@tradejs/strategies 1.0.9 → 1.0.10

package/dist/strategy-HQIPCUOY.mjs

@@ -1,399 +0,0 @@
-import {
-  buildReverseTrendlineStructuralContext,
-  buildReverseTrendlineTimingContext,
-  config,
-  reverseTrendLineManifest,
-  toFiniteNumberOrNull
-} from "./chunk-UK4YHD2E.mjs";
-import "./chunk-HEBXNMVQ.mjs";
-
-// src/ReverseTrendLine/strategy.ts
-import { createStrategyRuntime } from "@tradejs/node/strategies";
-
-// src/ReverseTrendLine/core.ts
-import { round as round2 } from "@tradejs/core/math";
-import { createTrendlineEngine } from "@tradejs/core/indicators";
-
-// src/ReverseTrendLine/filters.ts
-import { diffRel } from "@tradejs/core/math";
-var MAX_CANDLE_VOLATILITY = 0.025;
-var filterByVeryVolatility = (data) => {
-  const lastCandle = data[data.length - 1];
-  const prevCandle = data[data.length - 2];
-  if (!lastCandle || !prevCandle) {
-    return false;
-  }
-  const isVeryVolatility = diffRel(lastCandle.low, lastCandle.high) > MAX_CANDLE_VOLATILITY || diffRel(prevCandle.low, prevCandle.high) > MAX_CANDLE_VOLATILITY;
-  return !isVeryVolatility;
-};
-
-// src/ReverseTrendLine/figures.ts
-var buildReverseTrendLineFigures = (bestLine) => ({
-  lines: [
-    {
-      id: bestLine.id,
-      kind: "trendline",
-      points: [...bestLine.points ?? []].sort(
-        (left, right) => left.timestamp - right.timestamp
-      ),
-      color: bestLine.mode === "lows" ? "#22c55e" : "#f97316",
-      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/ReverseTrendLine/risk.ts
-import { round } from "@tradejs/core/math";
-var MIN_STOP_BUFFER_PCT = 0.1;
-var LINE_BUFFER_ATR_FACTOR = 0.25;
-var LINE_BUFFER_BASE_SL_FACTOR = 0.1;
-var ATR_STOP_FLOOR_FACTOR = 0.65;
-var MIN_STOP_LOSS_FACTOR = 0.8;
-var MAX_STOP_LOSS_FACTOR = 2;
-var clampNumber = (value, min, max) => Math.min(Math.max(value, min), max);
-var getTimingStopFactor = (entryTiming) => {
-  if (entryTiming === "ready_follow_through") {
-    return 0.95;
-  }
-  return 1;
-};
-var getTimingTargetRiskRatio = ({
-  direction,
-  entryTiming
-}) => {
-  if (direction === "LONG") {
-    return entryTiming === "ready_follow_through" ? 2.15 : 1.95;
-  }
-  return entryTiming === "ready_follow_through" ? 2.2 : 2;
-};
-var buildReverseTrendlineRiskPlan = ({
-  direction,
-  modeConfig,
-  structuralContext,
-  timingContext
-}) => {
-  const baseStopLossDelta = modeConfig.SL;
-  const atrPct = structuralContext.atrPct ?? baseStopLossDelta;
-  const priceVsLinePctAbs = structuralContext.priceVsLinePctAbs ?? 0;
-  const rejectionStrengthPct = structuralContext.rejectionStrengthPct ?? 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 *= 1.03;
-  }
-  if (distance != null && distance >= 400) {
-    stopLossDelta *= 1.05;
-  } else if (distance != null && distance <= 120) {
-    stopLossDelta *= 0.95;
-  }
-  if (rejectionStrengthPct >= 0.2) {
-    stopLossDelta *= 0.95;
-  }
-  stopLossDelta *= getTimingStopFactor(timingContext.entryTiming);
-  stopLossDelta = clampNumber(
-    stopLossDelta,
-    baseStopLossDelta * MIN_STOP_LOSS_FACTOR,
-    baseStopLossDelta * MAX_STOP_LOSS_FACTOR
-  );
-  let targetRiskRatio = getTimingTargetRiskRatio({
-    direction,
-    entryTiming: timingContext.entryTiming
-  });
-  if (touches >= 6) {
-    targetRiskRatio += 0.1;
-  }
-  if (distance != null && distance >= 120 && distance <= 350) {
-    targetRiskRatio += 0.05;
-  }
-  if (direction === "SHORT" && distance != null && distance > 500) {
-    targetRiskRatio -= 0.15;
-  }
-  if (direction === "LONG" && distance != null && distance > 500) {
-    targetRiskRatio -= 0.1;
-  }
-  const minTargetRiskRatio = modeConfig.minRiskRatio + 0.05;
-  const maxTargetRiskRatio = Math.max(modeConfig.TP / modeConfig.SL, minTargetRiskRatio) + 0.3;
-  targetRiskRatio = clampNumber(
-    targetRiskRatio,
-    minTargetRiskRatio,
-    maxTargetRiskRatio
-  );
-  return {
-    stopLossDelta: round(stopLossDelta, 3),
-    targetRiskRatio: round(targetRiskRatio, 2),
-    takeProfitDelta: round(stopLossDelta * targetRiskRatio, 3)
-  };
-};
-
-// src/ReverseTrendLine/core.ts
-var buildReverseTrendlineSignalSeed = ({
-  direction,
-  currentPrice,
-  indicators,
-  bestLine,
-  currentCandle,
-  reverseTrendlineTiming
-}) => ({
-  direction,
-  prices: { currentPrice },
-  indicators,
-  additionalIndicators: {
-    touches: Array.isArray(bestLine.touches) ? bestLine.touches.length + 2 : 2,
-    distance: bestLine.distance,
-    trendLine: bestLine,
-    ...currentCandle ? { currentCandle } : {},
-    ...reverseTrendlineTiming ? { reverseTrendlineTiming } : {}
-  },
-  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 getLinePriceAtNow = (line, timestamp) => {
-  if (!line || !Array.isArray(line.points) || line.points.length === 0) {
-    return null;
-  }
-  const sortedPoints = [...line.points].sort(
-    (left, right) => left.timestamp - right.timestamp
-  );
-  const first = sortedPoints[0];
-  const last = sortedPoints[sortedPoints.length - 1];
-  if (first.timestamp === last.timestamp) {
-    return last.value;
-  }
-  const slope = (last.value - first.value) / (last.timestamp - first.timestamp);
-  return first.value + slope * (timestamp - first.timestamp);
-};
-var buildReverseTrendlineCandidateContext = ({
-  line,
-  candle,
-  direction
-}) => {
-  const currentLinePrice = getLinePriceAtNow(line, candle.timestamp);
-  const priceVsLinePct = currentLinePrice != null && currentLinePrice !== 0 ? (candle.close - currentLinePrice) / currentLinePrice * 100 : null;
-  const priceVsLinePctAbs = priceVsLinePct == null ? null : Math.abs(priceVsLinePct);
-  const lineTouchedNow = currentLinePrice != null && candle.low <= currentLinePrice && candle.high >= currentLinePrice;
-  const failedBounceBreak = direction === "LONG" ? priceVsLinePct != null && priceVsLinePct <= -0.35 : priceVsLinePct != null && priceVsLinePct >= 0.35;
-  return {
-    currentLinePrice,
-    priceVsLinePctAbs,
-    lineTouchedNow,
-    failedBounceBreak,
-    distance: toFiniteNumberOrNull(line.distance)
-  };
-};
-var pickBestCandidateLine = ({
-  candle,
-  lines
-}) => {
-  const ranked = lines.map(({ line, direction }) => {
-    const candidateContext = buildReverseTrendlineCandidateContext({
-      line,
-      candle,
-      direction
-    });
-    return { line, direction, candidateContext };
-  }).filter(({ candidateContext }) => candidateContext.currentLinePrice != null).sort((left, right) => {
-    const leftTouchRank = left.candidateContext.lineTouchedNow ? 0 : 1;
-    const rightTouchRank = right.candidateContext.lineTouchedNow ? 0 : 1;
-    if (leftTouchRank !== rightTouchRank) {
-      return leftTouchRank - rightTouchRank;
-    }
-    const leftDistance = left.candidateContext.priceVsLinePctAbs ?? Number.POSITIVE_INFINITY;
-    const rightDistance = right.candidateContext.priceVsLinePctAbs ?? Number.POSITIVE_INFINITY;
-    if (leftDistance !== rightDistance) {
-      return leftDistance - rightDistance;
-    }
-    return (left.candidateContext.distance ?? Number.POSITIVE_INFINITY) - (right.candidateContext.distance ?? Number.POSITIVE_INFINITY);
-  });
-  return ranked[0] ?? null;
-};
-var createReverseTrendLineCore = 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 activeLine = currentPosition.direction === "LONG" ? lowsTrendlines[0] : highsTrendlines[0];
-      const activeLinePrice = getLinePriceAtNow(
-        activeLine ?? null,
-        candle.timestamp
-      );
-      const priceVsLinePct = activeLinePrice != null && activeLinePrice !== 0 ? (candle.close - activeLinePrice) / activeLinePrice * 100 : null;
-      const failedBounceBreak = currentPosition.direction === "LONG" ? priceVsLinePct != null && priceVsLinePct <= -0.35 : priceVsLinePct != null && priceVsLinePct >= 0.35;
-      if (failedBounceBreak) {
-        return strategyApi.exit({
-          code: "REVERSE_TRENDLINE_FAILED_BOUNCE_EXIT",
-          direction: currentPosition.direction
-        });
-      }
-      return strategyApi.skip("POSITION_EXISTS");
-    }
-    if (lastTradeController.isInCooldown(candle.timestamp)) {
-      return strategyApi.skip("DEV_TRADE_COOLDOWN");
-    }
-    const candidates = [];
-    if (LOWS.enable && lowsTrendlines.length > 0) {
-      candidates.push({ line: lowsTrendlines[0], direction: LOWS.direction });
-    }
-    if (HIGHS.enable && highsTrendlines.length > 0) {
-      candidates.push({ line: highsTrendlines[0], direction: HIGHS.direction });
-    }
-    if (candidates.length === 0) {
-      return strategyApi.skip("NO_TRENDLINE");
-    }
-    const bestCandidate = pickBestCandidateLine({
-      candle: {
-        timestamp: candle.timestamp,
-        open: candle.open,
-        close: candle.close,
-        high: candle.high,
-        low: candle.low
-      },
-      lines: candidates
-    });
-    if (!bestCandidate) {
-      return strategyApi.skip("NO_TRENDLINE");
-    }
-    const { line: bestLine, direction, candidateContext } = bestCandidate;
-    const modeConfig = direction === "LONG" ? LOWS : HIGHS;
-    const { minRiskRatio } = modeConfig;
-    if (candidateContext.failedBounceBreak) {
-      return strategyApi.skip(
-        "REVERSE_TRENDLINE_STRUCTURE:failed_bounce_break"
-      );
-    }
-    const { fullData, timestamp, currentPrice } = await strategyApi.getMarketData();
-    if (!filterByVeryVolatility(fullData)) {
-      return strategyApi.skip("VERY_VOLATILITY");
-    }
-    const indicators = indicatorsState.snapshot();
-    const signalSeed = buildReverseTrendlineSignalSeed({
-      direction,
-      currentPrice,
-      indicators,
-      bestLine,
-      currentCandle: {
-        timestamp: candle.timestamp,
-        open: candle.open,
-        close: candle.close,
-        high: candle.high,
-        low: candle.low
-      }
-    });
-    const structuralContext = buildReverseTrendlineStructuralContext(signalSeed);
-    const timingContext = buildReverseTrendlineTimingContext({
-      signal: signalSeed,
-      candles: fullData,
-      structuralContext
-    });
-    if (!timingContext.entryReadyNow) {
-      const timingCode = timingContext.entryTiming === "stale_reaction" ? "STALE_REACTION" : timingContext.entryTiming === "wait_reaction_confirmation" ? "WAIT_REACTION_CONFIRMATION" : "WAIT_TOUCH";
-      return strategyApi.skip(`REVERSE_TRENDLINE_TIMING:${timingCode}`);
-    }
-    const riskPlan = buildReverseTrendlineRiskPlan({
-      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: "REVERSE_TRENDLINE_SIGNAL",
-      figures: {
-        ...buildReverseTrendLineFigures(bestLine)
-      },
-      direction,
-      indicators,
-      additionalIndicators: buildReverseTrendlineSignalSeed({
-        direction,
-        currentPrice,
-        indicators,
-        bestLine,
-        currentCandle: {
-          timestamp: candle.timestamp,
-          open: candle.open,
-          close: candle.close,
-          high: candle.high,
-          low: candle.low
-        },
-        reverseTrendlineTiming: timingContext
-      }).additionalIndicators,
-      orderPlan: {
-        qty,
-        stopLossPrice,
-        takeProfits: [{ rate: 1, price: takeProfitPrice }]
-      }
-    });
-  };
-};
-
-// src/ReverseTrendLine/strategy.ts
-var ReverseTrendLineStrategyCreator = createStrategyRuntime({
-  strategyName: "ReverseTrendLine",
-  defaults: config,
-  createCore: createReverseTrendLineCore,
-  manifest: reverseTrendLineManifest,
-  strategyDirectory: __dirname
-});
-export {
-  ReverseTrendLineStrategyCreator
-};