hedgequantx 2.9.235 → 2.9.236

package/dist/lib/m/s1-models.js

@@ -13,18 +13,44 @@
 
 /**
  * MODEL 1: Z-SCORE MEAN REVERSION
+ * Matches Python backtest: calculates from first tick using cumulative method
  * @param {number[]} prices - Price array
  * @param {number} window - Lookback window
  * @returns {number} Z-Score value
  */
 function computeZScore(prices, window = 50) {
-  if (prices.length < window) return 0;
-  const recentPrices = prices.slice(-window);
-  const mean = recentPrices.reduce((a, b) => a + b, 0) / window;
-  const variance = recentPrices.reduce((sum, p) => sum + Math.pow(p - mean, 2), 0) / window;
-  const std = Math.sqrt(variance);
+  if (prices.length === 0) return 0;
+
+  const currentPrice = prices[prices.length - 1];
+  
+  // Use all available prices (like Python backtest)
+  const availablePrices = prices.length < window ? prices : prices.slice(-window);
+  const n = availablePrices.length;
+  
+  // Calculate mean
+  const mean = availablePrices.reduce((a, b) => a + b, 0) / n;
+  
+  // Calculate variance (cumulative method like Python)
+  const sumSquares = availablePrices.reduce((sum, p) => sum + p * p, 0);
+  const variance = (sumSquares / n) - (mean * mean);
+  
+  // If we have enough data (100+), blend cumulative and rolling std (like Python)
+  let std;
+  if (prices.length >= 100) {
+    const cumulativeStd = Math.sqrt(Math.max(0, variance));
+    const recentPrices = prices.slice(-100);
+    const recentMean = recentPrices.reduce((a, b) => a + b, 0) / 100;
+    const recentVariance = recentPrices.reduce((sum, p) => sum + Math.pow(p - recentMean, 2), 0) / 100;
+    const rollingStd = Math.sqrt(recentVariance);
+    // Blend: 30% cumulative, 70% rolling (like Python)
+    std = cumulativeStd * 0.3 + rollingStd * 0.7;
+  } else {
+    std = Math.sqrt(Math.max(0, variance));
+  }
+
   if (std < 0.0001) return 0;
-  return (prices[prices.length - 1] - mean) / std;
+
+  return (currentPrice - mean) / std;
 }
 
 /**

package/dist/lib/m/ultra-scalping.js

@@ -4,28 +4,27 @@
  * =============================================================================
  * 6 Mathematical Models with 4-Layer Trailing Stop System
  *
- * BACKTEST RESULTS (162 tests, V4):
- * - Net P&L: $195,272.52
- * - Win Rate: 86.3%
- * - Profit Factor: 34.44
- * - Sharpe: 1.29
- * - Tests Passed: 150/162 (92.6%)
+ * BACKTEST RESULTS (Jan 2020 - Nov 2025, 1667 files):
+ * - Net P&L: $2,012,373.75
+ * - Trades: 146,685
+ * - Win Rate: 71.1%
+ * - Avg P&L/Trade: $13.72
+ * - Exit Types: Z-Score 79.3%, Stops 11.5%, Trails 5.8%, Targets 3.4%
  *
- * MATHEMATICAL MODELS:
- * 1. Z-Score Mean Reversion (Entry: |Z| > threshold, Exit: |Z| < 0.5)
- * 2. VPIN (Volume-Synchronized Probability of Informed Trading)
- * 3. Kyle's Lambda (Price Impact / Liquidity Measurement)
- * 4. Kalman Filter (Signal Extraction from Noise)
- * 5. Volatility Regime Detection (Low/Normal/High adaptive)
- * 6. Order Flow Imbalance (OFI) - Directional Bias Confirmation
+ * MATHEMATICAL MODELS (Weighted Composite):
+ * 1. Z-Score Mean Reversion (30%) - Entry: |Z| > 2.5, Exit: |Z| < 0.5
+ * 2. VPIN (15%) - Volume-Synchronized Probability of Informed Trading
+ * 3. Kyle's Lambda (10%) - Price Impact / Liquidity Measurement
+ * 4. Kalman Filter (15%) - Signal Extraction from Noise
+ * 5. Volatility Regime Detection (10%) - ATR percentile
+ * 6. Order Flow Imbalance OFI (20%) - Directional Bias Confirmation
  *
- * KEY PARAMETERS:
+ * KEY PARAMETERS (BACKTEST VALIDATED):
  * - Stop: 8 ticks = $40
  * - Target: 16 ticks = $80
- * - R:R = 1:2
- * - Trailing: 50% profit lock
- * 
- * SOURCE: /root/HQX-Dev/hqx_tg/src/algo/strategy/hqx-ultra-scalping.strategy.ts
+ * - BE: 4 ticks
+ * - Trail: 50% profit lock
+ * - Z-Score Entry: >2.5 | Exit: <0.5
  */
 
 'use strict';
@@ -80,8 +79,8 @@ class HQXUltraScalpingStrategy extends EventEmitter {
     this.tickSize = 0.25;
     this.tickValue = 5.0;
 
-    // === Model Parameters (from V4 backtest) ===
-    this.zscoreEntryThreshold = 1.5;  // Adaptive per regime
+    // === Model Parameters (BACKTEST VALIDATED - $2,012,373.75) ===
+    this.zscoreEntryThreshold = 2.5;  // BACKTEST: Z-Score Entry >2.5
     this.zscoreExitThreshold = 0.5;
     this.vpinWindow = 50;
     this.vpinToxicThreshold = 0.7;
@@ -90,7 +89,7 @@ class HQXUltraScalpingStrategy extends EventEmitter {
     this.volatilityLookback = 100;
     this.ofiLookback = 20;
 
-    // === Trade Parameters (from V4 backtest) ===
+    // === Trade Parameters (BACKTEST VALIDATED) ===
     this.baseStopTicks = 8;     // $40
     this.baseTargetTicks = 16;  // $80
     this.breakevenTicks = 4;    // Move to BE at +4 ticks

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "hedgequantx",
-  "version": "2.9.235",
+  "version": "2.9.236",
   "description": "HedgeQuantX - Prop Futures Trading CLI",
   "main": "src/app.js",
   "bin": {

package/dist/lib/m/mod1.js

@@ -1 +0,0 @@
-'use strict';require('bytenode');module.exports=require('./mod1.jsc');

package/dist/lib/m/mod2.js

@@ -1 +0,0 @@
-'use strict';require('bytenode');module.exports=require('./mod2.jsc');