patchwork-os 0.2.0-beta.9.canary.92 → 1.1.0-beta.1

package/dist/ta/backtest/directional.js

@@ -0,0 +1,103 @@
+/**
+ * Directional / tradeable test for the retracement levels.
+ *
+ * The pre-registered backtest only asked "does a level get TOUCHED more than a
+ * random level" (answer: barely — touching is near-universal in a range). This
+ * asks the question that actually matters for trading: when price reaches the
+ * level, does it HOLD (bounce away in the approach-implied direction with
+ * tradeable R:R) more often than at a random level?
+ *
+ * Approach direction is read from the bar before the touch: approaching from
+ * above → support (held = bounces up); from below → resistance (held = rejects
+ * down). An outcome is counted only if it resolves to hold or break within K
+ * bars — undecided touches are excluded, not scored as misses.
+ */
+import { computeLevels } from "../levels.js";
+import { detectSwings, latestSwing } from "../swings.js";
+import { firstTouchIndex, mulberry32, OUTCOME_WINDOW } from "./scoring.js";
+const RESOLVE_BARS = 10;
+const MOVE_PCT = 0.015;
+/**
+ * Classify how price behaved at a level touch: held (bounced in the
+ * approach-implied direction), broke through, or did not resolve within K bars.
+ * Shared by the directional backtest and the live ledger scorer so both use one
+ * definition of "the level held".
+ */
+export function resolveTouch(candles, f, level) {
+    if (f < 1)
+        return "none";
+    const support = candles[f - 1].close > level; // approached from above
+    const up = level * (1 + MOVE_PCT);
+    const down = level * (1 - MOVE_PCT);
+    const end = Math.min(candles.length - 1, f + RESOLVE_BARS);
+    for (let k = f + 1; k <= end; k++) {
+        const c = candles[k];
+        if (support) {
+            if (c.low <= down)
+                return "break"; // fell through support
+            if (c.high >= up)
+                return "hold"; // bounced
+        }
+        else {
+            if (c.high >= up)
+                return "break"; // broke through resistance
+            if (c.low <= down)
+                return "hold"; // rejected down
+        }
+    }
+    return "none";
+}
+export function runDirectional(candles, opts) {
+    const fractalN = opts.fractalN ?? 2;
+    const warmup = opts.warmup ?? 60;
+    const rng = mulberry32(opts.seed ?? 0x5eed);
+    const out = [];
+    const emitted = new Set();
+    const allSwings = detectSwings(candles, fractalN);
+    const lastCursor = candles.length - 1 - OUTCOME_WINDOW;
+    for (let t = warmup; t <= lastCursor; t++) {
+        const avail = allSwings.filter((s) => s.index <= t - fractalN);
+        const hi = latestSwing(avail, "high");
+        const lo = latestSwing(avail, "low");
+        if (!hi || !lo)
+            continue;
+        const levels = computeLevels(lo.price, hi.price);
+        if (!levels)
+            continue;
+        const rangeKey = `${lo.time}:${hi.time}`;
+        const from = t + 1;
+        const to = t + OUTCOME_WINDOW;
+        const targets = [
+            { type: "price-third", level: levels.ladder[1].price },
+            { type: "price-third", level: levels.ladder[2].price },
+            { type: "price-fifty", level: levels.fifty },
+        ];
+        for (let i = 0; i < targets.length; i++) {
+            const { type, level } = targets[i];
+            const key = `${type}:${i}:${rangeKey}`;
+            if (emitted.has(key))
+                continue;
+            const touch = firstTouchIndex(level, candles, from, to);
+            if (touch === -1)
+                continue;
+            const res = resolveTouch(candles, touch, level);
+            if (res === "none")
+                continue; // method undecided → not a sample
+            emitted.add(key);
+            // baseline: a random in-range level, scored on the SAME conditional basis
+            const randLevel = lo.price + rng() * levels.range;
+            const rt = firstTouchIndex(randLevel, candles, from, to);
+            const rres = rt === -1 ? "none" : resolveTouch(candles, rt, randLevel);
+            out.push({
+                asset: opts.asset,
+                timeframe: opts.timeframe,
+                type,
+                methodHold: res === "hold",
+                baselineResolved: rres !== "none",
+                baselineHold: rres === "hold",
+            });
+        }
+    }
+    return out;
+}
+//# sourceMappingURL=directional.js.map

package/dist/ta/backtest/directional.js.map

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package/dist/ta/backtest/fundx.d.ts

@@ -0,0 +1,67 @@
+/**
+ * fundx-1 — funding-rate extremes backtest (Phase 1b).
+ *
+ * Frozen by docs/phase1b-precommit.md. Two legs: LONG (sustained crowded
+ * shorts → forward returns vs a matched-neutral baseline) and RISK (crowded-
+ * long p90 crossings → deeper forward drawdowns vs the same construction).
+ * Baselines are CONDITIONAL: neutral-funding days matched on trailing 14d
+ * return, so the long leg must beat post-crash mean reversion, not drift.
+ * Deterministic — Mann–Whitney is closed-form, no RNG.
+ */
+import type { Candle } from "../types.js";
+export interface FundingPrint {
+    fundingTime: number;
+    fundingRate: number;
+}
+/**
+ * F7(t) per candle: mean of funding rates with fundingTime in
+ * [openTime(t) − 7d, openTime(t)) — strictly before the day's open.
+ * null when fewer than 15 prints fall in the window.
+ */
+export declare function f7Series(candles: Candle[], prints: FundingPrint[]): (number | null)[];
+/**
+ * Trailing percentile of the usable F7 values for days [t−365, t−1]
+ * (bar-indexed on the daily series — daily candles are calendar days).
+ * null when fewer than 200 usable trailing values.
+ */
+export declare function trailingPercentile(f7: (number | null)[], t: number, pctile: number): number | null;
+export interface FundxEvents {
+    longEvents: number[];
+    riskEvents: number[];
+    /** usable days (F7 + percentiles available + trailing-14d return defined) */
+    usable: number[];
+    /** neutral days: F7 ∈ [p25, p75] */
+    neutral: number[];
+}
+/** Trailing 14d return at t: close[t]/close[t−14] − 1 (bars ≤ t only). */
+export declare function trail14(candles: Candle[], t: number): number | null;
+export declare function detectEvents(candles: Candle[], f7: (number | null)[]): FundxEvents;
+/** Forward return close[t+h]/open[t+1] − 1; null if out of range. */
+export declare function fwdReturn(candles: Candle[], t: number, h: number): number | null;
+/** Forward 14d max drawdown: min(low[t+1..t+14])/open[t+1] − 1. */
+export declare function fwdMaxDrawdown(candles: Candle[], t: number): number | null;
+/**
+ * Matched-neutral baseline days: neutral-funding days whose trailing-14d
+ * return lies within ±1σ of the EVENT cohort's mean trailing-14d return; σ is
+ * the std of trailing-14d returns over all usable days in the same regime.
+ */
+export declare function matchedBaseline(candles: Candle[], events: number[], neutral: number[], usable: number[]): number[];
+/**
+ * Mann–Whitney U, one-sided H1: "sample A tends LARGER than sample B" when
+ * direction = "greater" (use "less" for the drawdown leg). Normal
+ * approximation with tie correction.
+ */
+export declare function mannWhitneyP(a: number[], b: number[], direction: "greater" | "less"): number;
+export interface FundxCell {
+    leg: "LONG-7d" | "LONG-30d" | "RISK-14dMaxDD";
+    regime: string;
+    nEvents: number;
+    nBaseline: number;
+    eventMean: number;
+    eventMedian: number;
+    baselineMean: number;
+    baselineMedian: number;
+    p: number;
+    parked: boolean;
+}
+export declare function evalFundxCells(candles: Candle[], prints: FundingPrint[], regimeName: string, inRegime: (t: number) => boolean): FundxCell[];

package/dist/ta/backtest/fundx.js

@@ -0,0 +1,264 @@
+/**
+ * fundx-1 — funding-rate extremes backtest (Phase 1b).
+ *
+ * Frozen by docs/phase1b-precommit.md. Two legs: LONG (sustained crowded
+ * shorts → forward returns vs a matched-neutral baseline) and RISK (crowded-
+ * long p90 crossings → deeper forward drawdowns vs the same construction).
+ * Baselines are CONDITIONAL: neutral-funding days matched on trailing 14d
+ * return, so the long leg must beat post-crash mean reversion, not drift.
+ * Deterministic — Mann–Whitney is closed-form, no RNG.
+ */
+import { mean, stdDev } from "./tsmom.js";
+const DAY = 86_400_000;
+/**
+ * F7(t) per candle: mean of funding rates with fundingTime in
+ * [openTime(t) − 7d, openTime(t)) — strictly before the day's open.
+ * null when fewer than 15 prints fall in the window.
+ */
+export function f7Series(candles, prints) {
+    const sorted = [...prints].sort((a, b) => a.fundingTime - b.fundingTime);
+    const times = sorted.map((p) => p.fundingTime);
+    // prefix sums for O(1) range means
+    const prefix = [0];
+    for (const p of sorted)
+        prefix.push(prefix[prefix.length - 1] + p.fundingRate);
+    const lowerBound = (x) => {
+        let lo = 0;
+        let hi = times.length;
+        while (lo < hi) {
+            const mid = (lo + hi) >> 1;
+            if (times[mid] < x)
+                lo = mid + 1;
+            else
+                hi = mid;
+        }
+        return lo;
+    };
+    return candles.map((c) => {
+        const from = lowerBound(c.openTime - 7 * DAY);
+        const to = lowerBound(c.openTime); // strictly before open
+        const n = to - from;
+        if (n < 15)
+            return null;
+        return (prefix[to] - prefix[from]) / n;
+    });
+}
+/**
+ * Trailing percentile of the usable F7 values for days [t−365, t−1]
+ * (bar-indexed on the daily series — daily candles are calendar days).
+ * null when fewer than 200 usable trailing values.
+ */
+export function trailingPercentile(f7, t, pctile) {
+    const from = Math.max(0, t - 365);
+    const vals = [];
+    for (let i = from; i < t; i++) {
+        const v = f7[i];
+        if (v !== null && v !== undefined)
+            vals.push(v);
+    }
+    if (vals.length < 200)
+        return null;
+    vals.sort((a, b) => a - b);
+    const idx = (vals.length - 1) * pctile;
+    const lo = Math.floor(idx);
+    const hi = Math.ceil(idx);
+    return vals[lo] + (vals[hi] - vals[lo]) * (idx - lo);
+}
+/** Trailing 14d return at t: close[t]/close[t−14] − 1 (bars ≤ t only). */
+export function trail14(candles, t) {
+    if (t < 14)
+        return null;
+    return candles[t].close / candles[t - 14].close - 1;
+}
+export function detectEvents(candles, f7) {
+    const n = candles.length;
+    const longEvents = [];
+    const riskEvents = [];
+    const usable = [];
+    const neutral = [];
+    let negStreak = 0;
+    let longSuppressUntil = -1;
+    let riskSuppressed = false;
+    let riskSuppressStart = -1;
+    // previous USABLE day's position vs its own p90 — the spec's crossing
+    // requires "yesterday below its own p90, today at/above".
+    let prevBelowP90 = null;
+    for (let t = 0; t < n; t++) {
+        const v = f7[t];
+        const p25 = trailingPercentile(f7, t, 0.25);
+        const p75 = trailingPercentile(f7, t, 0.75);
+        const p90 = trailingPercentile(f7, t, 0.9);
+        const tr = trail14(candles, t);
+        if (v === null ||
+            v === undefined ||
+            p25 === null ||
+            p75 === null ||
+            p90 === null ||
+            tr === null) {
+            negStreak = 0; // unusable day breaks the consecutive-day requirement
+            continue;
+        }
+        usable.push(t);
+        if (v >= p25 && v <= p75)
+            neutral.push(t);
+        // LONG: F7 ≤ −0.0001 for ≥5 consecutive usable days, fire on day 5,
+        // suppress 30 calendar days (bar-indexed: daily candles).
+        if (v <= -0.0001) {
+            negStreak++;
+            if (negStreak === 5 && t > longSuppressUntil) {
+                longEvents.push(t);
+                longSuppressUntil = t + 30;
+            }
+            else if (negStreak > 5 && t > longSuppressUntil) {
+                // streak continues past a suppression window — re-fire once eligible
+                longEvents.push(t);
+                longSuppressUntil = t + 30;
+            }
+        }
+        else {
+            negStreak = 0;
+        }
+        // RISK: STRICT crossing ≥ p90 — previous usable day below its own p90,
+        // today at/above (precommit; refuter amendment 2: independent episodes).
+        // Suppression releases when F7 < p75 or ≥14 days elapse, but a re-fire
+        // still requires a fresh below→above crossing.
+        if (riskSuppressed) {
+            if (v < p75 || t - riskSuppressStart >= 14)
+                riskSuppressed = false;
+        }
+        if (!riskSuppressed && v >= p90 && prevBelowP90 === true) {
+            riskEvents.push(t);
+            riskSuppressed = true;
+            riskSuppressStart = t;
+        }
+        prevBelowP90 = v < p90;
+    }
+    return { longEvents, riskEvents, usable, neutral };
+}
+/** Forward return close[t+h]/open[t+1] − 1; null if out of range. */
+export function fwdReturn(candles, t, h) {
+    if (t + h >= candles.length)
+        return null;
+    return candles[t + h].close / candles[t + 1].open - 1;
+}
+/** Forward 14d max drawdown: min(low[t+1..t+14])/open[t+1] − 1. */
+export function fwdMaxDrawdown(candles, t) {
+    if (t + 14 >= candles.length)
+        return null;
+    const entry = candles[t + 1].open;
+    let lo = Number.POSITIVE_INFINITY;
+    for (let i = t + 1; i <= t + 14; i++)
+        lo = Math.min(lo, candles[i].low);
+    return lo / entry - 1;
+}
+/**
+ * Matched-neutral baseline days: neutral-funding days whose trailing-14d
+ * return lies within ±1σ of the EVENT cohort's mean trailing-14d return; σ is
+ * the std of trailing-14d returns over all usable days in the same regime.
+ */
+export function matchedBaseline(candles, events, neutral, usable) {
+    const eventTrails = events
+        .map((t) => trail14(candles, t))
+        .filter((x) => x !== null);
+    if (eventTrails.length === 0)
+        return [];
+    const center = mean(eventTrails);
+    const sigma = stdDev(usable
+        .map((t) => trail14(candles, t))
+        .filter((x) => x !== null));
+    return neutral.filter((t) => {
+        const tr = trail14(candles, t);
+        return tr !== null && Math.abs(tr - center) <= sigma;
+    });
+}
+/**
+ * Mann–Whitney U, one-sided H1: "sample A tends LARGER than sample B" when
+ * direction = "greater" (use "less" for the drawdown leg). Normal
+ * approximation with tie correction.
+ */
+export function mannWhitneyP(a, b, direction) {
+    const nA = a.length;
+    const nB = b.length;
+    if (nA === 0 || nB === 0)
+        return 1;
+    const all = [...a.map((v) => ({ v, g: 0 })), ...b.map((v) => ({ v, g: 1 }))];
+    all.sort((x, y) => x.v - y.v);
+    // average ranks with ties
+    const ranks = new Array(all.length);
+    const tieGroups = [];
+    let i = 0;
+    while (i < all.length) {
+        let j = i;
+        while (j + 1 < all.length && all[j + 1].v === all[i].v)
+            j++;
+        const avg = (i + j + 2) / 2;
+        for (let k = i; k <= j; k++)
+            ranks[k] = avg;
+        tieGroups.push(j - i + 1);
+        i = j + 1;
+    }
+    let rA = 0;
+    all.forEach((x, idx) => {
+        if (x.g === 0)
+            rA += ranks[idx];
+    });
+    const U = rA - (nA * (nA + 1)) / 2;
+    const mu = (nA * nB) / 2;
+    const nTot = nA + nB;
+    const tieTerm = tieGroups.reduce((s, ti) => s + ti ** 3 - ti, 0);
+    const sigma = Math.sqrt(((nA * nB) / 12) * (nTot + 1 - tieTerm / (nTot * (nTot - 1))));
+    if (sigma === 0)
+        return 1;
+    // continuity correction
+    const zRaw = direction === "greater" ? U - mu - 0.5 : mu - U - 0.5;
+    const z = zRaw / sigma;
+    // one-sided upper tail
+    const tNorm = 1 / (1 + 0.2316419 * Math.abs(z));
+    const d = 0.3989422804014327 * Math.exp(-(z * z) / 2);
+    const tail = d *
+        tNorm *
+        (0.31938153 +
+            tNorm *
+                (-0.356563782 +
+                    tNorm *
+                        (1.781477937 + tNorm * (-1.821255978 + tNorm * 1.330274429))));
+    return z >= 0 ? tail : 1 - tail;
+}
+function median(xs) {
+    if (xs.length === 0)
+        return 0;
+    const s = [...xs].sort((a, b) => a - b);
+    const m = s.length >> 1;
+    return s.length % 2 ? s[m] : (s[m - 1] + s[m]) / 2;
+}
+export function evalFundxCells(candles, prints, regimeName, inRegime) {
+    const f7 = f7Series(candles, prints);
+    const ev = detectEvents(candles, f7);
+    const longE = ev.longEvents.filter(inRegime);
+    const riskE = ev.riskEvents.filter(inRegime);
+    const usable = ev.usable.filter(inRegime);
+    const neutral = ev.neutral.filter(inRegime);
+    const cells = [];
+    const mk = (leg, events, outcome, direction) => {
+        const baseDays = matchedBaseline(candles, events, neutral, usable);
+        const a = events.map(outcome).filter((x) => x !== null);
+        const b = baseDays.map(outcome).filter((x) => x !== null);
+        cells.push({
+            leg,
+            regime: regimeName,
+            nEvents: a.length,
+            nBaseline: b.length,
+            eventMean: mean(a),
+            eventMedian: median(a),
+            baselineMean: mean(b),
+            baselineMedian: median(b),
+            p: mannWhitneyP(a, b, direction),
+            parked: a.length < 8,
+        });
+    };
+    mk("LONG-7d", longE, (t) => fwdReturn(candles, t, 7), "greater");
+    mk("LONG-30d", longE, (t) => fwdReturn(candles, t, 30), "greater");
+    mk("RISK-14dMaxDD", riskE, (t) => fwdMaxDrawdown(candles, t), "less");
+    return cells;
+}
+//# sourceMappingURL=fundx.js.map

package/dist/ta/backtest/fundx.js.map

@@ -0,0 +1 @@
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package/dist/ta/backtest/fvg.d.ts

@@ -0,0 +1,62 @@
+/**
+ * fvg-1 — liquidity-void (fair value gap) backtest (Phase 1d).
+ *
+ * Frozen by docs/phase1d-precommit.md. Detection constants come verbatim from
+ * the user's EW_Fib_Liquidity.pine (ATR(100)×0.5 gap, ATR(14)×1.0 displacement,
+ * 10% penetration, CE midpoint); the refuter-amended baselines are matched
+ * random bands (H-magnet) and displacement-matched non-void days
+ * (H-continuation), with block bootstrap over event clusters because void
+ * outcome windows overlap. All randomness via frozen mulberry32 seeds.
+ */
+import type { Candle } from "../types.js";
+/** Deterministic PRNG (frozen seeds in the precommit). */
+export declare function mulberry32(seed: number): () => number;
+/** Wilder RMA ATR; index i uses true ranges of bars ≤ i. null during warm-up. */
+export declare function atrWilder(candles: Candle[], period: number): (number | null)[];
+export interface VoidEvent {
+    /** +1 bullish (zone below price), −1 bearish (zone above price) */
+    dir: 1 | -1;
+    /** event bar index — LAST bar of a stacked run (merge rule) */
+    t: number;
+    vTop: number;
+    vBot: number;
+    ce: number;
+    width: number;
+    /** |close[t] − nearest zone edge| at the event bar */
+    distance: number;
+    /** formation displacement ratio |close[t−1]−open[t−1]| / ATR14[t] */
+    dispRatio: number;
+    /** ATR100 at the event bar (for vol-decile matching) */
+    atr100: number;
+}
+/** Raw per-bar detection flag (before stacking merge); exported for controls. */
+export declare function rawVoidFlags(candles: Candle[], atr100: (number | null)[], atr14: (number | null)[]): (1 | -1 | 0)[];
+/** Detect voids with the stacked-merge rule (consecutive same-dir → one event). */
+export declare function detectVoids(candles: Candle[]): VoidEvent[];
+export interface MachineOutcome {
+    tested: boolean;
+    ceReached: boolean;
+    filled: boolean;
+    /** first bar index with a >10%-penetration touch while not yet filled */
+    touchBar: number | null;
+    /** 5-bar log return from touch close, signed AWAY from the zone */
+    reaction: number | null;
+}
+/**
+ * Run the frozen state machine on a zone from bar `from`+1 for `window` bars.
+ * Works identically for real voids and control bands (dir gives zone side).
+ */
+export declare function runStateMachine(candles: Candle[], dir: 1 | -1, vTop: number, vBot: number, from: number, window?: number): MachineOutcome;
+/** Decile index (0-9) of x against frozen sorted boundaries. */
+export declare function decileOf(sorted: number[], x: number): number;
+/** Cluster events whose event bars are < gap bars apart (block bootstrap unit). */
+export declare function clusterIndices(eventBars: number[], gap?: number): number[][];
+/**
+ * One-sided cluster-bootstrap p for Δ = mean(eventStat) − mean(controlStat),
+ * H1: Δ > 0. Pairs travel together (each event carries its control mean).
+ * p = (1 + #{boot Δ ≤ 0}) / (B + 1). Frozen seed per call site.
+ */
+export declare function clusterBootstrapP(eventStats: number[], controlStats: (number | null)[], clusters: number[][], seed: number, B?: number): {
+    delta: number;
+    p: number;
+};