dexbot 1.3.3 → 1.4.0

package/dist/analysis/bot_fitting/backtest_ama_sweep.js

@@ -1,804 +0,0 @@
-'use strict';
-/**
- * AMA SWEEP BACKTEST — persistent grid simulation
- *
- * Models the real bot mechanics:
- *   - Orders sit at FIXED chain prices until canceled or filled
- *   - When AMA drifts past reposition threshold, grid re-centers
- *   - Grid compression: AMA shift pushes one side's orders closer to market
- *   - Order sizing depends on capital, ratio (range width), and weight profile
- *   - Three weight profiles: valley, neutral, mountain (symmetric buy/sell)
- *
- * Usage:
- *   tsx analysis/bot_fitting/backtest_ama_sweep.ts --data <path-to-lp-candles.json>
- *   tsx analysis/bot_fitting/backtest_ama_sweep.ts --data <path-to-lp-candles.json> --spread 4:16:1 --increment 0.5:4:0.25
- */
-const fs = require('fs');
-const path = require('path');
-const os = require('os');
-const { Worker, isMainThread, parentPort, workerData } = require('worker_threads');
-const { calculateAMA } = require('../../market_adapter/core/strategies/ama');
-const { range } = require('../math_utils');
-const { parseListOrRange, loadLpData, fmt } = require('./shared_utils');
-const { readJSON, writeJSON } = require('../../modules/utils/fs_utils');
-const DEFAULT_MAX_ORDERS = 20; // matches bot default activeOrders per side
-const DEFAULT_FEE_ROUNDTRIP_PCT = 0.20;
-const DEFAULT_MIN_SPREAD_FACTOR = 2.1;
-const DEFAULT_CAPITAL = 10000; // notional units per side
-const DEFAULT_BTS_CREATE_FEE = 0.48260;
-const DEFAULT_BTS_CANCEL_FEE = 0.00482;
-const DEFAULT_BTS_MAKER_CREATE_FACTOR = 0.10;
-const DEFAULT_TX_FEE_PRICE = 1.0;
-// Weight profiles (symmetric for both sides)
-//   valley:   heavier at edges (outer levels), lighter near center
-//   neutral:  equal across all levels
-//   mountain: heavier near center, lighter at edges
-const WEIGHT_PROFILES = {
-    valley: -0.8, // negative = invert decay → outer levels get more
-    neutral: 0, // flat = equal distribution
-    mountain: 1.5, // strong decay → inner levels get more
-};
-// Search grid defaults — centered around bot defaults (spread=2%, increment=0.5%)
-// Spread = distance from center to first order on each side (half the bid-ask gap)
-// Increment = distance between successive orders on the same side
-const DEFAULT_SPREAD_VALUES = [...range(0.5, 4, 0.25), ...range(5, 12, 1)];
-const DEFAULT_INCREMENT_VALUES = [...range(0.2, 2, 0.1), ...range(2.5, 8, 0.5)];
-const DEFAULT_RATIO_VALUES = [1.05, 1.1, 1.15, 1.2, 1.3, 1.5, 2, 3, 5, 10];
-// Reposition threshold: AMA must move this fraction from last grid center to trigger re-center
-const DEFAULT_REPOSITION_PCT = 2.5;
-function jsonSafe(key, val) {
-    if (val === -Infinity || val === Infinity)
-        return null;
-    return val;
-}
-function parseArgs() {
-    const args = process.argv.slice(2);
-    const out = {
-        dataPath: null,
-        resultsPath: null,
-        spreadValues: DEFAULT_SPREAD_VALUES,
-        incrementValues: DEFAULT_INCREMENT_VALUES,
-        ratioValues: DEFAULT_RATIO_VALUES,
-        maxOrders: DEFAULT_MAX_ORDERS,
-        feeRoundtripPct: DEFAULT_FEE_ROUNDTRIP_PCT,
-        minSpreadFactor: DEFAULT_MIN_SPREAD_FACTOR,
-        capital: DEFAULT_CAPITAL,
-        repositionPct: DEFAULT_REPOSITION_PCT,
-        btsCreateFee: DEFAULT_BTS_CREATE_FEE,
-        btsCancelFee: DEFAULT_BTS_CANCEL_FEE,
-        makerCreateFactor: DEFAULT_BTS_MAKER_CREATE_FACTOR,
-        txFeePrice: DEFAULT_TX_FEE_PRICE,
-        topN: 15,
-    };
-    for (let i = 0; i < args.length; i++) {
-        const arg = args[i];
-        const val = args[i + 1];
-        if (arg === '--help' || arg === '-h') {
-            printHelp();
-            process.exit(0);
-        }
-        if (!val)
-            continue;
-        switch (arg) {
-            case '--data':
-                out.dataPath = path.resolve(val);
-                i++;
-                break;
-            case '--results':
-                out.resultsPath = path.resolve(val);
-                i++;
-                break;
-            case '--spread':
-                out.spreadValues = parseListOrRange(val, DEFAULT_SPREAD_VALUES);
-                i++;
-                break;
-            case '--increment':
-                out.incrementValues = parseListOrRange(val, DEFAULT_INCREMENT_VALUES);
-                i++;
-                break;
-            case '--ratio':
-                out.ratioValues = parseListOrRange(val, DEFAULT_RATIO_VALUES);
-                i++;
-                break;
-            case '--max-orders':
-                out.maxOrders = Number(val);
-                i++;
-                break;
-            case '--fee':
-                out.feeRoundtripPct = Number(val);
-                i++;
-                break;
-            case '--min-spread-factor':
-                out.minSpreadFactor = Number(val);
-                i++;
-                break;
-            case '--capital':
-                out.capital = Number(val);
-                i++;
-                break;
-            case '--reposition':
-                out.repositionPct = Number(val);
-                i++;
-                break;
-            case '--bts-create-fee':
-                out.btsCreateFee = Number(val);
-                i++;
-                break;
-            case '--bts-cancel-fee':
-                out.btsCancelFee = Number(val);
-                i++;
-                break;
-            case '--maker-create-factor':
-                out.makerCreateFactor = Number(val);
-                i++;
-                break;
-            case '--tx-fee-price':
-                out.txFeePrice = Number(val);
-                i++;
-                break;
-            case '--top':
-                out.topN = Number(val);
-                i++;
-                break;
-        }
-    }
-    if (!out.dataPath) {
-        throw new Error('--data <path-to-lp-candles.json> is required');
-    }
-    if (!out.resultsPath) {
-        throw new Error('--results <path-to-optimization-results.json> is required');
-    }
-    return out;
-}
-function printHelp() {
-    console.log('AMA Sweep Backtest — persistent grid simulation with weight profiles');
-    console.log('');
-    console.log('Usage:');
-    console.log('  tsx analysis/bot_fitting/backtest_ama_sweep.ts [options]');
-    console.log('');
-    console.log('Options:');
-    console.log('  --data <path>           LP candle JSON');
-    console.log('  --results <path>        AMA optimizer results JSON');
-    console.log('  --spread <spec>         Spread values (% ): 1:10:0.5 or 2,4,8');
-    console.log('  --increment <spec>      Increment values (%): 0.5:5:0.5 or 1,2,3');
-    console.log('  --ratio <spec>          Max/min ratio: 1.5,2,3,5');
-    console.log('  --max-orders <n>        Max orders per side (default: 20, actual limited by ratio+increment)');
-    console.log('  --fee <pct>             Round-trip fee % (default: 0.20)');
-    console.log('  --min-spread-factor <n> Spread >= factor * increment (default: 2.1)');
-    console.log('  --capital <n>           Notional capital per side (default: 10000)');
-    console.log('  --reposition <pct>      AMA drift % to trigger re-center (default: 2.5)');
-    console.log('  --bts-create-fee <n>    BTS create fee (default: 0.48260)');
-    console.log('  --bts-cancel-fee <n>    BTS cancel fee (default: 0.00482)');
-    console.log('  --maker-create-factor   Maker share of create fee (default: 0.10)');
-    console.log('  --tx-fee-price <n>      Convert BTS fees into backtest units (default: 1.0)');
-    console.log('  --top <n>               Show top N results (default: 15)');
-}
-function loadAmaStrategies(resultsPath) {
-    const json = readJSON(resultsPath);
-    const amas = json.meta?.amas;
-    if (!amas)
-        throw new Error('No meta.amas found in results file.');
-    const out = [];
-    for (const [key, val] of Object.entries(amas)) {
-        const v = val;
-        if (!v || !Number.isFinite(v.er))
-            continue;
-        out.push({ id: key, name: v.label || key, er: v.er, fast: v.fast, slow: v.slow });
-    }
-    out.sort((a, b) => a.id.localeCompare(b.id));
-    if (out.length === 0)
-        throw new Error('No valid AMA strategies found');
-    return out;
-}
-// ── Order sizing with weight profiles ────────────────────────────────────────
-/**
- * Allocate capital across N levels using weight profile.
- *   weight > 0: mountain (more near center, exponential decay outward)
- *   weight = 0: neutral (equal)
- *   weight < 0: valley (more at edges, inverted decay)
- *
- * @param {number} totalFunds   Capital for this side
- * @param {number} n            Number of levels
- * @param {number} weight       Profile weight factor
- * @param {number} incrementFactor  Increment as fraction (e.g. 0.02 for 2%)
- * @returns {number[]}          Size per level, index 0 = closest to center
- */
-function allocateFundsByWeights(totalFunds, n, weight, incrementFactor) {
-    if (n <= 0)
-        return [];
-    if (weight === 0) {
-        const sz = totalFunds / n;
-        return new Array(n).fill(sz);
-    }
-    const base = 1 - incrementFactor;
-    const absWeight = Math.abs(weight);
-    const raw = new Array(n);
-    for (let i = 0; i < n; i++) {
-        // i=0 is closest to center
-        raw[i] = Math.pow(base, i * absWeight);
-    }
-    if (weight < 0) {
-        // Valley: reverse so outer levels (high i) get the large weights
-        raw.reverse();
-    }
-    const total = raw.reduce((s, w) => s + w, 0) || 1;
-    return raw.map((w) => (w / total) * totalFunds);
-}
-// ── Persistent grid simulation ───────────────────────────────────────────────
-/**
- * Build a fresh grid centered at `center`.
- *
- * Grid placement (matches real bot):
- *   Level k (1-based):
- *     offset_k = spreadPct/2/100 + (k-1) * incrementPct
- *     buyPrice  = center * (1 - offset_k)
- *     sellPrice = center * (1 + offset_k)
- *
- * So spread controls the dead zone around center (no orders within spread/2),
- * and increment is the gap between successive orders on the same side.
- *
- * Returns arrays of buy and sell order objects with fixed chain prices and sizes.
- */
-function buildGrid(center, params, capitalPerSide, weightFactor) {
-    const { incrementPct, maxMinRatio, maxOrders, spreadPct } = params;
-    const minBound = center / maxMinRatio;
-    const maxBound = center * maxMinRatio;
-    const halfSpread = spreadPct / 200; // as fraction
-    const buys = [];
-    const sells = [];
-    // Fill as many levels as fit within ratio bounds (up to maxOrders cap)
-    for (let k = 1; k <= maxOrders; k++) {
-        const offset = halfSpread + (k - 1) * incrementPct;
-        if (offset >= 0.95)
-            continue;
-        const buyPrice = center * (1 - offset);
-        const sellPrice = center * (1 + offset);
-        // Bounds check — skip levels outside ratio range
-        if (buyPrice < minBound || sellPrice > maxBound)
-            continue;
-        buys.push({ level: k, price: buyPrice, filledBar: -1 });
-        sells.push({ level: k, price: sellPrice, filledBar: -1 });
-    }
-    // Size allocation — index 0 = closest to center
-    const buySizes = allocateFundsByWeights(capitalPerSide, buys.length, weightFactor, incrementPct);
-    const sellSizes = allocateFundsByWeights(capitalPerSide, sells.length, weightFactor, incrementPct);
-    buys.forEach((o, i) => { o.size = buySizes[i] || 0; });
-    sells.forEach((o, i) => { o.size = sellSizes[i] || 0; });
-    return { buys, sells };
-}
-function closeFilledInventoryAtPrice(openBuys, openSells, exitPrice, feeRoundtripPct) {
-    if (!Number.isFinite(exitPrice) || exitPrice <= 0) {
-        return { grossUnits: 0, profitUnits: 0, closedOrders: 0 };
-    }
-    let grossUnits = 0;
-    let profitUnits = 0;
-    let closedOrders = 0;
-    for (const order of openBuys.values()) {
-        if (!order?.filled || !Number.isFinite(order.price) || order.price <= 0)
-            continue;
-        if (!Number.isFinite(order.size) || order.size <= 0)
-            continue;
-        const grossPct = (exitPrice / order.price - 1) * 100;
-        const netPct = grossPct - feeRoundtripPct;
-        grossUnits += order.size * (grossPct / 100);
-        profitUnits += order.size * (netPct / 100);
-        closedOrders++;
-    }
-    for (const order of openSells.values()) {
-        if (!order?.filled || !Number.isFinite(order.price) || order.price <= 0)
-            continue;
-        if (!Number.isFinite(order.size) || order.size <= 0)
-            continue;
-        const grossPct = (order.price / exitPrice - 1) * 100;
-        const netPct = grossPct - feeRoundtripPct;
-        grossUnits += order.size * (grossPct / 100);
-        profitUnits += order.size * (netPct / 100);
-        closedOrders++;
-    }
-    return { grossUnits, profitUnits, closedOrders };
-}
-function countCancelableOrders(openBuys, openSells) {
-    let count = 0;
-    for (const order of openBuys.values()) {
-        if (!order?.filled)
-            count++;
-    }
-    for (const order of openSells.values()) {
-        if (!order?.filled)
-            count++;
-    }
-    return count;
-}
-function simulatePersistentGrid(candles, amaValues, params, weightName, weightFactor) {
-    const { spreadPct, incrementPct, maxMinRatio, maxOrders, feeRoundtripPct, capital, repositionThreshold, btsCreateFee, btsCancelFee, makerCreateFactor, txFeePrice } = params;
-    const skip = Math.max(20, Math.floor(candles.length * 0.1));
-    const capitalPerSide = capital;
-    // State
-    let gridCenter = amaValues[skip];
-    let grid = buildGrid(gridCenter, params, capitalPerSide, weightFactor);
-    let lastRepositionBar = skip;
-    // Open orders: maps level -> { price, size, bar, side }
-    const openBuys = new Map();
-    const openSells = new Map();
-    // Place initial orders
-    for (const o of grid.buys)
-        openBuys.set(o.level, { price: o.price, size: o.size, bar: skip });
-    for (const o of grid.sells)
-        openSells.set(o.level, { price: o.price, size: o.size, bar: skip });
-    let matchedPairs = 0;
-    let totalProfitUnits = 0; // profit in capital units (size * netPct)
-    let totalGrossUnits = 0;
-    let touchedOrders = 0;
-    let canceledOnReposition = 0;
-    let repositionCount = 0;
-    let peakOpenOrders = 0;
-    let imbalanceSum = 0;
-    let imbalanceSamples = 0;
-    let matchedOpenDurationBars = 0;
-    let gridAgeSumBars = 0;
-    let maxGridAgeBars = 0;
-    let centerDriftSumPct = 0;
-    let maxCenterDriftPct = 0;
-    let nearThresholdBars = 0;
-    let triggerDriftSumPct = 0;
-    let runningProfit = 0;
-    let peakEquityProfit = 0;
-    let maxDrawdown = 0;
-    // Track inventory risk: net exposure from filled-but-unmatched orders
-    let inventoryExposure = 0; // positive = long (bought), negative = short (sold)
-    let maxInventoryExposure = 0;
-    const liveBars = candles.length - skip - 1;
-    const ordersPerSide = grid.buys.length; // actual orders placed per side (clipped by ratio)
-    const makerCreateFeeBts = btsCreateFee * makerCreateFactor;
-    const newOrdersPerReposition = ordersPerSide * 2;
-    for (let i = skip + 1; i < candles.length; i++) {
-        const ama = amaValues[i];
-        const hi = candles[i].high;
-        const lo = candles[i].low;
-        const gridAgeBars = i - lastRepositionBar;
-        // ── Reposition check: AMA drifted too far from grid center ──────
-        const drift = Math.abs(ama - gridCenter) / gridCenter;
-        const driftPct = drift * 100;
-        centerDriftSumPct += driftPct;
-        if (driftPct > maxCenterDriftPct)
-            maxCenterDriftPct = driftPct;
-        gridAgeSumBars += gridAgeBars;
-        if (gridAgeBars > maxGridAgeBars)
-            maxGridAgeBars = gridAgeBars;
-        if (drift >= repositionThreshold * 0.5)
-            nearThresholdBars++;
-        if (drift >= repositionThreshold) {
-            triggerDriftSumPct += driftPct;
-            canceledOnReposition += countCancelableOrders(openBuys, openSells);
-            repositionCount++;
-            const exitPrice = Number.isFinite(ama) && ama > 0 ? ama : candles[i].close;
-            const forcedClose = closeFilledInventoryAtPrice(openBuys, openSells, exitPrice, feeRoundtripPct);
-            totalGrossUnits += forcedClose.grossUnits;
-            totalProfitUnits += forcedClose.profitUnits;
-            runningProfit += forcedClose.profitUnits;
-            // Unmatched inventory is realized on reposition (position closed at market)
-            inventoryExposure = 0;
-            openBuys.clear();
-            openSells.clear();
-            // Re-center grid
-            gridCenter = ama;
-            grid = buildGrid(gridCenter, params, capitalPerSide, weightFactor);
-            lastRepositionBar = i;
-            for (const o of grid.buys)
-                openBuys.set(o.level, { price: o.price, size: o.size, bar: i });
-            for (const o of grid.sells)
-                openSells.set(o.level, { price: o.price, size: o.size, bar: i });
-        }
-        // ── Track imbalance & peak ──────────────────────────────────────
-        const currentOpen = openBuys.size + openSells.size;
-        if (currentOpen > peakOpenOrders)
-            peakOpenOrders = currentOpen;
-        imbalanceSum += Math.abs(openBuys.size - openSells.size);
-        imbalanceSamples++;
-        // ── Check fills on PERSISTENT orders (fixed chain prices) ───────
-        // Only check UNFILLED orders (skip already-filled pending match)
-        const filledBuysThisBar = [];
-        const filledSellsThisBar = [];
-        for (const [lvl, order] of openBuys) {
-            if (!order.filled && lo <= order.price) {
-                filledBuysThisBar.push({ lvl, order });
-            }
-        }
-        for (const [lvl, order] of openSells) {
-            if (!order.filled && hi >= order.price) {
-                filledSellsThisBar.push({ lvl, order });
-            }
-        }
-        // Process buy fills
-        for (const fb of filledBuysThisBar) {
-            touchedOrders++;
-            inventoryExposure += fb.order.size; // bought → long exposure
-            // Mark as filled, waiting for paired sell at same level
-            openBuys.set(fb.lvl, { ...fb.order, filled: true, filledBar: i, side: 'buy' });
-        }
-        // Process sell fills
-        for (const fs of filledSellsThisBar) {
-            touchedOrders++;
-            inventoryExposure -= fs.order.size; // sold → short exposure
-            // Mark as filled, waiting for paired buy at same level
-            openSells.set(fs.lvl, { ...fs.order, filled: true, filledBar: i, side: 'sell' });
-        }
-        // Match completed pairs: both buy AND sell at same level are filled
-        for (let k = 1; k <= maxOrders; k++) {
-            const buyEntry = openBuys.get(k);
-            const sellEntry = openSells.get(k);
-            if (!buyEntry?.filled || !sellEntry?.filled)
-                continue;
-            // Matched pair!
-            openBuys.delete(k);
-            openSells.delete(k);
-            matchedPairs++;
-            const duration = Math.abs(sellEntry.filledBar - buyEntry.filledBar);
-            matchedOpenDurationBars += duration;
-            const avgSize = (buyEntry.size + sellEntry.size) / 2;
-            const pairGrossPct = (sellEntry.price / buyEntry.price - 1) * 100;
-            const pairNetPct = pairGrossPct - feeRoundtripPct;
-            const profitUnits = avgSize * (pairNetPct / 100);
-            totalGrossUnits += avgSize * (pairGrossPct / 100);
-            totalProfitUnits += profitUnits;
-            runningProfit += profitUnits;
-        }
-        // Track max inventory exposure
-        const absExposure = Math.abs(inventoryExposure);
-        if (absExposure > maxInventoryExposure)
-            maxInventoryExposure = absExposure;
-        // ── Drawdown tracking ───────────────────────────────────────────
-        const markPrice = Number.isFinite(candles[i].close) && candles[i].close > 0
-            ? candles[i].close
-            : ((Number.isFinite(ama) && ama > 0) ? ama : gridCenter);
-        const unrealized = closeFilledInventoryAtPrice(openBuys, openSells, markPrice, feeRoundtripPct).profitUnits;
-        const equityProfit = runningProfit + unrealized;
-        if (equityProfit > peakEquityProfit)
-            peakEquityProfit = equityProfit;
-        const dd = peakEquityProfit - equityProfit;
-        if (dd > maxDrawdown)
-            maxDrawdown = dd;
-    }
-    const fillEfficiency = touchedOrders > 0 ? (matchedPairs / touchedOrders) * 100 : 0;
-    const pairsPerDay = liveBars > 0 ? matchedPairs / (liveBars / 24) : 0;
-    const avgOpenDurationBars = matchedPairs > 0 ? matchedOpenDurationBars / matchedPairs : 0;
-    const avgImbalance = imbalanceSamples > 0 ? imbalanceSum / imbalanceSamples : 0;
-    const avgProfitPerPair = matchedPairs > 0 ? totalProfitUnits / matchedPairs : 0;
-    const profitPerCapital = capital > 0 ? totalProfitUnits / (capital * 2) : 0; // total capital = 2 sides
-    const maxDrawdownPct = capital > 0 ? (maxDrawdown / (capital * 2)) * 100 : 0;
-    const avgGridAgeBars = liveBars > 0 ? gridAgeSumBars / liveBars : 0;
-    const avgCenterDriftPct = liveBars > 0 ? centerDriftSumPct / liveBars : 0;
-    const nearThresholdBarsPct = liveBars > 0 ? (nearThresholdBars / liveBars) * 100 : 0;
-    const avgTriggerDriftPct = repositionCount > 0 ? triggerDriftSumPct / repositionCount : 0;
-    const avgCancelOrdersPerReposition = repositionCount > 0 ? canceledOnReposition / repositionCount : 0;
-    const estimatedFeePerRepositionBts = newOrdersPerReposition * makerCreateFeeBts + avgCancelOrdersPerReposition * btsCancelFee;
-    const totalRepositionFeesBts = repositionCount * estimatedFeePerRepositionBts;
-    const feePerDayBts = liveBars > 0 ? totalRepositionFeesBts / (liveBars / 24) : 0;
-    const totalRepositionFeeUnits = totalRepositionFeesBts * txFeePrice;
-    const netProfitUnits = totalProfitUnits - totalRepositionFeeUnits;
-    const netProfitPerCapital = capital > 0 ? netProfitUnits / (capital * 2) : 0;
-    // Score: profit per capital scaled by activity (log pairs to avoid pure frequency chasing)
-    const activityBonus = matchedPairs > 0 ? Math.log10(matchedPairs) : null;
-    const grossScore = activityBonus == null ? -Infinity : (profitPerCapital * 100 * activityBonus - maxDrawdownPct * 0.5);
-    const netScore = activityBonus == null ? -Infinity : (netProfitPerCapital * 100 * activityBonus - maxDrawdownPct * 0.5);
-    const score = netScore;
-    return {
-        weightName,
-        spreadPct,
-        incrementPct: incrementPct * 100, // store as %
-        maxMinRatio,
-        matchedPairs,
-        touchedOrders,
-        fillEfficiency,
-        totalProfitUnits,
-        totalGrossUnits,
-        profitPerCapital,
-        pairsPerDay,
-        avgOpenDurationBars,
-        avgProfitPerPair,
-        peakOpenOrders,
-        avgImbalance,
-        canceledOnReposition,
-        repositionCount,
-        maxDrawdown,
-        maxDrawdownPct,
-        maxInventoryExposure,
-        avgGridAgeBars,
-        maxGridAgeBars,
-        avgCenterDriftPct,
-        maxCenterDriftPct,
-        nearThresholdBarsPct,
-        avgTriggerDriftPct,
-        makerCreateFeeBts,
-        btsCancelFee,
-        avgCancelOrdersPerReposition,
-        estimatedFeePerRepositionBts,
-        totalRepositionFeesBts,
-        feePerDayBts,
-        netProfitUnits,
-        netProfitPerCapital,
-        ordersPerSide,
-        grossScore,
-        netScore,
-        score,
-    };
-}
-// ── Per-AMA sweep logic (runs in main thread or worker) ─────────────────────
-function sweepOneAma(strategy, candles, closes, weightEntries, cfg) {
-    const amaValues = calculateAMA(closes, { erPeriod: strategy.er, fastPeriod: strategy.fast, slowPeriod: strategy.slow });
-    let best = null;
-    const top5 = [];
-    const allSims = [];
-    let evaluated = 0;
-    const minSpreadFactor = Number.isFinite(cfg.minSpreadFactor) && cfg.minSpreadFactor > 0 ? cfg.minSpreadFactor : null;
-    for (const spreadPct of cfg.spreadValues) {
-        for (const incrementPctRaw of cfg.incrementValues) {
-            if (spreadPct < cfg.feeRoundtripPct + 0.01)
-                continue;
-            if (minSpreadFactor != null && spreadPct < (incrementPctRaw * minSpreadFactor))
-                continue;
-            for (const maxMinRatio of cfg.ratioValues) {
-                for (const [weightName, weightFactor] of weightEntries) {
-                    evaluated++;
-                    const sim = simulatePersistentGrid(candles, amaValues, {
-                        spreadPct,
-                        incrementPct: incrementPctRaw / 100,
-                        maxMinRatio,
-                        maxOrders: cfg.maxOrders,
-                        feeRoundtripPct: cfg.feeRoundtripPct,
-                        capital: cfg.capital,
-                        repositionThreshold: cfg.repositionPct / 100,
-                        btsCreateFee: cfg.btsCreateFee,
-                        btsCancelFee: cfg.btsCancelFee,
-                        makerCreateFactor: cfg.makerCreateFactor,
-                        txFeePrice: cfg.txFeePrice,
-                    }, weightName, weightFactor);
-                    if (!best || sim.score > best.score)
-                        best = sim;
-                    if (sim.matchedPairs > 0) {
-                        const t5key = `${sim.spreadPct}|${sim.incrementPct}|${sim.maxMinRatio}|${sim.weightName}`;
-                        const existing = top5.findIndex((t) => `${t.spreadPct}|${t.incrementPct}|${t.maxMinRatio}|${t.weightName}` === t5key);
-                        if (existing < 0) {
-                            top5.push(sim);
-                            top5.sort((a, b) => b.score - a.score);
-                            if (top5.length > 5)
-                                top5.length = 5;
-                        }
-                        allSims.push(sim);
-                    }
-                }
-            }
-        }
-    }
-    return { strategy, best, top5, allSims, evaluated };
-}
-// ── Worker thread handler ───────────────────────────────────────────────────
-if (!isMainThread) {
-    const { strategy, candles, closes, weightEntries, cfg } = workerData;
-    const result = sweepOneAma(strategy, candles, closes, weightEntries, cfg);
-    parentPort.postMessage(result);
-    process.exit(0);
-}
-// ── Parallel dispatch (main thread) ─────────────────────────────────────────
-function runParallel(strategies, candles, closes, weightEntries, cfg) {
-    const numCpus = Math.min(os.cpus().length, strategies.length);
-    console.log(`  Workers:      ${numCpus} threads (${os.cpus().length} CPUs available)\n`);
-    return Promise.all(strategies.map((strategy) => {
-        return new Promise((resolve, reject) => {
-            const worker = new Worker(__filename, {
-                workerData: { strategy, candles, closes, weightEntries, cfg },
-            });
-            worker.on('message', resolve);
-            worker.on('error', reject);
-            worker.on('exit', (code) => {
-                if (code !== 0)
-                    reject(new Error(`Worker exited with code ${code}`));
-            });
-        });
-    }));
-}
-// ── Main ────────────────────────────────────────────────────────────────────
-async function run() {
-    const cfg = parseArgs();
-    const loaded = loadLpData(cfg.dataPath);
-    const candles = loaded.candles;
-    const closes = candles.map((c) => c.close);
-    const strategies = loadAmaStrategies(cfg.resultsPath);
-    const weightEntries = Object.entries(WEIGHT_PROFILES);
-    const totalCombos = cfg.spreadValues.length * cfg.incrementValues.length *
-        cfg.ratioValues.length * weightEntries.length;
-    console.log('================================================================================');
-    console.log(' AMA SWEEP BACKTEST — persistent grid + weight profiles');
-    console.log('================================================================================');
-    console.log(`  Data:         ${path.basename(cfg.dataPath)} (${candles.length} candles, ~${(candles.length / 24).toFixed(0)} days)`);
-    console.log(`  AMAs:         ${strategies.map((s) => s.id).join(', ')}`);
-    console.log(`  Weights:      ${weightEntries.map(([n, w]) => `${n}(${w})`).join(', ')}`);
-    console.log(`  Spread:       ${cfg.spreadValues[0]}..${cfg.spreadValues[cfg.spreadValues.length - 1]}% (${cfg.spreadValues.length})`);
-    console.log(`  Increment:    ${cfg.incrementValues[0]}..${cfg.incrementValues[cfg.incrementValues.length - 1]}% (${cfg.incrementValues.length})`);
-    console.log(`  Ratio:        ${cfg.ratioValues[0]}..${cfg.ratioValues[cfg.ratioValues.length - 1]} (${cfg.ratioValues.length})`);
-    console.log(`  Max orders:   ${cfg.maxOrders}/side (actual count from ratio+increment) | Capital: ${cfg.capital}/side | Fee: ${cfg.feeRoundtripPct}%`);
-    console.log(`  Spread floor: > fee (${cfg.feeRoundtripPct}%)`);
-    console.log(`  Reposition:   ${cfg.repositionPct}% AMA drift from grid center`);
-    console.log(`  Tx model:     create=${fmt(cfg.btsCreateFee, 5)} BTS, cancel=${fmt(cfg.btsCancelFee, 5)} BTS, maker=${fmt(cfg.makerCreateFactor * 100, 1)}%, 1 BTS=${fmt(cfg.txFeePrice, 2)} units`);
-    console.log(`  Combos/AMA:   ${totalCombos}  |  Total: ${totalCombos * strategies.length}\n`);
-    // ── Run AMA sweeps in parallel (one worker per AMA strategy) ──────
-    const byAma = [];
-    const allResults = [];
-    const workerResults = await runParallel(strategies, candles, closes, weightEntries, cfg);
-    for (const wr of workerResults) {
-        byAma.push(wr);
-        for (const sim of wr.allSims) {
-            allResults.push({ strategy: wr.strategy, sim });
-        }
-        const b = wr.best;
-        const bestLabel = b && b.matchedPairs > 0
-            ? `score=${fmt(b.score, 1)} pairs=${b.matchedPairs} net/cap=${fmt(b.netProfitPerCapital * 100, 1)}% gross=${fmt(b.profitPerCapital * 100, 1)}%`
-            : 'no fills';
-        process.stdout.write(`  ${wr.strategy.id} (ER=${wr.strategy.er}, F=${wr.strategy.fast}, S=${wr.strategy.slow}): ${wr.evaluated} combos, ${bestLabel}\n`);
-    }
-    // ── Per-AMA best ────────────────────────────────────────────────────────
-    console.log('\n================================================================================');
-    console.log(' BEST PARAMS PER AMA');
-    console.log('================================================================================');
-    console.log('AMA   | wt    | spr%  | inc%  | ratio | nOrd |  pairs | net/cap | gross/cap | drift | fee/d | score');
-    console.log('------+-------+-------+-------+-------+------+--------+---------+-----------+-------+-------+------');
-    for (const row of byAma) {
-        const b = row.best;
-        if (!b || b.matchedPairs === 0) {
-            console.log(`${row.strategy.id.padEnd(5)} | (no fills)`);
-            continue;
-        }
-        console.log(`${row.strategy.id.padEnd(5)} | ` +
-            `${b.weightName.padEnd(5)} | ` +
-            `${fmt(b.spreadPct, 1).padStart(5)} | ` +
-            `${fmt(b.incrementPct, 1).padStart(5)} | ` +
-            `${fmt(b.maxMinRatio, 2).padStart(5)} | ` +
-            `${String(b.ordersPerSide).padStart(4)} | ` +
-            `${String(b.matchedPairs).padStart(6)} | ` +
-            `${fmt(b.netProfitPerCapital * 100, 2).padStart(7)}% | ` +
-            `${fmt(b.profitPerCapital * 100, 2).padStart(10)}% | ` +
-            `${fmt(b.avgCenterDriftPct, 2).padStart(5)}% | ` +
-            `${fmt(b.feePerDayBts, 2).padStart(5)} | ` +
-            `${fmt(b.score, 1).padStart(6)}`);
-    }
-    // ── Top 5 per AMA ───────────────────────────────────────────────────────
-    for (const row of byAma) {
-        if (row.top5.length === 0)
-            continue;
-        console.log(`\n  ${row.strategy.id} — Top 5:`);
-        console.log('  # | wt    | spr%  | inc%  | ratio | nOrd |  pairs | net/cap | drift | gAge | fee/d | score');
-        console.log('  --+-------+-------+-------+-------+------+--------+---------+-------+------+-------+------');
-        row.top5.forEach((b, idx) => {
-            console.log(`  ${idx + 1} | ` +
-                `${b.weightName.padEnd(5)} | ` +
-                `${fmt(b.spreadPct, 1).padStart(5)} | ` +
-                `${fmt(b.incrementPct, 1).padStart(5)} | ` +
-                `${fmt(b.maxMinRatio, 2).padStart(5)} | ` +
-                `${String(b.ordersPerSide).padStart(4)} | ` +
-                `${String(b.matchedPairs).padStart(6)} | ` +
-                `${fmt(b.netProfitPerCapital * 100, 2).padStart(7)}% | ` +
-                `${fmt(b.avgCenterDriftPct, 2).padStart(5)}% | ` +
-                `${fmt(b.avgGridAgeBars, 0).padStart(4)} | ` +
-                `${fmt(b.feePerDayBts, 2).padStart(5)} | ` +
-                `${fmt(b.score, 1).padStart(6)}`);
-        });
-    }
-    // ── Global ranking (deduplicated) ───────────────────────────────────────
-    allResults.sort((a, b) => b.sim.score - a.sim.score);
-    const seen = new Set();
-    const deduped = [];
-    for (const r of allResults) {
-        const key = `${r.strategy.id}|${r.sim.spreadPct}|${r.sim.incrementPct}|${r.sim.maxMinRatio}|${r.sim.weightName}`;
-        if (seen.has(key))
-            continue;
-        seen.add(key);
-        deduped.push(r);
-    }
-    if (deduped.length === 0) {
-        console.log('\n  NO CONFIGURATIONS PRODUCED ANY MATCHED PAIRS.');
-        return;
-    }
-    const topN = Math.min(cfg.topN, deduped.length);
-    console.log(`\n================================================================================`);
-    console.log(` GLOBAL TOP ${topN}`);
-    console.log('================================================================================');
-    console.log('#  | AMA   | wt    | spr%  | inc%  | ratio | nOrd |  pairs | net/cap | drift | fee/d | score');
-    console.log('---+-------+-------+-------+-------+-------+------+--------+---------+-------+-------+------');
-    for (let i = 0; i < topN; i++) {
-        const { strategy, sim } = deduped[i];
-        console.log(`${String(i + 1).padStart(2)} | ` +
-            `${strategy.id.padEnd(5)} | ` +
-            `${sim.weightName.padEnd(5)} | ` +
-            `${fmt(sim.spreadPct, 1).padStart(5)} | ` +
-            `${fmt(sim.incrementPct, 1).padStart(5)} | ` +
-            `${fmt(sim.maxMinRatio, 2).padStart(5)} | ` +
-            `${String(sim.ordersPerSide).padStart(4)} | ` +
-            `${String(sim.matchedPairs).padStart(6)} | ` +
-            `${fmt(sim.netProfitPerCapital * 100, 2).padStart(7)}% | ` +
-            `${fmt(sim.avgCenterDriftPct, 2).padStart(5)}% | ` +
-            `${fmt(sim.feePerDayBts, 2).padStart(5)} | ` +
-            `${fmt(sim.score, 1).padStart(6)}`);
-    }
-    // ── Winner ──────────────────────────────────────────────────────────────
-    const winner = deduped[0];
-    console.log(`\n================================================================================`);
-    console.log(` WINNER`);
-    console.log('================================================================================');
-    console.log(`  AMA:         ${winner.strategy.id} (ER=${winner.strategy.er}, Fast=${winner.strategy.fast}, Slow=${winner.strategy.slow})`);
-    console.log(`  Weight:      ${winner.sim.weightName} (${WEIGHT_PROFILES[winner.sim.weightName]})`);
-    console.log(`  Spread:      ${fmt(winner.sim.spreadPct, 1)}%`);
-    console.log(`  Increment:   ${fmt(winner.sim.incrementPct, 1)}%`);
-    console.log(`  Ratio:       ${fmt(winner.sim.maxMinRatio, 1)}x`);
-    console.log(`  Pairs:       ${winner.sim.matchedPairs} (${fmt(winner.sim.pairsPerDay, 2)}/day)`);
-    console.log(`  Fill eff:    ${fmt(winner.sim.fillEfficiency, 1)}%`);
-    console.log(`  Profit/cap:  gross ${fmt(winner.sim.profitPerCapital * 100, 2)}% | net ${fmt(winner.sim.netProfitPerCapital * 100, 2)}%`);
-    console.log(`  Net profit:  ${fmt(winner.sim.netProfitUnits, 0)} units after ${fmt(winner.sim.totalRepositionFeesBts, 1)} BTS reposition fees`);
-    console.log(`  Avg/pair:    ${fmt(winner.sim.avgProfitPerPair, 2)} units`);
-    console.log(`  Max DD:      ${fmt(winner.sim.maxDrawdownPct, 2)}%`);
-    console.log(`  Repositions: ${winner.sim.repositionCount}`);
-    console.log(`  Grid age:    avg ${fmt(winner.sim.avgGridAgeBars, 1)} bars | max ${fmt(winner.sim.maxGridAgeBars, 0)} bars`);
-    console.log(`  Drift:       avg ${fmt(winner.sim.avgCenterDriftPct, 2)}% | max ${fmt(winner.sim.maxCenterDriftPct, 2)}% | near-threshold ${fmt(winner.sim.nearThresholdBarsPct, 1)}%`);
-    console.log(`  Tx burn:     ${fmt(winner.sim.estimatedFeePerRepositionBts, 4)} BTS/reposition | ${fmt(winner.sim.feePerDayBts, 2)} BTS/day`);
-    console.log(`  Score:       ${fmt(winner.sim.score, 2)}`);
-    // ── Save JSON ───────────────────────────────────────────────────────────
-    const outName = `ama_sweep_results_${path.basename(cfg.dataPath, '.json')}.json`;
-    const outPath = path.join(__dirname, outName);
-    writeJSON(outPath, {
-        meta: {
-            generatedAt: new Date().toISOString(),
-            dataPath: path.relative(process.cwd(), cfg.dataPath),
-            resultsPath: path.relative(process.cwd(), cfg.resultsPath),
-            candles: candles.length,
-            days: candles.length / 24,
-            maxOrders: cfg.maxOrders,
-            capitalPerSide: cfg.capital,
-            feeRoundtripPct: cfg.feeRoundtripPct,
-            repositionPct: cfg.repositionPct,
-            btsCreateFee: cfg.btsCreateFee,
-            btsCancelFee: cfg.btsCancelFee,
-            makerCreateFactor: cfg.makerCreateFactor,
-            txFeePrice: cfg.txFeePrice,
-            weightProfiles: WEIGHT_PROFILES,
-            search: {
-                spreadValues: cfg.spreadValues,
-                incrementValues: cfg.incrementValues,
-                ratioValues: cfg.ratioValues,
-                minSpreadFactor: cfg.minSpreadFactor,
-                combosPerAma: totalCombos,
-                totalCombos: totalCombos * strategies.length,
-            },
-            scoring: 'netProfitPerCapital * 100 * log10(max(1, matchedPairs)) - maxDrawdownPct * 0.5',
-        },
-        strategies,
-        perAma: byAma.map((row) => ({
-            strategy: row.strategy,
-            evaluated: row.evaluated,
-            best: row.best,
-            top5: row.top5,
-        })),
-        globalTop: deduped.slice(0, Math.max(cfg.topN, 20)).map(({ strategy, sim }) => ({
-            ama: strategy.id,
-            amaParams: { er: strategy.er, fast: strategy.fast, slow: strategy.slow },
-            ...sim,
-        })),
-        winner: {
-            ama: winner.strategy.id,
-            amaParams: { er: winner.strategy.er, fast: winner.strategy.fast, slow: winner.strategy.slow },
-            ...winner.sim,
-        },
-    });
-    console.log(`\nSaved: ${path.relative(process.cwd(), outPath)}`);
-}
-if (require.main === module) {
-    run().catch((err) => { console.error(err); process.exit(1); });
-}
-module.exports = {
-    WEIGHT_PROFILES,
-    allocateFundsByWeights,
-    buildGrid,
-    closeFilledInventoryAtPrice,
-    countCancelableOrders,
-    simulatePersistentGrid,
-    sweepOneAma,
-};
-//# sourceMappingURL=backtest_ama_sweep.js.map