dexbot 1.4.20 → 1.4.22
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/CHANGELOG.md +53 -0
- package/README.md +23 -13
- package/analysis/ama_fitting/analyze_ama_price_changes.ts +7 -3
- package/analysis/ama_fitting/analyze_lambda_vs_slow.ts +3 -3
- package/analysis/ama_fitting/calibrate_convergence_er.ts +8 -6
- package/analysis/ama_fitting/fetch_lp_candles.ts +8 -3
- package/analysis/ama_fitting/generate_unified_comparison_chart.ts +30 -67
- package/analysis/ama_fitting/optimizer_high_resolution.ts +22 -13
- package/analysis/ama_fitting/package.json +1 -1
- package/analysis/analyze_derivatives.ts +4 -4
- package/analysis/analyze_dynamic_weight.ts +21 -5
- package/analysis/analyze_kalman.ts +54 -25
- package/analysis/analyze_regime.ts +2 -2
- package/analysis/analyze_regime_windows.ts +27 -19
- package/analysis/analyze_risk_profile.ts +3 -3
- package/analysis/analyze_trade_heatmap.ts +3 -3
- package/analysis/analyze_volatility.ts +2 -2
- package/analysis/bot_fitting/README.md +93 -19
- package/analysis/bot_fitting/backtest_ama_sweep.ts +316 -199
- package/analysis/bot_fitting/backtest_bot_fitting.ts +520 -85
- package/analysis/bot_fitting/shared_utils.ts +16 -10
- package/analysis/bot_key_utils.ts +14 -11
- package/analysis/bot_usage/discover_bot_accounts.ts +5 -3
- package/analysis/bot_usage/kibana_bot_queries.ts +2 -257
- package/analysis/chart_css.ts +6 -4
- package/analysis/chart_ui.ts +0 -1
- package/analysis/chart_utils.ts +11 -2
- package/analysis/derivative_chart_generator.ts +2 -2
- package/analysis/math_utils.ts +1 -8
- package/analysis/price_sources.ts +8 -2
- package/analysis/resolve_source.ts +1 -1
- package/analysis/results/ama_sweep_results_lp_pool_133_1h.json +2455 -0
- package/analysis/results/bot_fitting_results_lp_pool_133_1h.json +218 -0
- package/analysis/trade_profitability.ts +61 -28
- package/analysis/tradingview/analyze_tradingview.ts +1 -1
- package/analysis/tradingview/h-bts_tradingview.html +1570 -0
- package/analysis/tradingview/t-bts_tradingview.html +1570 -0
- package/analysis/tradingview/tradingview_uplot_chart_generator.ts +302 -74
- package/analysis/trend_detection/DYNAMIC_WEIGHT_RESEARCH.md +1 -1
- package/analysis/trend_detection/derivative_analyzer.ts +12 -3
- package/analysis/trend_detection/dynamic_weight_chart_generator.ts +25 -27
- package/analysis/trend_detection/hurst_analyzer.ts +1 -1
- package/analysis/trend_detection/kalman_chart_generator.ts +42 -14
- package/analysis/trend_detection/package.json +1 -1
- package/analysis/trend_detection/regime_chart_generator.ts +39 -19
- package/analysis/trend_detection/tests/test_kalman_trend.ts +1 -1
- package/analysis/trend_detection/tests/test_kalman_velocity_smoothing.ts +1 -1
- package/analysis/trend_detection/volatility_chart_generator.ts +1 -1
- package/claw/ecosystem.config.cjs +2 -3
- package/claw/examples/memu_integration_example.ts +17 -17
- package/claw/index.ts +1 -1
- package/claw/modules/chain_actions.ts +51 -54
- package/claw/modules/chain_broadcast.ts +66 -104
- package/claw/modules/claw_bridge.ts +63 -83
- package/claw/modules/claw_catalog.ts +48 -17
- package/claw/modules/claw_infra.ts +1 -5
- package/claw/modules/claw_launcher.ts +48 -50
- package/claw/modules/claw_skill_md.ts +15 -21
- package/claw/modules/credit_runtime_adapter.ts +3 -19
- package/claw/modules/decision_loop.ts +9 -9
- package/claw/modules/dexbot_bridge.ts +8 -8
- package/claw/modules/dexbot_profiles.ts +5 -21
- package/claw/modules/feed_price_source.ts +1 -1
- package/claw/modules/honest_ecosystem.ts +24 -8
- package/claw/modules/kibana_price_source.ts +1 -1
- package/claw/modules/launcher_mode_detector.ts +1 -1
- package/claw/modules/launcher_paths.ts +1 -1
- package/claw/modules/liquidity_pools.ts +10 -3
- package/claw/modules/mcp_utils.ts +109 -0
- package/claw/modules/memu_bridge.ts +76 -54
- package/claw/modules/mpa_utils.ts +26 -3
- package/claw/modules/position_discovery.ts +17 -28
- package/claw/modules/position_health.ts +1 -1
- package/claw/modules/position_manager.ts +32 -41
- package/claw/modules/position_manager_watch.ts +3 -2
- package/claw/modules/short_mpa_strategy.ts +1 -9
- package/claw/modules/skill_utils.ts +5 -3
- package/claw/modules/utils.ts +9 -1
- package/claw/package.json +3 -3
- package/claw/runtimes/openclaw-plugin/index.ts +27 -10
- package/claw/runtimes/openclaw-plugin/openclaw.plugin.json +1 -1
- package/claw/runtimes/openclaw-plugin/package.json +1 -1
- package/claw/scripts/claw_bridge.ts +1 -1
- package/claw/scripts/claw_mcp_server.ts +19 -78
- package/claw/scripts/honest_assets_report.ts +19 -84
- package/claw/scripts/memu_mcp_server.ts +57 -155
- package/claw/skills/launcher-ops/references/launcher-workflow.md +2 -2
- package/claw/tests/package.json +1 -1
- package/claw/tests/test_claw_bridge.ts +47 -19
- package/claw/tests/test_claw_catalog_and_credentials.ts +8 -4
- package/claw/tests/test_claw_chain_layer.ts +39 -19
- package/claw/tests/test_claw_data_flow.ts +28 -20
- package/claw/tests/test_claw_domain_logic.ts +25 -19
- package/claw/tests/test_claw_manifest_and_matrix.ts +23 -3
- package/claw/tests/test_claw_mcp_transport.ts +13 -8
- package/claw/tests/test_claw_regressions.ts +254 -128
- package/claw/tests/test_claw_skill_generation.ts +1 -1
- package/claw/tests/test_nullclaw_tmp_integration.ts +2 -3
- package/claw/tests/test_position_health.ts +1 -77
- package/claw/tests/test_position_manager.ts +20 -18
- package/claw/tests/test_position_manager_watch_health.ts +39 -43
- package/claw/tests/test_short_mpa_strategy.ts +20 -17
- package/claw/tsconfig.json +4 -3
- package/dist/analysis/ama_fitting/analyze_ama_price_changes.js +7 -3
- package/dist/analysis/ama_fitting/analyze_ama_price_changes.js.map +1 -1
- package/dist/analysis/ama_fitting/analyze_lambda_vs_slow.js +3 -3
- package/dist/analysis/ama_fitting/analyze_lambda_vs_slow.js.map +1 -1
- package/dist/analysis/ama_fitting/calibrate_convergence_er.js +8 -6
- package/dist/analysis/ama_fitting/calibrate_convergence_er.js.map +1 -1
- package/dist/analysis/ama_fitting/fetch_lp_candles.js +8 -3
- package/dist/analysis/ama_fitting/fetch_lp_candles.js.map +1 -1
- package/dist/analysis/ama_fitting/generate_unified_comparison_chart.d.ts +2 -2
- package/dist/analysis/ama_fitting/generate_unified_comparison_chart.d.ts.map +1 -1
- package/dist/analysis/ama_fitting/generate_unified_comparison_chart.js +31 -75
- package/dist/analysis/ama_fitting/generate_unified_comparison_chart.js.map +1 -1
- package/dist/analysis/ama_fitting/optimizer_high_resolution.d.ts.map +1 -1
- package/dist/analysis/ama_fitting/optimizer_high_resolution.js +21 -13
- package/dist/analysis/ama_fitting/optimizer_high_resolution.js.map +1 -1
- package/dist/analysis/analyze_derivatives.d.ts +0 -18
- package/dist/analysis/analyze_derivatives.d.ts.map +1 -1
- package/dist/analysis/analyze_derivatives.js +4 -4
- package/dist/analysis/analyze_derivatives.js.map +1 -1
- package/dist/analysis/analyze_dynamic_weight.d.ts +0 -11
- package/dist/analysis/analyze_dynamic_weight.d.ts.map +1 -1
- package/dist/analysis/analyze_dynamic_weight.js +19 -5
- package/dist/analysis/analyze_dynamic_weight.js.map +1 -1
- package/dist/analysis/analyze_kalman.d.ts +0 -10
- package/dist/analysis/analyze_kalman.d.ts.map +1 -1
- package/dist/analysis/analyze_kalman.js +51 -26
- package/dist/analysis/analyze_kalman.js.map +1 -1
- package/dist/analysis/analyze_regime.d.ts +0 -17
- package/dist/analysis/analyze_regime.d.ts.map +1 -1
- package/dist/analysis/analyze_regime.js +2 -2
- package/dist/analysis/analyze_regime.js.map +1 -1
- package/dist/analysis/analyze_regime_windows.d.ts +0 -16
- package/dist/analysis/analyze_regime_windows.d.ts.map +1 -1
- package/dist/analysis/analyze_regime_windows.js +28 -21
- package/dist/analysis/analyze_regime_windows.js.map +1 -1
- package/dist/analysis/analyze_risk_profile.js +3 -3
- package/dist/analysis/analyze_risk_profile.js.map +1 -1
- package/dist/analysis/analyze_trade_heatmap.js +3 -3
- package/dist/analysis/analyze_trade_heatmap.js.map +1 -1
- package/dist/analysis/analyze_volatility.d.ts +0 -19
- package/dist/analysis/analyze_volatility.d.ts.map +1 -1
- package/dist/analysis/analyze_volatility.js +2 -2
- package/dist/analysis/analyze_volatility.js.map +1 -1
- package/dist/analysis/bot_fitting/backtest_ama_sweep.d.ts +30 -14
- package/dist/analysis/bot_fitting/backtest_ama_sweep.d.ts.map +1 -1
- package/dist/analysis/bot_fitting/backtest_ama_sweep.js +330 -193
- package/dist/analysis/bot_fitting/backtest_ama_sweep.js.map +1 -1
- package/dist/analysis/bot_fitting/backtest_bot_fitting.d.ts +136 -1
- package/dist/analysis/bot_fitting/backtest_bot_fitting.d.ts.map +1 -1
- package/dist/analysis/bot_fitting/backtest_bot_fitting.js +527 -83
- package/dist/analysis/bot_fitting/backtest_bot_fitting.js.map +1 -1
- package/dist/analysis/bot_fitting/shared_utils.d.ts +2 -13
- package/dist/analysis/bot_fitting/shared_utils.d.ts.map +1 -1
- package/dist/analysis/bot_fitting/shared_utils.js +15 -9
- package/dist/analysis/bot_fitting/shared_utils.js.map +1 -1
- package/dist/analysis/bot_key_utils.d.ts +1 -1
- package/dist/analysis/bot_key_utils.d.ts.map +1 -1
- package/dist/analysis/bot_key_utils.js +14 -11
- package/dist/analysis/bot_key_utils.js.map +1 -1
- package/dist/analysis/bot_usage/discover_bot_accounts.js +5 -3
- package/dist/analysis/bot_usage/discover_bot_accounts.js.map +1 -1
- package/dist/analysis/bot_usage/kibana_bot_queries.d.ts +1 -337
- package/dist/analysis/bot_usage/kibana_bot_queries.d.ts.map +1 -1
- package/dist/analysis/bot_usage/kibana_bot_queries.js +2 -242
- package/dist/analysis/bot_usage/kibana_bot_queries.js.map +1 -1
- package/dist/analysis/chart_css.d.ts +2 -14
- package/dist/analysis/chart_css.d.ts.map +1 -1
- package/dist/analysis/chart_css.js +6 -3
- package/dist/analysis/chart_css.js.map +1 -1
- package/dist/analysis/chart_ui.d.ts.map +1 -1
- package/dist/analysis/chart_ui.js.map +1 -1
- package/dist/analysis/chart_utils.d.ts.map +1 -1
- package/dist/analysis/chart_utils.js +15 -2
- package/dist/analysis/chart_utils.js.map +1 -1
- package/dist/analysis/derivative_chart_generator.js +2 -2
- package/dist/analysis/derivative_chart_generator.js.map +1 -1
- package/dist/analysis/math_utils.d.ts +3 -5
- package/dist/analysis/math_utils.d.ts.map +1 -1
- package/dist/analysis/math_utils.js +3 -5
- package/dist/analysis/math_utils.js.map +1 -1
- package/dist/analysis/price_sources.d.ts +1 -0
- package/dist/analysis/price_sources.d.ts.map +1 -1
- package/dist/analysis/price_sources.js +8 -2
- package/dist/analysis/price_sources.js.map +1 -1
- package/dist/analysis/resolve_source.d.ts.map +1 -1
- package/dist/analysis/resolve_source.js +1 -1
- package/dist/analysis/resolve_source.js.map +1 -1
- package/dist/analysis/trade_profitability.d.ts.map +1 -1
- package/dist/analysis/trade_profitability.js +58 -29
- package/dist/analysis/trade_profitability.js.map +1 -1
- package/dist/analysis/tradingview/analyze_tradingview.js +1 -1
- package/dist/analysis/tradingview/analyze_tradingview.js.map +1 -1
- package/dist/analysis/tradingview/tradingview_uplot_chart_generator.d.ts.map +1 -1
- package/dist/analysis/tradingview/tradingview_uplot_chart_generator.js +302 -74
- package/dist/analysis/tradingview/tradingview_uplot_chart_generator.js.map +1 -1
- package/dist/analysis/trend_detection/derivative_analyzer.d.ts +1 -0
- package/dist/analysis/trend_detection/derivative_analyzer.d.ts.map +1 -1
- package/dist/analysis/trend_detection/derivative_analyzer.js +12 -3
- package/dist/analysis/trend_detection/derivative_analyzer.js.map +1 -1
- package/dist/analysis/trend_detection/dynamic_weight_chart_generator.d.ts.map +1 -1
- package/dist/analysis/trend_detection/dynamic_weight_chart_generator.js +26 -27
- package/dist/analysis/trend_detection/dynamic_weight_chart_generator.js.map +1 -1
- package/dist/analysis/trend_detection/hurst_analyzer.d.ts +1 -1
- package/dist/analysis/trend_detection/hurst_analyzer.d.ts.map +1 -1
- package/dist/analysis/trend_detection/hurst_analyzer.js +1 -1
- package/dist/analysis/trend_detection/hurst_analyzer.js.map +1 -1
- package/dist/analysis/trend_detection/kalman_chart_generator.d.ts.map +1 -1
- package/dist/analysis/trend_detection/kalman_chart_generator.js +41 -13
- package/dist/analysis/trend_detection/kalman_chart_generator.js.map +1 -1
- package/dist/analysis/trend_detection/regime_chart_generator.d.ts.map +1 -1
- package/dist/analysis/trend_detection/regime_chart_generator.js +38 -19
- package/dist/analysis/trend_detection/regime_chart_generator.js.map +1 -1
- package/dist/analysis/trend_detection/tests/test_kalman_trend.js +1 -1
- package/dist/analysis/trend_detection/tests/test_kalman_trend.js.map +1 -1
- package/dist/analysis/trend_detection/tests/test_kalman_velocity_smoothing.js +1 -1
- package/dist/analysis/trend_detection/tests/test_kalman_velocity_smoothing.js.map +1 -1
- package/dist/analysis/trend_detection/volatility_chart_generator.js +1 -1
- package/dist/analysis/trend_detection/volatility_chart_generator.js.map +1 -1
- package/dist/bot.js +3 -3
- package/dist/bot.js.map +1 -1
- package/dist/credential-daemon.d.ts +1 -1
- package/dist/credential-daemon.js +2 -2
- package/dist/credential-daemon.js.map +1 -1
- package/dist/dexbot.d.ts.map +1 -1
- package/dist/dexbot.js +25 -22
- package/dist/dexbot.js.map +1 -1
- package/dist/market_adapter/ama_signal_runner.js +6 -4
- package/dist/market_adapter/ama_signal_runner.js.map +1 -1
- package/dist/market_adapter/candle_utils.d.ts +1 -3
- package/dist/market_adapter/candle_utils.d.ts.map +1 -1
- package/dist/market_adapter/candle_utils.js +1 -11
- package/dist/market_adapter/candle_utils.js.map +1 -1
- package/dist/market_adapter/core/asymmetric_bounds.d.ts.map +1 -1
- package/dist/market_adapter/core/asymmetric_bounds.js +33 -30
- package/dist/market_adapter/core/asymmetric_bounds.js.map +1 -1
- package/dist/market_adapter/core/config_normalizers.d.ts.map +1 -1
- package/dist/market_adapter/core/config_normalizers.js +10 -1
- package/dist/market_adapter/core/config_normalizers.js.map +1 -1
- package/dist/market_adapter/core/kibana_candles.d.ts +18 -42
- package/dist/market_adapter/core/kibana_candles.d.ts.map +1 -1
- package/dist/market_adapter/core/kibana_candles.js +101 -7
- package/dist/market_adapter/core/kibana_candles.js.map +1 -1
- package/dist/market_adapter/core/kibana_client.d.ts +1 -17
- package/dist/market_adapter/core/kibana_client.d.ts.map +1 -1
- package/dist/market_adapter/core/kibana_client.js +40 -7
- package/dist/market_adapter/core/kibana_client.js.map +1 -1
- package/dist/market_adapter/core/kibana_market_candles.d.ts +0 -27
- package/dist/market_adapter/core/kibana_market_candles.d.ts.map +1 -1
- package/dist/market_adapter/core/kibana_market_candles.js +1 -1
- package/dist/market_adapter/core/kibana_market_candles.js.map +1 -1
- package/dist/market_adapter/core/market_adapter_service.d.ts +22 -13
- package/dist/market_adapter/core/market_adapter_service.d.ts.map +1 -1
- package/dist/market_adapter/core/market_adapter_service.js +96 -38
- package/dist/market_adapter/core/market_adapter_service.js.map +1 -1
- package/dist/market_adapter/core/signals/hurst_analyzer.d.ts +10 -1
- package/dist/market_adapter/core/signals/hurst_analyzer.d.ts.map +1 -1
- package/dist/market_adapter/core/signals/hurst_analyzer.js +28 -17
- package/dist/market_adapter/core/signals/hurst_analyzer.js.map +1 -1
- package/dist/market_adapter/core/signals/kalman_trend_analyzer.d.ts +5 -0
- package/dist/market_adapter/core/signals/kalman_trend_analyzer.d.ts.map +1 -1
- package/dist/market_adapter/core/signals/kalman_trend_analyzer.js +24 -24
- package/dist/market_adapter/core/signals/kalman_trend_analyzer.js.map +1 -1
- package/dist/market_adapter/core/signals/kalman_velocity_smoothing.d.ts.map +1 -1
- package/dist/market_adapter/core/signals/kalman_velocity_smoothing.js +5 -1
- package/dist/market_adapter/core/signals/kalman_velocity_smoothing.js.map +1 -1
- package/dist/market_adapter/core/signals/permutation_entropy_analyzer.d.ts.map +1 -1
- package/dist/market_adapter/core/signals/permutation_entropy_analyzer.js +20 -3
- package/dist/market_adapter/core/signals/permutation_entropy_analyzer.js.map +1 -1
- package/dist/market_adapter/core/strategies/ama.js +1 -1
- package/dist/market_adapter/core/strategies/ama.js.map +1 -1
- package/dist/market_adapter/core/strategies/ama_slope_model.d.ts +2 -2
- package/dist/market_adapter/core/strategies/ama_slope_model.d.ts.map +1 -1
- package/dist/market_adapter/core/strategies/ama_slope_model.js +16 -4
- package/dist/market_adapter/core/strategies/ama_slope_model.js.map +1 -1
- package/dist/market_adapter/core/strategies/atr/calculator.d.ts +4 -3
- package/dist/market_adapter/core/strategies/atr/calculator.d.ts.map +1 -1
- package/dist/market_adapter/core/strategies/atr/calculator.js +16 -8
- package/dist/market_adapter/core/strategies/atr/calculator.js.map +1 -1
- package/dist/market_adapter/core/strategies/collateral_manager.d.ts.map +1 -1
- package/dist/market_adapter/core/strategies/collateral_manager.js +8 -3
- package/dist/market_adapter/core/strategies/collateral_manager.js.map +1 -1
- package/dist/market_adapter/core/strategies/dynamic_weight_series.d.ts +40 -1
- package/dist/market_adapter/core/strategies/dynamic_weight_series.d.ts.map +1 -1
- package/dist/market_adapter/core/strategies/dynamic_weight_series.js +116 -2
- package/dist/market_adapter/core/strategies/dynamic_weight_series.js.map +1 -1
- package/dist/market_adapter/core/strategies/regime_gate.d.ts +1 -2
- package/dist/market_adapter/core/strategies/regime_gate.d.ts.map +1 -1
- package/dist/market_adapter/core/strategies/regime_gate.js +27 -21
- package/dist/market_adapter/core/strategies/regime_gate.js.map +1 -1
- package/dist/market_adapter/core/strategies/volatility_shift.d.ts.map +1 -1
- package/dist/market_adapter/core/strategies/volatility_shift.js +3 -0
- package/dist/market_adapter/core/strategies/volatility_shift.js.map +1 -1
- package/dist/market_adapter/inputs/fetch_cex_synthetic_data.js +71 -57
- package/dist/market_adapter/inputs/fetch_cex_synthetic_data.js.map +1 -1
- package/dist/market_adapter/inputs/fetch_lp_data.d.ts +0 -26
- package/dist/market_adapter/inputs/fetch_lp_data.d.ts.map +1 -1
- package/dist/market_adapter/inputs/fetch_lp_data.js +72 -19
- package/dist/market_adapter/inputs/fetch_lp_data.js.map +1 -1
- package/dist/market_adapter/inputs/kibana_source.d.ts +5 -30
- package/dist/market_adapter/inputs/kibana_source.d.ts.map +1 -1
- package/dist/market_adapter/inputs/kibana_source.js +6 -3
- package/dist/market_adapter/inputs/kibana_source.js.map +1 -1
- package/dist/market_adapter/lp_chart_core.js +1 -1
- package/dist/market_adapter/lp_chart_core.js.map +1 -1
- package/dist/market_adapter/lp_chart_runner.d.ts +10 -1
- package/dist/market_adapter/lp_chart_runner.d.ts.map +1 -1
- package/dist/market_adapter/lp_chart_runner.js +2 -2
- package/dist/market_adapter/lp_chart_runner.js.map +1 -1
- package/dist/market_adapter/lp_chart_strategy_loader.d.ts +1 -2
- package/dist/market_adapter/lp_chart_strategy_loader.d.ts.map +1 -1
- package/dist/market_adapter/lp_chart_strategy_loader.js +5 -5
- package/dist/market_adapter/lp_chart_strategy_loader.js.map +1 -1
- package/dist/market_adapter/market_adapter.d.ts +1 -2
- package/dist/market_adapter/market_adapter.d.ts.map +1 -1
- package/dist/market_adapter/market_adapter.js +5 -7
- package/dist/market_adapter/market_adapter.js.map +1 -1
- package/dist/market_adapter/test_helpers.d.ts +3 -3
- package/dist/market_adapter/test_helpers.d.ts.map +1 -1
- package/dist/market_adapter/test_helpers.js +3 -3
- package/dist/market_adapter/test_helpers.js.map +1 -1
- package/dist/market_adapter/utils/adapter_client.js +1 -1
- package/dist/market_adapter/utils/adapter_client.js.map +1 -1
- package/dist/market_adapter/utils/atomic_write.js +1 -1
- package/dist/market_adapter/utils/atomic_write.js.map +1 -1
- package/dist/market_adapter/utils/chain.d.ts +0 -2
- package/dist/market_adapter/utils/chain.d.ts.map +1 -1
- package/dist/market_adapter/utils/chain.js +2 -3
- package/dist/market_adapter/utils/chain.js.map +1 -1
- package/dist/market_adapter/utils/data_discovery.d.ts.map +1 -1
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#!/usr/bin/env node
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/**
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* DYNAMIC WEIGHT RESEARCH TOOL
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*
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* Computes AMA slope + Kalman + Hurst + PE signals and generates an
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* interactive HTML chart for researching dynamic weight parameters.
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* Usage:
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* tsx analysis/analyze_dynamic_weight.ts \
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export {};
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{"version":3,"file":"analyze_dynamic_weight.d.ts","sourceRoot":"","sources":["../../analysis/analyze_dynamic_weight.ts"],"names":[],"mappings":"
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{"version":3,"file":"analyze_dynamic_weight.d.ts","sourceRoot":"","sources":["../../analysis/analyze_dynamic_weight.ts"],"names":[],"mappings":""}
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#!/usr/bin/env node
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'use strict';
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/**
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* DYNAMIC WEIGHT RESEARCH TOOL
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* interactive HTML chart for researching dynamic weight parameters.
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* Usage:
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*
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* node dist/analysis/analyze_dynamic_weight.js \
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* --file market_adapter/data/lp/<path>/<to>/<lp-candles>.json
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*/
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@@ -16,13 +17,12 @@ import { HurstAnalyzer } from './trend_detection/hurst_analyzer.js';
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import { PermutationEntropyAnalyzer } from './trend_detection/permutation_entropy_analyzer.js';
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import { generateHTML } from './trend_detection/dynamic_weight_chart_generator.js';
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import { calculateAMA } from '../market_adapter/core/strategies/ama.js';
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import { computeAmaSlopeWeights } from '../market_adapter/core/strategies/ama_slope_model.js';
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import { computeAmaSlopeWeights, createAmaSlopeClipTracker } from '../market_adapter/core/strategies/ama_slope_model.js';
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import { MARKET_ADAPTER } from '../modules/constants.js';
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import { PATHS } from '../modules/paths.js';
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import { writeChartFile } from './chart_utils.js';
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import { getCandleClose } from './math_utils.js';
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import { resolveSource, listAvailableBots } from './resolve_source.js';
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'use strict';
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// AMA Slope weight calculation config — use DEFAULTS from market adapter
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27
|
const AMA_WEIGHT_CONFIG = {
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lookbackBars: MARKET_ADAPTER.DYNAMIC_WEIGHT_AMA_LOOKBACK_BARS,
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@@ -130,14 +130,27 @@ async function main() {
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// ── AMA weight calculation ───────────────────────────────────────────
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131
|
const closes = candles.map(c => getCandleClose(c) ?? 0);
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132
|
const amaValues = calculateAMA(closes, AMA_CONFIG);
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const lbBars = config.lookbackBars ?? AMA_WEIGHT_CONFIG.lookbackBars;
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const clipPercentile = config.clipPct ?? MARKET_ADAPTER.DYNAMIC_WEIGHT_CLIP_PERCENTILE;
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// Incremental percentile clip threshold (shared with the market adapter)
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// so the research offset matches the live asymmetry. Feeding bar-by-bar
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// keeps the pool prefix-only — no look-ahead, same thresholds the live
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// service would have seen at each point in time.
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const clipTracker = createAmaSlopeClipTracker(AMA_CONFIG.erPeriod, lbBars, clipPercentile);
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// Minimal history window computeAmaSlopeWeights can act on (guard is
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// erPeriod + lookbackBars + 1 and it only reads the last two sampled
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+
// bars), so a rolling slice avoids O(n²) prefix copies.
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+
const weightWindowBars = Math.ceil(AMA_CONFIG.erPeriod) + lbBars + 1;
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144
|
for (let i = 0; i < allResults.length; i++) {
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// The research chart keeps ATR out of the Kalman branch on purpose.
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// Production applies ATR later as a separate symmetric volatility penalty.
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const atr = 0;
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|
const weightVariance = 0;
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const
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+
const amaClipThreshold = clipTracker.push(amaValues[i] ?? NaN);
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|
+
const slice = amaValues.slice(Math.max(0, i + 1 - weightWindowBars), i + 1);
|
|
151
|
+
const weights = computeAmaSlopeWeights(slice, weightVariance, {
|
|
139
152
|
erPeriod: AMA_CONFIG.erPeriod,
|
|
140
|
-
lookbackBars:
|
|
153
|
+
lookbackBars: lbBars,
|
|
141
154
|
maxSlopePct: AMA_WEIGHT_CONFIG.amaMaxSlopePct,
|
|
142
155
|
neutralZonePct: AMA_WEIGHT_CONFIG.neutralZonePct,
|
|
143
156
|
volatilityExponent: AMA_WEIGHT_CONFIG.volatilityExponent,
|
|
@@ -145,6 +158,7 @@ async function main() {
|
|
|
145
158
|
volatilityThreshold: AMA_WEIGHT_CONFIG.volatilityThreshold,
|
|
146
159
|
maxSlopeOffset: AMA_WEIGHT_CONFIG.maxSlopeOffset,
|
|
147
160
|
maxVolatilityOffset: AMA_WEIGHT_CONFIG.maxVolatilityOffset,
|
|
161
|
+
clipThreshold: amaClipThreshold,
|
|
148
162
|
});
|
|
149
163
|
allResults[i].ama3Price = amaValues[i] ?? null;
|
|
150
164
|
allResults[i].atr = atr;
|
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"analyze_dynamic_weight.js","sourceRoot":"","sources":["../../analysis/analyze_dynamic_weight.ts"],"names":[],"mappings":";
|
|
1
|
+
{"version":3,"file":"analyze_dynamic_weight.js","sourceRoot":"","sources":["../../analysis/analyze_dynamic_weight.ts"],"names":[],"mappings":";AACA,YAAY,CAAC;AAEb;;;;;;;;;;GAUG;AAEH,OAAO,IAAI,MAAM,WAAW,CAAC;AAC7B,OAAO,EAAE,mBAAmB,EAAE,MAAM,4CAA4C,CAAC;AACjF,OAAO,EAAE,aAAa,EAAE,MAAM,qCAAqC,CAAC;AACpE,OAAO,EAAE,0BAA0B,EAAE,MAAM,mDAAmD,CAAC;AAC/F,OAAO,EAAE,YAAY,EAAE,MAAM,qDAAqD,CAAC;AACnF,OAAO,EAAE,YAAY,EAAE,MAAM,0CAA0C,CAAC;AACxE,OAAO,EAAE,sBAAsB,EAAE,yBAAyB,EAAE,MAAM,sDAAsD,CAAC;AACzH,OAAO,EAAE,cAAc,EAAE,MAAM,yBAAyB,CAAC;AACzD,OAAO,EAAE,KAAK,EAAE,MAAM,qBAAqB,CAAC;AAC5C,OAAO,EAAE,cAAc,EAAE,MAAM,kBAAkB,CAAC;AAClD,OAAO,EAAE,cAAc,EAAE,MAAM,iBAAiB,CAAC;AACjD,OAAO,EAAE,aAAa,EAAE,iBAAiB,EAAqB,MAAM,qBAAqB,CAAC;AAG1F,yEAAyE;AACzE,MAAM,iBAAiB,GAAG;IACtB,YAAY,EAAY,cAAc,CAAC,gCAAgC;IACvE,cAAc,EAAU,cAAc,CAAC,gCAAgC;IACvE,iBAAiB,EAAO,cAAc,CAAC,mCAAmC;IAC1E,cAAc,EAAU,cAAc,CAAC,mCAAmC;IAC1E,kBAAkB,EAAM,cAAc,CAAC,kCAAkC;IACzE,gBAAgB,EAAQ,cAAc,CAAC,yCAAyC;IAChF,mBAAmB,EAAK,cAAc,CAAC,wCAAwC;IAC/E,cAAc,EAAU,cAAc,CAAC,sCAAsC;IAC7E,mBAAmB,EAAK,cAAc,CAAC,oCAAoC;CAC9E,CAAC;AAEF,uBAAuB;AACvB,MAAM,aAAa,GAAG;IAClB,MAAM,EAAE,cAAc,CAAC,qCAAqC;IAC5D,SAAS,EAAE,cAAc,CAAC,wCAAwC;IAClE,MAAM,EAAE,cAAc,CAAC,qCAAqC;CAC/D,CAAC;AAEF,+DAA+D;AAC/D,MAAM,EAAE,YAAY,EAAE,SAAS,EAAE,GAAG,cAAc,CAAC;AAGnD,SAAS,SAAS;IACd,MAAM,IAAI,GAAG,OAAO,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC;IACnC,MAAM,MAAM,GAWR;QACA,MAAM,EAAE,EAAE,IAAI,EAAE,gBAAgB,EAAE,MAAM,EAAE,EAAE,MAAM,EAAE,EAAE,EAAE,EAAE;QAC1D,SAAS,EAAE,IAAI,CAAC,IAAI,CAAC,KAAK,CAAC,QAAQ,CAAC,UAAU,EAAE,2BAA2B,CAAC;QAC5E,KAAK,EAAE,cAAc,CAAC,oBAAoB;QAC1C,IAAI,EAAE,cAAc,CAAC,mBAAmB;QACxC,UAAU,EAAE,cAAc,CAAC,iBAAiB;QAC5C,OAAO,EAAE,cAAc,CAAC,8BAA8B;QACtD,KAAK,EAAE,KAAK;QACZ,QAAQ,EAAE,KAAK;KAClB,CAAC;IAEF,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,IAAI,CAAC,MAAM,EAAE,CAAC,EAAE,EAAE,CAAC;QACnC,MAAM,GAAG,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC;QACpB,IAAI,GAAG,KAAK,UAAU;YAAE,MAAM,CAAC,MAAM,CAAC,IAAI,GAAG,IAAI,CAAC,EAAE,CAAC,CAAC,CAAC;aAClD,IAAI,GAAG,KAAK,WAAW;YAAE,MAAM,CAAC,MAAM,CAAC,MAAM,CAAC,MAAM,GAAG,IAAI,CAAC,EAAE,CAAC,CAAC,CAAC;aACjE,IAAI,GAAG,KAAK,QAAQ,EAAE,CAAC;YACxB,MAAM,CAAC,MAAM,CAAC,MAAM,CAAC,QAAQ,GAAG,IAAI,CAAC,EAAE,CAAC,CAAC,CAAC;YAC1C,MAAM,CAAC,MAAM,CAAC,IAAI,GAAG,MAAM,CAAC;QAChC,CAAC;aACI,IAAI,GAAG,KAAK,SAAS;YAAE,MAAM,CAAC,SAAS,GAAG,IAAI,CAAC,EAAE,CAAC,CAAC,CAAC;aACpD,IAAI,GAAG,KAAK,SAAS;YAAE,MAAM,CAAC,KAAK,GAAG,UAAU,CAAC,IAAI,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC;aAC5D,IAAI,GAAG,KAAK,QAAQ;YAAE,MAAM,CAAC,IAAI,GAAG,UAAU,CAAC,IAAI,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC;aAC1D,IAAI,GAAG,KAAK,MAAM;YAAE,MAAM,CAAC,UAAU,GAAG,UAAU,CAAC,IAAI,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC;aAC9D,IAAI,GAAG,KAAK,MAAM;YAAE,MAAM,CAAC,YAAY,GAAG,QAAQ,CAAC,IAAI,CAAC,EAAE,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC;aAClE,IAAI,GAAG,KAAK,QAAQ;YAAE,MAAM,CAAC,OAAO,GAAG,UAAU,CAAC,IAAI,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC;aAC7D,IAAI,GAAG,KAAK,aAAa;YAAE,MAAM,CAAC,QAAQ,GAAG,IAAI,CAAC;aAClD,IAAI,GAAG,KAAK,SAAS;YAAE,MAAM,CAAC,KAAK,GAAG,IAAI,CAAC;IACpD,CAAC;IAED,OAAO,MAAM,CAAC;AAClB,CAAC;AAED,KAAK,UAAU,IAAI;IACf,IAAI,CAAC;QACD,MAAM,MAAM,GAAG,SAAS,EAAE,CAAC;QAE3B,IAAI,MAAM,CAAC,QAAQ,EAAE,CAAC;YAClB,iBAAiB,EAAE,CAAC;YACpB,OAAO;QACX,CAAC;QAED,MAAM,EAAE,MAAM,EAAE,SAAS,EAAE,MAAM,EAAE,GAAG,aAAa,CAAC,EAAE,GAAG,MAAM,CAAC,MAAM,CAAC,MAAM,EAAE,IAAI,EAAE,MAAM,CAAC,MAAM,CAAC,IAAI,EAAE,EAAE,EAAE,KAAK,EAAE,MAAM,CAAC,KAAK,EAAE,CAAC,CAAC;QAEpI,MAAM,UAAU,GAAG,SAAS,CAAC;QAC7B,IAAI,CAAC,MAAM,CAAC,KAAK;YAAE,OAAO,CAAC,GAAG,CAAC,wCAAwC,MAAM,CAAC,IAAI,KAAK,CAAC,CAAC;QAEzF,MAAM,OAAO,GAAG,MAAM,MAAM,CAAC,YAAY,EAAE,CAAC;QAC5C,IAAI,CAAC,KAAK,CAAC,OAAO,CAAC,OAAO,CAAC,IAAI,OAAO,CAAC,MAAM,KAAK,CAAC,EAAE,CAAC;YAClD,MAAM,IAAI,KAAK,CAAC,iCAAiC,CAAC,CAAC;QACvD,CAAC;QAED,wEAAwE;QACxE,MAAM,QAAQ,GAAG,IAAI,mBAAmB,CAAC;YACrC,MAAM,EAAE,aAAa,CAAC,MAAM;YAC5B,SAAS,EAAE,aAAa,CAAC,SAAS;YAClC,MAAM,EAAE,aAAa,CAAC,MAAM;SAC/B,CAAC,CAAC;QAEH,yEAAyE;QACzE,MAAM,aAAa,GAAG,IAAI,aAAa,CAAC;YACpC,MAAM,EAAE,YAAY,CAAC,MAAM;YAC3B,MAAM,EAAE,YAAY,CAAC,MAAM;SAC9B,CAAC,CAAC;QACH,MAAM,UAAU,GAAG,IAAI,0BAA0B,CAAC;YAC9C,CAAC,EAAO,SAAS,CAAC,CAAC;YACnB,KAAK,EAAG,SAAS,CAAC,KAAK;YACvB,MAAM,EAAE,SAAS,CAAC,MAAM;SAC3B,CAAC,CAAC;QAEH,MAAM,UAAU,GAAU,EAAE,CAAC;QAC7B,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,OAAO,CAAC,MAAM,EAAE,CAAC,EAAE,EAAE,CAAC;YACtC,MAAM,EAAE,WAAW,EAAE,SAAS,EAAE,GAAG,MAAM,CAAC,kBAAkB,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC,CAAC;YACzE,MAAM,MAAM,GAAG,QAAQ,CAAC,MAAM,CAAC,WAAW,CAAC,CAAC;YAC5C,MAAM,KAAK,GAAG,aAAa,CAAC,MAAM,CAAC,WAAW,CAAC,CAAC;YAChD,MAAM,EAAE,GAAM,UAAU,CAAC,MAAM,CAAC,WAAW,CAAC,CAAC;YAC7C,MAAM,CAAC,SAAS,GAAG,SAAS,CAAC;YAC7B,MAAM,CAAC,KAAK,GAAG,WAAW,CAAC;YAC1B,MAAc,CAAC,KAAK,GAAG,KAAK,CAAC,OAAO,CAAC,CAAC,CAAE,KAAa,CAAC,KAAK,CAAC,CAAC,CAAC,IAAI,CAAC;YACnE,MAAc,CAAC,EAAE,GAAM,EAAE,CAAC,OAAO,CAAI,CAAC,CAAE,EAAU,CAAC,iBAAiB,CAAC,CAAC,CAAC,IAAI,CAAC;YAC7E,UAAU,CAAC,IAAI,CAAC,MAAM,CAAC,CAAC;QAC5B,CAAC;QAED,wEAAwE;QACxE,MAAM,MAAM,GAAG,OAAO,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,CAAC,cAAc,CAAC,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC;QACxD,MAAM,SAAS,GAAG,YAAY,CAAC,MAAM,EAAE,UAAU,CAAC,CAAC;QACnD,MAAM,MAAM,GAAG,MAAM,CAAC,YAAY,IAAI,iBAAiB,CAAC,YAAY,CAAC;QACrE,MAAM,cAAc,GAAG,MAAM,CAAC,OAAO,IAAI,cAAc,CAAC,8BAA8B,CAAC;QAEvF,yEAAyE;QACzE,wEAAwE;QACxE,uEAAuE;QACvE,iDAAiD;QACjD,MAAM,WAAW,GAAG,yBAAyB,CAAC,UAAU,CAAC,QAAQ,EAAE,MAAM,EAAE,cAAc,CAAC,CAAC;QAC3F,qEAAqE;QACrE,qEAAqE;QACrE,wDAAwD;QACxD,MAAM,gBAAgB,GAAG,IAAI,CAAC,IAAI,CAAC,UAAU,CAAC,QAAQ,CAAC,GAAG,MAAM,GAAG,CAAC,CAAC;QAErE,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,UAAU,CAAC,MAAM,EAAE,CAAC,EAAE,EAAE,CAAC;YACzC,oEAAoE;YACpE,2EAA2E;YAC3E,MAAM,GAAG,GAAG,CAAC,CAAC;YACd,MAAM,cAAc,GAAG,CAAC,CAAC;YACzB,MAAM,gBAAgB,GAAG,WAAW,CAAC,IAAI,CAAC,SAAS,CAAC,CAAC,CAAC,IAAI,GAAG,CAAC,CAAC;YAC/D,MAAM,KAAK,GAAG,SAAS,CAAC,KAAK,CAAC,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,CAAC,GAAG,CAAC,GAAG,gBAAgB,CAAC,EAAE,CAAC,GAAG,CAAC,CAAC,CAAC;YAE5E,MAAM,OAAO,GAAG,sBAAsB,CAAC,KAAK,EAAE,cAAc,EAAE;gBAC1D,QAAQ,EAAE,UAAU,CAAC,QAAQ;gBAC7B,YAAY,EAAE,MAAM;gBACpB,WAAW,EAAE,iBAAiB,CAAC,cAAc;gBAC7C,cAAc,EAAE,iBAAiB,CAAC,cAAc;gBAChD,kBAAkB,EAAE,iBAAiB,CAAC,kBAAkB;gBACxD,gBAAgB,EAAE,iBAAiB,CAAC,gBAAgB;gBACpD,mBAAmB,EAAE,iBAAiB,CAAC,mBAAmB;gBAC1D,cAAc,EAAE,iBAAiB,CAAC,cAAc;gBAChD,mBAAmB,EAAE,iBAAiB,CAAC,mBAAmB;gBAC1D,aAAa,EAAE,gBAAgB;aAClC,CAAC,CAAC;YAEF,UAAU,CAAC,CAAC,CAAS,CAAC,SAAS,GAAG,SAAS,CAAC,CAAC,CAAC,IAAI,IAAI,CAAC;YACvD,UAAU,CAAC,CAAC,CAAS,CAAC,GAAG,GAAG,GAAG,CAAC;YAChC,UAAU,CAAC,CAAC,CAAS,CAAC,cAAc,GAAG,cAAc,CAAC;YACtD,UAAU,CAAC,CAAC,CAAS,CAAC,WAAW,GAAG,OAAO,CAAC,QAAQ,CAAC;YACrD,UAAU,CAAC,CAAC,CAAS,CAAC,cAAc,GAAG,OAAO,CAAC,OAAO,CAAC;YACvD,UAAU,CAAC,CAAC,CAAS,CAAC,cAAc,GAAG,OAAO,CAAC,WAAW,CAAC;YAC3D,UAAU,CAAC,CAAC,CAAS,CAAC,iBAAiB,GAAG,OAAO,CAAC,cAAc,CAAC;QACtE,CAAC;QAED,wEAAwE;QACxE,MAAM,IAAI,GAAG,YAAY,CAAC;YACtB,UAAU;YACV,SAAS,EAAE,UAAU;YACrB,MAAM;YACN,eAAe,EAAE;gBACb,GAAG,iBAAiB;gBACpB,YAAY,EAAE,MAAM,CAAC,YAAY,IAAI,iBAAiB,CAAC,YAAY;aACtE;YACD,KAAK,EAAE,MAAM,CAAC,KAAK;YACnB,IAAI,EAAE,MAAM,CAAC,IAAI;YACjB,UAAU,EAAE,MAAM,CAAC,UAAU;YAC7B,OAAO,EAAE,MAAM,CAAC,OAAO;YACvB,iBAAiB,EAAE,cAAc,CAAC,iCAAiC;YACnE,eAAe,EAAG,MAAM,CAAC,eAAe,IAAK,cAAc,CAAC,iCAAiC;YAC7F,kBAAkB,EAAE,cAAc,CAAC,yCAAyC;YAC5E,WAAW,EAAE,cAAc,CAAC,sCAAsC;YAClE,aAAa,EAAE;gBACX,KAAK,EAAoB,cAAc,CAAC,oBAAoB;gBAC5D,IAAI,EAAqB,cAAc,CAAC,mBAAmB;gBAC3D,UAAU,EAAe,cAAc,CAAC,iBAAiB;gBACzD,cAAc,EAAU,cAAc,CAAC,8BAA8B;gBACrE,iBAAiB,EAAQ,cAAc,CAAC,iCAAiC;gBACzE,kBAAkB,EAAO,cAAc,CAAC,yCAAyC;gBACjF,WAAW,EAAc,cAAc,CAAC,sCAAsC;gBAC9E,eAAe,EAAS,cAAc,CAAC,gCAAgC;gBACvE,cAAc,EAAU,cAAc,CAAC,gCAAgC;gBACvE,iBAAiB,EAAO,cAAc,CAAC,mCAAmC;gBAC1E,iBAAiB,EAAO,cAAc,CAAC,mCAAmC;gBAC1E,eAAe,EAAS,cAAc,CAAC,iCAAiC;aAC3E;SACJ,EAAE,8BAA8B,CAAC,CAAC;QAEnC,cAAc,CAAC,MAAM,CAAC,SAAS,EAAE,IAAI,CAAC,CAAC;QAEvC,IAAI,CAAC,MAAM,CAAC,KAAK;YAAE,OAAO,CAAC,GAAG,CAAC,oCAAoC,MAAM,CAAC,SAAS,EAAE,CAAC,CAAC;IAC3F,CAAC;IAAC,OAAO,GAAY,EAAE,CAAC;QACpB,OAAO,CAAC,KAAK,CAAC,0BAA2B,GAAW,EAAE,OAAO,IAAI,GAAG,EAAE,CAAC,CAAC;QACxE,OAAO,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC;IACpB,CAAC;AACL,CAAC;AAED,IAAI,EAAE,CAAC,KAAK,CAAC,CAAC,GAAY,EAAE,EAAE,GAAG,OAAO,CAAC,KAAK,CAAC,GAAG,CAAC,CAAC,CAAC,OAAO,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC"}
|
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@@ -1,13 +1,3 @@
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1
1
|
#!/usr/bin/env node
|
|
2
|
-
/**
|
|
3
|
-
* KALMAN TREND ANALYSIS RUNNER
|
|
4
|
-
*
|
|
5
|
-
* Runs KalmanTrendAnalyzer over candle data and generates an interactive HTML chart.
|
|
6
|
-
*
|
|
7
|
-
* Usage:
|
|
8
|
-
* tsx analysis/analyze_kalman.ts \
|
|
9
|
-
* --source json \
|
|
10
|
-
* --file market_adapter/data/lp/<path>/<to>/<lp-candles>.json
|
|
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|
-
*/
|
|
12
2
|
export {};
|
|
13
3
|
//# sourceMappingURL=analyze_kalman.d.ts.map
|
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"analyze_kalman.d.ts","sourceRoot":"","sources":["../../analysis/analyze_kalman.ts"],"names":[],"mappings":"
|
|
1
|
+
{"version":3,"file":"analyze_kalman.d.ts","sourceRoot":"","sources":["../../analysis/analyze_kalman.ts"],"names":[],"mappings":""}
|
|
@@ -1,11 +1,12 @@
|
|
|
1
1
|
#!/usr/bin/env node
|
|
2
|
+
'use strict';
|
|
2
3
|
/**
|
|
3
4
|
* KALMAN TREND ANALYSIS RUNNER
|
|
4
5
|
*
|
|
5
6
|
* Runs KalmanTrendAnalyzer over candle data and generates an interactive HTML chart.
|
|
6
7
|
*
|
|
7
8
|
* Usage:
|
|
8
|
-
*
|
|
9
|
+
* node dist/analysis/analyze_kalman.js \
|
|
9
10
|
* --source json \
|
|
10
11
|
* --file market_adapter/data/lp/<path>/<to>/<lp-candles>.json
|
|
11
12
|
*/
|
|
@@ -13,22 +14,23 @@ import path from 'node:path';
|
|
|
13
14
|
import { KalmanTrendAnalyzer } from './trend_detection/kalman_trend_analyzer.js';
|
|
14
15
|
import { generateHTML } from './trend_detection/kalman_chart_generator.js';
|
|
15
16
|
import { calculateAMA } from '../market_adapter/core/strategies/ama.js';
|
|
16
|
-
import {
|
|
17
|
+
import { computeAmaSlopeWeights, createAmaSlopeClipTracker } from '../market_adapter/core/strategies/ama_slope_model.js';
|
|
18
|
+
import { MARKET_ADAPTER } from '../modules/constants.js';
|
|
17
19
|
import { getCandleClose } from './math_utils.js';
|
|
18
20
|
import { writeChartFile } from './chart_utils.js';
|
|
19
21
|
import { PATHS } from '../modules/paths.js';
|
|
20
22
|
import { resolveSource, listAvailableBots } from './resolve_source.js';
|
|
21
|
-
'use strict';
|
|
22
|
-
const LOOKBACK_BARS = 72;
|
|
23
|
-
const NEUTRAL_ZONE = 0.15;
|
|
24
|
-
const MAX_SLOPE_PCT = 3.0;
|
|
25
|
-
const MAX_SLOPE_OFFSET = 0.5;
|
|
26
23
|
function parseArgs() {
|
|
27
24
|
const args = process.argv.slice(2);
|
|
28
25
|
const config = {
|
|
29
26
|
source: { type: 'market_adapter', config: { botKey: '' } },
|
|
30
|
-
|
|
31
|
-
|
|
27
|
+
// Defaults resolve to the live MARKET_ADAPTER Kalman constants so
|
|
28
|
+
// runs are directly comparable with production (qTactical 0.01,
|
|
29
|
+
// qModal 0.0001 — NOT a single shared Q for both filters).
|
|
30
|
+
rNoise: null,
|
|
31
|
+
qTactical: null,
|
|
32
|
+
qModal: null,
|
|
33
|
+
qNoise: null,
|
|
32
34
|
chartFile: path.join(PATHS.ANALYSIS.CHARTS_DIR, 'kalman_chart.html'),
|
|
33
35
|
quiet: false,
|
|
34
36
|
listBots: false,
|
|
@@ -47,6 +49,10 @@ function parseArgs() {
|
|
|
47
49
|
config.rNoise = parseFloat(args[++i]);
|
|
48
50
|
else if (arg === '--q')
|
|
49
51
|
config.qNoise = parseFloat(args[++i]);
|
|
52
|
+
else if (arg === '--q-tactical')
|
|
53
|
+
config.qTactical = parseFloat(args[++i]);
|
|
54
|
+
else if (arg === '--q-modal')
|
|
55
|
+
config.qModal = parseFloat(args[++i]);
|
|
50
56
|
else if (arg === '--chart')
|
|
51
57
|
config.chartFile = args[++i];
|
|
52
58
|
else if (arg === '--list-bots')
|
|
@@ -71,9 +77,15 @@ async function main() {
|
|
|
71
77
|
throw new Error('No candles returned from source');
|
|
72
78
|
}
|
|
73
79
|
// ── Kalman analysis ──────────────────────────────────────────────────
|
|
80
|
+
// Unset flags fall through to the live KalmanTrendAnalyzer defaults
|
|
81
|
+
// (MARKET_ADAPTER.DYNAMIC_WEIGHT_KALMAN_*_DEFAULT). --q still maps to
|
|
82
|
+
// both filters for quick what-ifs, but per-filter overrides
|
|
83
|
+
// (--q-tactical / --q-modal) exist so runs can mirror production
|
|
84
|
+
// exactly: Q = (0.01 tactical, 0.0001 modal).
|
|
74
85
|
const analyzer = new KalmanTrendAnalyzer({
|
|
75
|
-
rNoise: config.rNoise,
|
|
76
|
-
|
|
86
|
+
rNoise: config.rNoise ?? undefined,
|
|
87
|
+
qTactical: config.qTactical ?? config.qNoise ?? undefined,
|
|
88
|
+
qModal: config.qModal ?? config.qNoise ?? undefined,
|
|
77
89
|
});
|
|
78
90
|
const allResults = [];
|
|
79
91
|
for (let i = 0; i < candles.length; i++) {
|
|
@@ -83,30 +95,43 @@ async function main() {
|
|
|
83
95
|
allResults.push(result);
|
|
84
96
|
}
|
|
85
97
|
// ── AMA weight offset (for comparison panel) ─────────────────────────
|
|
98
|
+
// Runs the production path (computeAmaSlopeWeights + percentile clip)
|
|
99
|
+
// so this panel is directly comparable to the live amaSlopeOffset.
|
|
86
100
|
const closes = candles.map(c => getCandleClose(c) ?? 0);
|
|
87
101
|
const amaValues = calculateAMA(closes, amaConfig);
|
|
88
|
-
const
|
|
102
|
+
const amaLb = MARKET_ADAPTER.DYNAMIC_WEIGHT_AMA_LOOKBACK_BARS;
|
|
103
|
+
const clipPct = MARKET_ADAPTER.DYNAMIC_WEIGHT_CLIP_PERCENTILE;
|
|
104
|
+
// Ceil to match the readiness guard in computeAmaSlopeWeights
|
|
105
|
+
// (it uses Math.ceil(opts.erPeriod)), so fractional ER periods don't
|
|
106
|
+
// leave a 1-bar window that computes a weight where the model is not ready.
|
|
107
|
+
const warmup = Math.ceil(amaConfig.erPeriod) + amaLb + 1;
|
|
108
|
+
// Incremental, prefix-only clip pool (no look-ahead) — same thresholds
|
|
109
|
+
// the live service would have seen at each point in time.
|
|
110
|
+
const clipTracker = createAmaSlopeClipTracker(amaConfig.erPeriod, amaLb, clipPct);
|
|
111
|
+
const weightWindowBars = Math.ceil(amaConfig.erPeriod) + amaLb + 1;
|
|
89
112
|
for (let i = 0; i < allResults.length; i++) {
|
|
113
|
+
const amaClipThreshold = clipTracker.push(amaValues[i] ?? NaN);
|
|
90
114
|
if (i < warmup) {
|
|
91
115
|
allResults[i].amaWeightOffset = null;
|
|
92
116
|
continue;
|
|
93
117
|
}
|
|
94
|
-
const
|
|
95
|
-
const
|
|
96
|
-
|
|
97
|
-
|
|
98
|
-
|
|
99
|
-
|
|
100
|
-
|
|
101
|
-
|
|
102
|
-
|
|
103
|
-
|
|
104
|
-
|
|
105
|
-
|
|
106
|
-
}
|
|
118
|
+
const slice = amaValues.slice(Math.max(0, i + 1 - weightWindowBars), i + 1);
|
|
119
|
+
const weights = computeAmaSlopeWeights(slice, 0, {
|
|
120
|
+
erPeriod: amaConfig.erPeriod,
|
|
121
|
+
lookbackBars: amaLb,
|
|
122
|
+
maxSlopePct: MARKET_ADAPTER.DYNAMIC_WEIGHT_AMA_MAX_SLOPE_PCT,
|
|
123
|
+
neutralZonePct: MARKET_ADAPTER.DYNAMIC_WEIGHT_AMA_NEUTRAL_ZONE_PCT,
|
|
124
|
+
volatilityExponent: MARKET_ADAPTER.DYNAMIC_WEIGHT_VOLATILITY_EXPONENT,
|
|
125
|
+
volatilityScaleX: MARKET_ADAPTER.DYNAMIC_WEIGHT_VOLATILITY_SCALE_X_DEFAULT,
|
|
126
|
+
volatilityThreshold: MARKET_ADAPTER.DYNAMIC_WEIGHT_SYMMETRIC_SHIFT_THRESHOLD,
|
|
127
|
+
maxSlopeOffset: MARKET_ADAPTER.DYNAMIC_WEIGHT_ASYMMETRIC_OFFSET_CLAMP,
|
|
128
|
+
maxVolatilityOffset: MARKET_ADAPTER.DYNAMIC_WEIGHT_SYMMETRIC_SHIFT_CLAMP,
|
|
129
|
+
clipThreshold: amaClipThreshold,
|
|
130
|
+
});
|
|
131
|
+
allResults[i].amaWeightOffset = weights.rawSlopeOffset;
|
|
107
132
|
}
|
|
108
133
|
// ── Generate chart ───────────────────────────────────────────────────
|
|
109
|
-
const html = generateHTML({ allResults }, 'Kalman Trend Analysis');
|
|
134
|
+
const html = generateHTML({ allResults, amaConfig, clipPct: MARKET_ADAPTER.DYNAMIC_WEIGHT_CLIP_PERCENTILE }, 'Kalman Trend Analysis');
|
|
110
135
|
writeChartFile(config.chartFile, html);
|
|
111
136
|
if (!config.quiet)
|
|
112
137
|
console.log(`[Kalman] ✓ Chart saved to ${config.chartFile}`);
|
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"analyze_kalman.js","sourceRoot":"","sources":["../../analysis/analyze_kalman.ts"],"names":[],"mappings":";
|
|
1
|
+
{"version":3,"file":"analyze_kalman.js","sourceRoot":"","sources":["../../analysis/analyze_kalman.ts"],"names":[],"mappings":";AACA,YAAY,CAAC;AAEb;;;;;;;;;GASG;AAEH,OAAO,IAAI,MAAM,WAAW,CAAC;AAC7B,OAAO,EAAE,mBAAmB,EAAE,MAAM,4CAA4C,CAAC;AACjF,OAAO,EAAE,YAAY,EAAE,MAAM,6CAA6C,CAAC;AAC3E,OAAO,EAAE,YAAY,EAAE,MAAM,0CAA0C,CAAC;AACxE,OAAO,EAAE,sBAAsB,EAAE,yBAAyB,EAAE,MAAM,sDAAsD,CAAC;AACzH,OAAO,EAAE,cAAc,EAAE,MAAM,yBAAyB,CAAC;AACzD,OAAO,EAAE,cAAc,EAAE,MAAM,iBAAiB,CAAC;AACjD,OAAO,EAAE,cAAc,EAAE,MAAM,kBAAkB,CAAC;AAClD,OAAO,EAAE,KAAK,EAAE,MAAM,qBAAqB,CAAC;AAC5C,OAAO,EAAE,aAAa,EAAE,iBAAiB,EAAqB,MAAM,qBAAqB,CAAC;AAI1F,SAAS,SAAS;IACd,MAAM,IAAI,GAAG,OAAO,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC;IACnC,MAAM,MAAM,GASR;QACA,MAAM,EAAE,EAAE,IAAI,EAAE,gBAAgB,EAAE,MAAM,EAAE,EAAE,MAAM,EAAE,EAAE,EAAE,EAAE;QAC1D,kEAAkE;QAClE,gEAAgE;QAChE,2DAA2D;QAC3D,MAAM,EAAE,IAAI;QACZ,SAAS,EAAE,IAAI;QACf,MAAM,EAAE,IAAI;QACZ,MAAM,EAAE,IAAI;QACZ,SAAS,EAAE,IAAI,CAAC,IAAI,CAAC,KAAK,CAAC,QAAQ,CAAC,UAAU,EAAE,mBAAmB,CAAC;QACpE,KAAK,EAAE,KAAK;QACZ,QAAQ,EAAE,KAAK;KAClB,CAAC;IAEF,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,IAAI,CAAC,MAAM,EAAE,CAAC,EAAE,EAAE,CAAC;QACnC,MAAM,GAAG,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC;QACpB,IAAI,GAAG,KAAK,UAAU;YAAE,MAAM,CAAC,MAAM,CAAC,IAAI,GAAG,IAAI,CAAC,EAAE,CAAC,CAAC,CAAC;aAClD,IAAI,GAAG,KAAK,WAAW;YAAE,MAAM,CAAC,MAAM,CAAC,MAAM,CAAC,MAAM,GAAG,IAAI,CAAC,EAAE,CAAC,CAAC,CAAC;aACjE,IAAI,GAAG,KAAK,QAAQ,EAAE,CAAC;YACxB,MAAM,CAAC,MAAM,CAAC,MAAM,CAAC,QAAQ,GAAG,IAAI,CAAC,EAAE,CAAC,CAAC,CAAC;YAC1C,MAAM,CAAC,MAAM,CAAC,IAAI,GAAG,MAAM,CAAC;QAChC,CAAC;aACI,IAAI,GAAG,KAAK,KAAK;YAAE,MAAM,CAAC,MAAM,GAAG,UAAU,CAAC,IAAI,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC;aACzD,IAAI,GAAG,KAAK,KAAK;YAAE,MAAM,CAAC,MAAM,GAAG,UAAU,CAAC,IAAI,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC;aACzD,IAAI,GAAG,KAAK,cAAc;YAAE,MAAM,CAAC,SAAS,GAAG,UAAU,CAAC,IAAI,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC;aACrE,IAAI,GAAG,KAAK,WAAW;YAAE,MAAM,CAAC,MAAM,GAAG,UAAU,CAAC,IAAI,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC;aAC/D,IAAI,GAAG,KAAK,SAAS;YAAE,MAAM,CAAC,SAAS,GAAG,IAAI,CAAC,EAAE,CAAC,CAAC,CAAC;aACpD,IAAI,GAAG,KAAK,aAAa;YAAE,MAAM,CAAC,QAAQ,GAAG,IAAI,CAAC;aAClD,IAAI,GAAG,KAAK,SAAS;YAAE,MAAM,CAAC,KAAK,GAAG,IAAI,CAAC;IACpD,CAAC;IAED,OAAO,MAAM,CAAC;AAClB,CAAC;AAED,KAAK,UAAU,IAAI;IACf,MAAM,MAAM,GAAG,SAAS,EAAE,CAAC;IAE3B,IAAI,CAAC;QACD,IAAI,MAAM,CAAC,QAAQ,EAAE,CAAC;YAClB,iBAAiB,EAAE,CAAC;YACpB,OAAO;QACX,CAAC;QAED,MAAM,EAAE,MAAM,EAAE,SAAS,EAAE,GAAG,aAAa,CAAC,EAAE,GAAG,MAAM,CAAC,MAAM,CAAC,MAAM,EAAE,IAAI,EAAE,MAAM,CAAC,MAAM,CAAC,IAAI,EAAE,EAAE,EAAE,KAAK,EAAE,MAAM,CAAC,KAAK,EAAE,CAAC,CAAC;QAC5H,IAAI,CAAC,MAAM,CAAC,KAAK;YAAE,OAAO,CAAC,GAAG,CAAC,iCAAiC,MAAM,CAAC,IAAI,KAAK,CAAC,CAAC;QAElF,MAAM,OAAO,GAAG,MAAM,MAAM,CAAC,YAAY,EAAE,CAAC;QAC5C,IAAI,CAAC,KAAK,CAAC,OAAO,CAAC,OAAO,CAAC,IAAI,OAAO,CAAC,MAAM,KAAK,CAAC,EAAE,CAAC;YAClD,MAAM,IAAI,KAAK,CAAC,iCAAiC,CAAC,CAAC;QACvD,CAAC;QAED,wEAAwE;QACxE,oEAAoE;QACpE,sEAAsE;QACtE,4DAA4D;QAC5D,iEAAiE;QACjE,8CAA8C;QAC9C,MAAM,QAAQ,GAAG,IAAI,mBAAmB,CAAC;YACrC,MAAM,EAAE,MAAM,CAAC,MAAM,IAAI,SAAS;YAClC,SAAS,EAAE,MAAM,CAAC,SAAS,IAAI,MAAM,CAAC,MAAM,IAAI,SAAS;YACzD,MAAM,EAAE,MAAM,CAAC,MAAM,IAAI,MAAM,CAAC,MAAM,IAAI,SAAS;SACtD,CAAC,CAAC;QAEH,MAAM,UAAU,GAAU,EAAE,CAAC;QAC7B,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,OAAO,CAAC,MAAM,EAAE,CAAC,EAAE,EAAE,CAAC;YACtC,MAAM,EAAE,WAAW,EAAE,SAAS,EAAE,GAAG,MAAM,CAAC,kBAAkB,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC,CAAC;YACzE,MAAM,MAAM,GAAG,QAAQ,CAAC,MAAM,CAAC,WAAW,CAAC,CAAC;YAC5C,MAAM,CAAC,SAAS,GAAG,SAAS,CAAC;YAC7B,UAAU,CAAC,IAAI,CAAC,MAAM,CAAC,CAAC;QAC5B,CAAC;QAED,wEAAwE;QACxE,sEAAsE;QACtE,mEAAmE;QACnE,MAAM,MAAM,GAAM,OAAO,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,CAAC,cAAc,CAAC,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC;QAC3D,MAAM,SAAS,GAAG,YAAY,CAAC,MAAM,EAAE,SAAS,CAAC,CAAC;QAClD,MAAM,KAAK,GAAO,cAAc,CAAC,gCAAgC,CAAC;QAClE,MAAM,OAAO,GAAK,cAAc,CAAC,8BAA8B,CAAC;QAChE,8DAA8D;QAC9D,qEAAqE;QACrE,4EAA4E;QAC5E,MAAM,MAAM,GAAM,IAAI,CAAC,IAAI,CAAC,SAAS,CAAC,QAAQ,CAAC,GAAG,KAAK,GAAG,CAAC,CAAC;QAE5D,uEAAuE;QACvE,0DAA0D;QAC1D,MAAM,WAAW,GAAG,yBAAyB,CAAC,SAAS,CAAC,QAAQ,EAAE,KAAK,EAAE,OAAO,CAAC,CAAC;QAClF,MAAM,gBAAgB,GAAG,IAAI,CAAC,IAAI,CAAC,SAAS,CAAC,QAAQ,CAAC,GAAG,KAAK,GAAG,CAAC,CAAC;QAEnE,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,UAAU,CAAC,MAAM,EAAE,CAAC,EAAE,EAAE,CAAC;YACzC,MAAM,gBAAgB,GAAG,WAAW,CAAC,IAAI,CAAC,SAAS,CAAC,CAAC,CAAC,IAAI,GAAG,CAAC,CAAC;YAC/D,IAAI,CAAC,GAAG,MAAM,EAAE,CAAC;gBAAC,UAAU,CAAC,CAAC,CAAC,CAAC,eAAe,GAAG,IAAI,CAAC;gBAAC,SAAS;YAAC,CAAC;YACnE,MAAM,KAAK,GAAG,SAAS,CAAC,KAAK,CAAC,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,CAAC,GAAG,CAAC,GAAG,gBAAgB,CAAC,EAAE,CAAC,GAAG,CAAC,CAAC,CAAC;YAC5E,MAAM,OAAO,GAAG,sBAAsB,CAAC,KAAK,EAAE,CAAC,EAAE;gBAC7C,QAAQ,EAAe,SAAS,CAAC,QAAQ;gBACzC,YAAY,EAAW,KAAK;gBAC5B,WAAW,EAAY,cAAc,CAAC,gCAAgC;gBACtE,cAAc,EAAS,cAAc,CAAC,mCAAmC;gBACzE,kBAAkB,EAAK,cAAc,CAAC,kCAAkC;gBACxE,gBAAgB,EAAO,cAAc,CAAC,yCAAyC;gBAC/E,mBAAmB,EAAI,cAAc,CAAC,wCAAwC;gBAC9E,cAAc,EAAS,cAAc,CAAC,sCAAsC;gBAC5E,mBAAmB,EAAI,cAAc,CAAC,oCAAoC;gBAC1E,aAAa,EAAU,gBAAgB;aAC1C,CAAC,CAAC;YACH,UAAU,CAAC,CAAC,CAAC,CAAC,eAAe,GAAG,OAAO,CAAC,cAAc,CAAC;QAC3D,CAAC;QAED,wEAAwE;QACxE,MAAM,IAAI,GAAG,YAAY,CAAC,EAAE,UAAU,EAAE,SAAS,EAAE,OAAO,EAAE,cAAc,CAAC,8BAA8B,EAAE,EAAE,uBAAuB,CAAC,CAAC;QACtI,cAAc,CAAC,MAAM,CAAC,SAAS,EAAE,IAAI,CAAC,CAAC;QAEvC,IAAI,CAAC,MAAM,CAAC,KAAK;YAAE,OAAO,CAAC,GAAG,CAAC,6BAA6B,MAAM,CAAC,SAAS,EAAE,CAAC,CAAC;IACpF,CAAC;IAAC,OAAO,GAAY,EAAE,CAAC;QACpB,OAAO,CAAC,KAAK,CAAC,mBAAoB,GAAW,EAAE,OAAO,IAAI,GAAG,EAAE,CAAC,CAAC;QACjE,OAAO,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC;IACpB,CAAC;AACL,CAAC;AAED,IAAI,EAAE,CAAC,KAAK,CAAC,CAAC,GAAY,EAAE,EAAE,GAAG,OAAO,CAAC,KAAK,CAAC,GAAG,CAAC,CAAC,CAAC,OAAO,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC"}
|
|
@@ -1,20 +1,3 @@
|
|
|
1
1
|
#!/usr/bin/env node
|
|
2
|
-
/**
|
|
3
|
-
* REGIME ANALYSIS TOOL
|
|
4
|
-
*
|
|
5
|
-
* Computes Hurst Exponent and Permutation Entropy over historical candle data.
|
|
6
|
-
*
|
|
7
|
-
* Hurst H > 0.55 = trending (persistent) → trust trend-following signals
|
|
8
|
-
* Hurst H ≈ 0.50 = random walk → no edge, stay flat
|
|
9
|
-
* Hurst H < 0.45 = mean-reverting → suppress or invert trend signals
|
|
10
|
-
*
|
|
11
|
-
* Norm. PE < 0.60 = structured → signals are reliable
|
|
12
|
-
* Norm. PE > 0.85 = noise → no exploitable structure
|
|
13
|
-
*
|
|
14
|
-
* Usage:
|
|
15
|
-
* tsx analysis/analyze_regime.ts \
|
|
16
|
-
* --source json \
|
|
17
|
-
* --file market_adapter/data/lp/<path>/<to>/<lp-candles>.json
|
|
18
|
-
*/
|
|
19
2
|
export {};
|
|
20
3
|
//# sourceMappingURL=analyze_regime.d.ts.map
|
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"analyze_regime.d.ts","sourceRoot":"","sources":["../../analysis/analyze_regime.ts"],"names":[],"mappings":"
|
|
1
|
+
{"version":3,"file":"analyze_regime.d.ts","sourceRoot":"","sources":["../../analysis/analyze_regime.ts"],"names":[],"mappings":""}
|
|
@@ -1,4 +1,5 @@
|
|
|
1
1
|
#!/usr/bin/env node
|
|
2
|
+
'use strict';
|
|
2
3
|
/**
|
|
3
4
|
* REGIME ANALYSIS TOOL
|
|
4
5
|
*
|
|
@@ -12,7 +13,7 @@
|
|
|
12
13
|
* Norm. PE > 0.85 = noise → no exploitable structure
|
|
13
14
|
*
|
|
14
15
|
* Usage:
|
|
15
|
-
*
|
|
16
|
+
* node dist/analysis/analyze_regime.js \
|
|
16
17
|
* --source json \
|
|
17
18
|
* --file market_adapter/data/lp/<path>/<to>/<lp-candles>.json
|
|
18
19
|
*/
|
|
@@ -28,7 +29,6 @@ import { getCandleClose } from './math_utils.js';
|
|
|
28
29
|
import { resolveSource, listAvailableBots } from './resolve_source.js';
|
|
29
30
|
const HURST_CONFIG = MARKET_ADAPTER.HURST_CONFIG;
|
|
30
31
|
const PE_CONFIG = MARKET_ADAPTER.PE_CONFIG;
|
|
31
|
-
'use strict';
|
|
32
32
|
function parseArgs() {
|
|
33
33
|
const args = process.argv.slice(2);
|
|
34
34
|
const config = {
|
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"analyze_regime.js","sourceRoot":"","sources":["../../analysis/analyze_regime.ts"],"names":[],"mappings":";
|
|
1
|
+
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#!/usr/bin/env node
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/**
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* REGIME WINDOW OPTIMIZER
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*
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* Grid-searches optimal Hurst and Permutation Entropy window sizes to maximize
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* tsx analysis/analyze_regime_windows.ts \
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{"version":3,"file":"analyze_regime_windows.d.ts","sourceRoot":"","sources":["../../analysis/analyze_regime_windows.ts"],"names":[],"mappings":"
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{"version":3,"file":"analyze_regime_windows.d.ts","sourceRoot":"","sources":["../../analysis/analyze_regime_windows.ts"],"names":[],"mappings":""}
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'use strict';
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/**
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* REGIME WINDOW OPTIMIZER
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*
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* - entropyDefect: penalty for being stuck in the "random" band (H 0.45–0.55)
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* Usage:
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* node dist/analysis/analyze_regime_windows.js \
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import path from 'node:path';
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import { HurstAnalyzer } from './trend_detection/hurst_analyzer.js';
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import { HurstAnalyzer, classifyHurst } from './trend_detection/hurst_analyzer.js';
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import { PermutationEntropyAnalyzer } from './trend_detection/permutation_entropy_analyzer.js';
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import { MARKET_ADAPTER } from '../modules/constants.js';
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import { PATHS } from '../modules/paths.js';
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@@ -26,7 +27,6 @@ import { roundTo } from '../modules/order/utils/math.js';
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import { resolveSource, listAvailableBots } from './resolve_source.js';
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const HURST_CONFIG = MARKET_ADAPTER.HURST_CONFIG;
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const PE_CONFIG = MARKET_ADAPTER.PE_CONFIG;
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'use strict';
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const HURST_CENTER = HURST_CONFIG.window;
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const RANGE_FACTOR = 2;
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@@ -42,9 +42,9 @@ function geoRange(center, factor, n) {
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}
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const HURST_WINDOWS = geoRange(HURST_CENTER, RANGE_FACTOR, N_POINTS);
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const PE_WINDOWS = geoRange(PE_CENTER, RANGE_FACTOR, N_POINTS);
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const HURST_SCALES =
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const PE_M =
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const PE_DELAY =
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+
const HURST_SCALES = HURST_CONFIG.scales;
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const PE_M = PE_CONFIG.m;
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const PE_DELAY = PE_CONFIG.delay;
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function parseArgs() {
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49
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const args = process.argv.slice(2);
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50
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const config = {
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@@ -72,16 +72,16 @@ function parseArgs() {
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}
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return config;
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}
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-
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const
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// Signal-quality bands from MARKET_ADAPTER.PE_NODES (structured / mixed / noise).
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+
const PE_STRUCTURED = MARKET_ADAPTER.PE_NODES[0];
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const PE_NOISE = MARKET_ADAPTER.PE_NODES[MARKET_ADAPTER.PE_NODES.length - 1];
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+
// Hurst band classification delegates to the production classifyHurst
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// (market_adapter/core/signals/hurst_analyzer.ts) so boundary semantics
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+
// (inclusive >=/<=) and zone width stay on one logic path.
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77
81
|
function regimeBand(H) {
|
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78
82
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if (H === null)
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return 'RANDOM';
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return 'TRENDING';
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if (H < H_LOWER)
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|
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return 'MEAN_REVERTING';
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|
-
return 'RANDOM';
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+
return classifyHurst(H).regime;
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}
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function rankNormalize(arr) {
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87
87
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const sorted = arr.slice().sort((a, b) => a - b);
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@@ -105,14 +105,21 @@ function scoreWindowPair(prices, hurstWindow, peWindow) {
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105
105
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const firstReady = hArr.findIndex(v => v !== null);
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106
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if (firstReady < 0)
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return null;
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108
|
-
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-
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108
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+
// ── Regime sequences ──────────────────────────────────────────────────
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109
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+
// Pair H and PE strictly per bar: both analyzers become ready on different
|
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110
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+
// schedules (PE window vs Hurst window), so slicing from Hurst readiness
|
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111
|
+
// and independently null-filtering PE would index-shift the pairing.
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112
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+
const hBands = [];
|
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113
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+
const pBands = [];
|
|
114
|
+
for (let i = 0; i < n; i++) {
|
|
115
|
+
if (hArr[i] === null || pArr[i] === null)
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116
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+
continue;
|
|
117
|
+
hBands.push(regimeBand(hArr[i]));
|
|
118
|
+
pBands.push(pArr[i] < PE_STRUCTURED ? 'STRUCTURED' : pArr[i] > PE_NOISE ? 'NOISE' : 'MIXED');
|
|
119
|
+
}
|
|
120
|
+
const m = hBands.length;
|
|
111
121
|
if (m < 50)
|
|
112
122
|
return null;
|
|
113
|
-
// ── Regime sequences ──────────────────────────────────────────────────
|
|
114
|
-
const hBands = readyH.map(regimeBand);
|
|
115
|
-
const pBands = readyP.map(v => v < 0.60 ? 'STRUCTURED' : v > 0.85 ? 'NOISE' : 'MIXED');
|
|
116
123
|
const combined = hBands.map((h, i) => `${h}|${pBands[i]}`);
|
|
117
124
|
// ── Stability: mean run-length of combined regime ───────────────────
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118
125
|
let stabilitySum = 0, stabilityCount = 0;
|
|
@@ -355,8 +362,8 @@ noise=${(r.entropyDefect * 100).toFixed(1)}%">
|
|
|
355
362
|
<table class="params-table">
|
|
356
363
|
<tr><td>Hurst range</td><td>${Math.round(hurstVals[0])} – ${Math.round(hurstVals[hurstVals.length - 1])} (center=${defaultH})</td></tr>
|
|
357
364
|
<tr><td>PE range</td><td>${Math.round(peVals[0])} – ${Math.round(peVals[peVals.length - 1])} (center=${defaultP})</td></tr>
|
|
358
|
-
<tr><td>Hurst scales</td><td>[
|
|
359
|
-
<tr><td>PE embedding</td><td>m
|
|
365
|
+
<tr><td>Hurst scales</td><td>[${HURST_SCALES.join(', ')}]</td></tr>
|
|
366
|
+
<tr><td>PE embedding</td><td>m=${PE_M}, delay=${PE_DELAY}</td></tr>
|
|
360
367
|
<tr><td>Spacing</td><td>geometric (ratio=${geoRatio.toFixed(3)})</td></tr>
|
|
361
368
|
</table>
|
|
362
369
|
</div>
|