math.E)));
   const standardError = Math.sqrt(
     Math.max(
       1e-12,
@@ -1142,6 +1153,27 @@ var deflatedSharpeDiagnostic = (returns, trials) => {
 };
 var combinations = (items, choose) => {
   const output = [];
+  if (items.length > 10) {
+    const random = createSeededRandom(`cscv-balanced-${items.length}`);
+    const seen = /* @__PURE__ */ new Set();
+    for (let attempt = 0; output.length < 512 && attempt < 1e5; attempt++) {
+      const shuffled = [...items];
+      for (let index = shuffled.length - 1; index > 0; index--) {
+        const swap = Math.floor(random() * (index + 1));
+        [shuffled[index], shuffled[swap]] = [shuffled[swap], shuffled[index]];
+      }
+      const selected = shuffled.slice(0, choose).sort((a, b) => a - b);
+      const complement = items.filter((item) => !selected.includes(item));
+      for (const half of [selected, complement]) {
+        const key = half.join(",");
+        if (!seen.has(key)) {
+          seen.add(key);
+          output.push(half);
+        }
+      }
+    }
+    return output;
+  }
   const visit = (start, selected) => {
     if (output.length >= 512) return;
     if (selected.length === choose) {
@@ -1180,14 +1212,23 @@ var probabilityOfBacktestOverfitting = (performanceByVariant) => {
     const inScores = performanceByVariant.map(
       (performance) => inSample.reduce((sum, index) => sum + performance[index], 0)
     );
-    const selected = inScores.indexOf(Math.max(...inScores));
+    const maximum = Math.max(...inScores);
+    const selected = inScores.flatMap(
+      (score, index) => score === maximum ? [index] : []
+    );
     const outScores = performanceByVariant.map(
       (performance) => outSample.reduce((sum, index) => sum + performance[index], 0)
     );
-    const sorted = [...outScores].sort((left, right) => left - right);
-    const rankAscending = sorted.indexOf(outScores[selected]);
-    const omega = (rankAscending + 1) / (outScores.length + 1);
-    if (Math.log(omega / (1 - omega)) < 0) belowMedian += 1;
+    for (const winner of selected) {
+      const less = outScores.filter(
+        (score) => score < outScores[winner]
+      ).length;
+      const equal = outScores.filter(
+        (score) => score === outScores[winner]
+      ).length;
+      const omega = (less + (equal + 1) / 2) / (outScores.length + 1);
+      if (omega < 0.5) belowMedian += 1 / selected.length;
+    }
   }
   return {
     method: "CSCV",
@@ -2117,34 +2158,55 @@ var applyCoreResearchRobustnessGuardrails = (params) => {
 };
 
 // src/lib/coreResearch/trace.ts
-var import_promises3 = __toESM(require("fs/promises"));
+var import_node_fs4 = require("fs");
+var import_node_readline2 = __toESM(require("readline"));
 var import_node_path4 = __toESM(require("path"));
 var summarizeCoreResearchTrace = async (filePaths = []) => {
   const events = /* @__PURE__ */ Object.create(null);
   const skipCounts = /* @__PURE__ */ Object.create(null);
   const exitCodes = /* @__PURE__ */ Object.create(null);
+  const policyRejections = {};
+  const policyExamples = [];
   for (const inputPath of filePaths) {
     const filePath = import_node_path4.default.resolve(inputPath);
-    const text = await import_promises3.default.readFile(filePath, "utf8");
-    for (const [index, line] of text.split("\n").entries()) {
-      if (!line.trim()) continue;
-      let event;
-      try {
-        event = JSON.parse(line);
-      } catch (error) {
-        throw new Error(
-          `${filePath}:${index + 1} contains invalid trace JSON: ${String(error)}`
-        );
-      }
-      events[event.event] = (events[event.event] ?? 0) + 1;
-      if (event.event === "skip_summary") {
-        for (const [reason, count] of Object.entries(event.skipCounts)) {
-          skipCounts[reason] = (skipCounts[reason] ?? 0) + count;
+    const input = (0, import_node_fs4.createReadStream)(filePath);
+    const lines = import_node_readline2.default.createInterface({ input, crlfDelay: Infinity });
+    let index = -1;
+    try {
+      for await (const line of lines) {
+        index++;
+        if (!line.trim()) continue;
+        let event;
+        try {
+          event = JSON.parse(line);
+        } catch (error) {
+          throw new Error(
+            `${filePath}:${index + 1} contains invalid trace JSON: ${String(error)}`
+          );
+        }
+        events[event.event] = (events[event.event] ?? 0) + 1;
+        if (event.event === "skip_summary") {
+          for (const [reason, count] of Object.entries(event.skipCounts)) {
+            skipCounts[reason] = (skipCounts[reason] ?? 0) + count;
+          }
+        }
+        if (event.event === "position_exited" && event.exitCode) {
+          exitCodes[event.exitCode] = (exitCodes[event.exitCode] ?? 0) + 1;
+        }
+        if ("researchEntryDecision" in event && event.researchEntryDecision && !event.researchEntryDecision.allowed) {
+          const reason = event.researchEntryDecision.reason;
+          policyRejections[reason] = (policyRejections[reason] ?? 0) + 1;
+          if (policyExamples.length < 20)
+            policyExamples.push({
+              timestamp: event.timestamp,
+              symbol: event.symbol,
+              decision: event.researchEntryDecision
+            });
         }
       }
-      if (event.event === "position_exited" && event.exitCode) {
-        exitCodes[event.exitCode] = (exitCodes[event.exitCode] ?? 0) + 1;
-      }
+    } finally {
+      lines.close();
+      input.destroy();
     }
   }
   return {
@@ -2158,7 +2220,13 @@ var summarizeCoreResearchTrace = async (filePaths = []) => {
       Object.entries(exitCodes).sort(
         ([leftKey, leftValue], [rightKey, rightValue]) => rightValue - leftValue || (leftKey < rightKey ? -1 : leftKey > rightKey ? 1 : 0)
       )
-    )
+    ),
+    ...policyExamples.length ? {
+      researchPolicy: {
+        rejections: policyRejections,
+        examples: policyExamples
+      }
+    } : {}
   };
 };
 
@@ -2417,7 +2485,14 @@ var analyzeCoreResearchPrepared = async (spec, options = {}) => {
           analysis.variant.id,
           deflatedSharpeDiagnostic(
             analysis.monthly.map((window) => window.cohorts.ALL.pnl),
-            Math.max(comparisons.length, familyHypotheses)
+            Math.max(comparisons.length, familyHypotheses),
+            analyses.flatMap((entry) => {
+              const diagnostic = deflatedSharpeDiagnostic(
+                entry.monthly.map((window) => window.cohorts.ALL.pnl),
+                1
+              );
+              return diagnostic.observedSharpe == null ? [] : [diagnostic.observedSharpe];
+            })
           )
         ])
       ),
@@ -2442,7 +2517,7 @@ var analyzeCoreResearchPrepared = async (spec, options = {}) => {
   const tradesByVariant = new Map(
     windowed.map((entry) => [entry.variant.id, entry.trades])
   );
-  await import_promises4.default.writeFile(
+  await import_promises3.default.writeFile(
     paths.reportPath,
     buildCoreResearchHtml({ spec, result, tradesByVariant }),
     "utf8"
@@ -2462,7 +2537,7 @@ var analyzeCoreResearchPrepared = async (spec, options = {}) => {
     if (error.code !== "ENOENT") throw error;
   }
   try {
-    for (const name of await import_promises4.default.readdir(paths.runLogDir)) {
+    for (const name of await import_promises3.default.readdir(paths.runLogDir)) {
       if (!name.endsWith(".log")) continue;
       artifactHashes[`runs/${name}`] = await sha256File(
         import_node_path6.default.join(paths.runLogDir, name)
@@ -2662,7 +2737,7 @@ var createCoreResearchSpecTemplate = (params) => {
 };
 var runCommand = async (params) => {
   if (!params.command.length) throw new Error("Cannot run an empty command");
-  await import_promises4.default.mkdir(import_node_path6.default.dirname(params.logPath), { recursive: true });
+  await import_promises3.default.mkdir(import_node_path6.default.dirname(params.logPath), { recursive: true });
   const chunks = [];
   const child = (0, import_node_child_process.spawn)(params.command[0], params.command.slice(1), {
     cwd: params.cwd,
@@ -2682,7 +2757,7 @@ var runCommand = async (params) => {
     child.once("close", (code) => resolve(code ?? 1));
   });
   const output = chunks.join("");
-  await import_promises4.default.writeFile(params.logPath, output, "utf8");
+  await import_promises3.default.writeFile(params.logPath, output, "utf8");
   if (exitCode !== 0) {
     throw new Error(
       `Command failed with exit ${exitCode}: ${params.command.join(" ")}`