patchwork-os 0.2.0-beta.9.canary.93 → 1.1.0-beta.1

package/dist/ta/backtest/fvg.js

@@ -0,0 +1,236 @@
+/**
+ * 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 { mean } from "./tsmom.js";
+/** Deterministic PRNG (frozen seeds in the precommit). */
+export function mulberry32(seed) {
+    let a = seed >>> 0;
+    return () => {
+        a = (a + 0x6d2b79f5) >>> 0;
+        let t = a;
+        t = Math.imul(t ^ (t >>> 15), t | 1);
+        t ^= t + Math.imul(t ^ (t >>> 7), t | 61);
+        return ((t ^ (t >>> 14)) >>> 0) / 4294967296;
+    };
+}
+/** Wilder RMA ATR; index i uses true ranges of bars ≤ i. null during warm-up. */
+export function atrWilder(candles, period) {
+    const out = new Array(candles.length).fill(null);
+    let prev = null;
+    let sum = 0;
+    for (let i = 0; i < candles.length; i++) {
+        const c = candles[i];
+        const tr = i === 0
+            ? c.high - c.low
+            : Math.max(c.high - c.low, Math.abs(c.high - candles[i - 1].close), Math.abs(c.low - candles[i - 1].close));
+        if (i < period) {
+            sum += tr;
+            if (i === period - 1) {
+                prev = sum / period;
+                out[i] = prev;
+            }
+        }
+        else {
+            prev = (prev * (period - 1) + tr) / period;
+            out[i] = prev;
+        }
+    }
+    return out;
+}
+/** Raw per-bar detection flag (before stacking merge); exported for controls. */
+export function rawVoidFlags(candles, atr100, atr14) {
+    const flags = new Array(candles.length).fill(0);
+    for (let t = 2; t < candles.length; t++) {
+        const a100 = atr100[t];
+        const a14 = atr14[t];
+        if (a100 === null ||
+            a100 === undefined ||
+            a14 === null ||
+            a14 === undefined)
+            continue;
+        const disp = Math.abs(candles[t - 1].close - candles[t - 1].open);
+        if (disp <= a14 * 1.0)
+            continue;
+        const bullGap = candles[t].low - candles[t - 2].high;
+        if (bullGap > a100 * 0.5 &&
+            candles[t].low > candles[t - 2].high &&
+            candles[t - 1].close > candles[t - 2].high) {
+            flags[t] = 1;
+            continue;
+        }
+        const bearGap = candles[t - 2].low - candles[t].high;
+        if (bearGap > a100 * 0.5 &&
+            candles[t].high < candles[t - 2].low &&
+            candles[t - 1].close < candles[t - 2].low) {
+            flags[t] = -1;
+        }
+    }
+    return flags;
+}
+/** Detect voids with the stacked-merge rule (consecutive same-dir → one event). */
+export function detectVoids(candles) {
+    const atr100 = atrWilder(candles, 100);
+    const atr14 = atrWilder(candles, 14);
+    const flags = rawVoidFlags(candles, atr100, atr14);
+    const out = [];
+    let i = 0;
+    while (i < candles.length) {
+        const dir = flags[i];
+        if (dir === 0 || dir === undefined) {
+            i++;
+            continue;
+        }
+        let last = i;
+        while (last + 1 < candles.length && flags[last + 1] === dir)
+            last++;
+        const first = i;
+        const vTop = dir === 1 ? candles[last].low : candles[first - 2].low;
+        const vBot = dir === 1 ? candles[first - 2].high : candles[last].high;
+        if (vTop > vBot) {
+            const t = last;
+            const close = candles[t].close;
+            const nearest = dir === 1 ? vTop : vBot;
+            out.push({
+                dir,
+                t,
+                vTop,
+                vBot,
+                ce: (vTop + vBot) / 2,
+                width: vTop - vBot,
+                distance: Math.abs(close - nearest),
+                dispRatio: Math.abs(candles[t - 1].close - candles[t - 1].open) /
+                    (atr14[t] ?? Number.NaN),
+                atr100: atr100[t] ?? Number.NaN,
+            });
+        }
+        i = last + 1;
+    }
+    return out;
+}
+/**
+ * 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 function runStateMachine(candles, dir, vTop, vBot, from, window = 30) {
+    const width = vTop - vBot;
+    let tested = false;
+    let ceReached = false;
+    let filled = false;
+    let touchBar = null;
+    const ce = (vTop + vBot) / 2;
+    const end = Math.min(candles.length - 1, from + window);
+    for (let i = from + 1; i <= end; i++) {
+        const c = candles[i];
+        if (dir === 1) {
+            // zone below price: penetration measured downward from vTop
+            const pen = vTop - c.low;
+            if (!filled && pen > 0.1 * width) {
+                if (!tested) {
+                    tested = true;
+                    touchBar = i;
+                }
+            }
+            if (c.low <= ce)
+                ceReached = true;
+            if (c.low < vBot) {
+                filled = true;
+                break;
+            }
+        }
+        else {
+            const pen = c.high - vBot;
+            if (!filled && pen > 0.1 * width) {
+                if (!tested) {
+                    tested = true;
+                    touchBar = i;
+                }
+            }
+            if (c.high >= ce)
+                ceReached = true;
+            if (c.high > vTop) {
+                filled = true;
+                break;
+            }
+        }
+    }
+    let reaction = null;
+    if (touchBar !== null && touchBar + 5 < candles.length) {
+        const r = Math.log(candles[touchBar + 5].close / candles[touchBar].close);
+        reaction = dir === 1 ? r : -r; // away from the zone
+    }
+    return { tested, ceReached, filled, touchBar, reaction };
+}
+/** Decile index (0-9) of x against frozen sorted boundaries. */
+export function decileOf(sorted, x) {
+    if (sorted.length === 0)
+        return 0;
+    let lo = 0;
+    let hi = sorted.length;
+    while (lo < hi) {
+        const mid = (lo + hi) >> 1;
+        if (sorted[mid] <= x)
+            lo = mid + 1;
+        else
+            hi = mid;
+    }
+    const frac = lo / sorted.length;
+    return Math.min(9, Math.floor(frac * 10));
+}
+/** Cluster events whose event bars are < gap bars apart (block bootstrap unit). */
+export function clusterIndices(eventBars, gap = 30) {
+    const clusters = [];
+    let cur = [];
+    for (let i = 0; i < eventBars.length; i++) {
+        if (cur.length === 0 || eventBars[i] - eventBars[i - 1] < gap) {
+            cur.push(i);
+        }
+        else {
+            clusters.push(cur);
+            cur = [i];
+        }
+    }
+    if (cur.length)
+        clusters.push(cur);
+    return clusters;
+}
+/**
+ * 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 function clusterBootstrapP(eventStats, controlStats, clusters, seed, B = 1000) {
+    const valid = (i) => controlStats[i] !== null;
+    const obsEvent = mean(eventStats.filter((_, i) => valid(i)));
+    const obsCtrl = mean(controlStats.filter((x) => x !== null));
+    const delta = obsEvent - obsCtrl;
+    const rng = mulberry32(seed);
+    let le = 0;
+    for (let b = 0; b < B; b++) {
+        const es = [];
+        const cs = [];
+        for (let k = 0; k < clusters.length; k++) {
+            const cl = clusters[Math.floor(rng() * clusters.length)];
+            for (const i of cl) {
+                if (!valid(i))
+                    continue;
+                es.push(eventStats[i]);
+                cs.push(controlStats[i]);
+            }
+        }
+        if (es.length === 0) {
+            le++;
+            continue;
+        }
+        if (mean(es) - mean(cs) <= 0)
+            le++;
+    }
+    return { delta, p: (1 + le) / (B + 1) };
+}
+//# sourceMappingURL=fvg.js.map

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

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

@@ -0,0 +1,41 @@
+/**
+ * ichimoku-arb-1 — Kumo regime gate vs 50d-SMA arbitration (Phase 1c).
+ *
+ * Frozen by docs/phase1c-precommit.md. One pre-registered question: does the
+ * course's flagship surviving tool add ANYTHING beyond the dumbest trend
+ * filter? The whole Ichimoku family (TK cross, Chikou, Kijun, twists)
+ * inherits this verdict per setup-hunting §4. Params frozen 9/26/52,
+ * displacement 26; gates evaluated at close t, held bar t+1 open→close.
+ */
+import type { Candle } from "../types.js";
+export interface IchimokuSeries {
+    /** cloud top/bottom AT bar t (computed from bars ≤ t−26) */
+    senkouA: (number | null)[];
+    senkouB: (number | null)[];
+    /** 1 = close above cloud, 0 = not (or cloud undefined) */
+    gate: (0 | 1)[];
+    /** slope variant: gate AND senkouB rising */
+    gateSlope: (0 | 1)[];
+}
+export declare function ichimoku(candles: Candle[]): IchimokuSeries;
+/** SMA-50 gate: 1 iff close(t) > mean of the last 50 closes. */
+export declare function smaGate(candles: Candle[], n?: number): (0 | 1)[];
+/** Daily strategy returns: r[t] = G[t−1] × (close[t]/open[t] − 1); r[0] = 0. */
+export declare function gateReturns(candles: Candle[], gate: (0 | 1)[]): number[];
+/** Sharpe over the FULL series (flat zeros included) × √365. */
+export declare function sharpeFull(returns: number[]): number;
+/**
+ * Exhaustive circular-shift null on the gate (offsets k ∈ [51, N−51]):
+ * p = (1 + #{shifted Sharpe ≥ observed}) / (N_null + 1) within the window.
+ */
+export declare function shiftNullP(candles: Candle[], gate: (0 | 1)[], inWindow: (t: number) => boolean): {
+    sharpe: number;
+    nullMean: number;
+    p: number;
+    nullCount: number;
+};
+/** Disagreement-day next-bar returns: D1 = ichi-only longs, D2 = sma-only. */
+export declare function disagreementReturns(candles: Candle[], ichi: (0 | 1)[], sma: (0 | 1)[], inWindow: (t: number) => boolean): {
+    d1: number[];
+    d2: number[];
+};

package/dist/ta/backtest/ichimoku.js

@@ -0,0 +1,146 @@
+/**
+ * ichimoku-arb-1 — Kumo regime gate vs 50d-SMA arbitration (Phase 1c).
+ *
+ * Frozen by docs/phase1c-precommit.md. One pre-registered question: does the
+ * course's flagship surviving tool add ANYTHING beyond the dumbest trend
+ * filter? The whole Ichimoku family (TK cross, Chikou, Kijun, twists)
+ * inherits this verdict per setup-hunting §4. Params frozen 9/26/52,
+ * displacement 26; gates evaluated at close t, held bar t+1 open→close.
+ */
+import { mean, stdDev } from "./tsmom.js";
+function hh(candles, t, n) {
+    if (t < n - 1)
+        return null;
+    let v = Number.NEGATIVE_INFINITY;
+    for (let i = t - n + 1; i <= t; i++)
+        v = Math.max(v, candles[i].high);
+    return v;
+}
+function ll(candles, t, n) {
+    if (t < n - 1)
+        return null;
+    let v = Number.POSITIVE_INFINITY;
+    for (let i = t - n + 1; i <= t; i++)
+        v = Math.min(v, candles[i].low);
+    return v;
+}
+export function ichimoku(candles) {
+    const n = candles.length;
+    const tenkan = new Array(n).fill(null);
+    const kijun = new Array(n).fill(null);
+    for (let t = 0; t < n; t++) {
+        const h9 = hh(candles, t, 9);
+        const l9 = ll(candles, t, 9);
+        const h26 = hh(candles, t, 26);
+        const l26 = ll(candles, t, 26);
+        if (h9 !== null && l9 !== null)
+            tenkan[t] = (h9 + l9) / 2;
+        if (h26 !== null && l26 !== null)
+            kijun[t] = (h26 + l26) / 2;
+    }
+    const senkouA = new Array(n).fill(null);
+    const senkouB = new Array(n).fill(null);
+    for (let t = 26; t < n; t++) {
+        const tk = tenkan[t - 26];
+        const kj = kijun[t - 26];
+        if (tk !== null && tk !== undefined && kj !== null && kj !== undefined) {
+            senkouA[t] = (tk + kj) / 2;
+        }
+        const h52 = hh(candles, t - 26, 52);
+        const l52 = ll(candles, t - 26, 52);
+        if (h52 !== null && l52 !== null)
+            senkouB[t] = (h52 + l52) / 2;
+    }
+    const gate = new Array(n).fill(0);
+    const gateSlope = new Array(n).fill(0);
+    for (let t = 0; t < n; t++) {
+        const a = senkouA[t];
+        const b = senkouB[t];
+        if (a === null || a === undefined || b === null || b === undefined)
+            continue;
+        if (candles[t].close > Math.max(a, b)) {
+            gate[t] = 1;
+            const bPrev = senkouB[t - 1];
+            if (bPrev !== null && bPrev !== undefined && b >= bPrev)
+                gateSlope[t] = 1;
+        }
+    }
+    return { senkouA, senkouB, gate, gateSlope };
+}
+/** SMA-50 gate: 1 iff close(t) > mean of the last 50 closes. */
+export function smaGate(candles, n = 50) {
+    const out = new Array(candles.length).fill(0);
+    let sum = 0;
+    for (let t = 0; t < candles.length; t++) {
+        sum += candles[t].close;
+        if (t >= n)
+            sum -= candles[t - n].close;
+        if (t >= n - 1 && candles[t].close > sum / n)
+            out[t] = 1;
+    }
+    return out;
+}
+/** Daily strategy returns: r[t] = G[t−1] × (close[t]/open[t] − 1); r[0] = 0. */
+export function gateReturns(candles, gate) {
+    const out = new Array(candles.length).fill(0);
+    for (let t = 1; t < candles.length; t++) {
+        if (gate[t - 1] === 1)
+            out[t] = candles[t].close / candles[t].open - 1;
+    }
+    return out;
+}
+/** Sharpe over the FULL series (flat zeros included) × √365. */
+export function sharpeFull(returns) {
+    const sd = stdDev(returns);
+    return sd === 0 ? 0 : (mean(returns) / sd) * Math.sqrt(365);
+}
+/**
+ * Exhaustive circular-shift null on the gate (offsets k ∈ [51, N−51]):
+ * p = (1 + #{shifted Sharpe ≥ observed}) / (N_null + 1) within the window.
+ */
+export function shiftNullP(candles, gate, inWindow) {
+    const N = gate.length;
+    const windowed = (g) => {
+        const rs = [];
+        for (let t = 1; t < N; t++) {
+            if (!inWindow(t - 1))
+                continue; // window by signal date
+            rs.push(g[t - 1] === 1 ? candles[t].close / candles[t].open - 1 : 0);
+        }
+        return rs;
+    };
+    const observed = sharpeFull(windowed(gate));
+    let ge = 0;
+    let cnt = 0;
+    let sum = 0;
+    for (let k = 51; k <= N - 51; k++) {
+        const shifted = gate.map((_, t) => gate[(t + k) % N]);
+        const s = sharpeFull(windowed(shifted));
+        cnt++;
+        sum += s;
+        if (s >= observed)
+            ge++;
+    }
+    return {
+        sharpe: observed,
+        nullMean: cnt ? sum / cnt : 0,
+        p: (1 + ge) / (cnt + 1),
+        nullCount: cnt,
+    };
+}
+/** Disagreement-day next-bar returns: D1 = ichi-only longs, D2 = sma-only. */
+export function disagreementReturns(candles, ichi, sma, inWindow) {
+    const d1 = [];
+    const d2 = [];
+    for (let t = 0; t < candles.length - 1; t++) {
+        if (!inWindow(t))
+            continue;
+        const r = candles[t + 1].close / candles[t + 1].open - 1;
+        if (ichi[t] === 1 && sma[t] === 0)
+            d1.push(r);
+        else if (ichi[t] === 0 && sma[t] === 1)
+            d2.push(r);
+    }
+    return { d1, d2 };
+}
+//# sourceMappingURL=ichimoku.js.map

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

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

@@ -0,0 +1,20 @@
+/**
+ * Binance Vision kline CSV parser.
+ *
+ * Bulk dumps from data.binance.vision are headerless CSV, 12 columns:
+ *   openTime, open, high, low, close, volume, closeTime, quoteVolume,
+ *   trades, takerBuyBase, takerBuyQuote, ignore
+ * openTime/closeTime are epoch values; 2025-era dumps switched some pairs from
+ * milliseconds to microseconds, so we normalise anything > 1e15 down to ms.
+ */
+import type { Candle } from "../types.js";
+/** Parse headerless Binance Vision kline CSV text into chronological candles. */
+export declare function parseKlineCsv(text: string): Candle[];
+/**
+ * Coerce loosely-typed input (a JSON string, an array of objects, or an array
+ * of kline tuples [openTime,o,h,l,c,v,closeTime,...]) into candles. Used by the
+ * recipe tools, which receive OHLCV from a WebFetch agent step.
+ */
+export declare function coerceCandles(raw: unknown): Candle[];
+/** De-duplicate candles by openTime (monthly dumps can overlap at edges). */
+export declare function dedupeCandles(candles: Candle[]): Candle[];

package/dist/ta/backtest/ingest.js

@@ -0,0 +1,104 @@
+/**
+ * Binance Vision kline CSV parser.
+ *
+ * Bulk dumps from data.binance.vision are headerless CSV, 12 columns:
+ *   openTime, open, high, low, close, volume, closeTime, quoteVolume,
+ *   trades, takerBuyBase, takerBuyQuote, ignore
+ * openTime/closeTime are epoch values; 2025-era dumps switched some pairs from
+ * milliseconds to microseconds, so we normalise anything > 1e15 down to ms.
+ */
+/** Normalise a Binance epoch (ms or µs) to milliseconds. */
+function toMs(raw) {
+    return raw > 1e15 ? Math.floor(raw / 1000) : raw;
+}
+/** Parse headerless Binance Vision kline CSV text into chronological candles. */
+export function parseKlineCsv(text) {
+    const out = [];
+    for (const line of text.split("\n")) {
+        const row = line.trim();
+        if (!row)
+            continue;
+        const f = row.split(",");
+        if (f.length < 7)
+            continue;
+        const openTime = toMs(Number(f[0]));
+        const open = Number(f[1]);
+        const high = Number(f[2]);
+        const low = Number(f[3]);
+        const close = Number(f[4]);
+        const volume = Number(f[5]);
+        const closeTime = toMs(Number(f[6]));
+        if (!Number.isFinite(openTime) ||
+            !Number.isFinite(high) ||
+            !Number.isFinite(low) ||
+            !Number.isFinite(close)) {
+            continue; // skip a malformed/partial row rather than poison the series
+        }
+        out.push({ openTime, open, high, low, close, volume, closeTime });
+    }
+    out.sort((a, b) => a.openTime - b.openTime);
+    return out;
+}
+/**
+ * Coerce loosely-typed input (a JSON string, an array of objects, or an array
+ * of kline tuples [openTime,o,h,l,c,v,closeTime,...]) into candles. Used by the
+ * recipe tools, which receive OHLCV from a WebFetch agent step.
+ */
+export function coerceCandles(raw) {
+    let arr = raw;
+    if (typeof raw === "string") {
+        try {
+            arr = JSON.parse(raw);
+        }
+        catch {
+            return [];
+        }
+    }
+    if (!Array.isArray(arr))
+        return [];
+    const out = [];
+    for (const r of arr) {
+        if (Array.isArray(r) && r.length >= 6) {
+            const openTime = toMs(Number(r[0]));
+            out.push({
+                openTime,
+                open: Number(r[1]),
+                high: Number(r[2]),
+                low: Number(r[3]),
+                close: Number(r[4]),
+                volume: Number(r[5]),
+                closeTime: toMs(Number(r[6] ?? openTime)),
+            });
+        }
+        else if (r && typeof r === "object") {
+            const o = r;
+            const openTime = toMs(Number(o.openTime ?? o.time ?? 0));
+            out.push({
+                openTime,
+                open: Number(o.open),
+                high: Number(o.high),
+                low: Number(o.low),
+                close: Number(o.close),
+                volume: Number(o.volume ?? 0),
+                closeTime: toMs(Number(o.closeTime ?? o.openTime ?? openTime)),
+            });
+        }
+    }
+    return out.filter((c) => Number.isFinite(c.openTime) &&
+        Number.isFinite(c.high) &&
+        Number.isFinite(c.low) &&
+        Number.isFinite(c.close));
+}
+/** De-duplicate candles by openTime (monthly dumps can overlap at edges). */
+export function dedupeCandles(candles) {
+    const seen = new Set();
+    const out = [];
+    for (const c of candles) {
+        if (seen.has(c.openTime))
+            continue;
+        seen.add(c.openTime);
+        out.push(c);
+    }
+    return out;
+}
+//# sourceMappingURL=ingest.js.map

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

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

@@ -0,0 +1,49 @@
+/**
+ * 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).
+ */
+import type { Candle } from "../types.js";
+export interface ConfirmedPivot {
+    /** bar of the pivot extreme */
+    bar: number;
+    price: number;
+    /** bar at which the pivot becomes usable (= bar + N) */
+    confirmedAt: number;
+}
+/** Strict N-bar fractal pivots with confirmation lag (no look-ahead). */
+export declare function fractalPivots(candles: Candle[], N: number): {
+    highs: ConfirmedPivot[];
+    lows: ConfirmedPivot[];
+};
+export interface MsbEvent {
+    arm: "A" | "B";
+    /** claimed direction: A = break direction; B = against the breach */
+    dir: 1 | -1;
+    t: number;
+    level: number;
+    /** |close−open|/open of the event bar */
+    bodyPct: number;
+    /** ln(close[t]/close[t−20]), null when t < 20 */
+    trailing20: number | null;
+    /** relevant wick extent for Arm B (null for Arm A or zero-range bars) */
+    wickExtent: number | null;
+    /** CHoCH context: prior two confirmed pivot lows descending (bullish) / highs ascending (bearish) */
+    choch: boolean;
+}
+export interface MsbScan {
+    events: MsbEvent[];
+    /** raw breach flags per bar (ignoring one-shot guards) — control exclusion */
+    rawBreach: boolean[];
+}
+/** Walk bars maintaining active levels + per-arm one-shot guards. */
+export declare function scanMsb(candles: Candle[], N: number): MsbScan;
+/** Forward log return signed in the claimed direction; null if out of range. */
+export declare function signedForward(candles: Candle[], t: number, K: number, dir: 1 | -1): number | null;
+/** Arm A break-failure: close back through the level within `window` bars. */
+export declare function breakFailed(candles: Candle[], ev: MsbEvent, window?: number): boolean | null;