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

package/dist/ta/backtest/msb.js

@@ -0,0 +1,162 @@
+/**
+ * msb-1 — market-structure-break backtest (Phase 1d), two antagonistic arms.
+ *
+ * Frozen by docs/phase1d-precommit.md. Pivot widths {4, 10} and the event
+ * definitions come from the user's msb_indicator.pine / eieo_strategy.pine;
+ * the refuter-amended controls share everything except the structural
+ * element (Arm A matched on trailing-20-bar-return decile so a pass means
+ * the pivot adds signal beyond the killed momentum effect; Arm B matched on
+ * wick-extent decile so a pass beats a generic long-wick bounce).
+ */
+/** Strict N-bar fractal pivots with confirmation lag (no look-ahead). */
+export function fractalPivots(candles, N) {
+    const highs = [];
+    const lows = [];
+    for (let p = N; p < candles.length - N; p++) {
+        let isH = true;
+        let isL = true;
+        for (let k = 1; k <= N; k++) {
+            if (candles[p].high <= candles[p - k].high ||
+                candles[p].high <= candles[p + k].high)
+                isH = false;
+            if (candles[p].low >= candles[p - k].low ||
+                candles[p].low >= candles[p + k].low)
+                isL = false;
+            if (!isH && !isL)
+                break;
+        }
+        if (isH)
+            highs.push({ bar: p, price: candles[p].high, confirmedAt: p + N });
+        if (isL)
+            lows.push({ bar: p, price: candles[p].low, confirmedAt: p + N });
+    }
+    return { highs, lows };
+}
+/** Walk bars maintaining active levels + per-arm one-shot guards. */
+export function scanMsb(candles, N) {
+    const { highs, lows } = fractalPivots(candles, N);
+    const events = [];
+    const rawBreach = new Array(candles.length).fill(false);
+    let hi = 0;
+    let lo = 0;
+    let activePH = null;
+    let activePL = null;
+    let aPH = false;
+    let aPL = false;
+    let bPH = false;
+    let bPL = false;
+    const confirmedLows = [];
+    const confirmedHighs = [];
+    const trailing20 = (t) => t >= 20 ? Math.log(candles[t].close / candles[t - 20].close) : null;
+    for (let t = 0; t < candles.length; t++) {
+        // confirm pivots that become usable at this bar
+        while (hi < highs.length && highs[hi].confirmedAt <= t) {
+            activePH = highs[hi];
+            confirmedHighs.push(highs[hi].price);
+            aPH = false;
+            bPH = false;
+            hi++;
+        }
+        while (lo < lows.length && lows[lo].confirmedAt <= t) {
+            activePL = lows[lo];
+            confirmedLows.push(lows[lo].price);
+            aPL = false;
+            bPL = false;
+            lo++;
+        }
+        const c = candles[t];
+        const range = c.high - c.low;
+        const bodyPct = c.open !== 0 ? Math.abs(c.close - c.open) / c.open : 0;
+        const lastTwoLowsDesc = confirmedLows.length >= 2 &&
+            confirmedLows[confirmedLows.length - 1] <
+                confirmedLows[confirmedLows.length - 2];
+        const lastTwoHighsAsc = confirmedHighs.length >= 2 &&
+            confirmedHighs[confirmedHighs.length - 1] >
+                confirmedHighs[confirmedHighs.length - 2];
+        if (activePH) {
+            const breakUp = c.close > activePH.price;
+            const sweepHigh = c.high > activePH.price && c.close < activePH.price;
+            if (breakUp || sweepHigh)
+                rawBreach[t] = true;
+            if (breakUp && !aPH) {
+                aPH = true;
+                events.push({
+                    arm: "A",
+                    dir: 1,
+                    t,
+                    level: activePH.price,
+                    bodyPct,
+                    trailing20: trailing20(t),
+                    wickExtent: null,
+                    choch: lastTwoLowsDesc,
+                });
+            }
+            if (sweepHigh && !bPH) {
+                bPH = true;
+                events.push({
+                    arm: "B",
+                    dir: -1, // claims reversal DOWN after sweeping the high
+                    t,
+                    level: activePH.price,
+                    bodyPct,
+                    trailing20: trailing20(t),
+                    wickExtent: range > 0 ? (c.high - Math.max(c.open, c.close)) / range : null,
+                    choch: lastTwoHighsAsc,
+                });
+            }
+        }
+        if (activePL) {
+            const breakDn = c.close < activePL.price;
+            const sweepLow = c.low < activePL.price && c.close > activePL.price;
+            if (breakDn || sweepLow)
+                rawBreach[t] = true;
+            if (breakDn && !aPL) {
+                aPL = true;
+                events.push({
+                    arm: "A",
+                    dir: -1,
+                    t,
+                    level: activePL.price,
+                    bodyPct,
+                    trailing20: trailing20(t),
+                    wickExtent: null,
+                    choch: lastTwoHighsAsc,
+                });
+            }
+            if (sweepLow && !bPL) {
+                bPL = true;
+                events.push({
+                    arm: "B",
+                    dir: 1, // claims reversal UP after sweeping the low
+                    t,
+                    level: activePL.price,
+                    bodyPct,
+                    trailing20: trailing20(t),
+                    wickExtent: range > 0 ? (Math.min(c.open, c.close) - c.low) / range : null,
+                    choch: lastTwoLowsDesc,
+                });
+            }
+        }
+    }
+    return { events, rawBreach };
+}
+/** Forward log return signed in the claimed direction; null if out of range. */
+export function signedForward(candles, t, K, dir) {
+    if (t + K >= candles.length)
+        return null;
+    return dir * Math.log(candles[t + K].close / candles[t].close);
+}
+/** Arm A break-failure: close back through the level within `window` bars. */
+export function breakFailed(candles, ev, window = 10) {
+    if (ev.arm !== "A")
+        return null;
+    const end = Math.min(candles.length - 1, ev.t + window);
+    for (let i = ev.t + 1; i <= end; i++) {
+        if (ev.dir === 1 && candles[i].close < ev.level)
+            return true;
+        if (ev.dir === -1 && candles[i].close > ev.level)
+            return true;
+    }
+    return false;
+}
+//# sourceMappingURL=msb.js.map

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

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

@@ -0,0 +1,33 @@
+/**
+ * Backtest scoring — frozen hit/reversal definitions, baselines, and stats.
+ *
+ * All thresholds are fixed in docs/ta-cycles-backtest-precommit.md and must NOT
+ * be tuned to improve results. The same primitives are reused by the live
+ * ledger scorer so a prediction is always judged under the rules it was made
+ * under (pinned by METHOD_VERSION).
+ */
+import type { Candle } from "../types.js";
+export declare const PRICE_MARGIN = 0.005;
+export declare const REVERSAL_PCT = 0.015;
+export declare const REVERSAL_LOOKAHEAD = 5;
+export declare const CYCLE_WINDOW = 1;
+export declare const OUTCOME_WINDOW = 30;
+export declare const MIN_N = 30;
+/** A later bar's [low,high] comes within ±margin of `level`. */
+export declare function priceLevelHit(level: number, future: Candle[], marginFrac?: number): boolean;
+/** Index of the first future bar that touches `level` (±margin), or -1. */
+export declare function firstTouchIndex(level: number, candles: Candle[], from: number, to: number, marginFrac?: number): number;
+/**
+ * Did a reversal of the frozen definition occur within ±window of centerIndex?
+ * A same-N fractal extreme that then moves ≥REVERSAL_PCT against itself within
+ * REVERSAL_LOOKAHEAD bars. Used for both cycle pivots and the fourth-level-top
+ * claim.
+ */
+export declare function reversalNear(candles: Candle[], centerIndex: number, fractalN: number, window?: number, reversalPct?: number, lookahead?: number): boolean;
+/** Wilson 95% interval for a binomial proportion. */
+export declare function wilson(hits: number, n: number, z?: number): {
+    lo: number;
+    hi: number;
+};
+/** Deterministic PRNG (mulberry32) — reproducible random baselines. */
+export declare function mulberry32(seed: number): () => number;

package/dist/ta/backtest/scoring.js

@@ -0,0 +1,82 @@
+/**
+ * Backtest scoring — frozen hit/reversal definitions, baselines, and stats.
+ *
+ * All thresholds are fixed in docs/ta-cycles-backtest-precommit.md and must NOT
+ * be tuned to improve results. The same primitives are reused by the live
+ * ledger scorer so a prediction is always judged under the rules it was made
+ * under (pinned by METHOD_VERSION).
+ */
+import { isFractalHigh, isFractalLow } from "../swings.js";
+// ── Frozen policy (precommit) ───────────────────────────────────────────────
+export const PRICE_MARGIN = 0.005; // ±0.5% band for a price-level "hit"
+export const REVERSAL_PCT = 0.015; // ≥1.5% counter-move = a reversal
+export const REVERSAL_LOOKAHEAD = 5; // bars to realise the reversal
+export const CYCLE_WINDOW = 1; // ±1 bar around a projected pivot
+export const OUTCOME_WINDOW = 30; // bars a prediction is live for
+export const MIN_N = 30; // suppress hit-rates below this N
+/** A later bar's [low,high] comes within ±margin of `level`. */
+export function priceLevelHit(level, future, marginFrac = PRICE_MARGIN) {
+    const m = level * marginFrac;
+    return future.some((c) => c.low <= level + m && c.high >= level - m);
+}
+/** Index of the first future bar that touches `level` (±margin), or -1. */
+export function firstTouchIndex(level, candles, from, to, marginFrac = PRICE_MARGIN) {
+    const m = level * marginFrac;
+    for (let i = from; i <= to && i < candles.length; i++) {
+        const c = candles[i];
+        if (c.low <= level + m && c.high >= level - m)
+            return i;
+    }
+    return -1;
+}
+/**
+ * Did a reversal of the frozen definition occur within ±window of centerIndex?
+ * A same-N fractal extreme that then moves ≥REVERSAL_PCT against itself within
+ * REVERSAL_LOOKAHEAD bars. Used for both cycle pivots and the fourth-level-top
+ * claim.
+ */
+export function reversalNear(candles, centerIndex, fractalN, window = CYCLE_WINDOW, reversalPct = REVERSAL_PCT, lookahead = REVERSAL_LOOKAHEAD) {
+    for (let j = centerIndex - window; j <= centerIndex + window; j++) {
+        if (j < 0 || j >= candles.length)
+            continue;
+        if (isFractalHigh(candles, j, fractalN)) {
+            const high = candles[j].high;
+            const end = Math.min(candles.length - 1, j + lookahead);
+            for (let k = j + 1; k <= end; k++) {
+                if (candles[k].low <= high * (1 - reversalPct))
+                    return true;
+            }
+        }
+        if (isFractalLow(candles, j, fractalN)) {
+            const low = candles[j].low;
+            const end = Math.min(candles.length - 1, j + lookahead);
+            for (let k = j + 1; k <= end; k++) {
+                if (candles[k].high >= low * (1 + reversalPct))
+                    return true;
+            }
+        }
+    }
+    return false;
+}
+// ── Stats ───────────────────────────────────────────────────────────────────
+/** Wilson 95% interval for a binomial proportion. */
+export function wilson(hits, n, z = 1.96) {
+    if (n === 0)
+        return { lo: 0, hi: 0 };
+    const p = hits / n;
+    const denom = 1 + (z * z) / n;
+    const center = (p + (z * z) / (2 * n)) / denom;
+    const margin = (z * Math.sqrt((p * (1 - p)) / n + (z * z) / (4 * n * n))) / denom;
+    return { lo: Math.max(0, center - margin), hi: Math.min(1, center + margin) };
+}
+/** Deterministic PRNG (mulberry32) — reproducible random baselines. */
+export function mulberry32(seed) {
+    let s = seed >>> 0;
+    return () => {
+        s = (s + 0x6d2b79f5) | 0;
+        let t = Math.imul(s ^ (s >>> 15), 1 | s);
+        t = (t + Math.imul(t ^ (t >>> 7), 61 | t)) ^ t;
+        return ((t ^ (t >>> 14)) >>> 0) / 4294967296;
+    };
+}
+//# sourceMappingURL=scoring.js.map

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

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

@@ -0,0 +1,20 @@
+/**
+ * Aggregate predictions into per-claim summaries: hit-rate, Wilson CI,
+ * baseline rate, edge (method − baseline), and the min-N sufficiency flag.
+ */
+import type { Prediction } from "./walkForward.js";
+export interface ClaimSummary {
+    key: string;
+    type: string;
+    n?: number;
+    count: number;
+    hits: number;
+    hitRate: number;
+    ciLo: number;
+    ciHi: number;
+    baselineHits: number;
+    baselineRate: number;
+    edge: number;
+    sufficientN: boolean;
+}
+export declare function summarize(preds: Prediction[]): ClaimSummary[];

package/dist/ta/backtest/summary.js

@@ -0,0 +1,42 @@
+/**
+ * Aggregate predictions into per-claim summaries: hit-rate, Wilson CI,
+ * baseline rate, edge (method − baseline), and the min-N sufficiency flag.
+ */
+import { MIN_N, wilson } from "./scoring.js";
+export function summarize(preds) {
+    const groups = new Map();
+    for (const p of preds) {
+        const key = p.type === "time-cycle" ? `time-cycle:${p.n}` : p.type;
+        const arr = groups.get(key);
+        if (arr)
+            arr.push(p);
+        else
+            groups.set(key, [p]);
+    }
+    const out = [];
+    for (const [key, arr] of groups) {
+        const count = arr.length;
+        const hits = arr.filter((p) => p.hit).length;
+        const baselineHits = arr.filter((p) => p.baselineHit).length;
+        const hitRate = count ? hits / count : 0;
+        const baselineRate = count ? baselineHits / count : 0;
+        const ci = wilson(hits, count);
+        out.push({
+            key,
+            type: arr[0].type,
+            n: arr[0].n,
+            count,
+            hits,
+            hitRate,
+            ciLo: ci.lo,
+            ciHi: ci.hi,
+            baselineHits,
+            baselineRate,
+            edge: hitRate - baselineRate,
+            sufficientN: count >= MIN_N,
+        });
+    }
+    out.sort((a, b) => b.edge - a.edge);
+    return out;
+}
+//# sourceMappingURL=summary.js.map

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

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

@@ -0,0 +1,72 @@
+/**
+ * tsmom-1 — short-horizon time-series momentum backtest (Phase 1a).
+ *
+ * Frozen by docs/phase1a-precommit.md. Variant (a) sign-of-trailing-return is
+ * the only KILL-gating variant; (b) vol-scaled and (c) volume-composite are
+ * descriptive contrasts. The null is the refuter-amended EXHAUSTIVE circular
+ * shift of the signal series against identical trade mechanics — it preserves
+ * the signal's long fraction and streak structure exactly, so it eats both
+ * the unconditional up-drift and serial-dependence artifacts. Deterministic:
+ * no RNG anywhere.
+ */
+import type { Candle } from "../types.js";
+export interface TradeStats {
+    n: number;
+    hits: number;
+    hitRate: number;
+    meanReturn: number;
+    sharpe: number;
+}
+export interface TsmomCell {
+    asset: string;
+    L: number;
+    horizon: 1 | 5;
+    window: string;
+    observed: TradeStats;
+    nullCount: number;
+    nullMeanHitRate: number;
+    nullMeanSharpe: number;
+    /** observed.hitRate − nullMeanHitRate */
+    edge: number;
+    /** observed.sharpe − nullMeanSharpe */
+    sharpeDelta: number;
+    pHit: number;
+    pSharpe: number;
+    /** max(pHit, pSharpe) — both must clear, per precommit */
+    p: number;
+    buyHoldSharpe: number;
+    insufficientN: boolean;
+}
+export declare function mean(xs: number[]): number;
+export declare function stdDev(xs: number[]): number;
+export declare function sharpeOf(tradeReturns: number[], horizon: number): number;
+/** s_t = sign(close[t]/close[t−L] − 1); 0 when t < L or ratio exactly 1. */
+export declare function tsmomSignals(closes: number[], L: number): number[];
+/**
+ * Score a signal series against candles with the frozen trade mechanics.
+ * `inWindow(t)` selects which SIGNAL dates belong to the scored window.
+ * H1: r = close[t+1]/open[t+1] − 1; H5: non-overlapping scan, r =
+ * close[t+5]/open[t+1] − 1. Hit = signal-signed r > 0.
+ */
+export declare function scoreSignal(candles: Candle[], signals: number[], horizon: 1 | 5, inWindow: (t: number) => boolean): TradeStats;
+/** Buy-and-hold on the cell's own entry/exit grid: always-long signal. */
+export declare function buyHoldStats(candles: Candle[], horizon: 1 | 5, inWindow: (t: number) => boolean): TradeStats;
+/**
+ * Evaluate one (asset × L × horizon × window) cell with the exhaustive
+ * circular-shift null: every offset k ∈ [L+1, N−L−1], identical mechanics.
+ */
+export declare function evalTsmomCell(asset: string, candles: Candle[], L: number, horizon: 1 | 5, windowName: string, inWindow: (t: number) => boolean): TsmomCell;
+/** Benjamini–Hochberg: returns per-input boolean "survives at q". */
+export declare function bhSurvivors(ps: number[], q: number): boolean[];
+/** (b) vol-scaled positions: s_t × min(2, 0.5/annRV20(t)); RV over bars ≤ t. */
+export declare function volScaledPositions(candles: Candle[], signals: number[]): number[];
+/**
+ * (c) volume-composite signal: equal-weight mean of trailing-180-bar z-scores
+ * of ret7/ret14/ret28 and 1w-vs-4w volume deviation; sign of the mean.
+ */
+export declare function volumeCompositeSignals(candles: Candle[]): number[];
+/** Sharpe of a sized-position series with the H1 mechanics (descriptive). */
+export declare function positionSharpeH1(candles: Candle[], positions: number[], inWindow: (t: number) => boolean): {
+    n: number;
+    sharpe: number;
+};

package/dist/ta/backtest/tsmom.js

@@ -0,0 +1,202 @@
+/**
+ * tsmom-1 — short-horizon time-series momentum backtest (Phase 1a).
+ *
+ * Frozen by docs/phase1a-precommit.md. Variant (a) sign-of-trailing-return is
+ * the only KILL-gating variant; (b) vol-scaled and (c) volume-composite are
+ * descriptive contrasts. The null is the refuter-amended EXHAUSTIVE circular
+ * shift of the signal series against identical trade mechanics — it preserves
+ * the signal's long fraction and streak structure exactly, so it eats both
+ * the unconditional up-drift and serial-dependence artifacts. Deterministic:
+ * no RNG anywhere.
+ */
+export function mean(xs) {
+    return xs.length === 0 ? 0 : xs.reduce((a, b) => a + b, 0) / xs.length;
+}
+export function stdDev(xs) {
+    if (xs.length < 2)
+        return 0;
+    const m = mean(xs);
+    return Math.sqrt(xs.reduce((a, b) => a + (b - m) * (b - m), 0) / (xs.length - 1));
+}
+export function sharpeOf(tradeReturns, horizon) {
+    const sd = stdDev(tradeReturns);
+    if (sd === 0)
+        return 0;
+    return (mean(tradeReturns) / sd) * Math.sqrt(365 / horizon);
+}
+/** s_t = sign(close[t]/close[t−L] − 1); 0 when t < L or ratio exactly 1. */
+export function tsmomSignals(closes, L) {
+    return closes.map((c, t) => {
+        if (t < L)
+            return 0;
+        const d = c / closes[t - L] - 1;
+        return d > 0 ? 1 : d < 0 ? -1 : 0;
+    });
+}
+/**
+ * Score a signal series against candles with the frozen trade mechanics.
+ * `inWindow(t)` selects which SIGNAL dates belong to the scored window.
+ * H1: r = close[t+1]/open[t+1] − 1; H5: non-overlapping scan, r =
+ * close[t+5]/open[t+1] − 1. Hit = signal-signed r > 0.
+ */
+export function scoreSignal(candles, signals, horizon, inWindow) {
+    const returns = [];
+    let hits = 0;
+    let nextEligible = 0;
+    for (let t = 0; t < candles.length; t++) {
+        if (t + horizon >= candles.length)
+            break;
+        const s = signals[t];
+        if (s === 0 || !inWindow(t))
+            continue;
+        if (horizon === 5) {
+            if (t < nextEligible)
+                continue;
+            nextEligible = t + 5;
+        }
+        const entry = candles[t + 1].open;
+        const exit = candles[t + horizon].close;
+        const r = s * (exit / entry - 1);
+        returns.push(r);
+        if (r > 0)
+            hits++;
+    }
+    return {
+        n: returns.length,
+        hits,
+        hitRate: returns.length ? hits / returns.length : 0,
+        meanReturn: mean(returns),
+        sharpe: sharpeOf(returns, horizon),
+    };
+}
+/** Buy-and-hold on the cell's own entry/exit grid: always-long signal. */
+export function buyHoldStats(candles, horizon, inWindow) {
+    return scoreSignal(candles, candles.map(() => 1), horizon, inWindow);
+}
+/**
+ * Evaluate one (asset × L × horizon × window) cell with the exhaustive
+ * circular-shift null: every offset k ∈ [L+1, N−L−1], identical mechanics.
+ */
+export function evalTsmomCell(asset, candles, L, horizon, windowName, inWindow) {
+    const closes = candles.map((c) => c.close);
+    const signals = tsmomSignals(closes, L);
+    const observed = scoreSignal(candles, signals, horizon, inWindow);
+    const N = signals.length;
+    let nullCount = 0;
+    let geHit = 0;
+    let geSharpe = 0;
+    let sumHit = 0;
+    let sumSharpe = 0;
+    for (let k = L + 1; k <= N - L - 1; k++) {
+        const shifted = signals.map((_, t) => signals[(t + k) % N]);
+        const s = scoreSignal(candles, shifted, horizon, inWindow);
+        nullCount++;
+        sumHit += s.hitRate;
+        sumSharpe += s.sharpe;
+        if (s.hitRate >= observed.hitRate)
+            geHit++;
+        if (s.sharpe >= observed.sharpe)
+            geSharpe++;
+    }
+    const pHit = (1 + geHit) / (nullCount + 1);
+    const pSharpe = (1 + geSharpe) / (nullCount + 1);
+    return {
+        asset,
+        L,
+        horizon,
+        window: windowName,
+        observed,
+        nullCount,
+        nullMeanHitRate: nullCount ? sumHit / nullCount : 0,
+        nullMeanSharpe: nullCount ? sumSharpe / nullCount : 0,
+        edge: observed.hitRate - (nullCount ? sumHit / nullCount : 0),
+        sharpeDelta: observed.sharpe - (nullCount ? sumSharpe / nullCount : 0),
+        pHit,
+        pSharpe,
+        p: Math.max(pHit, pSharpe),
+        buyHoldSharpe: buyHoldStats(candles, horizon, inWindow).sharpe,
+        insufficientN: observed.n < 30,
+    };
+}
+/** Benjamini–Hochberg: returns per-input boolean "survives at q". */
+export function bhSurvivors(ps, q) {
+    const order = ps.map((p, i) => ({ p, i })).sort((a, b) => a.p - b.p);
+    const m = ps.length;
+    let maxK = -1;
+    for (let k = 0; k < m; k++) {
+        if (order[k].p <= ((k + 1) / m) * q)
+            maxK = k;
+    }
+    const out = ps.map(() => false);
+    for (let k = 0; k <= maxK; k++)
+        out[order[k].i] = true;
+    return out;
+}
+// ── Variants (descriptive only) ──────────────────────────────────────────────
+/** (b) vol-scaled positions: s_t × min(2, 0.5/annRV20(t)); RV over bars ≤ t. */
+export function volScaledPositions(candles, signals) {
+    const logr = candles.map((c, t) => t === 0 ? 0 : Math.log(c.close / candles[t - 1].close));
+    return signals.map((s, t) => {
+        if (s === 0 || t < 20)
+            return 0;
+        const rv = stdDev(logr.slice(t - 19, t + 1)) * Math.sqrt(365);
+        if (rv === 0)
+            return 0;
+        return s * Math.min(2, 0.5 / rv);
+    });
+}
+/**
+ * (c) volume-composite signal: equal-weight mean of trailing-180-bar z-scores
+ * of ret7/ret14/ret28 and 1w-vs-4w volume deviation; sign of the mean.
+ */
+export function volumeCompositeSignals(candles) {
+    const n = candles.length;
+    const closes = candles.map((c) => c.close);
+    const vols = candles.map((c) => c.volume);
+    const comp = [[], [], [], []];
+    for (let t = 0; t < n; t++) {
+        comp[0].push(t >= 7 ? closes[t] / closes[t - 7] - 1 : Number.NaN);
+        comp[1].push(t >= 14 ? closes[t] / closes[t - 14] - 1 : Number.NaN);
+        comp[2].push(t >= 28 ? closes[t] / closes[t - 28] - 1 : Number.NaN);
+        if (t >= 27) {
+            const w1 = mean(vols.slice(t - 6, t + 1));
+            const w4 = mean(vols.slice(t - 27, t + 1));
+            comp[3].push(w4 === 0 ? Number.NaN : w1 / w4 - 1);
+        }
+        else {
+            comp[3].push(Number.NaN);
+        }
+    }
+    const Z = 180;
+    const out = [];
+    for (let t = 0; t < n; t++) {
+        if (t < Z + 28) {
+            out.push(0);
+            continue;
+        }
+        const zs = [];
+        for (const series of comp) {
+            const hist = series.slice(t - Z, t).filter((x) => !Number.isNaN(x));
+            const cur = series[t];
+            const sd = stdDev(hist);
+            if (Number.isNaN(cur) || sd === 0)
+                continue;
+            zs.push((cur - mean(hist)) / sd);
+        }
+        const z = mean(zs);
+        out.push(z > 0 ? 1 : z < 0 ? -1 : 0);
+    }
+    return out;
+}
+/** Sharpe of a sized-position series with the H1 mechanics (descriptive). */
+export function positionSharpeH1(candles, positions, inWindow) {
+    const rets = [];
+    for (let t = 0; t < candles.length - 1; t++) {
+        const pos = positions[t];
+        if (pos === 0 || !inWindow(t))
+            continue;
+        rets.push(pos * (candles[t + 1].close / candles[t + 1].open - 1));
+    }
+    return { n: rets.length, sharpe: sharpeOf(rets, 1) };
+}
+//# sourceMappingURL=tsmom.js.map

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

@@ -0,0 +1 @@
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