neuroalpha 0.6.9 → 0.6.10

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "neuroalpha",
-  "version": "0.6.9",
+  "version": "0.6.10",
   "description": "НейроАльфа — ИИ-автопилот для рынка акций Мосбиржи: эмбеддинги акций, самообучение правил, коннекторы Т-Банк / БКС / Финам / Алор и боты Telegram / MAX",
   "author": "Roman A. Perepelkin",
   "license": "UNLICENSED",

package/server/model/research.js

@@ -12,6 +12,7 @@ import { strategyDefaults } from '../config.js';
 import { ENTRY_EDGE_MULT, TIER1_LIQUID_SYMBOLS, symbolEdgeMult, computeTokenEdgeMults, QUARANTINE_DECAY, isStockQuarantined, canEnterIntraday, shouldExitBeforeNight, isRegimeShocked, isMarketDown } from './edge.js';
 import { buildDividendCalendar, nextDividendAt, dividendRules, DIV_TAX } from './dividends.js';
 import { simulateStrategy, alignSeries } from './simulator.js';
+import { STRATEGY_POLICY, exitHoldRatio } from './policy.js';
 import { ensureLqdtHistory } from '../data/lqdt.js';
 
 const DAY = 86400000;
@@ -38,7 +39,8 @@ export { isMarketDown };
 // 15: защита от биржевых планок (high === low) и блокировка утренних шортов 2-го эшелона в первые 20 минут сессии (07:00–07:20 МСК)
 // 16: главная оценка — симулятор с правилами живого контура (simulator.js), аварийный стоп 7%
 // 17: капитал в LQDT как залог, половинный размер 2-го эшелона, строки с плечом 3 и 5
-const DATA_VERSION = 17;
+// 18: глубина сопровождения позиции и вечернего окна входов holdBars=13 (130 мин) во всех контурах симуляции
+const DATA_VERSION = 18;
 
 const AUTO_LOCKED = { modelHorizon: 2.5, modelMinEdge: 2.5, modelExitRatio: 0.95 };
 function reuseParamsKey(params) {
@@ -395,7 +397,9 @@ async function run(runId, p, state) {
     const stockPnl = new Float64Array(N), stockCnt = new Float64Array(N);
     const stockAllowed = (i, edgeRatio = 0) => !autoAdapt || !isStockQuarantined(stockCnt[i], stockPnl[i], edgeRatio);
     let curExitRatio = autoAdapt ? 0.95 : exitRatio;
-    const stepBars = autoAdapt ? Math.max(3, Math.floor(H / 5)) : H;
+    const holdBars = autoAdapt ? (STRATEGY_POLICY.holdBars ?? H) : H;
+    const horizonMin = Math.max(90, holdBars * BAR_INTERVAL);
+    const stepBars = autoAdapt ? Math.max(3, Math.floor(holdBars / 5)) : holdBars;
     const maxSlotWeight = dir === 'long' ? Math.min(0.58, Math.max(1 / K, 1.8 / K)) : Math.min(0.75, 3.0 / (2 * K));
     let closedThisBar = new Set();
 
@@ -458,21 +462,21 @@ async function run(runId, p, state) {
           }
         }
       }
-      const timeOk = !autoAdapt || canEnterIntraday(barTs, H, BAR_INTERVAL);
+      const timeOk = !autoAdapt || canEnterIntraday(barTs, holdBars, BAR_INTERVAL);
       const canOpenAt = (i, edgeRatio = 0) => timeOk && !held.has(i) && !closedThisBar.has(i) && stockAllowed(i, edgeRatio) && canEnter(i, t);
       const okLong = (i) => !divRule(i, t)?.blockLong && (!needTrade || (tokens[i].has[tIn] && tokens[i].open[tIn] > 0)) && (!autoAdapt || !isRegimeShocked(ds, i, t, 'long'));
-      const okShort = (i) => !divRule(i, t)?.blockShort && (!shortable || shortable.has(tokens[i].symbol)) && (!needTrade || (tokens[i].has[tIn] && tokens[i].open[tIn] > 0)) && (!autoAdapt || (!isRegimeShocked(ds, i, t, 'short') && canEnterIntraday(barTs, H, BAR_INTERVAL, 'short', tokens[i].symbol)));
+      const okShort = (i) => !divRule(i, t)?.blockShort && (!shortable || shortable.has(tokens[i].symbol)) && (!needTrade || (tokens[i].has[tIn] && tokens[i].open[tIn] > 0)) && (!autoAdapt || (!isRegimeShocked(ds, i, t, 'short') && canEnterIntraday(barTs, holdBars, BAR_INTERVAL, 'short', tokens[i].symbol)));
       let order, entries;
       if (dir !== 'long') {
         const edge = (i) => pr[i] * sg[i] * Math.sqrt(H);
         const need = effMinEdge * 2 * realCost * needMult;
         const exitNeed = need * curExitRatio;
-        const earlyExitNeed = need * 0.35;
-        // держим позицию, пока ожидаемое движение выше порога выхода (первые два полушага — мягкий порог, чтобы не резать сделку от шума)
+        // держим позицию по единой рампе удержания exitHoldRatio (до 45 мин — 0.35, затем плавный подъём к 0.95 к концу глубины сопровождения horizonMin)
         for (const [i, h] of [...held]) {
           const e = edge(i);
           const barsHeld = tIn - h.entryT;
-          const req = (autoAdapt && barsHeld <= 2 * stepBars ? earlyExitNeed : exitNeed) * symMult[i];
+          const holdRatio = exitHoldRatio(barsHeld * BAR_INTERVAL, horizonMin, { baseEndRatio: curExitRatio, autoAdapt }, STRATEGY_POLICY);
+          const req = need * holdRatio * symMult[i];
           const shocked = autoAdapt && isRegimeShocked(ds, i, t, h.side);
           if (shocked || !(h.side === 'long' ? e > req : e < -req) || !liquid(i, t)) {
             closePos(i, h, tIn, false, shocked ? 'Защита от экстремального сквиза/обвала' : 'Прогноз ослаб');
@@ -513,11 +517,11 @@ async function run(runId, p, state) {
         const edge = (i) => pr[i] * sg[i] * Math.sqrt(H);
         const need = effMinEdge * 2 * realCost * needMult;
         const exitNeed = need * curExitRatio;
-        const earlyExitNeed = need * 0.35;
         for (const [i, h] of [...held]) {
           const e = edge(i);
           const barsHeld = tIn - h.entryT;
-          const req = (autoAdapt && barsHeld <= 2 * stepBars ? earlyExitNeed : exitNeed) * symMult[i];
+          const holdRatio = exitHoldRatio(barsHeld * BAR_INTERVAL, horizonMin, { baseEndRatio: curExitRatio, autoAdapt }, STRATEGY_POLICY);
+          const req = need * holdRatio * symMult[i];
           const shocked = autoAdapt && isRegimeShocked(ds, i, t, 'long');
           if (shocked || !(e > req) || !liquid(i, t)) closePos(i, h, tIn, false, shocked ? 'Защита от экстремального обвала' : '');
         }
@@ -1120,7 +1124,9 @@ async function runStabilityLoop(targetId, runRow, st) {
       const stockPnl = new Float64Array(N), stockCnt = new Float64Array(N);
       const stockAllowed = (i, edgeRatio = 0) => !autoAdapt || !isStockQuarantined(stockCnt[i], stockPnl[i], edgeRatio);
       const curExitRatio = autoAdapt ? 0.95 : exitRatio;
-      const stepBars = autoAdapt ? Math.max(3, Math.floor(H / 5)) : H;
+      const holdBars = autoAdapt ? (STRATEGY_POLICY.holdBars ?? H) : H;
+      const horizonMin = Math.max(90, holdBars * BAR_INTERVAL);
+      const stepBars = autoAdapt ? Math.max(3, Math.floor(holdBars / 5)) : holdBars;
       const maxSlotWeight = dir === 'long' ? Math.min(0.58, Math.max(1 / K, 1.8 / K)) : Math.min(0.75, 3.0 / (2 * K));
       let closedThisBar = new Set();
       const closePos = (i, h, t) => {
@@ -1158,17 +1164,18 @@ async function runStabilityLoop(targetId, runRow, st) {
             if (shouldExitBeforeNight(barTs, tsOf(h.entryT), stepBars, BAR_INTERVAL)) closePos(i, h, tIn);
           }
         }
-        const timeOk = !autoAdapt || canEnterIntraday(barTs, H, BAR_INTERVAL);
+        const timeOk = !autoAdapt || canEnterIntraday(barTs, holdBars, BAR_INTERVAL);
         const canOpenAt = (i, edgeRatio = 0) => timeOk && !held.has(i) && !closedThisBar.has(i) && stockAllowed(i, edgeRatio) && canEnter(i, t);
         const okLong = (i) => !divRule(i, t)?.blockLong && (!autoAdapt || !isRegimeShocked(ds, i, t, 'long'));
-        const okShort = (i) => !divRule(i, t)?.blockShort && (!autoAdapt || (!isRegimeShocked(ds, i, t, 'short') && canEnterIntraday(barTs, H, BAR_INTERVAL, 'short', tokens[i].symbol)));
+        const okShort = (i) => !divRule(i, t)?.blockShort && (!autoAdapt || (!isRegimeShocked(ds, i, t, 'short') && canEnterIntraday(barTs, holdBars, BAR_INTERVAL, 'short', tokens[i].symbol)));
         const edge = (i) => pr[i] * sg[i] * Math.sqrt(H);
-        const need = effMinEdge * 2 * realCost * ENTRY_EDGE_MULT, exitNeed = need * curExitRatio, earlyExitNeed = need * 0.35;
+        const need = effMinEdge * 2 * realCost * ENTRY_EDGE_MULT, exitNeed = need * curExitRatio;
         let order, entries;
         if (dir !== 'long') {
           for (const [i, h] of [...held]) {
             const e = edge(i), barsHeld = tIn - h.entryT;
-            const req = (autoAdapt && barsHeld <= 2 * stepBars ? earlyExitNeed : exitNeed) * symMult[i];
+            const holdRatio = exitHoldRatio(barsHeld * BAR_INTERVAL, horizonMin, { baseEndRatio: curExitRatio, autoAdapt }, STRATEGY_POLICY);
+            const req = need * holdRatio * symMult[i];
             const shocked = autoAdapt && isRegimeShocked(ds, i, t, h.side);
             if (shocked || !(h.side === 'long' ? e > req : e < -req) || !liquid(i, t)) closePos(i, h, tIn);
           }
@@ -1196,7 +1203,8 @@ async function runStabilityLoop(targetId, runRow, st) {
         } else if (effMinEdge > 0) {
           for (const [i, h] of [...held]) {
             const e = edge(i), barsHeld = tIn - h.entryT;
-            const req = (autoAdapt && barsHeld <= 2 * stepBars ? earlyExitNeed : exitNeed) * symMult[i];
+            const holdRatio = exitHoldRatio(barsHeld * BAR_INTERVAL, horizonMin, { baseEndRatio: curExitRatio, autoAdapt }, STRATEGY_POLICY);
+            const req = need * holdRatio * symMult[i];
             const shocked = autoAdapt && isRegimeShocked(ds, i, t, 'long');
             if (shocked || !(e > req) || !liquid(i, t)) closePos(i, h, tIn);
           }