rangebar 11.4.0__tar.gz → 11.5.0__tar.gz

{rangebar-11.4.0 → rangebar-11.5.0}/.mise.toml

@@ -523,3 +523,164 @@ result = send_critical_alert(
 print(f"Pushover alert sent: {result}")
 '
 """
+
+# =============================================================================
+# Research Cache Population Tasks (Issue #58)
+# =============================================================================
+# Sequential execution to avoid OOM on limited-memory hosts
+# Run on littleblack: ssh littleblack "cd /home/kab/eon/rangebar-py && mise run research:populate-250"
+
+[tasks."research:populate-symbol"]
+description = "Populate cache for a single symbol (requires SYMBOL and THRESHOLD env vars)"
+run = """
+#!/usr/bin/env bash
+set -e
+
+# Use uv to run in the project venv
+uv run --python 3.13 python -c '
+import os
+import sys
+import time
+from datetime import UTC, datetime, timedelta
+
+from rangebar import get_range_bars
+
+SYMBOL = os.environ.get("SYMBOL")
+if not SYMBOL:
+    print("ERROR: SYMBOL env var required", flush=True)
+    sys.exit(1)
+
+START = os.environ.get("START", "2022-01-01")
+END = os.environ.get("END", "2025-12-31")
+THRESHOLD = int(os.environ.get("THRESHOLD", "250"))
+
+def date_range_months(start_str, end_str):
+    start = datetime.strptime(start_str, "%Y-%m-%d").replace(tzinfo=UTC)
+    end = datetime.strptime(end_str, "%Y-%m-%d").replace(tzinfo=UTC)
+    current = start
+    while current < end:
+        month_end = (current.replace(day=28) + timedelta(days=4)).replace(day=1) - timedelta(days=1)
+        month_end = min(month_end, end)
+        yield current.strftime("%Y-%m-%d"), month_end.strftime("%Y-%m-%d")
+        current = month_end + timedelta(days=1)
+
+print(f"Populating {SYMBOL} @ {THRESHOLD} dbps ({START} to {END})", flush=True)
+total_bars = 0
+for chunk_start, chunk_end in date_range_months(START, END):
+    t0 = time.time()
+    try:
+        df = get_range_bars(SYMBOL, chunk_start, chunk_end, threshold_decimal_bps=THRESHOLD, use_cache=True, fetch_if_missing=True)
+        elapsed = time.time() - t0
+        total_bars += len(df)
+        print(f"  {chunk_start}: {len(df):>6,} bars ({elapsed:>5.1f}s)", flush=True)
+    except Exception as e:
+        print(f"  {chunk_start}: ERROR - {e}", flush=True)
+print(f"DONE: {total_bars:,} total bars", flush=True)
+'
+"""
+
+[tasks."research:populate-all"]
+description = "Populate cache for all symbols at 250 then 1000 dbps (fully sequential)"
+run = """
+#!/usr/bin/env bash
+set -e
+
+echo "=========================================="
+echo "FULL CACHE POPULATION - 250 dbps then 1000 dbps"
+echo "=========================================="
+echo "Started: $(date)"
+
+# Run 250 dbps first (all symbols)
+mise run research:populate-250
+
+# Then run 1000 dbps (all symbols)
+mise run research:populate-1000
+
+echo ""
+echo "=========================================="
+echo "ALL POPULATION COMPLETE (250 + 1000 dbps)"
+echo "Finished: $(date)"
+echo "=========================================="
+"""
+
+[tasks."research:populate-250"]
+description = "Populate 250 dbps cache for all symbols (sequential, OOM-safe)"
+run = """
+#!/usr/bin/env bash
+set -e
+
+echo "=== SEQUENTIAL CACHE POPULATION (250 dbps) ==="
+echo "Running symbols one at a time to avoid OOM..."
+echo "Started: $(date)"
+
+SYMBOLS="BTCUSDT ETHUSDT BNBUSDT ADAUSDT AVAXUSDT DOTUSDT MATICUSDT NEARUSDT ATOMUSDT APTUSDT SUIUSDT LINKUSDT UNIUSDT AAVEUSDT DOGEUSDT SHIBUSDT PEPEUSDT FTMUSDT"
+
+TOTAL=18
+CURRENT=0
+
+for SYMBOL in $SYMBOLS; do
+    CURRENT=$((CURRENT + 1))
+    echo ""
+    echo "=========================================="
+    echo "[$CURRENT/$TOTAL] $SYMBOL @ 250 dbps"
+    echo "=========================================="
+    SYMBOL=$SYMBOL THRESHOLD=250 mise run research:populate-symbol
+    echo "Completed $SYMBOL. Sleeping 10s before next..."
+    sleep 10
+done
+
+echo ""
+echo "=========================================="
+echo "ALL $TOTAL SYMBOLS @ 250 dbps COMPLETE"
+echo "Finished: $(date)"
+echo "=========================================="
+"""
+
+[tasks."research:populate-1000"]
+description = "Populate 1000 dbps cache for all symbols (sequential, OOM-safe)"
+run = """
+#!/usr/bin/env bash
+set -e
+
+echo "=== SEQUENTIAL CACHE POPULATION (1000 dbps) ==="
+echo "Running symbols one at a time to avoid OOM..."
+echo "Started: $(date)"
+
+SYMBOLS="BTCUSDT ETHUSDT BNBUSDT ADAUSDT AVAXUSDT DOTUSDT MATICUSDT NEARUSDT ATOMUSDT APTUSDT SUIUSDT LINKUSDT UNIUSDT AAVEUSDT DOGEUSDT SHIBUSDT PEPEUSDT FTMUSDT"
+
+TOTAL=18
+CURRENT=0
+
+for SYMBOL in $SYMBOLS; do
+    CURRENT=$((CURRENT + 1))
+    echo ""
+    echo "=========================================="
+    echo "[$CURRENT/$TOTAL] $SYMBOL @ 1000 dbps"
+    echo "=========================================="
+    SYMBOL=$SYMBOL THRESHOLD=1000 mise run research:populate-symbol
+    echo "Completed $SYMBOL. Sleeping 10s before next..."
+    sleep 10
+done
+
+echo ""
+echo "=========================================="
+echo "ALL $TOTAL SYMBOLS @ 1000 dbps COMPLETE"
+echo "Finished: $(date)"
+echo "=========================================="
+"""
+
+[tasks."research:status"]
+description = "Check population status on littleblack (single check)"
+run = "python scripts/monitor_population.py --once --host littleblack"
+
+[tasks."research:monitor"]
+description = "Start continuous population monitoring (2 min interval)"
+run = "python scripts/monitor_population.py --interval 120 --host littleblack"
+
+[tasks."research:momentum-analysis"]
+description = "Run momentum analysis on all populated symbols"
+run = "python scripts/run_length_momentum_multi_symbol.py"
+
+[tasks."research:wfo-analysis"]
+description = "Run Walk-Forward regime detection"
+run = "python scripts/run_length_momentum_wfo.py"

{rangebar-11.4.0 → rangebar-11.5.0}/CHANGELOG.md

@@ -1,3 +1,70 @@
+# [11.5.0](https://github.com/terrylica/rangebar-py/compare/v11.4.0...v11.5.0) (2026-02-02)
+
+
+### Bug Fixes
+
+* **mise:** include all symbols in sequential population task ([18e0c4d](https://github.com/terrylica/rangebar-py/commit/18e0c4dc44c0404a0dec483a6e8e50fe5f7256b5)), closes [#58](https://github.com/terrylica/rangebar-py/issues/58)
+* **mise:** use uv run for venv and sequential execution ([957354e](https://github.com/terrylica/rangebar-py/commit/957354e46c1a0aa310560e44ecdfeff81b4c42ef)), closes [#58](https://github.com/terrylica/rangebar-py/issues/58)
+* **research:** correct datetime timezone import in regime analysis ([d1da329](https://github.com/terrylica/rangebar-py/commit/d1da329239a6ef3278a2231e28f988948cd38bd2)), closes [#76](https://github.com/terrylica/rangebar-py/issues/76) [#52](https://github.com/terrylica/rangebar-py/issues/52)
+* **research:** correct transaction costs to 15 dbps for high VIP tier ([3c129cf](https://github.com/terrylica/rangebar-py/commit/3c129cf970e04ae49e5d893981399bc359a7943a)), closes [#90](https://github.com/terrylica/rangebar-py/issues/90)
+* **scripts:** disable RLIMIT_AS for population on Linux ([aa3b541](https://github.com/terrylica/rangebar-py/commit/aa3b541062a88cd8c8e088a24776b7de45506068))
+
+
+### Features
+
+* **forex:** add EURUSD range bar pipeline scripts ([5e1628c](https://github.com/terrylica/rangebar-py/commit/5e1628c31e027824de208bd24acfdb1d5e789e7c)), closes [#143](https://github.com/terrylica/rangebar-py/issues/143)
+* **memory:** auto-enable memory guard on import (MEM-011) ([5e57767](https://github.com/terrylica/rangebar-py/commit/5e5776798104189fdd7c3d5b9a371a5b5c0908e2)), closes [#49](https://github.com/terrylica/rangebar-py/issues/49)
+* **mise:** add 1000 dbps cache population and unified task ([9ad487e](https://github.com/terrylica/rangebar-py/commit/9ad487e11c725c069e0c6cf9d3b2f487ef5038a7)), closes [#58](https://github.com/terrylica/rangebar-py/issues/58)
+* **mise:** add population status and monitor tasks ([f4a6197](https://github.com/terrylica/rangebar-py/commit/f4a619793a4144958dcdb18c0211cfba2a0946e8)), closes [#58](https://github.com/terrylica/rangebar-py/issues/58)
+* **mise:** add sequential cache population tasks for Issue [#58](https://github.com/terrylica/rangebar-py/issues/58) ([f5010d0](https://github.com/terrylica/rangebar-py/commit/f5010d02c01a97f6009e49ac74eb53d2a9833595))
+* **research:** add 3-bar + alignment combined analysis ([ff9a538](https://github.com/terrylica/rangebar-py/commit/ff9a5384c0ad6387cfa2de34e2adafe1bc3d5247)), closes [#54](https://github.com/terrylica/rangebar-py/issues/54) [#55](https://github.com/terrylica/rangebar-py/issues/55)
+* **research:** add 3-bar pattern adversarial audit ([f2c8ba9](https://github.com/terrylica/rangebar-py/commit/f2c8ba9dd75f93496a5def5eb7395f660fc8b424)), closes [#54](https://github.com/terrylica/rangebar-py/issues/54) [#55](https://github.com/terrylica/rangebar-py/issues/55)
+* **research:** add 3-bar pattern analysis script ([4f984ad](https://github.com/terrylica/rangebar-py/commit/4f984adf78635066ed9d297612646228cbe77721)), closes [#54](https://github.com/terrylica/rangebar-py/issues/54) [#55](https://github.com/terrylica/rangebar-py/issues/55)
+* **research:** add ADWIN regime detection analysis ([de1f721](https://github.com/terrylica/rangebar-py/commit/de1f721401d3224df2067eae1b0fc14cfcfeb1ef)), closes [#54](https://github.com/terrylica/rangebar-py/issues/54)
+* **research:** add Benjamini-Hochberg FDR correction for pattern testing ([7c159f6](https://github.com/terrylica/rangebar-py/commit/7c159f651f6373e3a3b8bbc7aac1d1cb163c424f)), closes [#52](https://github.com/terrylica/rangebar-py/issues/52) [#56](https://github.com/terrylica/rangebar-py/issues/56)
+* **research:** add combined SMA/RSI x RV regime analysis ([789b5b0](https://github.com/terrylica/rangebar-py/commit/789b5b0301567aba3c04afc0d96037df7b2338d1)), closes [#54](https://github.com/terrylica/rangebar-py/issues/54)
+* **research:** add cross-asset correlation analysis (Issue [#145](https://github.com/terrylica/rangebar-py/issues/145)) ([ee5260c](https://github.com/terrylica/rangebar-py/commit/ee5260c8abc234792b06b4d6f2c898a314ee28a9))
+* **research:** add extended symbol set for 250 dbps cross-board examination ([2cbc3f7](https://github.com/terrylica/rangebar-py/commit/2cbc3f72a58c23967619443e8acfa8f183c26c12)), closes [#58](https://github.com/terrylica/rangebar-py/issues/58)
+* **research:** add GPU-accelerated TDA structural break detection ([afc4201](https://github.com/terrylica/rangebar-py/commit/afc42017a1452aba00bc7414c77707f2ca58e4e5))
+* **research:** add Hurst exponent analysis for long memory effects ([cc66023](https://github.com/terrylica/rangebar-py/commit/cc660235b1059be7c6730cd989f2ca6dadb64314)), closes [#54](https://github.com/terrylica/rangebar-py/issues/54)
+* **research:** add Hurst exponent analysis per TDA regime ([5a731fc](https://github.com/terrylica/rangebar-py/commit/5a731fc8836b24822fc8e0ff919feff565425746)), closes [#56](https://github.com/terrylica/rangebar-py/issues/56)
+* **research:** add Hurst-adjusted Kelly fraction analysis ([149b754](https://github.com/terrylica/rangebar-py/commit/149b754d7276874ec0fe088357d9e221938834ec)), closes [#54](https://github.com/terrylica/rangebar-py/issues/54)
+* **research:** add Hurst-adjusted PSR/MinTRL validation ([c2709da](https://github.com/terrylica/rangebar-py/commit/c2709da5c5d54b7715e7fcfab2d7b5d4d40c7d3a)), closes [#54](https://github.com/terrylica/rangebar-py/issues/54)
+* **research:** add Kelly criterion position sizing analysis ([25dab7b](https://github.com/terrylica/rangebar-py/commit/25dab7b1963224dffeb574e78986556459aad6cb)), closes [#92](https://github.com/terrylica/rangebar-py/issues/92)
+* **research:** add market regime analysis script ([4eea8f9](https://github.com/terrylica/rangebar-py/commit/4eea8f99dc7777440536c1221f6df0088df7b84f)), closes [#74](https://github.com/terrylica/rangebar-py/issues/74) [#52](https://github.com/terrylica/rangebar-py/issues/52)
+* **research:** add memory-safe population script ([e7e871e](https://github.com/terrylica/rangebar-py/commit/e7e871e11632701470d0e14a271a1e67b0e1465b)), closes [hi#volume](https://github.com/hi/issues/volume)
+* **research:** add microstructure pattern analysis scripts ([bb0a8d2](https://github.com/terrylica/rangebar-py/commit/bb0a8d25dbce4a3fc1a0c9af50d51fa7adb826f6)), closes [#52](https://github.com/terrylica/rangebar-py/issues/52) [#56](https://github.com/terrylica/rangebar-py/issues/56)
+* **research:** add multi-bar horizon analysis - confirms genuine alpha ([bd2d326](https://github.com/terrylica/rangebar-py/commit/bd2d326e3e9ba9727d6bea640719a16b9952bf5b)), closes [#80](https://github.com/terrylica/rangebar-py/issues/80)
+* **research:** add multi-factor multi-granularity pattern analysis ([61847d4](https://github.com/terrylica/rangebar-py/commit/61847d44511500ef533cdc9d2bc425f6357cfde3)), closes [#52](https://github.com/terrylica/rangebar-py/issues/52)
+* **research:** add multi-threshold combination analysis ([74a658d](https://github.com/terrylica/rangebar-py/commit/74a658d59d1d708f9c72e57d003ec3da37d5900c)), closes [#86](https://github.com/terrylica/rangebar-py/issues/86) [#52](https://github.com/terrylica/rangebar-py/issues/52) [#86](https://github.com/terrylica/rangebar-py/issues/86)
+* **research:** add parameter sensitivity analysis for regime patterns ([3d7b969](https://github.com/terrylica/rangebar-py/commit/3d7b9698fba12ed8ee9c5d075ca6d7df06f357cd)), closes [#89](https://github.com/terrylica/rangebar-py/issues/89)
+* **research:** add pattern correlation analysis for portfolio diversification ([5b2a536](https://github.com/terrylica/rangebar-py/commit/5b2a5369e1d125c5213ab7e9c232d5ae7b1a18df))
+* **research:** add population monitoring script ([5e461aa](https://github.com/terrylica/rangebar-py/commit/5e461aa3c0d6f60897e0a8af501b8835afc2a9e1)), closes [#58](https://github.com/terrylica/rangebar-py/issues/58)
+* **research:** add PSR/MinTRL stationarity gap analysis ([0557b27](https://github.com/terrylica/rangebar-py/commit/0557b274c6cdd950e8bd3ae9a6c972a544f055e2)), closes [#54](https://github.com/terrylica/rangebar-py/issues/54) [#55](https://github.com/terrylica/rangebar-py/issues/55)
+* **research:** add regime + multi-threshold combination analysis ([f996275](https://github.com/terrylica/rangebar-py/commit/f996275b295196aa2495457edae34836f79fa190)), closes [#52](https://github.com/terrylica/rangebar-py/issues/52) [#87](https://github.com/terrylica/rangebar-py/issues/87)
+* **research:** add Ripser++ GPU TDA script ([72d13c7](https://github.com/terrylica/rangebar-py/commit/72d13c7f34c4a13208b2a6539d81ab90681c3df8))
+* **research:** add rolling TDA threshold (no data leakage) ([38f67f5](https://github.com/terrylica/rangebar-py/commit/38f67f587f21595d0beeef16b644c15eaee75262)), closes [#52](https://github.com/terrylica/rangebar-py/issues/52) [#56](https://github.com/terrylica/rangebar-py/issues/56)
+* **research:** add TDA break event alignment analysis ([3960eb6](https://github.com/terrylica/rangebar-py/commit/3960eb6cf3c30eef528cb6701319973f86893040)), closes [#56](https://github.com/terrylica/rangebar-py/issues/56)
+* **research:** add TDA regime Hurst exponent analysis ([9626d07](https://github.com/terrylica/rangebar-py/commit/9626d0742aa98e0e8387111ad76fb6e3219df3ed)), closes [#56](https://github.com/terrylica/rangebar-py/issues/56)
+* **research:** add TDA regime pattern analysis ([7055673](https://github.com/terrylica/rangebar-py/commit/70556738af8a6f5d2e267ba9af751f2c8647dcd9)), closes [#54](https://github.com/terrylica/rangebar-py/issues/54) [#56](https://github.com/terrylica/rangebar-py/issues/56)
+* **research:** add TDA regime-conditioned pattern ODD robustness testing ([89a0b19](https://github.com/terrylica/rangebar-py/commit/89a0b193013942b4777cba36b831506c854e5f7d)), closes [#56](https://github.com/terrylica/rangebar-py/issues/56)
+* **research:** add TDA structural break detection analysis ([32b20a1](https://github.com/terrylica/rangebar-py/commit/32b20a1a678ea9e9c9ba6a7e34df1c57e866b5d5)), closes [#114](https://github.com/terrylica/rangebar-py/issues/114)
+* **research:** add TDA structural break detection script ([1480ee9](https://github.com/terrylica/rangebar-py/commit/1480ee94bd4220a17acb6066ff982c7d62caebea)), closes [#54](https://github.com/terrylica/rangebar-py/issues/54)
+* **research:** add temporal-safe pattern validation ([bcf1c0d](https://github.com/terrylica/rangebar-py/commit/bcf1c0d25e94ee2537775764aa88eef818bbfeff)), closes [#52](https://github.com/terrylica/rangebar-py/issues/52) [#56](https://github.com/terrylica/rangebar-py/issues/56)
+* **research:** add three-factor Hurst exponent analysis ([dd15576](https://github.com/terrylica/rangebar-py/commit/dd15576280742ed0adf168c175521de53ae0d27b)), closes [#54](https://github.com/terrylica/rangebar-py/issues/54)
+* **research:** add three-factor pattern analysis ([26659a8](https://github.com/terrylica/rangebar-py/commit/26659a8d0b633d13e275313cd731b288a7c8ab1d)), closes [#54](https://github.com/terrylica/rangebar-py/issues/54) [#55](https://github.com/terrylica/rangebar-py/issues/55)
+* **research:** add transaction cost analysis for regime patterns ([8c555e0](https://github.com/terrylica/rangebar-py/commit/8c555e0460e0b18710ceff34ee5831798b1c8e02)), closes [#90](https://github.com/terrylica/rangebar-py/issues/90)
+* **research:** add volatility regime pattern analysis (Issue [#54](https://github.com/terrylica/rangebar-py/issues/54)) ([64feab1](https://github.com/terrylica/rangebar-py/commit/64feab154dc838b67b9fe41858f0fd536637f843))
+* **research:** adversarial audit of combined RV+alignment patterns ([c5178b6](https://github.com/terrylica/rangebar-py/commit/c5178b6efe72e7706e362aeff8cc65a2a8c78732)), closes [#54](https://github.com/terrylica/rangebar-py/issues/54) [#55](https://github.com/terrylica/rangebar-py/issues/55)
+* **research:** adversarial audit of volatility regime patterns ([7c30a46](https://github.com/terrylica/rangebar-py/commit/7c30a46d4d9b874aa916cc550ce3667d5b1f3edd)), closes [#54](https://github.com/terrylica/rangebar-py/issues/54)
+* **research:** analyze 50 dbps patterns - fewer robust than 100 dbps ([da7af16](https://github.com/terrylica/rangebar-py/commit/da7af1623b987e283ddbd7ae332262a4840c7aab)), closes [#91](https://github.com/terrylica/rangebar-py/issues/91)
+* **research:** combined RV regime + multi-threshold alignment analysis ([7934be9](https://github.com/terrylica/rangebar-py/commit/7934be923127e240d5b0380a1785fcf64c107921)), closes [#54](https://github.com/terrylica/rangebar-py/issues/54) [#55](https://github.com/terrylica/rangebar-py/issues/55)
+* **research:** cross-regime correlation analysis for portfolio diversification ([bd5a13c](https://github.com/terrylica/rangebar-py/commit/bd5a13c5e175b753035d1639f392334cafd901f8)), closes [#54](https://github.com/terrylica/rangebar-py/issues/54)
+* **research:** cross-threshold signal alignment analysis ([1f43e1e](https://github.com/terrylica/rangebar-py/commit/1f43e1e783ebabd1c8bfd3919a4d0e63f9c32bfe)), closes [#52](https://github.com/terrylica/rangebar-py/issues/52) [#56](https://github.com/terrylica/rangebar-py/issues/56)
+* **research:** microstructure feature analysis via ClickHouse ([45f1627](https://github.com/terrylica/rangebar-py/commit/45f16276bf46af8fb5c9040346bf67e59beed490)), closes [#52](https://github.com/terrylica/rangebar-py/issues/52) [#56](https://github.com/terrylica/rangebar-py/issues/56)
+* **research:** multi-threshold pattern confirmation signals ([b4fc08a](https://github.com/terrylica/rangebar-py/commit/b4fc08a3dd232788d783a5d53a7ed63e74645845)), closes [#55](https://github.com/terrylica/rangebar-py/issues/55)
+* **research:** return profile analysis for RV regime patterns ([6b626e7](https://github.com/terrylica/rangebar-py/commit/6b626e76c74e5ba2619f3244087262a2d1538e16)), closes [#54](https://github.com/terrylica/rangebar-py/issues/54)
+
 # [11.4.0](https://github.com/terrylica/rangebar-py/compare/v11.3.0...v11.4.0) (2026-01-31)
 
 

{rangebar-11.4.0 → rangebar-11.5.0}/CLAUDE.md

@@ -16,6 +16,8 @@
 | Performance monitoring  | [docs/development/PERFORMANCE.md](/docs/development/PERFORMANCE.md) | Benchmarks, metrics           |
 | Project context         | [docs/CONTEXT.md](/docs/CONTEXT.md)                                 | Why this project exists       |
 | API reference           | [docs/api.md](/docs/api.md)                                         | Full Python API docs          |
+| Pattern research        | [docs/research/INDEX.md](/docs/research/INDEX.md)                   | Research findings (complete)  |
+| Session handoff         | [RESUME.md](/RESUME.md)                                             | Context for new sessions      |
 
 ---
 

{rangebar-11.4.0 → rangebar-11.5.0}/Cargo.lock

@@ -3430,7 +3430,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar"
-version = "11.4.0"
+version = "11.5.0"
 dependencies = [
  "chrono",
  "insta",
@@ -3452,7 +3452,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-batch"
-version = "11.4.0"
+version = "11.5.0"
 dependencies = [
  "polars",
  "rangebar-core",
@@ -3464,7 +3464,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-cli"
-version = "11.4.0"
+version = "11.5.0"
 dependencies = [
  "chrono",
  "clap",
@@ -3489,7 +3489,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-config"
-version = "11.4.0"
+version = "11.5.0"
 dependencies = [
  "chrono",
  "config",
@@ -3501,7 +3501,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-core"
-version = "11.4.0"
+version = "11.5.0"
 dependencies = [
  "ahash",
  "arrow",
@@ -3518,7 +3518,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-io"
-version = "11.4.0"
+version = "11.5.0"
 dependencies = [
  "polars",
  "rangebar-core",
@@ -3528,7 +3528,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-providers"
-version = "11.4.0"
+version = "11.5.0"
 dependencies = [
  "chrono",
  "csv",
@@ -3548,7 +3548,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-py"
-version = "11.4.0"
+version = "11.5.0"
 dependencies = [
  "arrow",
  "arrow-array",
@@ -3567,7 +3567,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-streaming"
-version = "11.4.0"
+version = "11.5.0"
 dependencies = [
  "async-trait",
  "chrono",

{rangebar-11.4.0 → rangebar-11.5.0}/Cargo.toml

@@ -10,7 +10,7 @@ resolver = "2"
 [workspace.package]
 # CRITICAL: Prevent crates.io publishing - this is a PyPI-only project
 publish = false
-version = "11.4.0"
+version = "11.5.0"
 authors = ["Terry Li <terry@eonlabs.com>"]
 categories = ["algorithms", "data-structures", "finance"]
 documentation = "https://docs.rs/rangebar"
@@ -97,7 +97,7 @@ criterion = { version = "0.5", features = ["html_reports"] }
 
 [package]
 name = "rangebar-py"
-version = "11.4.0"
+version = "11.5.0"
 edition = "2021"
 authors = ["Terry Li"]
 license = "MIT"

{rangebar-11.4.0 → rangebar-11.5.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: rangebar
-Version: 11.4.0
+Version: 11.5.0
 Classifier: Development Status :: 4 - Beta
 Classifier: Intended Audience :: Financial and Insurance Industry
 Classifier: License :: OSI Approved :: MIT License

rangebar-11.5.0/RESUME.md

@@ -0,0 +1,140 @@
+# RESUME.md - Session Context
+
+**Last Updated**: 2026-02-01
+**Purpose**: Quick context for continuing work in future sessions
+
+---
+
+## Current State Summary
+
+### Pattern Research: COMPLETE
+
+**Finding**: ZERO ODD robust predictive patterns exist in range bar data.
+
+After exhaustive testing across **10 research approaches**, all were invalidated:
+
+| Approach                  | Status      | Root Cause                            |
+| ------------------------- | ----------- | ------------------------------------- |
+| Direction patterns (U/D)  | INVALIDATED | Boundary-locked returns (H~0.79)      |
+| 2-bar/3-bar patterns      | INVALIDATED | Forward returns show mean reversion   |
+| TDA regime conditioning   | INVALIDATED | Lookback leakage in regime labels     |
+| Microstructure features   | 0 ODD       | Feature noise exceeds signal          |
+| Cross-threshold alignment | INVALIDATED | Temporal overlap contaminates signals |
+| Return persistence        | INVALIDATED | Same sign but t < 3.0                 |
+| Coarse-to-fine cascade    | BLOCKED     | Combinatorial explosion               |
+| Duration autocorrelation  | INVALIDATED | 100% mechanical (deferred-open)       |
+| TDA velocity forecast     | INVALIDATED | t-stats -1.67 to +1.01                |
+| Cross-asset correlation   | INVALIDATED | 0 ODD (Issue #145, crypto-forex)      |
+
+**Key Insight**: Range bars are unsuitable for directional prediction due to:
+
+1. Boundary-locked returns (mechanically bounded by threshold)
+2. Temporal overlap (75-100% consecutive bar overlap)
+3. Long memory (Hurst H~0.79 reduces effective sample size)
+
+---
+
+## Available Resources
+
+### Data
+
+| Location            | Content                       | Size       |
+| ------------------- | ----------------------------- | ---------- |
+| bigblack ClickHouse | Range bars (ouroboros='year') | 260M+ bars |
+
+**Data Storage Policy**: All data must be stored on remote ClickHouse (bigblack primary, littleblack secondary). Local storage is FORBIDDEN.
+
+**Crypto**: BTCUSDT, ETHUSDT, SOLUSDT, BNBUSDT
+**Forex**: EURUSD (Exness Raw_Spread, Issue #143-#145)
+**Thresholds**: 25, 50, 100, 200, 250 dbps (crypto); 50, 100, 200 dbps (forex)
+**Period**: 2022-2026 (continuous, all gaps filled)
+
+### Documentation
+
+| Document                                         | Lines | Purpose                  |
+| ------------------------------------------------ | ----- | ------------------------ |
+| `docs/research/INDEX.md`                         | 124   | Navigation index         |
+| `docs/research/pattern-research-summary.md`      | 944   | Master findings          |
+| `docs/research/adversarial-audit-methodology.md` | 303   | Reusable audit framework |
+
+### Scripts
+
+42+ research scripts in `scripts/`:
+
+- Pattern analysis: `*_patterns*.py` (INVALIDATED)
+- TDA research: `tda_*.py` (INVALIDATED)
+- Audit scripts: `*_audit*.py` (methodology reference)
+- Cache population: `fill_gaps_*.py`
+
+---
+
+## GitHub Issues
+
+| Issue | Title                                       | Status |
+| ----- | ------------------------------------------- | ------ |
+| #57   | Research Complete: ZERO ODD Robust Patterns | CLOSED |
+| #56   | TDA Structural Break Detection              | CLOSED |
+| #52   | Market Regime Filter                        | CLOSED |
+| #54   | Volatility Regime Filter                    | CLOSED |
+| #55   | Multi-Threshold Pattern Confirmation        | CLOSED |
+
+---
+
+## What NOT to Retry
+
+These approaches have been definitively invalidated:
+
+1. **Any direction-based pattern** - Returns are boundary-locked
+2. **Duration-based volatility prediction** - Mechanical artifact
+3. **TDA velocity for forward RV** - No predictive power
+4. **Microstructure features for alpha** - Noise exceeds signal
+5. **Cross-threshold alignment signals** - Temporal overlap contamination
+
+---
+
+## Unexplored Directions
+
+These remain unexplored but are **operational** (not predictive):
+
+| Direction         | Rationale                                      | Status     |
+| ----------------- | ---------------------------------------------- | ---------- |
+| Execution quality | Bar timing for optimal order placement         | UNEXPLORED |
+| Market making     | Microstructure for spread/inventory management | UNEXPLORED |
+
+**Note**: These are not "ODD robust MULTI-FACTOR patterns" as per the encouraged guidance. They are operational use cases that don't require directional prediction.
+
+---
+
+## Technical Stack
+
+- **Python**: 3.13 (REQUIRED, never downgrade)
+- **Package manager**: UV
+- **Data processing**: Polars + Arrow (not Pandas)
+- **Database**: ClickHouse (bigblack via SSH)
+- **TDA**: ripser, persim
+- **Regime detection**: river (ADWIN)
+
+---
+
+## Session Handoff Notes
+
+If continuing pattern research:
+
+1. **DO NOT** retry invalidated approaches
+2. The methodology is sound - the finding is genuinely negative
+3. 10 approaches exhausted = research is complete
+4. Focus on operational use cases if any research continues
+
+If working on other features:
+
+1. Range bar generation is production-ready
+2. Microstructure features work correctly
+3. ClickHouse caching is fully operational
+
+---
+
+## References
+
+- Root hub: [CLAUDE.md](/CLAUDE.md)
+- Research index: [docs/research/INDEX.md](/docs/research/INDEX.md)
+- Audit methodology: [docs/research/adversarial-audit-methodology.md](/docs/research/adversarial-audit-methodology.md)