dexbot 1.1.10
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/LICENSE +21 -0
- package/README.md +287 -0
- package/claw/README.md +513 -0
- package/claw/scripts/memu_runner.py +385 -0
- package/claw/skills/bitshares-guide/SKILL.md +14 -0
- package/claw/skills/bitshares-guide/references/example-skill-shells.md +18 -0
- package/claw/skills/bitshares-guide/references/presentation-patterns.md +19 -0
- package/claw/skills/bitshares-guide/references/scope-guardrails.md +9 -0
- package/claw/skills/launcher-ops/SKILL.md +18 -0
- package/claw/skills/launcher-ops/references/launcher-workflow.md +23 -0
- package/claw/skills/margin-trading/SKILL.md +23 -0
- package/claw/skills/margin-trading/references/honest-asset-list.md +74 -0
- package/claw/skills/margin-trading/references/honest-assets.md +44 -0
- package/claw/skills/margin-trading/references/position-management.md +203 -0
- package/claw/skills/margin-trading/references/trading-concepts.md +80 -0
- package/claw/skills/memu-memory/SKILL.md +218 -0
- package/claw/skills/shared/references/js-automation-overview.md +24 -0
- package/claw/skills/shared/references/safety-and-staleness.md +11 -0
- package/claw/skills/shared/references/skill-boundaries.md +17 -0
- package/claw/skills/trend-detection/SKILL.md +33 -0
- package/claw/skills/trend-detection/agents/openai.yaml +3 -0
- package/claw/skills/trend-detection/references/service.md +45 -0
- package/dist/analysis/ama_fitting/analyze_ama_price_changes.d.ts +3 -0
- package/dist/analysis/ama_fitting/analyze_ama_price_changes.d.ts.map +1 -0
- package/dist/analysis/ama_fitting/analyze_ama_price_changes.js +149 -0
- package/dist/analysis/ama_fitting/analyze_ama_price_changes.js.map +1 -0
- package/dist/analysis/ama_fitting/analyze_lambda_vs_slow.d.ts +3 -0
- package/dist/analysis/ama_fitting/analyze_lambda_vs_slow.d.ts.map +1 -0
- package/dist/analysis/ama_fitting/analyze_lambda_vs_slow.js +387 -0
- package/dist/analysis/ama_fitting/analyze_lambda_vs_slow.js.map +1 -0
- package/dist/analysis/ama_fitting/calibrate_convergence_er.d.ts +3 -0
- package/dist/analysis/ama_fitting/calibrate_convergence_er.d.ts.map +1 -0
- package/dist/analysis/ama_fitting/calibrate_convergence_er.js +200 -0
- package/dist/analysis/ama_fitting/calibrate_convergence_er.js.map +1 -0
- package/dist/analysis/ama_fitting/fetch_lp_candles.d.ts +3 -0
- package/dist/analysis/ama_fitting/fetch_lp_candles.d.ts.map +1 -0
- package/dist/analysis/ama_fitting/fetch_lp_candles.js +212 -0
- package/dist/analysis/ama_fitting/fetch_lp_candles.js.map +1 -0
- package/dist/analysis/ama_fitting/generate_unified_comparison_chart.d.ts +31 -0
- package/dist/analysis/ama_fitting/generate_unified_comparison_chart.d.ts.map +1 -0
- package/dist/analysis/ama_fitting/generate_unified_comparison_chart.js +249 -0
- package/dist/analysis/ama_fitting/generate_unified_comparison_chart.js.map +1 -0
- package/dist/analysis/ama_fitting/optimizer_high_resolution.d.ts +2 -0
- package/dist/analysis/ama_fitting/optimizer_high_resolution.d.ts.map +1 -0
- package/dist/analysis/ama_fitting/optimizer_high_resolution.js +782 -0
- package/dist/analysis/ama_fitting/optimizer_high_resolution.js.map +1 -0
- package/dist/analysis/analyze_derivatives.d.ts +95 -0
- package/dist/analysis/analyze_derivatives.d.ts.map +1 -0
- package/dist/analysis/analyze_derivatives.js +295 -0
- package/dist/analysis/analyze_derivatives.js.map +1 -0
- package/dist/analysis/analyze_dynamic_weight.d.ts +14 -0
- package/dist/analysis/analyze_dynamic_weight.d.ts.map +1 -0
- package/dist/analysis/analyze_dynamic_weight.js +208 -0
- package/dist/analysis/analyze_dynamic_weight.js.map +1 -0
- package/dist/analysis/analyze_kalman.d.ts +13 -0
- package/dist/analysis/analyze_kalman.d.ts.map +1 -0
- package/dist/analysis/analyze_kalman.js +123 -0
- package/dist/analysis/analyze_kalman.js.map +1 -0
- package/dist/analysis/analyze_regime.d.ts +20 -0
- package/dist/analysis/analyze_regime.d.ts.map +1 -0
- package/dist/analysis/analyze_regime.js +139 -0
- package/dist/analysis/analyze_regime.js.map +1 -0
- package/dist/analysis/analyze_regime_windows.d.ts +19 -0
- package/dist/analysis/analyze_regime_windows.d.ts.map +1 -0
- package/dist/analysis/analyze_regime_windows.js +413 -0
- package/dist/analysis/analyze_regime_windows.js.map +1 -0
- package/dist/analysis/analyze_risk_profile.d.ts +3 -0
- package/dist/analysis/analyze_risk_profile.d.ts.map +1 -0
- package/dist/analysis/analyze_risk_profile.js +159 -0
- package/dist/analysis/analyze_risk_profile.js.map +1 -0
- package/dist/analysis/analyze_trade_heatmap.d.ts +3 -0
- package/dist/analysis/analyze_trade_heatmap.d.ts.map +1 -0
- package/dist/analysis/analyze_trade_heatmap.js +367 -0
- package/dist/analysis/analyze_trade_heatmap.js.map +1 -0
- package/dist/analysis/analyze_volatility.d.ts +22 -0
- package/dist/analysis/analyze_volatility.d.ts.map +1 -0
- package/dist/analysis/analyze_volatility.js +172 -0
- package/dist/analysis/analyze_volatility.js.map +1 -0
- package/dist/analysis/bot_fitting/backtest_ama_sweep.d.ts +99 -0
- package/dist/analysis/bot_fitting/backtest_ama_sweep.d.ts.map +1 -0
- package/dist/analysis/bot_fitting/backtest_ama_sweep.js +804 -0
- package/dist/analysis/bot_fitting/backtest_ama_sweep.js.map +1 -0
- package/dist/analysis/bot_fitting/backtest_bot_fitting.d.ts +2 -0
- package/dist/analysis/bot_fitting/backtest_bot_fitting.d.ts.map +1 -0
- package/dist/analysis/bot_fitting/backtest_bot_fitting.js +347 -0
- package/dist/analysis/bot_fitting/backtest_bot_fitting.js.map +1 -0
- package/dist/analysis/bot_fitting/shared_utils.d.ts +15 -0
- package/dist/analysis/bot_fitting/shared_utils.d.ts.map +1 -0
- package/dist/analysis/bot_fitting/shared_utils.js +48 -0
- package/dist/analysis/bot_fitting/shared_utils.js.map +1 -0
- package/dist/analysis/bot_key_utils.d.ts +16 -0
- package/dist/analysis/bot_key_utils.d.ts.map +1 -0
- package/dist/analysis/bot_key_utils.js +61 -0
- package/dist/analysis/bot_key_utils.js.map +1 -0
- package/dist/analysis/bot_usage/discover_bot_accounts.d.ts +3 -0
- package/dist/analysis/bot_usage/discover_bot_accounts.d.ts.map +1 -0
- package/dist/analysis/bot_usage/discover_bot_accounts.js +498 -0
- package/dist/analysis/bot_usage/discover_bot_accounts.js.map +1 -0
- package/dist/analysis/bot_usage/kibana_bot_queries.d.ts +546 -0
- package/dist/analysis/bot_usage/kibana_bot_queries.d.ts.map +1 -0
- package/dist/analysis/bot_usage/kibana_bot_queries.js +427 -0
- package/dist/analysis/bot_usage/kibana_bot_queries.js.map +1 -0
- package/dist/analysis/chart_utils.d.ts +13 -0
- package/dist/analysis/chart_utils.d.ts.map +1 -0
- package/dist/analysis/chart_utils.js +142 -0
- package/dist/analysis/chart_utils.js.map +1 -0
- package/dist/analysis/derivative_chart_generator.d.ts +18 -0
- package/dist/analysis/derivative_chart_generator.d.ts.map +1 -0
- package/dist/analysis/derivative_chart_generator.js +896 -0
- package/dist/analysis/derivative_chart_generator.js.map +1 -0
- package/dist/analysis/math_utils.d.ts +35 -0
- package/dist/analysis/math_utils.d.ts.map +1 -0
- package/dist/analysis/math_utils.js +121 -0
- package/dist/analysis/math_utils.js.map +1 -0
- package/dist/analysis/price_sources.d.ts +34 -0
- package/dist/analysis/price_sources.d.ts.map +1 -0
- package/dist/analysis/price_sources.js +103 -0
- package/dist/analysis/price_sources.js.map +1 -0
- package/dist/analysis/trade_profitability.d.ts +115 -0
- package/dist/analysis/trade_profitability.d.ts.map +1 -0
- package/dist/analysis/trade_profitability.js +1247 -0
- package/dist/analysis/trade_profitability.js.map +1 -0
- package/dist/analysis/tradingview/analyze_tradingview.d.ts +38 -0
- package/dist/analysis/tradingview/analyze_tradingview.d.ts.map +1 -0
- package/dist/analysis/tradingview/analyze_tradingview.js +212 -0
- package/dist/analysis/tradingview/analyze_tradingview.js.map +1 -0
- package/dist/analysis/tradingview/tradingview_uplot_chart_generator.d.ts +9 -0
- package/dist/analysis/tradingview/tradingview_uplot_chart_generator.d.ts.map +1 -0
- package/dist/analysis/tradingview/tradingview_uplot_chart_generator.js +1717 -0
- package/dist/analysis/tradingview/tradingview_uplot_chart_generator.js.map +1 -0
- package/dist/analysis/trend_detection/derivative_analyzer.d.ts +250 -0
- package/dist/analysis/trend_detection/derivative_analyzer.d.ts.map +1 -0
- package/dist/analysis/trend_detection/derivative_analyzer.js +903 -0
- package/dist/analysis/trend_detection/derivative_analyzer.js.map +1 -0
- package/dist/analysis/trend_detection/dynamic_weight_chart_generator.d.ts +6 -0
- package/dist/analysis/trend_detection/dynamic_weight_chart_generator.d.ts.map +1 -0
- package/dist/analysis/trend_detection/dynamic_weight_chart_generator.js +1449 -0
- package/dist/analysis/trend_detection/dynamic_weight_chart_generator.js.map +1 -0
- package/dist/analysis/trend_detection/hurst_analyzer.d.ts +42 -0
- package/dist/analysis/trend_detection/hurst_analyzer.d.ts.map +1 -0
- package/dist/analysis/trend_detection/hurst_analyzer.js +159 -0
- package/dist/analysis/trend_detection/hurst_analyzer.js.map +1 -0
- package/dist/analysis/trend_detection/kalman_chart_generator.d.ts +6 -0
- package/dist/analysis/trend_detection/kalman_chart_generator.d.ts.map +1 -0
- package/dist/analysis/trend_detection/kalman_chart_generator.js +408 -0
- package/dist/analysis/trend_detection/kalman_chart_generator.js.map +1 -0
- package/dist/analysis/trend_detection/kalman_trend_analyzer.d.ts +103 -0
- package/dist/analysis/trend_detection/kalman_trend_analyzer.d.ts.map +1 -0
- package/dist/analysis/trend_detection/kalman_trend_analyzer.js +229 -0
- package/dist/analysis/trend_detection/kalman_trend_analyzer.js.map +1 -0
- package/dist/analysis/trend_detection/kalman_velocity_smoothing.d.ts +34 -0
- package/dist/analysis/trend_detection/kalman_velocity_smoothing.d.ts.map +1 -0
- package/dist/analysis/trend_detection/kalman_velocity_smoothing.js +89 -0
- package/dist/analysis/trend_detection/kalman_velocity_smoothing.js.map +1 -0
- package/dist/analysis/trend_detection/permutation_entropy_analyzer.d.ts +39 -0
- package/dist/analysis/trend_detection/permutation_entropy_analyzer.d.ts.map +1 -0
- package/dist/analysis/trend_detection/permutation_entropy_analyzer.js +132 -0
- package/dist/analysis/trend_detection/permutation_entropy_analyzer.js.map +1 -0
- package/dist/analysis/trend_detection/regime_chart_generator.d.ts +6 -0
- package/dist/analysis/trend_detection/regime_chart_generator.d.ts.map +1 -0
- package/dist/analysis/trend_detection/regime_chart_generator.js +345 -0
- package/dist/analysis/trend_detection/regime_chart_generator.js.map +1 -0
- package/dist/analysis/trend_detection/tests/test_kalman_trend.d.ts +2 -0
- package/dist/analysis/trend_detection/tests/test_kalman_trend.d.ts.map +1 -0
- package/dist/analysis/trend_detection/tests/test_kalman_trend.js +130 -0
- package/dist/analysis/trend_detection/tests/test_kalman_trend.js.map +1 -0
- package/dist/analysis/trend_detection/tests/test_kalman_velocity_smoothing.d.ts +2 -0
- package/dist/analysis/trend_detection/tests/test_kalman_velocity_smoothing.d.ts.map +1 -0
- package/dist/analysis/trend_detection/tests/test_kalman_velocity_smoothing.js +38 -0
- package/dist/analysis/trend_detection/tests/test_kalman_velocity_smoothing.js.map +1 -0
- package/dist/analysis/trend_detection/volatility_chart_generator.d.ts +6 -0
- package/dist/analysis/trend_detection/volatility_chart_generator.d.ts.map +1 -0
- package/dist/analysis/trend_detection/volatility_chart_generator.js +732 -0
- package/dist/analysis/trend_detection/volatility_chart_generator.js.map +1 -0
- package/dist/bot.d.ts +49 -0
- package/dist/bot.d.ts.map +1 -0
- package/dist/bot.js +221 -0
- package/dist/bot.js.map +1 -0
- package/dist/credential-daemon.d.ts +64 -0
- package/dist/credential-daemon.d.ts.map +1 -0
- package/dist/credential-daemon.js +987 -0
- package/dist/credential-daemon.js.map +1 -0
- package/dist/dexbot.d.ts +87 -0
- package/dist/dexbot.d.ts.map +1 -0
- package/dist/dexbot.js +1222 -0
- package/dist/dexbot.js.map +1 -0
- package/dist/market_adapter/ama_signal_runner.d.ts +3 -0
- package/dist/market_adapter/ama_signal_runner.d.ts.map +1 -0
- package/dist/market_adapter/ama_signal_runner.js +175 -0
- package/dist/market_adapter/ama_signal_runner.js.map +1 -0
- package/dist/market_adapter/candle_utils.d.ts +57 -0
- package/dist/market_adapter/candle_utils.d.ts.map +1 -0
- package/dist/market_adapter/candle_utils.js +252 -0
- package/dist/market_adapter/candle_utils.js.map +1 -0
- package/dist/market_adapter/core/asymmetric_bounds.d.ts +20 -0
- package/dist/market_adapter/core/asymmetric_bounds.d.ts.map +1 -0
- package/dist/market_adapter/core/asymmetric_bounds.js +88 -0
- package/dist/market_adapter/core/asymmetric_bounds.js.map +1 -0
- package/dist/market_adapter/core/config_normalizers.d.ts +10 -0
- package/dist/market_adapter/core/config_normalizers.d.ts.map +1 -0
- package/dist/market_adapter/core/config_normalizers.js +24 -0
- package/dist/market_adapter/core/config_normalizers.js.map +1 -0
- package/dist/market_adapter/core/kibana_candles.d.ts +74 -0
- package/dist/market_adapter/core/kibana_candles.d.ts.map +1 -0
- package/dist/market_adapter/core/kibana_candles.js +249 -0
- package/dist/market_adapter/core/kibana_candles.js.map +1 -0
- package/dist/market_adapter/core/kibana_client.d.ts +27 -0
- package/dist/market_adapter/core/kibana_client.d.ts.map +1 -0
- package/dist/market_adapter/core/kibana_client.js +120 -0
- package/dist/market_adapter/core/kibana_client.js.map +1 -0
- package/dist/market_adapter/core/kibana_market_candles.d.ts +143 -0
- package/dist/market_adapter/core/kibana_market_candles.d.ts.map +1 -0
- package/dist/market_adapter/core/kibana_market_candles.js +170 -0
- package/dist/market_adapter/core/kibana_market_candles.js.map +1 -0
- package/dist/market_adapter/core/market_adapter_service.d.ts +210 -0
- package/dist/market_adapter/core/market_adapter_service.d.ts.map +1 -0
- package/dist/market_adapter/core/market_adapter_service.js +2328 -0
- package/dist/market_adapter/core/market_adapter_service.js.map +1 -0
- package/dist/market_adapter/core/strategies/ama.d.ts +2 -0
- package/dist/market_adapter/core/strategies/ama.d.ts.map +1 -0
- package/dist/market_adapter/core/strategies/ama.js +138 -0
- package/dist/market_adapter/core/strategies/ama.js.map +1 -0
- package/dist/market_adapter/core/strategies/ama_slope_model.d.ts +50 -0
- package/dist/market_adapter/core/strategies/ama_slope_model.d.ts.map +1 -0
- package/dist/market_adapter/core/strategies/ama_slope_model.js +143 -0
- package/dist/market_adapter/core/strategies/ama_slope_model.js.map +1 -0
- package/dist/market_adapter/core/strategies/atr/calculator.d.ts +12 -0
- package/dist/market_adapter/core/strategies/atr/calculator.d.ts.map +1 -0
- package/dist/market_adapter/core/strategies/atr/calculator.js +47 -0
- package/dist/market_adapter/core/strategies/atr/calculator.js.map +1 -0
- package/dist/market_adapter/core/strategies/collateral_manager.d.ts +32 -0
- package/dist/market_adapter/core/strategies/collateral_manager.d.ts.map +1 -0
- package/dist/market_adapter/core/strategies/collateral_manager.js +68 -0
- package/dist/market_adapter/core/strategies/collateral_manager.js.map +1 -0
- package/dist/market_adapter/core/strategies/regime_gate.d.ts +66 -0
- package/dist/market_adapter/core/strategies/regime_gate.d.ts.map +1 -0
- package/dist/market_adapter/core/strategies/regime_gate.js +189 -0
- package/dist/market_adapter/core/strategies/regime_gate.js.map +1 -0
- package/dist/market_adapter/index.d.ts +10 -0
- package/dist/market_adapter/index.d.ts.map +1 -0
- package/dist/market_adapter/index.js +71 -0
- package/dist/market_adapter/index.js.map +1 -0
- package/dist/market_adapter/inputs/fetch_cex_synthetic_data.d.ts +3 -0
- package/dist/market_adapter/inputs/fetch_cex_synthetic_data.d.ts.map +1 -0
- package/dist/market_adapter/inputs/fetch_cex_synthetic_data.js +1165 -0
- package/dist/market_adapter/inputs/fetch_cex_synthetic_data.js.map +1 -0
- package/dist/market_adapter/inputs/fetch_lp_data.d.ts +54 -0
- package/dist/market_adapter/inputs/fetch_lp_data.d.ts.map +1 -0
- package/dist/market_adapter/inputs/fetch_lp_data.js +743 -0
- package/dist/market_adapter/inputs/fetch_lp_data.js.map +1 -0
- package/dist/market_adapter/inputs/kibana_source.d.ts +68 -0
- package/dist/market_adapter/inputs/kibana_source.d.ts.map +1 -0
- package/dist/market_adapter/inputs/kibana_source.js +143 -0
- package/dist/market_adapter/inputs/kibana_source.js.map +1 -0
- package/dist/market_adapter/interval_utils.d.ts +6 -0
- package/dist/market_adapter/interval_utils.d.ts.map +1 -0
- package/dist/market_adapter/interval_utils.js +14 -0
- package/dist/market_adapter/interval_utils.js.map +1 -0
- package/dist/market_adapter/log_format.d.ts +16 -0
- package/dist/market_adapter/log_format.d.ts.map +1 -0
- package/dist/market_adapter/log_format.js +72 -0
- package/dist/market_adapter/log_format.js.map +1 -0
- package/dist/market_adapter/lp_chart_core.d.ts +6 -0
- package/dist/market_adapter/lp_chart_core.d.ts.map +1 -0
- package/dist/market_adapter/lp_chart_core.js +874 -0
- package/dist/market_adapter/lp_chart_core.js.map +1 -0
- package/dist/market_adapter/lp_chart_runner.d.ts +135 -0
- package/dist/market_adapter/lp_chart_runner.d.ts.map +1 -0
- package/dist/market_adapter/lp_chart_runner.js +337 -0
- package/dist/market_adapter/lp_chart_runner.js.map +1 -0
- package/dist/market_adapter/lp_chart_strategy_loader.d.ts +23 -0
- package/dist/market_adapter/lp_chart_strategy_loader.d.ts.map +1 -0
- package/dist/market_adapter/lp_chart_strategy_loader.js +169 -0
- package/dist/market_adapter/lp_chart_strategy_loader.js.map +1 -0
- package/dist/market_adapter/market_adapter.d.ts +133 -0
- package/dist/market_adapter/market_adapter.d.ts.map +1 -0
- package/dist/market_adapter/market_adapter.js +1331 -0
- package/dist/market_adapter/market_adapter.js.map +1 -0
- package/dist/market_adapter/merge_lp_data.d.ts +3 -0
- package/dist/market_adapter/merge_lp_data.d.ts.map +1 -0
- package/dist/market_adapter/merge_lp_data.js +125 -0
- package/dist/market_adapter/merge_lp_data.js.map +1 -0
- package/dist/market_adapter/test_helpers.d.ts +14 -0
- package/dist/market_adapter/test_helpers.d.ts.map +1 -0
- package/dist/market_adapter/test_helpers.js +22 -0
- package/dist/market_adapter/test_helpers.js.map +1 -0
- package/dist/market_adapter/utils/adapter_client.d.ts +20 -0
- package/dist/market_adapter/utils/adapter_client.d.ts.map +1 -0
- package/dist/market_adapter/utils/adapter_client.js +88 -0
- package/dist/market_adapter/utils/adapter_client.js.map +1 -0
- package/dist/market_adapter/utils/atomic_write.d.ts +9 -0
- package/dist/market_adapter/utils/atomic_write.d.ts.map +1 -0
- package/dist/market_adapter/utils/atomic_write.js +13 -0
- package/dist/market_adapter/utils/atomic_write.js.map +1 -0
- package/dist/market_adapter/utils/chain.d.ts +50 -0
- package/dist/market_adapter/utils/chain.d.ts.map +1 -0
- package/dist/market_adapter/utils/chain.js +196 -0
- package/dist/market_adapter/utils/chain.js.map +1 -0
- package/dist/market_adapter/utils/data_discovery.d.ts +6 -0
- package/dist/market_adapter/utils/data_discovery.d.ts.map +1 -0
- package/dist/market_adapter/utils/data_discovery.js +35 -0
- package/dist/market_adapter/utils/data_discovery.js.map +1 -0
- package/dist/market_adapter/utils/dynamic_grid_snapshot.d.ts +15 -0
- package/dist/market_adapter/utils/dynamic_grid_snapshot.d.ts.map +1 -0
- package/dist/market_adapter/utils/dynamic_grid_snapshot.js +60 -0
- package/dist/market_adapter/utils/dynamic_grid_snapshot.js.map +1 -0
- package/dist/market_adapter/utils/file_lock.d.ts +19 -0
- package/dist/market_adapter/utils/file_lock.d.ts.map +1 -0
- package/dist/market_adapter/utils/file_lock.js +191 -0
- package/dist/market_adapter/utils/file_lock.js.map +1 -0
- package/dist/market_adapter/utils/native_history.d.ts +19 -0
- package/dist/market_adapter/utils/native_history.d.ts.map +1 -0
- package/dist/market_adapter/utils/native_history.js +172 -0
- package/dist/market_adapter/utils/native_history.js.map +1 -0
- package/dist/market_adapter/utils/paths.d.ts +5 -0
- package/dist/market_adapter/utils/paths.d.ts.map +1 -0
- package/dist/market_adapter/utils/paths.js +7 -0
- package/dist/market_adapter/utils/paths.js.map +1 -0
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@@ -0,0 +1,42 @@
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1
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declare class HurstAnalyzer {
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2
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private _w;
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3
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window: number;
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4
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scales: number[];
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private _prices;
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private _updateCount;
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hurst: number;
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8
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isReady: boolean;
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9
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/**
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* @param {Object} config
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* @param {number} config.window - Rolling window in bars (default 128)
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* @param {number[]} config.scales - Sub-window scales for R/S (default [8, 16, 32, 64])
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*/
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constructor(config?: {
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window?: number;
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scales?: number[];
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});
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/**
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* Feed a new price and return analysis.
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* @param {number} price
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* @returns {Object} { isReady, hurst, regime, regimeStrength, updateCount }
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*/
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+
update(price: number): {
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isReady: boolean;
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hurst: number;
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regime: string;
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regimeStrength: number;
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updateCount: number;
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};
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+
getAnalysis(): {
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+
isReady: boolean;
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32
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+
hurst: number;
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+
regime: string;
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+
regimeStrength: number;
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35
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+
updateCount: number;
|
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36
|
+
};
|
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37
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+
}
|
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38
|
+
declare const _default: {
|
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39
|
+
HurstAnalyzer: typeof HurstAnalyzer;
|
|
40
|
+
};
|
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41
|
+
export = _default;
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42
|
+
//# sourceMappingURL=hurst_analyzer.d.ts.map
|
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@@ -0,0 +1 @@
|
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1
|
+
{"version":3,"file":"hurst_analyzer.d.ts","sourceRoot":"","sources":["../../../analysis/trend_detection/hurst_analyzer.ts"],"names":[],"mappings":"AAgEA,cAAM,aAAa;IACf,OAAO,CAAC,EAAE,CAAS;IACnB,MAAM,EAAE,MAAM,CAAC;IACf,MAAM,EAAE,MAAM,EAAE,CAAC;IACjB,OAAO,CAAC,OAAO,CAAW;IAC1B,OAAO,CAAC,YAAY,CAAS;IAC7B,KAAK,EAAE,MAAM,CAAC;IACd,OAAO,EAAE,OAAO,CAAC;IAEjB;;;;OAIG;gBACS,MAAM,GAAE;QAAE,MAAM,CAAC,EAAE,MAAM,CAAC;QAAC,MAAM,CAAC,EAAE,MAAM,EAAE,CAAA;KAAO;IAW/D;;;;OAIG;IACH,MAAM,CAAC,KAAK,EAAE,MAAM,GAAG;QAAE,OAAO,EAAE,OAAO,CAAC;QAAC,KAAK,EAAE,MAAM,CAAC;QAAC,MAAM,EAAE,MAAM,CAAC;QAAC,cAAc,EAAE,MAAM,CAAC;QAAC,WAAW,EAAE,MAAM,CAAA;KAAE;IA6CvH,WAAW,IAAI;QAAE,OAAO,EAAE,OAAO,CAAC;QAAC,KAAK,EAAE,MAAM,CAAC;QAAC,MAAM,EAAE,MAAM,CAAC;QAAC,cAAc,EAAE,MAAM,CAAC;QAAC,WAAW,EAAE,MAAM,CAAA;KAAE;CAyBlH;;;;AAED,kBAA2B"}
|
|
@@ -0,0 +1,159 @@
|
|
|
1
|
+
'use strict';
|
|
2
|
+
const { MARKET_ADAPTER } = require('../../modules/constants');
|
|
3
|
+
const { roundTo } = require('../../modules/utils/math_utils');
|
|
4
|
+
/**
|
|
5
|
+
* Hurst Exponent Analyzer
|
|
6
|
+
*
|
|
7
|
+
* Estimates the Hurst exponent via Rescaled Range (R/S) analysis over a rolling
|
|
8
|
+
* price window. H > (0.5 + HURST_ZONE_BAND) = trending (persistent),
|
|
9
|
+
* H ≈ 0.5 = random walk, H < (0.5 - HURST_ZONE_BAND) = mean-reverting (anti-persistent).
|
|
10
|
+
*
|
|
11
|
+
* Zone boundaries are read from MARKET_ADAPTER.HURST_ZONE_BAND (default 0.05).
|
|
12
|
+
* The RANDOM band between the two thresholds acts as natural hysteresis.
|
|
13
|
+
*
|
|
14
|
+
* Use as a regime gate: trust trend-following signals when trending, suppress or
|
|
15
|
+
* invert them when mean-reverting, stay flat when random.
|
|
16
|
+
*
|
|
17
|
+
* Algorithm: for each scale τ in config.scales, partition the log-return window into
|
|
18
|
+
* non-overlapping chunks of length τ, compute average R/S per chunk, then OLS-fit
|
|
19
|
+
* log(avgRS) vs log(τ) — the slope is the Hurst exponent.
|
|
20
|
+
*/
|
|
21
|
+
/**
|
|
22
|
+
* OLS slope of ys ~ slope * xs + intercept. Returns slope only.
|
|
23
|
+
*/
|
|
24
|
+
function olsSlope(xs, ys) {
|
|
25
|
+
const n = xs.length;
|
|
26
|
+
let sumX = 0, sumY = 0, sumXX = 0, sumXY = 0;
|
|
27
|
+
for (let i = 0; i < n; i++) {
|
|
28
|
+
sumX += xs[i];
|
|
29
|
+
sumY += ys[i];
|
|
30
|
+
sumXX += xs[i] * xs[i];
|
|
31
|
+
sumXY += xs[i] * ys[i];
|
|
32
|
+
}
|
|
33
|
+
const denom = n * sumXX - sumX * sumX;
|
|
34
|
+
return denom !== 0 ? (n * sumXY - sumX * sumY) / denom : 0.5;
|
|
35
|
+
}
|
|
36
|
+
/**
|
|
37
|
+
* Compute R/S (rescaled range) for an array of log returns.
|
|
38
|
+
*/
|
|
39
|
+
function computeRS(returns) {
|
|
40
|
+
const n = returns.length;
|
|
41
|
+
if (n < 2)
|
|
42
|
+
return 0;
|
|
43
|
+
let sum = 0;
|
|
44
|
+
for (let i = 0; i < n; i++)
|
|
45
|
+
sum += returns[i];
|
|
46
|
+
const mean = sum / n;
|
|
47
|
+
let cumDev = 0, maxCum = -Infinity, minCum = Infinity, sumSq = 0;
|
|
48
|
+
for (let i = 0; i < n; i++) {
|
|
49
|
+
const d = returns[i] - mean;
|
|
50
|
+
cumDev += d;
|
|
51
|
+
if (cumDev > maxCum)
|
|
52
|
+
maxCum = cumDev;
|
|
53
|
+
if (cumDev < minCum)
|
|
54
|
+
minCum = cumDev;
|
|
55
|
+
sumSq += d * d;
|
|
56
|
+
}
|
|
57
|
+
const R = maxCum - minCum;
|
|
58
|
+
const S = Math.sqrt(sumSq / n);
|
|
59
|
+
return S > 0 ? R / S : 0;
|
|
60
|
+
}
|
|
61
|
+
class HurstAnalyzer {
|
|
62
|
+
_w;
|
|
63
|
+
window;
|
|
64
|
+
scales;
|
|
65
|
+
_prices;
|
|
66
|
+
_updateCount;
|
|
67
|
+
hurst;
|
|
68
|
+
isReady;
|
|
69
|
+
/**
|
|
70
|
+
* @param {Object} config
|
|
71
|
+
* @param {number} config.window - Rolling window in bars (default 128)
|
|
72
|
+
* @param {number[]} config.scales - Sub-window scales for R/S (default [8, 16, 32, 64])
|
|
73
|
+
*/
|
|
74
|
+
constructor(config = {}) {
|
|
75
|
+
this._w = Math.ceil(config.window ?? 128);
|
|
76
|
+
this.window = this._w;
|
|
77
|
+
this.scales = config.scales ?? [8, 16, 32, 64];
|
|
78
|
+
this._prices = [];
|
|
79
|
+
this._updateCount = 0;
|
|
80
|
+
this.hurst = 0.5;
|
|
81
|
+
this.isReady = false;
|
|
82
|
+
}
|
|
83
|
+
/**
|
|
84
|
+
* Feed a new price and return analysis.
|
|
85
|
+
* @param {number} price
|
|
86
|
+
* @returns {Object} { isReady, hurst, regime, regimeStrength, updateCount }
|
|
87
|
+
*/
|
|
88
|
+
update(price) {
|
|
89
|
+
if (!Number.isFinite(price) || price <= 0) {
|
|
90
|
+
throw new Error('price must be a positive finite number');
|
|
91
|
+
}
|
|
92
|
+
this._prices.push(price);
|
|
93
|
+
if (this._prices.length > this.window + 2)
|
|
94
|
+
this._prices.shift();
|
|
95
|
+
this._updateCount++;
|
|
96
|
+
if (this._prices.length < this.window + 1) {
|
|
97
|
+
this.isReady = false;
|
|
98
|
+
return this.getAnalysis();
|
|
99
|
+
}
|
|
100
|
+
// Log returns over the rolling window
|
|
101
|
+
const returns = new Array(this.window);
|
|
102
|
+
for (let i = 0; i < this.window; i++) {
|
|
103
|
+
returns[i] = Math.log(this._prices[i + 1] / this._prices[i]);
|
|
104
|
+
}
|
|
105
|
+
// R/S at each scale → OLS slope
|
|
106
|
+
const logRS = [], logTau = [];
|
|
107
|
+
for (const τ of this.scales) {
|
|
108
|
+
if (τ >= returns.length)
|
|
109
|
+
continue;
|
|
110
|
+
const nChunks = Math.floor(returns.length / τ);
|
|
111
|
+
if (nChunks < 1)
|
|
112
|
+
continue;
|
|
113
|
+
let sumRS = 0, count = 0;
|
|
114
|
+
for (let c = 0; c < nChunks; c++) {
|
|
115
|
+
const rs = computeRS(returns.slice(c * τ, (c + 1) * τ));
|
|
116
|
+
if (rs > 0) {
|
|
117
|
+
sumRS += rs;
|
|
118
|
+
count++;
|
|
119
|
+
}
|
|
120
|
+
}
|
|
121
|
+
if (count > 0) {
|
|
122
|
+
logRS.push(Math.log(sumRS / count));
|
|
123
|
+
logTau.push(Math.log(τ));
|
|
124
|
+
}
|
|
125
|
+
}
|
|
126
|
+
if (logTau.length >= 2) {
|
|
127
|
+
this.hurst = Math.min(1, Math.max(0, olsSlope(logTau, logRS)));
|
|
128
|
+
}
|
|
129
|
+
this.isReady = true;
|
|
130
|
+
return this.getAnalysis();
|
|
131
|
+
}
|
|
132
|
+
getAnalysis() {
|
|
133
|
+
const h = this.hurst;
|
|
134
|
+
const H_UPPER = 0.5 + MARKET_ADAPTER.HURST_ZONE_BAND;
|
|
135
|
+
const H_LOWER = 0.5 - MARKET_ADAPTER.HURST_ZONE_BAND;
|
|
136
|
+
let regime, regimeStrength;
|
|
137
|
+
if (h >= H_UPPER) {
|
|
138
|
+
regime = 'TRENDING';
|
|
139
|
+
regimeStrength = Math.min(1, (h - H_UPPER) / 0.25);
|
|
140
|
+
}
|
|
141
|
+
else if (h <= H_LOWER) {
|
|
142
|
+
regime = 'MEAN_REVERTING';
|
|
143
|
+
regimeStrength = Math.min(1, (H_LOWER - h) / 0.25);
|
|
144
|
+
}
|
|
145
|
+
else {
|
|
146
|
+
regime = 'RANDOM';
|
|
147
|
+
regimeStrength = 0;
|
|
148
|
+
}
|
|
149
|
+
return {
|
|
150
|
+
isReady: this.isReady,
|
|
151
|
+
hurst: roundTo(this.hurst, 1000),
|
|
152
|
+
regime,
|
|
153
|
+
regimeStrength: roundTo(regimeStrength, 100),
|
|
154
|
+
updateCount: this._updateCount,
|
|
155
|
+
};
|
|
156
|
+
}
|
|
157
|
+
}
|
|
158
|
+
module.exports = { HurstAnalyzer };
|
|
159
|
+
//# sourceMappingURL=hurst_analyzer.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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|