dexbot 1.4.17 → 1.4.19

package/dist/analysis/bot_fitting/backtest_ama_sweep.js

@@ -0,0 +1,792 @@
+import path from 'node:path';
+import os from 'node:os';
+import { pathToFileURL } from 'node:url';
+import { Worker, isMainThread, parentPort, workerData } from 'node:worker_threads';
+import { calculateAMA } from '../../market_adapter/core/strategies/ama.js';
+import { range } from '../math_utils.js';
+import { parseListOrRange, loadLpData, fmt } from './shared_utils.js';
+import { getStorage } from '../../modules/storage/index.js';
+const { readJSON, writeJSON } = getStorage();
+'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 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 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('  node dist/analysis/bot_fitting/backtest_ama_sweep.js [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, size: 0 });
+        sells.push({ level: k, price: sellPrice, filledBar: -1, size: 0 });
+    }
+    // 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 (process.argv[1] && import.meta.url === pathToFileURL(process.argv[1]).href) {
+    run().catch((err) => { console.error(err); process.exit(1); });
+}
+export { WEIGHT_PROFILES, allocateFundsByWeights, buildGrid, closeFilledInventoryAtPrice, countCancelableOrders, simulatePersistentGrid, sweepOneAma };
+//# sourceMappingURL=backtest_ama_sweep.js.map