@tradejs/strategies 1.0.9 → 1.0.10

package/dist/strategy-ABIO65CR.mjs

@@ -1,209 +0,0 @@
-import {
-  config,
-  maStrategyManifest
-} from "./chunk-H4MHFD4B.mjs";
-import "./chunk-HEBXNMVQ.mjs";
-
-// src/MaStrategy/strategy.ts
-import { createStrategyRuntime } from "@tradejs/node/strategies";
-
-// src/MaStrategy/core.ts
-import { round } from "@tradejs/core/math";
-
-// src/MaStrategy/figures.ts
-var toLinePoints = (candles, values, limit = 120) => {
-  const points = [];
-  const seriesOffset = Math.max(0, candles.length - values.length);
-  const start = Math.max(0, values.length - limit);
-  for (let i = start; i < values.length; i += 1) {
-    const candle = candles[seriesOffset + i];
-    const value = values[i];
-    if (!candle || !Number.isFinite(value)) continue;
-    points.push({
-      timestamp: candle.timestamp,
-      value
-    });
-  }
-  return points;
-};
-var buildMaStrategyFigures = ({
-  fullData,
-  maFast,
-  maSlow,
-  crossTimestamp,
-  crossPrice,
-  crossKind
-}) => ({
-  lines: [
-    {
-      id: "ma-fast",
-      kind: "ma_fast",
-      points: toLinePoints(fullData, maFast),
-      color: "#22d3ee",
-      width: 2,
-      style: "solid"
-    },
-    {
-      id: "ma-slow",
-      kind: "ma_slow",
-      points: toLinePoints(fullData, maSlow),
-      color: "#f59e0b",
-      width: 2,
-      style: "solid"
-    }
-  ],
-  points: [
-    {
-      id: `ma-cross-${crossTimestamp}`,
-      kind: "ma_cross",
-      points: [
-        {
-          timestamp: crossTimestamp,
-          value: crossPrice
-        }
-      ],
-      color: crossKind === "bullish" ? "#22c55e" : "#ef4444",
-      radius: 4
-    }
-  ]
-});
-
-// src/MaStrategy/core.ts
-var isFiniteNumber = (value) => typeof value === "number" && Number.isFinite(value);
-var detectCross = (maFast, maSlow) => {
-  if (maFast.length < 2 || maSlow.length < 2) {
-    return null;
-  }
-  const maFastPrev = maFast[maFast.length - 2];
-  const maFastCurrent = maFast[maFast.length - 1];
-  const maSlowPrev = maSlow[maSlow.length - 2];
-  const maSlowCurrent = maSlow[maSlow.length - 1];
-  if (!isFiniteNumber(maFastPrev) || !isFiniteNumber(maFastCurrent) || !isFiniteNumber(maSlowPrev) || !isFiniteNumber(maSlowCurrent)) {
-    return null;
-  }
-  if (maFastPrev <= maSlowPrev && maFastCurrent > maSlowCurrent) {
-    return {
-      kind: "bullish",
-      maFastPrev,
-      maFastCurrent,
-      maSlowPrev,
-      maSlowCurrent
-    };
-  }
-  if (maFastPrev >= maSlowPrev && maFastCurrent < maSlowCurrent) {
-    return {
-      kind: "bearish",
-      maFastPrev,
-      maFastCurrent,
-      maSlowPrev,
-      maSlowCurrent
-    };
-  }
-  return null;
-};
-var createMaStrategyCore = async ({ config: config2, strategyApi, indicatorsState }) => {
-  const { FEE_PERCENT, MAX_LOSS_VALUE, TRADE_COOLDOWN_MS, LONG, SHORT } = config2;
-  const lastTradeController = strategyApi.createLastTradeController({
-    enabled: Number(TRADE_COOLDOWN_MS ?? 0) > 0,
-    cooldownMs: Number(TRADE_COOLDOWN_MS ?? 0)
-  });
-  return async () => {
-    indicatorsState.onBar();
-    const indicators = indicatorsState.snapshot();
-    if (!indicators) {
-      return strategyApi.skip("NO_INDICATORS");
-    }
-    const maFast = Array.isArray(indicators.maFast) ? indicators.maFast : [];
-    const maSlow = Array.isArray(indicators.maSlow) ? indicators.maSlow : [];
-    if (maFast.length < 2 || maSlow.length < 2) {
-      return strategyApi.skip("WAIT_MA_DATA");
-    }
-    const cross = detectCross(maFast, maSlow);
-    const position = await strategyApi.getCurrentPosition();
-    const positionExists = Boolean(
-      position && typeof position.qty === "number" && position.qty > 0
-    );
-    if (positionExists && position) {
-      if (position.direction === "LONG" && cross?.kind === "bearish" || position.direction === "SHORT" && cross?.kind === "bullish") {
-        const { currentPrice: currentPrice2, timestamp: timestamp2 } = await strategyApi.getMarketData();
-        return {
-          kind: "exit",
-          code: "CLOSE_BY_OPPOSITE_MA_CROSS",
-          closePlan: {
-            price: currentPrice2,
-            timestamp: timestamp2,
-            direction: position.direction
-          }
-        };
-      }
-      return strategyApi.skip("POSITION_HELD");
-    }
-    if (!cross) {
-      return strategyApi.skip("NO_CROSS");
-    }
-    const modeConfig = cross.kind === "bullish" ? LONG : SHORT;
-    if (!modeConfig.enable) {
-      return strategyApi.skip("STRATEGY_DISABLED");
-    }
-    const { fullData, timestamp, currentPrice } = await strategyApi.getMarketData();
-    if (lastTradeController.isInCooldown(timestamp)) {
-      return strategyApi.skip("TRADE_COOLDOWN");
-    }
-    const { stopLossPrice, takeProfitPrice, riskRatio, qty } = strategyApi.getDirectionalTpSlPrices({
-      price: currentPrice,
-      direction: modeConfig.direction,
-      takeProfitDelta: modeConfig.TP,
-      stopLossDelta: modeConfig.SL,
-      unit: "percent",
-      maxLossValue: MAX_LOSS_VALUE,
-      feePercent: Number(FEE_PERCENT ?? 0)
-    });
-    if (!qty || !Number.isFinite(qty) || qty <= 0) {
-      return strategyApi.skip("INVALID_QTY");
-    }
-    if (riskRatio <= modeConfig.minRiskRatio) {
-      return strategyApi.skip(`RISK_RATIO:${round(riskRatio)}`);
-    }
-    const correlation = indicatorsState.latestNumber("correlation");
-    lastTradeController.markTrade(timestamp);
-    return strategyApi.entry({
-      code: cross.kind === "bullish" ? "MA_BULLISH_CROSS" : "MA_BEARISH_CROSS",
-      direction: modeConfig.direction,
-      figures: buildMaStrategyFigures({
-        fullData,
-        maFast,
-        maSlow,
-        crossTimestamp: timestamp,
-        crossPrice: currentPrice,
-        crossKind: cross.kind
-      }),
-      indicators,
-      additionalIndicators: {
-        crossKind: cross.kind,
-        maFastPrev: cross.maFastPrev,
-        maFastCurrent: cross.maFastCurrent,
-        maSlowPrev: cross.maSlowPrev,
-        maSlowCurrent: cross.maSlowCurrent,
-        maGap: cross.maFastCurrent - cross.maSlowCurrent,
-        correlation
-      },
-      orderPlan: {
-        qty,
-        stopLossPrice,
-        takeProfits: [{ rate: 1, price: takeProfitPrice }]
-      }
-    });
-  };
-};
-
-// src/MaStrategy/strategy.ts
-var MaStrategyCreator = createStrategyRuntime({
-  strategyName: "MaStrategy",
-  defaults: config,
-  createCore: createMaStrategyCore,
-  manifest: maStrategyManifest,
-  strategyDirectory: __dirname
-});
-export {
-  MaStrategyCreator
-};

package/dist/strategy-D7H5J3C4.mjs

@@ -1,348 +0,0 @@
-import {
-  buildTrendlineStructuralContext,
-  buildTrendlineTimingContext,
-  config,
-  trendLineManifest
-} from "./chunk-TDUTYEGH.mjs";
-import "./chunk-HEBXNMVQ.mjs";
-
-// src/TrendLine/strategy.ts
-import { createStrategyRuntime } from "@tradejs/node/strategies";
-
-// src/TrendLine/core.ts
-import { round as round2 } from "@tradejs/core/math";
-import { createTrendlineEngine } from "@tradejs/core/indicators";
-
-// src/TrendLine/filters.ts
-import { diffRel } from "@tradejs/core/math";
-import { ATR_PCT } from "@tradejs/indicators";
-var MAX_CANDLE_VOLATILITY = 0.025;
-var filterByVeryVolatility = (data) => {
-  const lastCandle = data[data.length - 1];
-  const prevCandle = data[data.length - 2];
-  const isVeryVolatility = diffRel(lastCandle.low, lastCandle.high) > MAX_CANDLE_VOLATILITY || diffRel(prevCandle.low, prevCandle.high) > MAX_CANDLE_VOLATILITY;
-  if (isVeryVolatility) {
-    return false;
-  }
-  return true;
-};
-
-// src/TrendLine/figures.ts
-var buildTrendLineFigures = (bestLine) => ({
-  lines: [
-    {
-      id: bestLine.id,
-      kind: "trendline",
-      points: [...bestLine.points ?? []].sort(
-        (left, right) => left.timestamp - right.timestamp
-      ),
-      color: bestLine.mode === "lows" ? "#facc15" : "#fb923c",
-      width: 2,
-      style: "solid"
-    }
-  ],
-  points: [
-    {
-      id: `${bestLine.id}-points`,
-      kind: "trendline_points",
-      points: [...bestLine.points ?? [], ...bestLine.touches ?? []].sort(
-        (left, right) => left.timestamp - right.timestamp
-      ),
-      color: "#ef4444",
-      radius: 4
-    }
-  ]
-});
-
-// src/TrendLine/risk.ts
-import { round } from "@tradejs/core/math";
-var MIN_STOP_BUFFER_PCT = 0.15;
-var LINE_BUFFER_ATR_FACTOR = 0.35;
-var LINE_BUFFER_BASE_SL_FACTOR = 0.15;
-var ATR_STOP_FLOOR_FACTOR = 0.8;
-var MIN_STOP_LOSS_FACTOR = 0.75;
-var MAX_STOP_LOSS_FACTOR = 2.25;
-var clampNumber = (value, min, max) => Math.min(Math.max(value, min), max);
-var getTimingStopFactor = (entryTiming) => {
-  if (entryTiming === "ready_retest") {
-    return 0.9;
-  }
-  if (entryTiming === "ready_follow_through") {
-    return 1.05;
-  }
-  return 1;
-};
-var getTimingTargetRiskRatio = ({
-  direction,
-  entryTiming
-}) => {
-  if (direction === "LONG") {
-    if (entryTiming === "ready_retest") {
-      return 2.45;
-    }
-    if (entryTiming === "ready_follow_through") {
-      return 2.3;
-    }
-    return 2.6;
-  }
-  if (entryTiming === "ready_retest") {
-    return 2.3;
-  }
-  if (entryTiming === "ready_follow_through") {
-    return 2.15;
-  }
-  return 2.45;
-};
-var buildTrendlineRiskPlan = ({
-  direction,
-  modeConfig,
-  structuralContext,
-  timingContext
-}) => {
-  const baseStopLossDelta = modeConfig.SL;
-  const atrPct = structuralContext.atrPct ?? baseStopLossDelta;
-  const priceVsLinePctAbs = structuralContext.priceVsLinePctAbs ?? 0;
-  const breakVsAtrRatio = structuralContext.breakVsAtrRatio ?? 0;
-  const touches = structuralContext.touches ?? 0;
-  const distance = structuralContext.distance ?? null;
-  const lineBufferPct = Math.max(
-    atrPct * LINE_BUFFER_ATR_FACTOR,
-    baseStopLossDelta * LINE_BUFFER_BASE_SL_FACTOR,
-    MIN_STOP_BUFFER_PCT
-  );
-  const lineInvalidationPct = priceVsLinePctAbs + lineBufferPct;
-  const volatilityFloorPct = Math.max(
-    atrPct * ATR_STOP_FLOOR_FACTOR,
-    baseStopLossDelta * MIN_STOP_LOSS_FACTOR
-  );
-  let stopLossDelta = Math.max(lineInvalidationPct, volatilityFloorPct);
-  if (touches >= 6) {
-    stopLossDelta *= 0.95;
-  } else if (touches > 0 && touches <= 4) {
-    stopLossDelta *= 1.05;
-  }
-  if (distance != null && distance >= 250) {
-    stopLossDelta *= 1.08;
-  } else if (distance != null && distance <= 120) {
-    stopLossDelta *= 0.95;
-  }
-  stopLossDelta *= getTimingStopFactor(timingContext.entryTiming);
-  if (direction === "SHORT") {
-    stopLossDelta *= 1.08;
-  }
-  if (breakVsAtrRatio >= 1.5) {
-    stopLossDelta *= 0.95;
-  }
-  stopLossDelta = clampNumber(
-    stopLossDelta,
-    baseStopLossDelta * MIN_STOP_LOSS_FACTOR,
-    baseStopLossDelta * MAX_STOP_LOSS_FACTOR
-  );
-  let targetRiskRatio = getTimingTargetRiskRatio({
-    direction,
-    entryTiming: timingContext.entryTiming
-  });
-  if (breakVsAtrRatio >= 1.25) {
-    targetRiskRatio += 0.2;
-  } else if (breakVsAtrRatio > 0 && breakVsAtrRatio < 0.75) {
-    targetRiskRatio -= 0.15;
-  }
-  if (touches >= 6) {
-    targetRiskRatio += 0.1;
-  }
-  if (distance != null && distance >= 120 && distance <= 350) {
-    targetRiskRatio += 0.1;
-  }
-  if (direction === "SHORT" && distance != null && distance > 450) {
-    targetRiskRatio -= 0.25;
-  }
-  if (direction === "LONG" && distance != null && distance > 500) {
-    targetRiskRatio -= 0.15;
-  }
-  const minTargetRiskRatio = modeConfig.minRiskRatio + 0.05;
-  const maxTargetRiskRatio = Math.max(modeConfig.TP / modeConfig.SL, minTargetRiskRatio) + 0.4;
-  targetRiskRatio = clampNumber(
-    targetRiskRatio,
-    minTargetRiskRatio,
-    maxTargetRiskRatio
-  );
-  return {
-    stopLossDelta: round(stopLossDelta, 3),
-    targetRiskRatio: round(targetRiskRatio, 2),
-    takeProfitDelta: round(stopLossDelta * targetRiskRatio, 3)
-  };
-};
-
-// src/TrendLine/core.ts
-var buildTrendlineSignalSeed = ({
-  direction,
-  currentPrice,
-  indicators,
-  bestLine,
-  trendlineTiming
-}) => ({
-  direction,
-  prices: { currentPrice },
-  indicators,
-  additionalIndicators: {
-    touches: bestLine.touches.length + 2,
-    distance: bestLine.distance,
-    trendLine: bestLine,
-    ...trendlineTiming ? { trendlineTiming } : {}
-  },
-  figures: {
-    trendLine: bestLine
-  }
-});
-var isOpenPosition = (position) => Boolean(
-  position && typeof position.price === "number" && Number.isFinite(position.price) && typeof position.qty === "number" && Number.isFinite(position.qty) && position.qty > 0 && (position.direction === "LONG" || position.direction === "SHORT")
-);
-var isFailedBreakout = ({
-  direction,
-  priceVsLinePct
-}) => {
-  if (priceVsLinePct == null) {
-    return false;
-  }
-  return direction === "LONG" ? priceVsLinePct < 0 : priceVsLinePct > 0;
-};
-var createTrendLineCore = async ({ config: config2, data: cachedData, strategyApi, indicatorsState }) => {
-  const { TRENDLINE, FEE_PERCENT, MAX_LOSS_VALUE, HIGHS, LOWS } = config2;
-  const lastTradeController = strategyApi.createLastTradeController();
-  const trendlineOptions = {
-    bestLines: 1,
-    capture: true,
-    ...TRENDLINE
-  };
-  const getLowsTrendlines = createTrendlineEngine(cachedData, {
-    mode: "lows",
-    ...trendlineOptions
-  });
-  const getHighsTrendlines = createTrendlineEngine(cachedData, {
-    mode: "highs",
-    ...trendlineOptions
-  });
-  return async (candle) => {
-    const lowsTrendlines = getLowsTrendlines.next(candle);
-    const highsTrendlines = getHighsTrendlines.next(candle);
-    indicatorsState.onBar();
-    const currentPosition = await strategyApi.getCurrentPosition();
-    if (isOpenPosition(currentPosition)) {
-      const { currentPrice: currentPrice2 } = await strategyApi.getMarketData();
-      const activeLine = currentPosition.direction === "LONG" ? highsTrendlines[0] : lowsTrendlines[0];
-      const activeModeConfig = currentPosition.direction === "LONG" ? HIGHS : LOWS;
-      if (activeLine) {
-        const indicators2 = indicatorsState.snapshot();
-        const manageSignalSeed = buildTrendlineSignalSeed({
-          direction: activeModeConfig.direction,
-          currentPrice: currentPrice2,
-          indicators: indicators2,
-          bestLine: activeLine
-        });
-        const structuralContext2 = buildTrendlineStructuralContext(manageSignalSeed);
-        if (isFailedBreakout({
-          direction: currentPosition.direction,
-          priceVsLinePct: structuralContext2.priceVsLinePct
-        })) {
-          return strategyApi.exit({
-            code: "TRENDLINE_FAILED_BREAKOUT_EXIT",
-            direction: currentPosition.direction
-          });
-        }
-      }
-      return strategyApi.skip("POSITION_EXISTS");
-    }
-    const bestLine = lowsTrendlines.length > 0 ? lowsTrendlines[0] : highsTrendlines[0];
-    if (!bestLine) {
-      return strategyApi.skip("NO_TRENDLINE");
-    }
-    if (lastTradeController.isInCooldown(candle.timestamp)) {
-      return strategyApi.skip("DEV_TRADE_COOLDOWN");
-    }
-    const modeConfig = bestLine.mode === "highs" ? HIGHS : LOWS;
-    const { direction, minRiskRatio, enable } = modeConfig;
-    if (!enable) {
-      return strategyApi.skip("STRATEGY_DISABLED");
-    }
-    const { fullData, timestamp, currentPrice } = await strategyApi.getMarketData();
-    if (!filterByVeryVolatility(fullData)) {
-      return strategyApi.skip("VERY_VOLATILITY");
-    }
-    const indicators = indicatorsState.snapshot();
-    const signalSeed = buildTrendlineSignalSeed({
-      direction,
-      currentPrice,
-      indicators,
-      bestLine
-    });
-    const structuralContext = buildTrendlineStructuralContext(signalSeed);
-    if (structuralContext.structuralHardBlockReasons.length > 0) {
-      return strategyApi.skip(
-        `TRENDLINE_STRUCTURE:${structuralContext.structuralHardBlockReasons[0]}`
-      );
-    }
-    const timingContext = buildTrendlineTimingContext({
-      signal: signalSeed,
-      candles: fullData,
-      structuralContext
-    });
-    if (!timingContext.entryReadyNow) {
-      const timingCode = timingContext.entryTiming === "stale_breakout" ? "STALE_BREAKOUT" : timingContext.entryTiming === "wait_retest_confirmation" ? "WAIT_RETEST_CONFIRMATION" : "WAIT_RETEST";
-      return strategyApi.skip(`TRENDLINE_TIMING:${timingCode}`);
-    }
-    const riskPlan = buildTrendlineRiskPlan({
-      direction,
-      modeConfig,
-      structuralContext,
-      timingContext
-    });
-    const { stopLossPrice, takeProfitPrice, riskRatio, qty } = strategyApi.getDirectionalTpSlPrices({
-      price: currentPrice,
-      direction,
-      takeProfitDelta: riskPlan.takeProfitDelta,
-      stopLossDelta: riskPlan.stopLossDelta,
-      unit: "percent",
-      maxLossValue: MAX_LOSS_VALUE,
-      feePercent: Number(FEE_PERCENT ?? 0)
-    });
-    if (!qty || !Number.isFinite(qty) || qty <= 0) {
-      return strategyApi.skip("INVALID_QTY");
-    }
-    if (riskRatio <= minRiskRatio) {
-      return strategyApi.skip(`RISK_RATIO:${round2(riskRatio)}`);
-    }
-    lastTradeController.markTrade(timestamp);
-    return strategyApi.entry({
-      code: "TRENDLINE_SIGNAL",
-      figures: {
-        ...buildTrendLineFigures(bestLine)
-      },
-      direction,
-      indicators,
-      additionalIndicators: buildTrendlineSignalSeed({
-        direction,
-        currentPrice,
-        indicators,
-        bestLine,
-        trendlineTiming: timingContext
-      }).additionalIndicators,
-      orderPlan: {
-        qty,
-        stopLossPrice,
-        takeProfits: [{ rate: 1, price: takeProfitPrice }]
-      }
-    });
-  };
-};
-
-// src/TrendLine/strategy.ts
-var TrendlineStrategyCreator = createStrategyRuntime({
-  strategyName: "TrendLine",
-  defaults: config,
-  createCore: createTrendLineCore,
-  manifest: trendLineManifest,
-  strategyDirectory: __dirname
-});
-export {
-  TrendlineStrategyCreator
-};