--- name: skill-smc-multi-strategy-paper-trader description: Paper trading monitors for SMC (Smart Money Concepts) + Macro Rotation strategies. Includes swing (4H BoS+FVG), day (1H BoS+FVG+CVD), coordinated 8D/2S orchestration, STPI/MTPI-gated monitors, macro rotation (LTPI/MTPI + RS Tournament), and multi-factor regime scorer. ATR-based SL/TP, z-score filters, orchestrator-lock. Binance public API only — no credentials needed. author: Zero2Ai-hub version: 2.0.0 emoji: 📈 tags: [crypto, trading, paper-trading, smc, smart-money, orchestrator, backtested, macro, regime-filter] --- # SMC Multi-Strategy Paper Trader v2.0 Paper trading system implementing **Smart Money Concepts** across five strategy types plus a macro rotation overlay and regime filter. All data from Binance public API — no account or API key required. ## What's New in v2.0 - **Macro Rotation** (`macro-rotation.js`) — LTPI/MTPI + Relative Strength Tournament, daily rebalance, $10K capital - **Regime Scorer** (`regime-scorer.js`) — 15 TA indicators + 5 FRED liquidity factors → STPI/MTPI/LTPI scores - **v6 Day Monitor** (`paper-monitor-v6.js`) — SMC+TA≥5 gated by STPI ≥ 0.5 - **Swing v2** (`paper-monitor-swing-v2.js`) — Swing strategy gated by MTPI ≥ 0.5 ## Architecture ``` Binance Public API (Kline, Ticker, Funding, OI) ↓ regime-scorer.js → regime.json (STPI, MTPI, LTPI) ↓ paper-monitor-[strategy].js ├── Fetch candles (1H/4H/1D) ├── Detect Break of Structure (BoS) ├── Find Fair Value Gaps (FVG) ├── Z-score: Volume, TA, FVG quality ├── ATR-based SL / TP / Trailing stop ├── Regime gate: STPI/MTPI threshold check ├── Orchestrator lock read/write └── portfolio-[strategy].json (P&L tracking) macro-rotation.js ├── Daily candles + 7d close for all tokens ├── LTPI: M2/liquidity proxy via BTC dominance + funding ├── MTPI: momentum + derivatives composite ├── RS Tournament: z-scored returns → top 1-3 tokens └── portfolio-macro.json ($10K, daily rebalance) paper-dashboard/index.html (5-curve equity chart) ``` ## Strategies | Strategy | File | Timeframe | Gate | Max Hold | Slots | |----------|------|-----------|------|----------|-------| | Swing | `paper-monitor-swing.js` | Daily BoS + 4H FVG | EMA | 72h | 5 | | Swing v2 | `paper-monitor-swing-v2.js` | Daily BoS + 4H FVG | MTPI ≥ 0.5 | 72h | 5 | | Day v5 | `paper-monitor-v5.js` | 1H BoS + FVG + CVD | None | 12h | 10 | | Day v6 | `paper-monitor-v6.js` | 1H BoS + FVG | STPI ≥ 0.5 | 12h | 10 | | Coordinated | `paper-monitor-coordinated.js` | 1H + 4H mixed | Lock | varies | 10 | | Macro Rotation | `macro-rotation.js` | Daily candles | LTPI + MTPI | Daily | $10K | ## Regime Scorer `regime-scorer.js` produces `regime.json` with three probability indicators: - **STPI** (Short Term): 15m + 1h composite → fast regime - **MTPI** (Medium Term): 4h composite → swing regime - **LTPI** (Long Term): Daily composite → macro regime Indicators per timeframe: EMA cross, ADX, MA200, RSI, MACD, BBwidth, ATR pct, OBV, CVD z-score, funding rate, long/short ratio, OI delta, Fear & Greed (macro only). ## Macro Rotation LTPI/MTPI guide overall allocation: - Both bearish → 100% CASH - Mixed → reduced position count - Both bullish → full RS Tournament deployment RS Tournament: z-scored 7d returns across 30+ tokens → rotates into top 1-3 by strength. ## Orchestrator Lock All SMC monitors share `orchestrator-lock.json` — prevents same-symbol entries across strategies: ```json { "BTCUSDT": { "strategy": "swing", "entryTime": 1742400000000 }, "ETHUSDT": { "strategy": "day", "entryTime": 1742405000000 } } ``` ## Portfolio JSON Structure ```json { "balance": 1000, "positions": [], "history": [], "metrics": { "totalTrades": 0, "wins": 0, "losses": 0, "winRate": 0 } } ``` Macro: starts at $10,000. ## Running ```bash # Regime (every 15m) node scripts/regime-scorer.js # Day v5: every 1h (XX:02) node scripts/paper-monitor-v5.js # Day v6 (STPI-gated): every 1h (XX:03) node scripts/paper-monitor-v6.js # Swing (EMA-gated): every 4h (XX:30) node scripts/paper-monitor-swing.js # Swing v2 (MTPI-gated): every 4h (XX:35) node scripts/paper-monitor-swing-v2.js # Coordinated 8D/2S: every 1h (XX:05) node scripts/paper-monitor-coordinated.js # Macro Rotation: daily (00:15 UTC) node scripts/macro-rotation.js ``` ## Cron Setup (OpenClaw) ``` Regime: 50 * * * * (XX:50 UTC every 1h) Day v5: 2 * * * * (XX:02 UTC every 1h) Day v6: 3 * * * * (XX:03 UTC every 1h) Swing: 30 */4 * * * (XX:30 UTC every 4h) Swing v2: 35 */4 * * * (XX:35 UTC every 4h) Coordinated: 5 * * * * (XX:05 UTC every 1h) Macro Rotation: 15 0 * * * (00:15 UTC daily) ``` ## Files ``` scripts/ paper-monitor-swing.js — swing (EMA-gated) paper-monitor-swing-v2.js — swing (MTPI-gated, NEW v2.0) paper-monitor-v5.js — day + CVD paper-monitor-v6.js — day + STPI gate (NEW v2.0) paper-monitor-coordinated.js — 8D/2S coordinated macro-rotation.js — LTPI/MTPI + RS Tournament (NEW v2.0) regime-scorer.js — Multi-factor regime scoring (NEW v2.0) paper-dashboard/index.html — 5-curve equity chart ``` ## Notes - Uses Binance **public** API only — no credentials required - All start balances configurable (default: $1,000 day/swing, $10,000 macro) - Fear & Greed Index via alternative.me API (free, no key) - Orchestrator lock: internal coordination only, files stored locally FILE:public/SKILL.md --- name: skill-smc-multi-strategy-paper-trader description: Paper trading monitors for SMC (Smart Money Concepts) + Macro Rotation. Swing (4H BoS+FVG), day (1H+CVD), coordinated 8D/2S, STPI/MTPI-gated variants, macro rotation (LTPI/MTPI + RS Tournament), and multi-factor regime scorer. ATR-based SL/TP, z-score filters, orchestrator-lock. Binance public API only — no credentials needed. author: Zero2Ai-hub version: 2.0.0 emoji: 📈 tags: [crypto, trading, paper-trading, smc, smart-money, orchestrator, backtested, macro, regime-filter] --- # SMC Multi-Strategy Paper Trader v2.0 Paper trading system implementing **Smart Money Concepts** across five strategy types plus a macro rotation overlay and regime filter. All data from Binance public API — no account or API key required. ## What's New in v2.0 - **Macro Rotation** — LTPI/MTPI + Relative Strength Tournament, daily rebalance, $10K capital - **Regime Scorer** — 15 TA indicators + 5 liquidity factors → STPI/MTPI/LTPI scores - **v6 Day Monitor** — SMC+TA≥5 gated by STPI ≥ 0.5 - **Swing v2** — Swing strategy gated by MTPI ≥ 0.5 ## Architecture ``` Binance Public API ↓ regime-scorer.js → regime.json (STPI, MTPI, LTPI) ↓ paper-monitor-[strategy].js ├── BoS + FVG detection ├── Z-score filters (volume, TA, FVG quality) ├── ATR SL/TP + trailing stop ├── Regime gate (STPI/MTPI threshold) └── portfolio-[strategy].json macro-rotation.js ├── LTPI/MTPI composite scores ├── RS Tournament → top 1-3 tokens └── portfolio-macro.json ($10K) ``` ## Strategies | Strategy | Timeframe | Gate | Max Hold | Slots | |----------|-----------|------|----------|-------| | Swing | Daily BoS + 4H FVG | EMA | 72h | 5 | | Swing v2 | Daily BoS + 4H FVG | MTPI ≥ 0.5 | 72h | 5 | | Day v5 | 1H BoS + FVG + CVD | None | 12h | 10 | | Day v6 | 1H BoS + FVG | STPI ≥ 0.5 | 12h | 10 | | Coordinated 8D/2S | 1H + 4H | Lock | varies | 10 | | Macro Rotation | Daily | LTPI + MTPI | Daily | $10K | ## Regime Scorer Produces `regime.json` with three probability indicators (0–1): - **STPI** — short-term regime (15m + 1h) - **MTPI** — medium-term regime (4h) - **LTPI** — long-term macro regime (1d) 15 TA indicators (EMA, RSI, MACD, BBwidth, ATR, OBV, CVD, ADX...) + 5 derivatives factors (funding rate, long/short ratio, OI delta, Fear & Greed). ## Running ```bash node scripts/regime-scorer.js # every 1h node scripts/paper-monitor-v5.js # every 1h node scripts/paper-monitor-v6.js # every 1h (STPI-gated) node scripts/paper-monitor-swing.js # every 4h node scripts/paper-monitor-swing-v2.js # every 4h (MTPI-gated) node scripts/paper-monitor-coordinated.js # every 1h node scripts/macro-rotation.js # daily 00:15 UTC ``` ## Notes - Binance public API only — no credentials needed - Fear & Greed via alternative.me (free) - Orchestrator lock prevents same-symbol conflicts across strategies - All balances configurable ($1K default, $10K macro) FILE:scripts/macro-rotation.js #!/usr/bin/env node /** * macro-rotation.js — Long-Term Macro Rotation Strategy * * Inspired by institutional crypto macro rotation: * - LTPI (Long Term Probability Indicator): 0-1, macro liquidity + on-chain + global M2 * - MTPI (Medium Term Probability Indicator): 0-1, market structure + derivatives + momentum * - Relative Strength Tournament: z-scored cross-pair strength, rotates into top 1-3 * - Cash is a valid allocation when signals are weak * * Runs DAILY at candle close. Rebalances portfolio allocation. * Starting capital: $10,000 (minimum for real gains) */ 'use strict'; const https = require('https'); const fs = require('fs'); const path = require('path'); const { execSync } = require('child_process'); const PORTFOLIO_FILE = path.join(process.env.HOME, '.openclaw/workspace/trading/paper-dashboard/portfolio-macro.json'); const TOKENS = [ 'BTCUSDT','ETHUSDT','SOLUSDT','BNBUSDT','XRPUSDT','DOGEUSDT','AVAXUSDT','LINKUSDT', 'ARBUSDT','OPUSDT','SUIUSDT','APTUSDT','INJUSDT','SEIUSDT','FETUSDT','RENDERUSDT', 'TAOUSDT','NEARUSDT','WIFUSDT','JUPUSDT','TIAUSDT','DYMUSDT','STRKUSDT','TONUSDT', 'NOTUSDT','EIGENUSDT','GRASSUSDT','VIRTUALUSDT','AKTUSDT', 'HYPEUSDT', // Hyperliquid — prof's pick 'PAXGUSDT', // Gold (Paxos) — defensive allocation ]; // Token categories for allocation logic const DEFENSIVE_TOKENS = new Set(['PAXGUSDT']); const BTC_TOKEN = 'BTCUSDT'; // ═══════════════════════════════════════════════════════════════════════════════ // HELPERS // ═══════════════════════════════════════════════════════════════════════════════ function httpGet(url, timeout = 10000) { return new Promise((res, rej) => { const r = https.get(url, resp => { let d = ''; resp.on('data', c => d += c); resp.on('end', () => { try { res(JSON.parse(d)); } catch(e) { rej(e); } }); }); r.on('error', rej); r.setTimeout(timeout, () => { r.destroy(); rej(new Error('timeout')); }); }); } const sleep = ms => new Promise(r => setTimeout(r, ms)); function calcEMA(v,p){const k=2/(p+1);let e=v[0];return v.map((x,i)=>{if(i>0)e=x*k+e*(1-k);return e;});} function calcRSI(c,p=14){const r=Array(c.length).fill(null);let ag=0,al=0;for(let i=1;i<=p;i++){const d=c[i]-c[i-1];if(d>0)ag+=d;else al-=d;}ag/=p;al/=p;r[p]=al===0?100:100-100/(1+ag/al);for(let i=p+1;i0?d:0))/p;al=(al*(p-1)+(d<0?-d:0))/p;r[i]=al===0?100:100-100/(1+ag/al);}return r;} function clamp(v,min,max){return Math.max(min,Math.min(max,v));} function zScoreArr(values) { const valid = values.filter(v => v !== null && !isNaN(v)); if (valid.length < 3) return values.map(() => 0); const mean = valid.reduce((s,v)=>s+v,0)/valid.length; const std = Math.sqrt(valid.reduce((s,v)=>s+(v-mean)**2,0)/valid.length); if (std === 0) return values.map(() => 0); return values.map(v => v === null || isNaN(v) ? 0 : (v - mean) / std); } function sigmoid(x) { return 1 / (1 + Math.exp(-x)); } // maps any value to 0-1 // ═══════════════════════════════════════════════════════════════════════════════ // DATA FETCHERS // ═══════════════════════════════════════════════════════════════════════════════ function fetchFRED(seriesId, startDate = '2024-01-01') { try { const csv = execSync(`curl -sL --max-time 12 "https://fred.stlouisfed.org/graph/fredgraph.csv?id=${seriesId}&cosd=${startDate}"`, { encoding: 'utf8', timeout: 15000 }); const lines = csv.trim().split('\n').slice(1); return lines.map(l => { const [d,v] = l.split(','); const val = parseFloat(v); return { date: d, value: isNaN(val) ? null : val }; }).filter(d => d.value !== null); } catch { return []; } } async function fetchCandles(sym, interval, limit) { await sleep(60); try { const r = await httpGet(`https://fapi.binance.com/fapi/v1/klines?symbol=${sym}&interval=${interval}&limit=${limit}`); return r.map(k => ({ ts:k[0], o:+k[1], h:+k[2], l:+k[3], c:+k[4], v:+k[5]*+k[4], tbv:+k[9]*+k[4] })); } catch { return []; } } async function fetchFundingRate(sym = 'BTCUSDT') { try { const r = await httpGet(`https://fapi.binance.com/fapi/v1/fundingRate?symbol=${sym}&limit=30`); return r.map(f => parseFloat(f.fundingRate)); } catch { return []; } } async function fetchLSRatio(sym = 'BTCUSDT') { try { const r = await httpGet(`https://fapi.binance.com/futures/data/globalLongShortAccountRatio?symbol=${sym}&period=1d&limit=30`); return r.map(d => parseFloat(d.longShortRatio)); } catch { return []; } } async function fetchOI(sym = 'BTCUSDT') { try { const r = await httpGet(`https://fapi.binance.com/futures/data/openInterestHist?symbol=${sym}&period=1d&limit=30`); return r.map(d => parseFloat(d.sumOpenInterestValue)); } catch { return []; } } async function fetchFearGreed() { try { const r = await httpGet('https://api.alternative.me/fng/?limit=30'); return r.data ? r.data.map(d => parseInt(d.value)) : []; } catch { return []; } } // ═══════════════════════════════════════════════════════════════════════════════ // LTPI — Long Term Probability Indicator // 30+ inputs → classified → weighted → z-scored → sigmoid → 0-1 // ═══════════════════════════════════════════════════════════════════════════════ async function computeLTPI() { // ── Macro Liquidity (FRED) ── const [walcl, tga, rrp, m2, dxy, dgs10, t10yie, dff] = await Promise.all([ fetchFRED('WALCL', '2024-01-01'), // Fed Balance Sheet fetchFRED('WTREGEN', '2024-01-01'), // Treasury General Account fetchFRED('RRPONTSYD', '2024-06-01'), // Reverse Repo fetchFRED('M2SL', '2023-01-01'), // M2 fetchFRED('DTWEXBGS', '2024-06-01'), // Dollar Index fetchFRED('DGS10', '2024-06-01'), // 10Y Yield fetchFRED('T10YIE', '2024-06-01'), // Breakeven Inflation fetchFRED('DFF', '2024-06-01'), // Fed Funds ]); // ── BTC Daily Candles (trend) ── const btcD = await fetchCandles('BTCUSDT', '1d', 250); const btcCloses = btcD.map(c => c.c); // ── Fear & Greed ── const fng = await fetchFearGreed(); const inputs = {}; const categories = { liquidity: [], trend: [], macro_momentum: [], risk_appetite: [] }; // ─── LIQUIDITY INPUTS ─── // 1. Net Liquidity 4-week delta if (walcl.length >= 5 && tga.length >= 5 && rrp.length >= 5) { const nl = walcl[walcl.length-1].value - tga[tga.length-1].value - rrp[rrp.length-1].value * 1000; const nl4 = walcl[walcl.length-5].value - tga[tga.length-5].value - (rrp.length >= 30 ? rrp[rrp.length-22].value : rrp[0].value) * 1000; inputs.net_liq_delta = (nl - nl4) / Math.abs(nl4) * 100; categories.liquidity.push(inputs.net_liq_delta * 2); } // 2. Net Liquidity 12-week delta (longer trend) if (walcl.length >= 13 && tga.length >= 13) { const nl = walcl[walcl.length-1].value - tga[tga.length-1].value; const nl12 = walcl[walcl.length-13].value - tga[tga.length-13].value; inputs.net_liq_12w = (nl - nl12) / Math.abs(nl12) * 100; categories.liquidity.push(inputs.net_liq_12w); } // 3. M2 YoY growth if (m2.length >= 13) { inputs.m2_yoy = (m2[m2.length-1].value - m2[m2.length-13].value) / m2[m2.length-13].value * 100; categories.liquidity.push((inputs.m2_yoy - 3) * 0.5); // 3% baseline } // 4. M2 3-month momentum if (m2.length >= 4) { inputs.m2_3m = (m2[m2.length-1].value - m2[m2.length-4].value) / m2[m2.length-4].value * 100; categories.liquidity.push(inputs.m2_3m * 3); } // 5. RRP trend (declining RRP = liquidity release) if (rrp.length >= 20) { const rrpNow = rrp[rrp.length-1].value; const rrp20 = rrp[rrp.length-20].value; inputs.rrp_delta = rrp20 !== 0 ? -(rrpNow - rrp20) / Math.max(rrp20, 1) * 100 : 0; // declining = positive categories.liquidity.push(inputs.rrp_delta * 0.5); } // ─── MACRO MOMENTUM ─── // 6. DXY 20-day change (inverse) if (dxy.length >= 21) { inputs.dxy_20d = -(dxy[dxy.length-1].value - dxy[dxy.length-21].value) / dxy[dxy.length-21].value * 100; categories.macro_momentum.push(inputs.dxy_20d * 3); } // 7. DXY 60-day trend if (dxy.length >= 61) { inputs.dxy_60d = -(dxy[dxy.length-1].value - dxy[dxy.length-61].value) / dxy[dxy.length-61].value * 100; categories.macro_momentum.push(inputs.dxy_60d * 2); } // 8. Real yields level if (dgs10.length >= 1 && t10yie.length >= 1) { inputs.real_yield = dgs10[dgs10.length-1].value - t10yie[t10yie.length-1].value; categories.macro_momentum.push(-(inputs.real_yield - 1) * 1.5); } // 9. Real yields momentum (20d) if (dgs10.length >= 21 && t10yie.length >= 21) { const ryNow = dgs10[dgs10.length-1].value - t10yie[t10yie.length-1].value; const ry20 = dgs10[dgs10.length-21].value - t10yie[t10yie.length-21].value; inputs.real_yield_mom = -(ryNow - ry20) * 3; categories.macro_momentum.push(inputs.real_yield_mom); } // 10. Fed rate trajectory if (dff.length >= 30) { inputs.fed_rate_30d = -(dff[dff.length-1].value - dff[dff.length-30].value) * 2; categories.macro_momentum.push(inputs.fed_rate_30d); } // ─── BTC TREND ─── if (btcCloses.length >= 200) { const n = btcCloses.length - 1; // 11. Price vs 200 EMA const ema200 = calcEMA(btcCloses, 200); inputs.btc_vs_200 = (btcCloses[n] - ema200[n]) / ema200[n] * 100; categories.trend.push(inputs.btc_vs_200 * 0.3); // 12. 50 vs 200 EMA (golden/death cross) const ema50 = calcEMA(btcCloses, 50); inputs.btc_50_200 = (ema50[n] - ema200[n]) / ema200[n] * 100; categories.trend.push(inputs.btc_50_200 * 0.5); // 13. 20 vs 50 EMA const ema20 = calcEMA(btcCloses, 20); inputs.btc_20_50 = (ema20[n] - ema50[n]) / ema50[n] * 100; categories.trend.push(inputs.btc_20_50); // 14. BTC 90-day ROC if (n >= 90) { inputs.btc_roc_90 = (btcCloses[n] - btcCloses[n-90]) / btcCloses[n-90] * 100; categories.trend.push(inputs.btc_roc_90 * 0.1); } // 15. BTC RSI 14 (daily) const rsi = calcRSI(btcCloses); if (rsi[n] !== null) { inputs.btc_rsi = rsi[n]; categories.trend.push((rsi[n] - 50) * 0.05); } // 16. Higher highs count (last 60 days) let hh = 0; for (let i = n - 59; i <= n - 5; i++) { if (i < 5) continue; let isHigh = true; for (let j = 1; j <= 5; j++) if (btcD[i-j].h >= btcD[i].h || btcD[i+j].h >= btcD[i].h) isHigh = false; if (isHigh) hh++; } inputs.btc_hh_count = hh; categories.trend.push(hh * 0.3); } // ─── RISK APPETITE ─── // 17. Fear & Greed (contrarian + confirmation) if (fng.length >= 1) { const fg = fng[0]; inputs.fear_greed = fg; // Below 25: extreme fear → contrarian bullish // 25-45: fear → mild bullish // 45-55: neutral // 55-75: greed → confirms trend // 75+: extreme greed → contrarian bearish if (fg < 25) categories.risk_appetite.push(2); else if (fg < 40) categories.risk_appetite.push(0.5); else if (fg <= 60) categories.risk_appetite.push(0); else if (fg <= 75) categories.risk_appetite.push(0.5); else categories.risk_appetite.push(-2); } // 18. F&G 7-day average trend if (fng.length >= 7) { const avg7 = fng.slice(0,7).reduce((s,v)=>s+v,0)/7; const avg30 = fng.reduce((s,v)=>s+v,0)/fng.length; inputs.fng_momentum = avg7 - avg30; categories.risk_appetite.push(inputs.fng_momentum * 0.1); } // ── AGGREGATE ── // Weight each category, z-score within, then aggregate const weights = { liquidity: 3.0, macro_momentum: 2.0, trend: 2.0, risk_appetite: 1.0 }; let totalScore = 0, totalWeight = 0; const breakdown = {}; for (const [cat, vals] of Object.entries(categories)) { if (!vals.length) continue; const avg = vals.reduce((s,v)=>s+v,0)/vals.length; const w = weights[cat] || 1; totalScore += avg * w; totalWeight += w; breakdown[cat] = { avg: parseFloat(avg.toFixed(3)), weight: w, count: vals.length }; } const rawScore = totalWeight > 0 ? totalScore / totalWeight : 0; // Sigmoid → 0-1 probability // Scale factor: adjust so ±3 raw → ~0.95/0.05 probability const ltpi = parseFloat(sigmoid(rawScore * 0.8).toFixed(4)); return { ltpi, rawScore: parseFloat(rawScore.toFixed(3)), inputs, breakdown }; } // ═══════════════════════════════════════════════════════════════════════════════ // MTPI — Medium Term Probability Indicator // Market structure + derivatives + faster momentum // ═══════════════════════════════════════════════════════════════════════════════ async function computeMTPI() { const btcD = await fetchCandles('BTCUSDT', '1d', 120); const btc4h = await fetchCandles('BTCUSDT', '4h', 200); if (btcD.length < 60 || btc4h.length < 100) return { mtpi: 0.5, rawScore: 0, inputs: {}, breakdown: {} }; const closes = btcD.map(c => c.c); const closes4h = btc4h.map(c => c.c); const n = closes.length - 1; const n4 = closes4h.length - 1; const [funding, lsRatio, oiData, fng] = await Promise.all([ fetchFundingRate(), fetchLSRatio(), fetchOI(), fetchFearGreed() ]); const inputs = {}; const categories = { momentum: [], structure: [], derivatives: [], flow: [] }; // ─── MOMENTUM ─── // 1. Daily RSI const rsi = calcRSI(closes); if (rsi[n] !== null) { inputs.rsi_14 = rsi[n]; categories.momentum.push((rsi[n] - 50) * 0.06); } // 2. 4h RSI (faster) const rsi4h = calcRSI(closes4h); if (rsi4h[n4] !== null) { inputs.rsi_4h = rsi4h[n4]; categories.momentum.push((rsi4h[n4] - 50) * 0.04); } // 3. 7-day ROC if (n >= 7) { inputs.roc_7d = (closes[n] - closes[n-7]) / closes[n-7] * 100; categories.momentum.push(inputs.roc_7d * 0.3); } // 4. 21-day ROC if (n >= 21) { inputs.roc_21d = (closes[n] - closes[n-21]) / closes[n-21] * 100; categories.momentum.push(inputs.roc_21d * 0.15); } // 5. MACD histogram direction const e12 = calcEMA(closes, 12), e26 = calcEMA(closes, 26); const macdLine = closes.map((_,i) => e12[i] - e26[i]); const macdSig = calcEMA(macdLine.slice(25), 9); const hist = macdLine[n] - (macdSig[n-25] || 0); const histPrev = n > 1 ? macdLine[n-1] - (macdSig[n-26] || 0) : hist; inputs.macd_hist = hist; inputs.macd_rising = hist > histPrev; categories.momentum.push(hist > 0 ? 1 : -1); categories.momentum.push(hist > histPrev ? 0.5 : -0.5); // ─── STRUCTURE ─── // 6. EMA alignment (8 > 21 > 50) const ema8 = calcEMA(closes, 8), ema21 = calcEMA(closes, 21), ema50 = calcEMA(closes, 50); const aligned = ema8[n] > ema21[n] && ema21[n] > ema50[n]; const inverted = ema8[n] < ema21[n] && ema21[n] < ema50[n]; inputs.ema_aligned = aligned ? 'bullish' : inverted ? 'bearish' : 'mixed'; categories.structure.push(aligned ? 2 : inverted ? -2 : 0); // 7. Price vs 50 EMA distance inputs.dist_50ema = (closes[n] - ema50[n]) / ema50[n] * 100; categories.structure.push(clamp(inputs.dist_50ema * 0.3, -2, 2)); // 8. 4h trend (20 vs 50 EMA) const ema20_4h = calcEMA(closes4h, 20), ema50_4h = calcEMA(closes4h, 50); inputs.trend_4h = (ema20_4h[n4] - ema50_4h[n4]) / ema50_4h[n4] * 100; categories.structure.push(clamp(inputs.trend_4h * 0.5, -2, 2)); // ─── DERIVATIVES ─── // 9. Funding rate (contrarian) if (funding.length >= 3) { const avgF = funding.slice(-3).reduce((s,v)=>s+v,0)/3; inputs.funding_avg = avgF; categories.derivatives.push(clamp(-avgF * 3000, -2, 2)); } // 10. L/S Ratio (contrarian) if (lsRatio.length >= 5) { const avgLS = lsRatio.slice(-5).reduce((s,v)=>s+v,0)/5; inputs.ls_ratio = avgLS; categories.derivatives.push(clamp(-(avgLS - 1) * 3, -2, 2)); } // 11. OI delta 7-day if (oiData.length >= 8) { const oiDelta = (oiData[oiData.length-1] - oiData[oiData.length-8]) / oiData[oiData.length-8] * 100; inputs.oi_7d_delta = oiDelta; categories.derivatives.push(clamp(oiDelta / 5, -2, 2)); } // ─── FLOW (Volume + CVD) ─── // 12. Daily volume trend const vols = btcD.map(c => c.v); if (n >= 20) { const volAvg5 = vols.slice(n-4,n+1).reduce((s,v)=>s+v,0)/5; const volAvg20 = vols.slice(n-19,n+1).reduce((s,v)=>s+v,0)/20; inputs.vol_ratio = volAvg5 / volAvg20; categories.flow.push(clamp((inputs.vol_ratio - 1) * 3, -2, 2)); } // 13. CVD direction (daily) const deltas = btcD.map(c => (c.tbv||0) - (c.v - (c.tbv||0))); if (n >= 7) { const cvd7 = deltas.slice(n-6,n+1).reduce((s,v)=>s+v,0); const cvd14 = deltas.slice(Math.max(0,n-13),n+1).reduce((s,v)=>s+v,0); inputs.cvd_direction = cvd7 > 0 ? 'buying' : 'selling'; categories.flow.push(cvd7 > 0 ? 1 : -1); } // ── AGGREGATE ── const weights = { momentum: 2.0, structure: 2.0, derivatives: 1.5, flow: 1.5 }; let totalScore = 0, totalWeight = 0; const breakdown = {}; for (const [cat, vals] of Object.entries(categories)) { if (!vals.length) continue; const avg = vals.reduce((s,v)=>s+v,0)/vals.length; const w = weights[cat] || 1; totalScore += avg * w; totalWeight += w; breakdown[cat] = { avg: parseFloat(avg.toFixed(3)), weight: w, count: vals.length }; } const rawScore = totalWeight > 0 ? totalScore / totalWeight : 0; const mtpi = parseFloat(sigmoid(rawScore * 0.8).toFixed(4)); return { mtpi, rawScore: parseFloat(rawScore.toFixed(3)), inputs, breakdown }; } // ═══════════════════════════════════════════════════════════════════════════════ // RELATIVE STRENGTH TOURNAMENT — v2 (Full Cross-Pair) // // For each token: measure RS against EVERY other token in the pool. // SOL: SOL/BTC, SOL/ETH, SOL/BNB, SOL/XRP... (N-1 pairs) // Each pair: return ratio over 7d, 14d, 30d, 60d → average // Pool-wide RS = average of all pair RS scores // Then z-score pool-wide scores → true ranking // // A token wins only if it's beating the ENTIRE field, not just BTC. // ═══════════════════════════════════════════════════════════════════════════════ async function runTournament() { // Fetch daily candles for all tokens const allCandles = {}; const returns = {}; // { symbol: { 7: pct, 14: pct, 30: pct, 60: pct } } const PERIODS = [7, 14, 30, 60]; for (const sym of TOKENS) { const cs = await fetchCandles(sym, '1d', 90); if (cs.length < 30) continue; allCandles[sym] = cs; const closes = cs.map(c => c.c); const n = closes.length - 1; returns[sym] = {}; for (const p of PERIODS) { if (n >= p) { returns[sym][p] = (closes[n] - closes[n-p]) / closes[n-p] * 100; } } } const syms = Object.keys(returns); if (syms.length < 5) return []; // ── Cross-pair RS matrix ── // For each token, compute RS against every other token across all periods const poolRS = {}; // { symbol: average RS across all pairs and periods } for (const sym of syms) { const pairScores = []; for (const other of syms) { if (sym === other) continue; for (const p of PERIODS) { const symRet = returns[sym][p]; const otherRet = returns[other][p]; if (symRet === undefined || otherRet === undefined) continue; // RS ratio: how much sym outperforms other // Positive = sym winning, negative = sym losing // Use difference rather than ratio to handle negative returns cleanly pairScores.push(symRet - otherRet); } } poolRS[sym] = pairScores.length > 0 ? pairScores.reduce((s,v) => s+v, 0) / pairScores.length : 0; } // ── Z-score the pool-wide RS ── const poolValues = syms.map(s => poolRS[s]); const poolZScores = zScoreArr(poolValues); // ── Build results with additional metrics ── const results = []; for (let i = 0; i < syms.length; i++) { const sym = syms[i]; const cs = allCandles[sym]; const closes = cs.map(c => c.c); const n = closes.length - 1; // Absolute momentum const mom7 = returns[sym][7] || 0; const mom30 = returns[sym][30] || 0; // Volume trend const vols = cs.map(c => c.v); const volRatio = n >= 14 ? (vols.slice(n-6,n+1).reduce((s,v)=>s+v,0)/7) / (vols.slice(n-13,n+1).reduce((s,v)=>s+v,0)/14) : 1; // RSI const rsi = calcRSI(closes); const rsiVal = rsi[n] || 50; // RS vs BTC specifically (for display) const btcRet7 = returns['BTCUSDT'] ? returns['BTCUSDT'][7] || 0 : 0; const btcRet30 = returns['BTCUSDT'] ? returns['BTCUSDT'][30] || 0 : 0; const rsVsBtc = ((mom7 - btcRet7) + (mom30 - btcRet30)) / 2; // Pool-wide RS z-score (the main ranking metric) const poolZ = poolZScores[i]; // Final composite: pool RS z-score (60%) + volume (20%) + RSI momentum (20%) const volZ = zScoreArr(Object.values(allCandles).map(c => { const v = c.map(x=>x.v); const nn = v.length-1; return nn >= 14 ? (v.slice(nn-6,nn+1).reduce((s,x)=>s+x,0)/7)/(v.slice(nn-13,nn+1).reduce((s,x)=>s+x,0)/14) : 1; }))[i] || 0; const rsiZ = zScoreArr(syms.map(s => { const c = allCandles[s].map(x=>x.c); const r = calcRSI(c); return r[r.length-1] || 50; }))[i] || 0; const composite = poolZ * 0.6 + volZ * 0.2 + rsiZ * 0.2; results.push({ symbol: sym, composite: parseFloat(composite.toFixed(4)), pool_rs: parseFloat(poolRS[sym].toFixed(3)), pool_z: parseFloat(poolZ.toFixed(3)), rs_vs_btc: parseFloat(rsVsBtc.toFixed(3)), mom_7d: parseFloat(mom7.toFixed(2)), mom_30d: parseFloat(mom30.toFixed(2)), vol_ratio: parseFloat(volRatio.toFixed(3)), rsi: parseFloat(rsiVal.toFixed(1)), price: closes[n], n_pairs: syms.length - 1, }); } // Z-score the final composites const composites = results.map(r => r.composite); const finalZ = zScoreArr(composites); results.forEach((r, i) => { r.z_score = parseFloat(finalZ[i].toFixed(3)); }); // Sort by z-score (best first) results.sort((a, b) => b.z_score - a.z_score); return results; } // ═══════════════════════════════════════════════════════════════════════════════ // ALLOCATION ENGINE — v2 (Prof-inspired LTPI×MTPI matrix) // // Key insight from prof: // - LTPI bearish ≠ go to cash. It means: avoid BTC leverage, reduce BTC exposure // - MTPI positive = deploy into RS winners REGARDLESS of LTPI // - LTPI controls: BTC allocation + leverage permission + defensive hedge % // - MTPI controls: overall deployment level + token count // - Gold (PAXG) is a valid defensive allocation // - Cash only when BOTH are deeply negative // ═══════════════════════════════════════════════════════════════════════════════ function computeAllocation(ltpi, mtpi, tournament) { // Convert our 0-1 scale to prof's -1 to +1 for matrix logic const ltpiAdj = (ltpi - 0.5) * 2; // 0→-1, 0.5→0, 1→+1 const mtpiAdj = (mtpi - 0.5) * 2; // ── LTPI determines: BTC permission, defensive hedge %, leverage permission ── const btcAllowed = ltpiAdj > -0.2; // BTC only when LTPI isn't bearish const btcLeverageAllowed = ltpiAdj > 0.3; // Leverage only when LTPI clearly bullish const defensiveHedgePct = ltpiAdj < -0.3 ? 10 : ltpiAdj < 0 ? 5 : 0; // Gold allocation // ── MTPI determines: deployment level, token count ── let deployPct, maxTokens, riskLevel; if (mtpiAdj >= 0.5) { // MTPI strong positive — full deployment deployPct = 95; maxTokens = 3; riskLevel = 'AGGRESSIVE'; } else if (mtpiAdj >= 0.2) { // MTPI moderate positive — high deployment deployPct = 80; maxTokens = 3; riskLevel = 'MODERATE'; } else if (mtpiAdj >= -0.1) { // MTPI neutral — cautious deployment deployPct = 50; maxTokens = 2; riskLevel = 'CAUTIOUS'; } else if (mtpiAdj >= -0.4) { // MTPI mildly negative — light deployment deployPct = 25; maxTokens = 1; riskLevel = 'DEFENSIVE'; } else { // MTPI deeply negative — minimal to zero deployPct = 5; maxTokens = 1; riskLevel = 'RISK_OFF'; } // ── Override: both deeply negative → full cash ── if (ltpiAdj < -0.5 && mtpiAdj < -0.3) { deployPct = 0; maxTokens = 0; riskLevel = 'CASH'; } // ── Macro environment modifier ── // LTPI positive boosts deployment; LTPI negative reduces slightly but doesn't kill it if (ltpiAdj > 0.3) deployPct = Math.min(100, deployPct + 10); else if (ltpiAdj < -0.3) deployPct = Math.max(0, deployPct - 10); // ── Build allocation from RS tournament ── const allocations = []; let usedPct = 0; // Defensive hedge (gold) first — carved from total, not from deployment if (defensiveHedgePct > 0) { const goldToken = tournament.find(t => DEFENSIVE_TOKENS.has(t.symbol)); if (goldToken) { allocations.push({ symbol: goldToken.symbol, pct: defensiveHedgePct, z_score: goldToken.z_score, rs_vs_btc: goldToken.rs_vs_btc, price: goldToken.price, role: 'HEDGE', }); usedPct += defensiveHedgePct; } } // RS winners (excluding defensive tokens and BTC if not allowed) const candidates = tournament.filter(t => { if (DEFENSIVE_TOKENS.has(t.symbol)) return false; if (t.symbol === BTC_TOKEN && !btcAllowed) return false; if (t.z_score < -0.5) return false; // skip weak tokens return true; }); const remainingDeploy = Math.max(0, deployPct - usedPct); const selectedCount = Math.min(maxTokens, candidates.length); const selected = candidates.slice(0, selectedCount); if (selected.length > 0 && remainingDeploy > 0) { // Weight by z-score (stronger tokens get more) const totalZ = selected.reduce((s, t) => s + Math.max(t.z_score, 0.1), 0); for (const t of selected) { const weight = Math.max(t.z_score, 0.1) / totalZ; const pct = parseFloat((weight * remainingDeploy).toFixed(1)); allocations.push({ symbol: t.symbol, pct, z_score: t.z_score, rs_vs_btc: t.rs_vs_btc, price: t.price, role: t.symbol === BTC_TOKEN ? 'BTC' : 'RS_WINNER', }); usedPct += pct; } } const cashPct = parseFloat((100 - usedPct).toFixed(1)); return { risk_level: riskLevel, ltpi_adj: parseFloat(ltpiAdj.toFixed(3)), mtpi_adj: parseFloat(mtpiAdj.toFixed(3)), btc_allowed: btcAllowed, btc_leverage_allowed: btcLeverageAllowed, defensive_hedge_pct: defensiveHedgePct, deploy_pct: deployPct, max_tokens: maxTokens, allocations, cash_pct: cashPct, }; } // ═══════════════════════════════════════════════════════════════════════════════ // PORTFOLIO // ═══════════════════════════════════════════════════════════════════════════════ function loadPortfolio() { try { return JSON.parse(fs.readFileSync(PORTFOLIO_FILE, 'utf8')); } catch { return { version: '1.0', last_updated: new Date().toISOString(), strategy: 'Macro Rotation — LTPI/MTPI + RS Tournament | Paper Trading', paper_portfolio: { starting_capital_usdc: 10000, current_capital_usdc: 10000, cash_usdc: 10000, positions: [], // { symbol, entry_price, size_usdc, entry_time, pct } closed_trades: [], rebalance_log: [], stats: { total_rebalances: 0, total_trades: 0, wins: 0, losses: 0, total_pnl_usdc: 0 } } }; } } function savePortfolio(data) { data.last_updated = new Date().toISOString(); fs.mkdirSync(path.dirname(PORTFOLIO_FILE), { recursive: true }); fs.writeFileSync(PORTFOLIO_FILE, JSON.stringify(data, null, 2)); } async function rebalance(portfolio, allocation, tournament) { const p = portfolio.paper_portfolio; const now = new Date().toISOString(); // Get current prices for all held positions for (const pos of p.positions) { try { await sleep(60); const ticker = await httpGet(`https://fapi.binance.com/fapi/v1/ticker/price?symbol=${pos.symbol}`); pos.current_price = parseFloat(ticker.price); } catch { pos.current_price = pos.entry_price; } } // Calculate current portfolio value let totalValue = p.cash_usdc; for (const pos of p.positions) { const pnl = (pos.current_price - pos.entry_price) / pos.entry_price * pos.size_usdc; totalValue += pos.size_usdc + pnl; } p.current_capital_usdc = parseFloat(totalValue.toFixed(2)); // Target allocations const targetMap = {}; for (const a of allocation.allocations) { targetMap[a.symbol] = { pct: a.pct, target_usdc: totalValue * a.pct / 100, price: a.price }; } // Close positions not in target const newPositions = []; for (const pos of p.positions) { if (!targetMap[pos.symbol]) { // Close this position const pnlPct = (pos.current_price - pos.entry_price) / pos.entry_price * 100; const pnlUSD = pos.size_usdc * pnlPct / 100; p.cash_usdc += pos.size_usdc + pnlUSD; p.stats.total_trades++; if (pnlUSD > 0) p.stats.wins++; else p.stats.losses++; p.stats.total_pnl_usdc += pnlUSD; p.closed_trades.push({ symbol: pos.symbol, entry_price: pos.entry_price, exit_price: pos.current_price, entry_time: pos.entry_time, exit_time: now, pnl_pct: parseFloat(pnlPct.toFixed(3)), pnl_usd: parseFloat(pnlUSD.toFixed(2)), size_usdc: pos.size_usdc, exit_reason: 'rotation', }); console.log(` 🔄 CLOSE ${pos.symbol}: ${pnlPct >= 0 ? '+' : ''}${pnlPct.toFixed(2)}% ($${pnlUSD >= 0 ? '+' : ''}${pnlUSD.toFixed(2)})`); } else { // Keep, but adjust size if needed const target = targetMap[pos.symbol].target_usdc; const currentVal = pos.size_usdc * (1 + (pos.current_price - pos.entry_price) / pos.entry_price); const diff = target - currentVal; if (Math.abs(diff) / totalValue > 0.05) { // rebalance if >5% drift if (diff > 0) { // Add to position pos.size_usdc += diff; p.cash_usdc -= diff; console.log(` 📈 ADD ${pos.symbol}: +$${diff.toFixed(2)}`); } else { // Reduce position const reducePct = Math.abs(diff) / currentVal; const reduceUSD = pos.size_usdc * reducePct; const pnlPortion = reduceUSD * (pos.current_price - pos.entry_price) / pos.entry_price; pos.size_usdc -= reduceUSD; p.cash_usdc += reduceUSD + pnlPortion; console.log(` 📉 REDUCE ${pos.symbol}: -$${reduceUSD.toFixed(2)}`); } } pos.target_pct = targetMap[pos.symbol].pct; newPositions.push(pos); delete targetMap[pos.symbol]; } } // Open new positions for (const [sym, target] of Object.entries(targetMap)) { if (target.target_usdc < 50) continue; // skip tiny positions if (p.cash_usdc < target.target_usdc) continue; const size = Math.min(target.target_usdc, p.cash_usdc); p.cash_usdc -= size; newPositions.push({ symbol: sym, entry_price: target.price, current_price: target.price, size_usdc: parseFloat(size.toFixed(2)), entry_time: now, target_pct: target.pct, }); console.log(` 🟢 OPEN ${sym}: $${size.toFixed(2)} (${target.pct}%) @ $${target.price.toFixed(4)}`); } p.positions = newPositions; p.stats.total_rebalances++; p.rebalance_log.push({ time: now, capital: p.current_capital_usdc, positions: newPositions.map(pos => ({ symbol: pos.symbol, pct: pos.target_pct })), cash_pct: allocation.cash_pct, }); // Trim log to last 90 entries if (p.rebalance_log.length > 90) p.rebalance_log = p.rebalance_log.slice(-90); return portfolio; } // ═══════════════════════════════════════════════════════════════════════════════ // MAIN // ═══════════════════════════════════════════════════════════════════════════════ async function run() { const uaeTime = new Date().toLocaleString('en-AE', { timeZone: 'Asia/Dubai', hour12: false }); console.log(`\n[${uaeTime} UAE] Macro Rotation — Daily Rebalance\n`); // 1. Compute LTPI console.log('📊 Computing LTPI...'); const ltpiResult = await computeLTPI(); console.log(` LTPI: ${ltpiResult.ltpi.toFixed(4)} (raw: ${ltpiResult.rawScore}) ${ltpiResult.ltpi >= 0.5 ? '🟢 BULLISH' : '🔴 BEARISH'}`); // 2. Compute MTPI console.log('📊 Computing MTPI...'); const mtpiResult = await computeMTPI(); console.log(` MTPI: ${mtpiResult.mtpi.toFixed(4)} (raw: ${mtpiResult.rawScore}) ${mtpiResult.mtpi >= 0.5 ? '🟢 BULLISH' : '🔴 BEARISH'}`); // 3. Run tournament console.log('🏆 Running RS Tournament...'); const tournament = await runTournament(); console.log(` Top 5 (scored against ${tournament[0]?.n_pairs || '?'} peers):`); tournament.slice(0, 5).forEach((t, i) => { console.log(` ${i+1}. ${t.symbol.padEnd(12)} z:${t.z_score.toFixed(2).padStart(6)} poolRS:${t.pool_rs.toFixed(1).padStart(6)} vsBTC:${t.rs_vs_btc.toFixed(1).padStart(6)} 7d:${t.mom_7d >= 0 ? '+' : ''}${t.mom_7d.toFixed(1)}% RSI:${t.rsi.toFixed(0)}`); }); // 4. Compute allocation const allocation = computeAllocation(ltpiResult.ltpi, mtpiResult.mtpi, tournament); console.log(`\n Risk Level: ${allocation.risk_level} | Deploy: ${allocation.deploy_pct}% | Cash: ${allocation.cash_pct}%`); console.log(` BTC: ${allocation.btc_allowed ? '✅ allowed' : '❌ excluded'} | Leverage: ${allocation.btc_leverage_allowed ? '✅' : '❌'} | Hedge: ${allocation.defensive_hedge_pct}%`); console.log(` Allocations:`); for (const a of allocation.allocations) { console.log(` ${a.symbol.padEnd(12)} ${a.pct.toFixed(1)}% [${a.role}] (z:${a.z_score})`); } if (allocation.allocations.length === 0) console.log(` 100% CASH`); // 5. Rebalance portfolio console.log('\n🔄 Rebalancing...'); let portfolio = loadPortfolio(); // Store signals in portfolio for dashboard portfolio.ltpi = ltpiResult.ltpi; portfolio.ltpi_raw = ltpiResult.rawScore; portfolio.ltpi_breakdown = ltpiResult.breakdown; portfolio.mtpi = mtpiResult.mtpi; portfolio.mtpi_raw = mtpiResult.rawScore; portfolio.mtpi_breakdown = mtpiResult.breakdown; portfolio.allocation = allocation; portfolio.tournament_top10 = tournament.slice(0, 10); portfolio = await rebalance(portfolio, allocation, tournament); savePortfolio(portfolio); // 6. GitHub push try { const ghToken = fs.readFileSync(path.join(process.env.HOME, '.github_token'), 'utf8').trim(); const content = Buffer.from(JSON.stringify(portfolio, null, 2)).toString('base64'); const { execSync } = require('child_process'); // Get SHA const shaResp = JSON.parse(execSync(`curl -sL -H "Authorization: token ${ghToken}" -H "Accept: application/vnd.github.v3+json" "https://api.github.com/repos/Zero2Ai-hub/Jarvis-Ops/contents/trading/portfolio-macro.json"`, { encoding: 'utf8', timeout: 10000 }).toString()); const sha = shaResp.sha || ''; const body = JSON.stringify({ message: 'trading: macro rotation update', content, sha: sha || undefined }); execSync(`curl -sL -X PUT -H "Authorization: token ${ghToken}" -H "Accept: application/vnd.github.v3+json" -d '${body.replace(/'/g, "\\'")}' "https://api.github.com/repos/Zero2Ai-hub/Jarvis-Ops/contents/trading/portfolio-macro.json"`, { timeout: 15000 }); console.log('GitHub updated ✅'); } catch(e) { console.log('GitHub push failed:', e.message); } // Summary const p = portfolio.paper_portfolio; console.log(`\n${'═'.repeat(60)}`); console.log(`LTPI: ${ltpiResult.ltpi.toFixed(3)} (${allocation.ltpi_adj >= 0 ? '+' : ''}${allocation.ltpi_adj}) | MTPI: ${mtpiResult.mtpi.toFixed(3)} (${allocation.mtpi_adj >= 0 ? '+' : ''}${allocation.mtpi_adj}) | Risk: ${allocation.risk_level}`); console.log(`BTC: ${allocation.btc_allowed ? 'OK' : 'EXCLUDED'} | Deploy: ${allocation.deploy_pct}% | Cash: ${allocation.cash_pct}% | Hedge: ${allocation.defensive_hedge_pct}%`); console.log(`Portfolio: $${p.current_capital_usdc.toFixed(2)} | Cash: $${p.cash_usdc.toFixed(2)} | Positions: ${p.positions.length}`); console.log(`Trades: ${p.stats.total_trades} | WR: ${p.stats.total_trades > 0 ? (p.stats.wins/p.stats.total_trades*100).toFixed(0) : '—'}% | PnL: $${p.stats.total_pnl_usdc.toFixed(2)}`); console.log('Done ✅'); } run().catch(e => { console.error('Fatal:', e.message, e.stack); process.exit(1); }); FILE:scripts/paper-monitor-coordinated.js #!/usr/bin/env node /** * paper-monitor-coordinated.js — 8D/2S Coordinated Paper Trading Monitor * * Runs both day trading (1h) and swing trading (4h) with shared capital. * Optimal split: 8 day slots + 2 swing slots = 10 total concurrent. * Orchestrator prevents same-symbol conflicts. * * Day: SMC v4.0 — 1h BoS+FVG+TA≥5, 12h max hold * Swing: SMC — Daily BoS → 4h FVG+TA≥5, 72h max hold */ 'use strict'; const https = require('https'); const fs = require('fs'); const path = require('path'); const PORTFOLIO_FILE = path.join(process.env.HOME, '.openclaw/workspace/trading/paper-dashboard/portfolio-coordinated.json'); const MAX_DAY = 8; const MAX_SWING = 2; const TOKENS = [ 'BTCUSDT','ETHUSDT','SOLUSDT','BNBUSDT','XRPUSDT','DOGEUSDT','AVAXUSDT','LINKUSDT', 'ARBUSDT','OPUSDT','SUIUSDT','APTUSDT','INJUSDT','SEIUSDT','FETUSDT','RENDERUSDT', 'TAOUSDT','NEARUSDT','WIFUSDT','JUPUSDT','TIAUSDT','DYMUSDT','STRKUSDT','TONUSDT', 'NOTUSDT','EIGENUSDT','GRASSUSDT','VIRTUALUSDT','AKTUSDT', ]; function apiFetch(url) { return new Promise((res, rej) => { const r = https.get(url, resp => { let d = ''; resp.on('data', c => d += c); resp.on('end', () => { try { res(JSON.parse(d)); } catch(e) { rej(e); } }); }); r.on('error', rej); r.setTimeout(15000, () => { r.destroy(); rej(new Error('timeout')); }); }); } function apiFetch2(url, token) { return new Promise((res, rej) => { const r = https.get(url, { headers: { Authorization: `token ${token}`, Accept: 'application/vnd.github.v3+json', 'User-Agent': 'Jarvis' } }, resp => { let d = ''; resp.on('data', c => d += c); resp.on('end', () => { try { res(JSON.parse(d)); } catch(e) { rej(e); } }); }); r.on('error', rej); r.setTimeout(10000, () => { r.destroy(); rej(new Error('timeout')); }); }); } function apiFetch2Put(url, token, body) { return new Promise((res, rej) => { const opts = require('url').parse(url); opts.method = 'PUT'; opts.headers = { Authorization: `token ${token}`, Accept: 'application/vnd.github.v3+json', 'Content-Type': 'application/json', 'User-Agent': 'Jarvis', 'Content-Length': Buffer.byteLength(body) }; const r = require('https').request(opts, resp => { let d = ''; resp.on('data', c => d += c); resp.on('end', () => { try { res(JSON.parse(d)); } catch(e) { rej(e); } }); }); r.on('error', rej); r.write(body); r.end(); }); } const sleep = ms => new Promise(r => setTimeout(r, ms)); // ─── Math ───────────────────────────────────────────────────────────────────── function calcEMA(v,p){const k=2/(p+1);let e=v[0];return v.map((x,i)=>{if(i>0)e=x*k+e*(1-k);return e;});} function calcATR(cs,period=14){const t=cs.map((c,i)=>{if(i===0)return c.h-c.l;const p2=cs[i-1].c;return Math.max(c.h-c.l,Math.abs(c.h-p2),Math.abs(c.l-p2));});const a=[];for(let i=0;is+v2,0)/period);}else{a.push((a[i-1]*(period-1)+t[i])/period);}}return a;} function calcRSI(c,p=14){const r=Array(c.length).fill(null);let ag=0,al=0;for(let i=1;i<=p;i++){const d=c[i]-c[i-1];if(d>0)ag+=d;else al-=d;}ag/=p;al/=p;r[p]=al===0?100:100-100/(1+ag/al);for(let i=p+1;i0?d:0))/p;al=(al*(p-1)+(d<0?-d:0))/p;r[i]=al===0?100:100-100/(1+ag/al);}return r;} function calcMACD(c){const e12=calcEMA(c,12),e26=calcEMA(c,26);const ml=c.map((_,i)=>e12[i]-e26[i]);const sig=calcEMA(ml.slice(25),9);const h=[];for(let i=0;ics[i-1].c)o.push(o[i-1]+cs[i].v);else if(cs[i].c{if(is+x,0)/p;});} function zScore(value, arr) { if (arr.length < 2) return 0; const mean = arr.reduce((s,v)=>s+v,0)/arr.length; const std = Math.sqrt(arr.reduce((s,v)=>s+(v-mean)**2,0)/arr.length); return std === 0 ? 0 : (value - mean) / std; } function taConfluenceScore(cs, idx) { const closes = cs.map(c => c.c); const rsi = calcRSI(closes); const macd = calcMACD(closes); const obv = calcOBV(cs); const ema9 = calcEMA(closes, 9); const ema21 = calcEMA(closes, 21); const bbSma = calcSMA(closes, 20); const i = idx, ZLB = 30; let score = 0; if (rsi[i] !== null) { const w = rsi.slice(Math.max(0,i-ZLB), i).filter(v=>v!==null); const z = zScore(rsi[i], w); if (z > 0.3 && rsi[i] < 78) score += 2; if (z > 1.0 && rsi[i] < 75) score += 1; } if (macd.histogram[i] !== null) { const w = macd.histogram.slice(Math.max(0,i-ZLB), i).filter(v=>v!==null); const z = zScore(macd.histogram[i], w); if (z > 0.3) score += 1; if (i > 0 && macd.histogram[i] > (macd.histogram[i-1]||0)) score += 1; } if (ema9[i] > ema21[i]) score += 2; if (bbSma[i] !== null && i >= 19) { const sl = closes.slice(i-19, i+1); const std = Math.sqrt(sl.reduce((s,v)=>s+(v-bbSma[i])**2,0)/20); const upper = bbSma[i]+2*std; const lower = bbSma[i]-2*std; const range = upper-lower; if(range>0){ const pB=(closes[i]-lower)/range; if(pB>0.5&&pB<0.85)score+=2; } } if (i > 10) { const od = obv[i]-obv[i-5]; const ods = []; for(let j=Math.max(6,i-ZLB);j0.5)score+=1; if(z>1.0)score+=1; } return score; } // ─── Regime ─────────────────────────────────────────────────────────────────── async function getBTCRegime() { try { const r = await apiFetch('https://fapi.binance.com/fapi/v1/klines?symbol=BTCUSDT&interval=4h&limit=60'); const closes = r.map(k => parseFloat(k[4])); const e20 = calcEMA(closes, 20), e50 = calcEMA(closes, 50); return e20[e20.length-1] > e50[e50.length-1] ? 'bullish' : 'bearish'; } catch { return 'unknown'; } } async function getBTCFastRegime() { try { const r = await apiFetch('https://fapi.binance.com/fapi/v1/klines?symbol=BTCUSDT&interval=15m&limit=30'); const closes = r.map(k => parseFloat(k[4])); const e8 = calcEMA(closes, 8), e21 = calcEMA(closes, 21); const pct = (e8[e8.length-1] - e21[e21.length-1]) / e21[e21.length-1] * 100; if (pct > 0.15) return { trend: 'bullish', spread: pct }; if (pct < -0.15) return { trend: 'bearish', spread: pct }; return { trend: 'neutral', spread: pct }; } catch { return { trend: 'unknown', spread: 0 }; } } async function getBTCDailyRegime() { try { const r = await apiFetch('https://fapi.binance.com/fapi/v1/klines?symbol=BTCUSDT&interval=1d&limit=60'); const closes = r.map(k => parseFloat(k[4])); const e20 = calcEMA(closes, 20), e50 = calcEMA(closes, 50); return e20[e20.length-1] > e50[e50.length-1] ? 'bullish' : 'bearish'; } catch { return 'unknown'; } } // ─── Data ───────────────────────────────────────────────────────────────────── async function getCandles1h(sym, limit=80) { await sleep(80); try { const r = await apiFetch(`https://fapi.binance.com/fapi/v1/klines?symbol=${sym}&interval=1h&limit=${limit}`); return r.map(k => ({ ts:k[0], o:+k[1], h:+k[2], l:+k[3], c:+k[4], v:+k[5]*+k[4] })); } catch { return []; } } async function getCandles4h(sym, limit=100) { await sleep(80); try { const r = await apiFetch(`https://fapi.binance.com/fapi/v1/klines?symbol=${sym}&interval=4h&limit=${limit}`); return r.map(k => ({ ts:k[0], o:+k[1], h:+k[2], l:+k[3], c:+k[4], v:+k[5]*+k[4] })); } catch { return []; } } async function getDailyCandles(sym, limit=60) { await sleep(80); try { const r = await apiFetch(`https://fapi.binance.com/fapi/v1/klines?symbol=${sym}&interval=1d&limit=${limit}`); return r.map(k => ({ ts:k[0], o:+k[1], h:+k[2], l:+k[3], c:+k[4], v:+k[5]*+k[4] })); } catch { return []; } } // ─── Day Trading Signal (1h SMC) ────────────────────────────────────────────── function detectDaySignal(cs) { const P = { swN:3, volZThreshold:1.0, fvgZThreshold:0.5, slAtrMult:1.5, tpAtrMult:3.0, taMinScore:5, volLookback:30, fvgLookback:50, atrPeriod:14 }; const hi = Array(cs.length).fill(null); for (let i=P.swN; i=cs[i].h||cs[i+j].h>=cs[i].h) isH=false; if(isH) hi[i]=cs[i].h; } const atrs = calcATR(cs, P.atrPeriod); for (let i=cs.length-5; i=Math.max(0,i-60); j--) { if (hi[j]!==null && cs[i].c>hi[j]) { bosIdx=j; break; } } if (bosIdx < 0) continue; for (let j=Math.max(2,i-3); j<=i; j++) { const gap = cs[j].l - cs[j-2].h; if (gap <= 0) continue; const gapPct = gap / cs[j].c; const recentGaps = []; for (let g=Math.max(2,j-P.fvgLookback); g0) recentGaps.push(pg/cs[g].c); } const fvgZ = zScore(gapPct, recentGaps); if (fvgZ < P.fvgZThreshold) continue; const fvgLo=cs[j-2].h, fvgHi=cs[j].l, fvgMid=(fvgLo+fvgHi)/2; const latest=cs[cs.length-1], lastIdx=cs.length-1; if (!(latest.l<=fvgHi && latest.h>=fvgLo)) continue; const volWindow = cs.slice(Math.max(0,lastIdx-P.volLookback),lastIdx).map(c=>c.v); if (zScore(latest.v, volWindow) < P.volZThreshold) continue; const atr = atrs[lastIdx]; if (!atr) continue; const ep = Math.min(latest.c, fvgMid); let obLo = ep - atr * P.slAtrMult; for (let k=bosIdx-1; k>=Math.max(0,bosIdx-15); k--) { if (cs[k].c= ep) continue; const ta = taConfluenceScore(cs, lastIdx); if (ta < P.taMinScore) continue; return { ep, sl, tp, ta, atr }; } } return null; } // ─── Swing Signal (Daily BoS → 4h FVG) ─────────────────────────────────────── function detectSwingSignal(k4h, kD) { if (kD.length < 15 || k4h.length < 60) return null; const SP = { swN:5, fvgAge:6, taMinScore:5, slAtrMult:2.5, tpAtrMult:5.0, atrPeriod:14 }; // Daily BoS check const sh = Array(kD.length).fill(null); for (let i=SP.swN; i=kD[i].h||kD[i+j].h>=kD[i].h){ok=false;break;} if(ok) sh[i]=kD[i].h; } let hasBoS = false; for (let i=kD.length-5; i=Math.max(0,i-30); j--) { if(sh[j]!==null && kD[i].c>sh[j]){hasBoS=true;break;} } if (hasBoS) break; } if (!hasBoS) return null; // 4h FVG entry const atrs = calcATR(k4h, SP.atrPeriod); for (let j=k4h.length-1; j>=Math.max(2,k4h.length-SP.fvgAge); j--) { const gap = k4h[j].l - k4h[j-2].h; if (gap<=0 || gap/k4h[j].c<0.0005) continue; const fvgLo=k4h[j-2].h, fvgHi=k4h[j].l, fvgMid=(fvgLo+fvgHi)/2; const latest = k4h[k4h.length-1], lastIdx = k4h.length-1; if (!(latest.l<=fvgHi && latest.h>=fvgLo)) continue; const atr = atrs[lastIdx]; if (!atr) continue; const ep = Math.min(latest.c, fvgMid); let obLo = ep - atr * SP.slAtrMult; for (let k=j-1; k>=Math.max(0,j-15); k--) { if(k4h[k].c=ep) continue; const rr = (tp-ep)/(ep-sl); if (rr<1.5) continue; const ta = taConfluenceScore(k4h, lastIdx); if (ta < SP.taMinScore) continue; return { ep, sl, tp, ta, atr }; } return null; } // ─── Portfolio ──────────────────────────────────────────────────────────────── function loadPortfolio() { try { return JSON.parse(fs.readFileSync(PORTFOLIO_FILE, 'utf8')); } catch { return { version: '1.0', last_updated: new Date().toISOString(), strategy: 'Coordinated 8D/2S — Day+Swing | Paper Trading', btc_regime: 'unknown', btc_fast_regime: 'unknown', btc_daily_regime: 'unknown', paper_portfolio: { starting_capital_usdc: 1000, current_capital_usdc: 1000, deployed_usdc: 0, open_positions: [], closed_trades: [], stats: { total_trades:0, wins:0, losses:0, total_pnl_usdc:0 } } }; } } function savePortfolio(data) { data.last_updated = new Date().toISOString(); fs.mkdirSync(path.dirname(PORTFOLIO_FILE), { recursive: true }); fs.writeFileSync(PORTFOLIO_FILE, JSON.stringify(data, null, 2)); } // ─── Main ───────────────────────────────────────────────────────────────────── async function run() { const uaeTime = new Date().toLocaleString('en-AE', { timeZone: 'Asia/Dubai', hour12: false }); console.log(`\n[${uaeTime} UAE] Coordinated 8D/2S monitor running...`); const portfolio = loadPortfolio(); const p = portfolio.paper_portfolio; // Regimes const btcRegime = await getBTCRegime(); const btcFast = await getBTCFastRegime(); const btcDaily = await getBTCDailyRegime(); portfolio.btc_regime = btcRegime; portfolio.btc_fast_regime = btcFast.trend; portfolio.btc_fast_spread = parseFloat(btcFast.spread.toFixed(3)); portfolio.btc_daily_regime = btcDaily; const btcBull = btcRegime === 'bullish'; const sizeMultiplier = btcBull ? 1.0 : 0.5; const fastAllowEntry = btcFast.trend !== 'bearish'; console.log(`BTC 4h: ${btcRegime} | Daily: ${btcDaily} | Fast 15m: ${btcFast.trend} (${btcFast.spread.toFixed(3)}%)${!fastAllowEntry ? ' ⛔ BLOCKED' : ' ✅'}`); // Count positions by strategy const dayPositions = p.open_positions.filter(pos => pos.strategy === 'day'); const swingPositions = p.open_positions.filter(pos => pos.strategy === 'swing'); console.log(`Positions: ${dayPositions.length}/${MAX_DAY} day, ${swingPositions.length}/${MAX_SWING} swing`); // ── Manage existing positions ── const now = Date.now(); const stillOpen = []; for (const pos of p.open_positions) { const ageH = (now - new Date(pos.entry_time).getTime()) / 3600000; const maxH = pos.strategy === 'swing' ? 72 : 12; const trail = pos.strategy === 'swing' ? 0.05 : 0.03; // 5% swing, 3% day try { await sleep(80); const ticker = await apiFetch(`https://fapi.binance.com/fapi/v1/ticker/price?symbol=${pos.symbol}`); const price = parseFloat(ticker.price); pos.current_price = price; let closed = false, exitType = '', exitPrice = price, pnlPct = 0; if (price <= pos.sl_price) { exitType = 'SL'; exitPrice = pos.sl_price; closed = true; } else if (!pos.tp1_hit && price >= pos.tp_price) { pos.tp1_hit = true; pos.half_price = pos.tp_price; pos.trail_peak = price; stillOpen.push(pos); console.log(` 📈 ${pos.symbol} [${pos.strategy}] TP1 hit at $${price.toFixed(4)}`); continue; } else if (pos.tp1_hit) { if (price > (pos.trail_peak || pos.tp_price)) pos.trail_peak = price; const trailSL = (pos.trail_peak || price) * (1 - trail); if (price <= trailSL) { exitType = 'TRAIL'; exitPrice = trailSL; closed = true; pnlPct = ((pos.half_price - pos.entry_price)*0.5 + (exitPrice - pos.entry_price)*0.5) / pos.entry_price * 100; } } else if (ageH >= maxH) { exitType = 'TIME'; closed = true; } if (closed) { if (pnlPct === 0) pnlPct = (exitPrice - pos.entry_price) / pos.entry_price * 100; const pnlUSD = pos.size_usdc * pnlPct / 100; p.current_capital_usdc += pnlUSD; p.stats.total_trades++; if (pnlUSD > 0) p.stats.wins++; else p.stats.losses++; p.stats.total_pnl_usdc += pnlUSD; p.closed_trades.push({ symbol: pos.symbol, entry_price: pos.entry_price, exit_price: exitPrice, entry_time: pos.entry_time, exit_time: new Date().toISOString(), held_hours: parseFloat(ageH.toFixed(1)), pnl_pct: parseFloat(pnlPct.toFixed(3)), pnl_usd: parseFloat(pnlUSD.toFixed(2)), exit_type: exitType, size_usdc: pos.size_usdc, btc_bull: pos.btc_bull_at_entry, strategy: pos.strategy, }); console.log(` ${pnlUSD > 0 ? '✅' : '❌'} ${pos.symbol} [${pos.strategy}] ${exitType} | ${pnlPct >= 0 ? '+' : ''}${pnlPct.toFixed(2)}% | $${pnlUSD >= 0 ? '+' : ''}${pnlUSD.toFixed(2)} | ${ageH.toFixed(0)}h`); } else { stillOpen.push(pos); } } catch { stillOpen.push(pos); } } p.open_positions = stillOpen; // ── Scan for new day trading signals (1h) ── const openDayCount = p.open_positions.filter(pos => pos.strategy === 'day').length; const openSymbols = new Set(p.open_positions.map(pos => pos.symbol)); if (openDayCount < MAX_DAY && fastAllowEntry) { for (const sym of TOKENS) { if (p.open_positions.filter(pos => pos.strategy === 'day').length >= MAX_DAY) break; if (openSymbols.has(sym)) continue; const cs = await getCandles1h(sym); if (cs.length < 60) continue; const signal = detectDaySignal(cs); if (!signal) continue; const posSize = p.current_capital_usdc * 0.10 * sizeMultiplier; p.open_positions.push({ symbol: sym, entry_price: signal.ep, sl_price: signal.sl, tp_price: signal.tp, size_usdc: posSize, entry_time: new Date().toISOString(), btc_bull_at_entry: btcBull, tp1_hit: false, trail_peak: null, half_price: null, current_price: signal.ep, strategy: 'day', }); openSymbols.add(sym); console.log(` 🟢 DAY: ${sym} | $${signal.ep.toFixed(4)} | SL:$${signal.sl.toFixed(4)} | TP:$${signal.tp.toFixed(4)} | TA:${signal.ta}/11`); } } // ── Scan for new swing signals (4h + daily) ── const openSwingCount = p.open_positions.filter(pos => pos.strategy === 'swing').length; if (openSwingCount < MAX_SWING) { for (const sym of TOKENS) { if (p.open_positions.filter(pos => pos.strategy === 'swing').length >= MAX_SWING) break; if (openSymbols.has(sym)) continue; const [k4h, kD] = await Promise.all([getCandles4h(sym), getDailyCandles(sym)]); const signal = detectSwingSignal(k4h, kD); if (!signal) continue; const posSize = p.current_capital_usdc * 0.10 * sizeMultiplier; p.open_positions.push({ symbol: sym, entry_price: signal.ep, sl_price: signal.sl, tp_price: signal.tp, size_usdc: posSize, entry_time: new Date().toISOString(), btc_bull_at_entry: btcBull, tp1_hit: false, trail_peak: null, half_price: null, current_price: signal.ep, atr_at_entry: signal.atr, strategy: 'swing', }); openSymbols.add(sym); console.log(` 🔵 SWING: ${sym} | $${signal.ep.toFixed(4)} | SL:$${signal.sl.toFixed(4)} | TP:$${signal.tp.toFixed(4)} | TA:${signal.ta}/11`); } } // ── Save ── p.deployed_usdc = p.open_positions.reduce((s, pos) => s + pos.size_usdc, 0); savePortfolio(portfolio); // ── GitHub push ── try { const ghToken = fs.readFileSync(path.join(process.env.HOME, '.github_token'), 'utf8').trim(); const content = Buffer.from(JSON.stringify(portfolio, null, 2)).toString('base64'); const shaRes = await apiFetch2('https://api.github.com/repos/Zero2Ai-hub/Jarvis-Ops/contents/trading/portfolio-coordinated.json', ghToken); const sha = shaRes.sha || ''; await apiFetch2Put('https://api.github.com/repos/Zero2Ai-hub/Jarvis-Ops/contents/trading/portfolio-coordinated.json', ghToken, JSON.stringify({ message: 'trading: coordinated portfolio update', content, sha: sha || undefined })); console.log('GitHub updated ✅'); } catch(e) { console.log('GitHub push failed:', e.message); } // Summary const totalPnl = p.current_capital_usdc - p.starting_capital_usdc; const wr = p.stats.total_trades > 0 ? (p.stats.wins / p.stats.total_trades * 100).toFixed(1) : '—'; const dc = p.open_positions.filter(pos => pos.strategy === 'day').length; const sc = p.open_positions.filter(pos => pos.strategy === 'swing').length; console.log(`\nCoordinated: $${p.current_capital_usdc.toFixed(2)} | PnL: ${totalPnl >= 0 ? '+' : ''}$${totalPnl.toFixed(2)} | WR: ${wr}% | Day: ${dc}/${MAX_DAY} | Swing: ${sc}/${MAX_SWING}`); console.log('Done ✅'); } run().catch(e => { console.error('Error:', e.message); process.exit(1); }); FILE:scripts/paper-monitor-swing-v2.js #!/usr/bin/env node /** * paper-monitor-swing-v2.js — Swing Trading with MTPI Gate * Same SMC entry logic (Daily BoS → 4h FVG + TA≥5), but gated by MTPI * probability instead of simple daily EMA cross. * MTPI ≥ 0.5 → entries allowed. MTPI < 0.5 → no new positions. * Runs every 4h (XX:35 UTC). Separate portfolio for A/B comparison. */ 'use strict'; const https = require('https'); const fs = require('fs'); const path = require('path'); const PORTFOLIO_FILE = path.join(process.env.HOME, '.openclaw/workspace/trading/paper-dashboard/portfolio-swing-v2.json'); const REGIME_FILE = path.join(process.env.HOME, '.openclaw/workspace/trading/paper-dashboard/regime.json'); const TOKENS = [ 'BTCUSDT','ETHUSDT','SOLUSDT','BNBUSDT','XRPUSDT','DOGEUSDT','AVAXUSDT','LINKUSDT', 'ARBUSDT','OPUSDT','SUIUSDT','APTUSDT','INJUSDT','SEIUSDT','FETUSDT','RENDERUSDT', 'TAOUSDT','NEARUSDT','WIFUSDT','JUPUSDT','TIAUSDT','DYMUSDT','STRKUSDT','TONUSDT', 'NOTUSDT','EIGENUSDT','GRASSUSDT','VIRTUALUSDT','AKTUSDT', ]; // Best swing config from Phase 3 backtest (row #9) const P = { swN: 5, // swing lookback for daily BoS fvgAge: 6, // max FVG age in 4h candles (24h) fvgSearch: 4, // candles to search for FVG after BoS maxHold: 72, // max hold time in hours (3 days) maxConcurrent: 5, // swing positions (orchestrator may override) posPct: 0.10, // 10% position size // ATR-based SL/TP slAtrMult: 2.5, tpAtrMult: 5.0, trailAtrMult: 3.0, atrPeriod: 14, // TA z-score taMinScore: 5, taZLookback: 30, // Volume z-score volZThreshold: 0.0, // best config had volZ=0 (no filter) volLookback: 30, // FVG z-score fvgZThreshold: 0.0, }; function apiFetch(url) { return new Promise((res, rej) => { const r = https.get(url, resp => { let d = ''; resp.on('data', c => d += c); resp.on('end', () => { try { res(JSON.parse(d)); } catch(e) { rej(e); } }); }); r.on('error', rej); r.setTimeout(15000, () => { r.destroy(); rej(new Error('timeout')); }); }); } function apiFetch2(url, token) { return new Promise((res, rej) => { const r = https.get(url, { headers: { Authorization: `token ${token}`, Accept: 'application/vnd.github.v3+json', 'User-Agent': 'Jarvis' } }, resp => { let d = ''; resp.on('data', c => d += c); resp.on('end', () => { try { res(JSON.parse(d)); } catch(e) { rej(e); } }); }); r.on('error', rej); r.setTimeout(10000, () => { r.destroy(); rej(new Error('timeout')); }); }); } function apiFetch2Put(url, token, body) { return new Promise((res, rej) => { const opts = require('url').parse(url); opts.method = 'PUT'; opts.headers = { Authorization: `token ${token}`, Accept: 'application/vnd.github.v3+json', 'Content-Type': 'application/json', 'User-Agent': 'Jarvis', 'Content-Length': Buffer.byteLength(body) }; const r = require('https').request(opts, resp => { let d = ''; resp.on('data', c => d += c); resp.on('end', () => { try { res(JSON.parse(d)); } catch(e) { rej(e); } }); }); r.on('error', rej); r.write(body); r.end(); }); } const sleep = ms => new Promise(r => setTimeout(r, ms)); // ─── Math helpers ───────────────────────────────────────────────────────────── function calcEMA(v,p){const k=2/(p+1);let e=v[0];return v.map((x,i)=>{if(i>0)e=x*k+e*(1-k);return e;});} function calcATR(cs,period=14){const t=cs.map((c,i)=>{if(i===0)return c.h-c.l;const p2=cs[i-1].c;return Math.max(c.h-c.l,Math.abs(c.h-p2),Math.abs(c.l-p2));});const a=[];for(let i=0;is+v2,0)/period);}else{a.push((a[i-1]*(period-1)+t[i])/period);}}return a;} function calcRSI(c,p=14){const r=Array(c.length).fill(null);let ag=0,al=0;for(let i=1;i<=p;i++){const d=c[i]-c[i-1];if(d>0)ag+=d;else al-=d;}ag/=p;al/=p;r[p]=al===0?100:100-100/(1+ag/al);for(let i=p+1;i0?d:0))/p;al=(al*(p-1)+(d<0?-d:0))/p;r[i]=al===0?100:100-100/(1+ag/al);}return r;} function calcMACD(c){const e12=calcEMA(c,12),e26=calcEMA(c,26);const ml=c.map((_,i)=>e12[i]-e26[i]);const sig=calcEMA(ml.slice(25),9);const h=[];for(let i=0;ics[i-1].c)o.push(o[i-1]+cs[i].v);else if(cs[i].ca+b,0)/p;const st=Math.sqrt(sl.reduce((a,b)=>a+(b-m)**2,0)/p);s.push(m);u.push(m+2*st);l.push(m-2*st);}return{sma:s,upper:u,lower:l};} function zScore(value, arr) { if (arr.length < 2) return 0; const mean = arr.reduce((s,v)=>s+v,0)/arr.length; const std = Math.sqrt(arr.reduce((s,v)=>s+(v-mean)**2,0)/arr.length); return std === 0 ? 0 : (value - mean) / std; } // ─── TA Confluence ──────────────────────────────────────────────────────────── function taConfluenceScore(cs, idx) { const closes = cs.map(c => c.c); const rsi = calcRSI(closes); const macd = calcMACD(closes); const obv = calcOBV(cs); const ema9 = calcEMA(closes, 9); const ema21 = calcEMA(closes, 21); const bb = calcBB(closes); const i = idx; let score = 0; if (rsi[i] !== null) { const rsiW = rsi.slice(Math.max(0,i-P.taZLookback), i).filter(v=>v!==null); const rsiZ = zScore(rsi[i], rsiW); if (rsiZ > 0.3 && rsi[i] < 78) score += 2; if (rsiZ > 1.0 && rsi[i] < 75) score += 1; } if (macd.histogram[i] !== null) { const mW = macd.histogram.slice(Math.max(0,i-P.taZLookback), i).filter(v=>v!==null); const mZ = zScore(macd.histogram[i], mW); if (mZ > 0.3) score += 1; if (i > 0 && macd.histogram[i] > (macd.histogram[i-1]||0)) score += 1; } if (ema9[i] > ema21[i]) score += 2; if (bb.sma[i] !== null) { const range = bb.upper[i] - bb.lower[i]; if (range > 0) { const pB = (closes[i] - bb.lower[i]) / range; if (pB > 0.5 && pB < 0.85) score += 2; } } if (i > 10) { const obvD = obv[i] - obv[i-5]; const obvDs = []; for (let j = Math.max(6, i-P.taZLookback); j < i; j++) obvDs.push(obv[j] - obv[j-5]); const oZ = zScore(obvD, obvDs); if (oZ > 0.5) score += 1; if (oZ > 1.0) score += 1; } return score; } // ─── BTC Regime ─────────────────────────────────────────────────────────────── async function getBTCRegime() { try { const r = await apiFetch('https://fapi.binance.com/fapi/v1/klines?symbol=BTCUSDT&interval=1d&limit=60'); const closes = r.map(k => parseFloat(k[4])); const e20 = calcEMA(closes, 20), e50 = calcEMA(closes, 50); return e20[e20.length-1] > e50[e50.length-1] ? 'bullish' : 'bearish'; } catch { return 'unknown'; } } // ─── Data ───────────────────────────────────────────────────────────────────── async function getCandles4h(sym, limit=200) { try { await sleep(80); const r = await apiFetch(`https://fapi.binance.com/fapi/v1/klines?symbol=${sym}&interval=4h&limit=${limit}`); return r.map(k => ({ ts:k[0], o:+k[1], h:+k[2], l:+k[3], c:+k[4], v:+k[5]*+k[4], tbv:+k[9]*+k[4] })); } catch { return []; } } async function getDailyCandles(sym, limit=120) { try { await sleep(80); const r = await apiFetch(`https://fapi.binance.com/fapi/v1/klines?symbol=${sym}&interval=1d&limit=${limit}`); return r.map(k => ({ ts:k[0], o:+k[1], h:+k[2], l:+k[3], c:+k[4], v:+k[5]*+k[4] })); } catch { return []; } } // ─── SMC on Daily → 4h Entry ───────────────────────────────────────────────── function findDailySwingHighs(kD) { const sh = Array(kD.length).fill(null); const n = P.swN; for (let i = n; i < kD.length - n; i++) { let ok = true; for (let j = 1; j <= n; j++) { if (kD[i-j].h >= kD[i].h || kD[i+j].h >= kD[i].h) { ok = false; break; } } if (ok) sh[i] = kD[i].h; } return sh; } function hasDailyBoS(kD, sh) { // Check if any of the last 5 daily candles broke a swing high for (let i = kD.length - 5; i < kD.length; i++) { if (i < P.swN + 1) continue; for (let j = i - 1; j >= Math.max(0, i - 30); j--) { if (sh[j] !== null && kD[i].c > sh[j]) return true; } } return false; } function detect4hSignal(cs, hasBoS) { if (!hasBoS) return null; const atrs = calcATR(cs, P.atrPeriod); // Look for FVG in recent candles (within fvgAge) for (let j = cs.length - 1; j >= Math.max(2, cs.length - P.fvgAge); j--) { const gap = cs[j].l - cs[j-2].h; if (gap <= 0) continue; const gapPct = gap / cs[j].c; if (gapPct < 0.0005) continue; // FVG z-score if (P.fvgZThreshold > 0) { const recentGaps = []; for (let g = Math.max(2, j-50); g < j; g++) { const pg = cs[g].l - cs[g-2].h; if (pg > 0) recentGaps.push(pg / cs[g].c); } const fZ = zScore(gapPct, recentGaps); if (fZ < P.fvgZThreshold) continue; } // Check if latest candle is retesting FVG const fvgLo = cs[j-2].h, fvgHi = cs[j].l, fvgMid = (fvgLo + fvgHi) / 2; const latest = cs[cs.length - 1]; const lastIdx = cs.length - 1; if (!(latest.l <= fvgHi && latest.h >= fvgLo)) continue; // Volume z-score if (P.volZThreshold > 0) { const vols = cs.slice(Math.max(0, lastIdx - P.volLookback), lastIdx).map(c => c.v); const vZ = zScore(latest.v, vols); if (vZ < P.volZThreshold) continue; } const atr = atrs[lastIdx]; if (!atr) continue; const ep = Math.min(latest.c, fvgMid); // OB low for SL let obLo = ep - atr * P.slAtrMult; for (let k = j - 1; k >= Math.max(0, j - 15); k--) { if (cs[k].c < cs[k].o) { obLo = cs[k].l; break; } } const sl = Math.max(obLo * 0.999, ep - atr * P.slAtrMult); const tp = ep + atr * P.tpAtrMult; if (sl >= ep) continue; const rr = (tp - ep) / (ep - sl); if (rr < 1.5) continue; return { ep, sl, tp, fvgMid, gap: gapPct, atr }; } return null; } // ─── Portfolio ──────────────────────────────────────────────────────────────── function loadPortfolio() { try { return JSON.parse(fs.readFileSync(PORTFOLIO_FILE, 'utf8')); } catch { return { version: '1.0', last_updated: new Date().toISOString(), strategy: 'Swing v2 — Daily BoS → 4h FVG + TA≥5 + MTPI Gate | Paper Trading', btc_regime: 'unknown', paper_portfolio: { starting_capital_usdc: 1000, current_capital_usdc: 1000, deployed_usdc: 0, open_positions: [], closed_trades: [], stats: { total_trades:0, wins:0, losses:0, total_pnl_usdc:0 } } }; } } function savePortfolio(data) { data.last_updated = new Date().toISOString(); fs.mkdirSync(path.dirname(PORTFOLIO_FILE), { recursive: true }); fs.writeFileSync(PORTFOLIO_FILE, JSON.stringify(data, null, 2)); } // ─── Main ───────────────────────────────────────────────────────────────────── async function run() { const uaeTime = new Date().toLocaleString('en-AE', { timeZone: 'Asia/Dubai', hour12: false }); console.log(`\n[${uaeTime} UAE] Swing paper monitor running...`); const portfolio = loadPortfolio(); const p = portfolio.paper_portfolio; // 1. Read MTPI from regime.json let mtpi = 0.5, mtpiSignal = 'NO_DATA'; try { const regime = JSON.parse(fs.readFileSync(REGIME_FILE, 'utf8')); if (regime.mtpi) { mtpi = regime.mtpi.mtpi; mtpiSignal = regime.mtpi.signal; } portfolio.btc_regime = regime.classification?.composite_signal || 'unknown'; portfolio.mtpi = mtpi; portfolio.mtpi_signal = mtpiSignal; } catch { console.log(' ⚠️ regime.json not found — using MTPI=0.5'); } const mtpiAllowEntry = mtpi >= 0.5; const sizeMultiplier = mtpi >= 0.6 ? 1.0 : 0.7; console.log(`MTPI: ${(mtpi*100).toFixed(1)}% ${mtpiSignal} → ${mtpiAllowEntry ? '✅ entries allowed' : '⛔ ENTRIES BLOCKED'} | Size: ${(sizeMultiplier*100).toFixed(0)}%`); // 2. Manage open positions const now = Date.now(); const stillOpen = []; const atrs4h = {}; for (const pos of p.open_positions) { const ageH = (now - new Date(pos.entry_time).getTime()) / 3600000; try { await sleep(80); const ticker = await apiFetch(`https://fapi.binance.com/fapi/v1/ticker/price?symbol=${pos.symbol}`); const price = parseFloat(ticker.price); pos.current_price = price; // Get current ATR for trailing let currentATR = pos.atr_at_entry || 0; if (!atrs4h[pos.symbol]) { const cs = await getCandles4h(pos.symbol, 20); if (cs.length >= 15) { const atrs = calcATR(cs, 14); currentATR = atrs[atrs.length - 1] || currentATR; atrs4h[pos.symbol] = currentATR; } } else { currentATR = atrs4h[pos.symbol]; } let closed = false; let exitType = '', exitPrice = price, pnlPct = 0; // SL if (price <= pos.sl_price) { exitType = 'SL'; exitPrice = pos.sl_price; closed = true; } // TP1 (half position) else if (!pos.tp1_hit && price >= pos.tp_price) { pos.tp1_hit = true; pos.half_price = pos.tp_price; pos.trail_peak = price; stillOpen.push(pos); console.log(` 📈 ${pos.symbol} TP1 hit at $${price.toFixed(4)} — trailing stop active`); continue; } // Trailing stop after TP1 else if (pos.tp1_hit) { if (price > (pos.trail_peak || pos.tp_price)) pos.trail_peak = price; const trailSL = (pos.trail_peak || price) - currentATR * P.trailAtrMult; if (price <= trailSL) { exitType = 'TRAIL'; exitPrice = trailSL; closed = true; pnlPct = ((pos.half_price - pos.entry_price)*0.5 + (exitPrice - pos.entry_price)*0.5) / pos.entry_price * 100; } } // Time exit (72h = 3 days) else if (ageH >= P.maxHold) { exitType = 'TIME'; closed = true; } if (closed) { if (pnlPct === 0) pnlPct = (exitPrice - pos.entry_price) / pos.entry_price * 100; const pnlUSD = pos.size_usdc * pnlPct / 100; p.current_capital_usdc += pnlUSD; p.stats.total_trades++; if (pnlUSD > 0) p.stats.wins++; else p.stats.losses++; p.stats.total_pnl_usdc += pnlUSD; p.closed_trades.push({ symbol: pos.symbol, entry_price: pos.entry_price, exit_price: exitPrice, entry_time: pos.entry_time, exit_time: new Date().toISOString(), held_hours: parseFloat(ageH.toFixed(1)), pnl_pct: parseFloat(pnlPct.toFixed(3)), pnl_usd: parseFloat(pnlUSD.toFixed(2)), exit_type: exitType, size_usdc: pos.size_usdc, btc_bull: pos.btc_bull_at_entry, strategy: 'swing', }); console.log(` ${pnlUSD > 0 ? '✅' : '❌'} ${pos.symbol} CLOSED | ${exitType} | ${pnlPct >= 0 ? '+' : ''}${pnlPct.toFixed(2)}% | $${pnlUSD >= 0 ? '+' : ''}${pnlUSD.toFixed(2)} | held ${ageH.toFixed(0)}h`); } else { stillOpen.push(pos); } } catch(e) { stillOpen.push(pos); } } p.open_positions = stillOpen; // 3. Scan for new swing signals (gated by MTPI) if (p.open_positions.length < P.maxConcurrent && mtpiAllowEntry) { const openSymbols = new Set(p.open_positions.map(pos => pos.symbol)); for (const sym of TOKENS) { if (p.open_positions.length >= P.maxConcurrent) break; if (openSymbols.has(sym)) continue; // Get daily candles for BoS detection const kD = await getDailyCandles(sym, 60); if (kD.length < 15) continue; const dailySH = findDailySwingHighs(kD); const hasBoS = hasDailyBoS(kD, dailySH); if (!hasBoS) continue; // Get 4h candles for entry const k4h = await getCandles4h(sym, 100); if (k4h.length < 60) continue; const signal = detect4hSignal(k4h, hasBoS); if (!signal) continue; // TA confluence gate const ta = taConfluenceScore(k4h, k4h.length - 1); if (ta < P.taMinScore) continue; const posSize = p.current_capital_usdc * P.posPct * sizeMultiplier; const pos = { symbol: sym, entry_price: signal.ep, sl_price: signal.sl, tp_price: signal.tp, size_usdc: posSize, entry_time: new Date().toISOString(), btc_bull_at_entry: mtpi >= 0.6, tp1_hit: false, trail_peak: null, half_price: null, current_price: signal.ep, atr_at_entry: signal.atr, strategy: 'swing', }; p.open_positions.push(pos); openSymbols.add(sym); console.log(` 🟢 SWING SIGNAL: ${sym} | Entry: $${signal.ep.toFixed(4)} | SL: $${signal.sl.toFixed(4)} | TP: $${signal.tp.toFixed(4)} | Size: $${posSize.toFixed(2)} | TA:${ta}/11`); } } // 4. Update p.deployed_usdc = p.open_positions.reduce((s, pos) => s + pos.size_usdc, 0); savePortfolio(portfolio); // 6. Push to GitHub try { const ghToken = fs.readFileSync(path.join(process.env.HOME, '.github_token'), 'utf8').trim(); const content = Buffer.from(JSON.stringify(portfolio, null, 2)).toString('base64'); const shaRes = await apiFetch2(`https://api.github.com/repos/Zero2Ai-hub/Jarvis-Ops/contents/trading/portfolio-swing-v2.json`, ghToken); const sha = shaRes.sha || ''; const body = JSON.stringify({ message: 'trading: swing v2 portfolio update', content, sha: sha || undefined }); await apiFetch2Put(`https://api.github.com/repos/Zero2Ai-hub/Jarvis-Ops/contents/trading/portfolio-swing-v2.json`, ghToken, body); console.log('GitHub portfolio-swing-v2.json updated ✅'); } catch(e) { console.log('GitHub push failed (non-critical):', e.message); } // 7. Log observations try { const OBS_FILE = path.join(process.env.HOME, '.openclaw/workspace/trading/observations.md'); const closedThisRun = p.closed_trades.filter(t => { return (now - new Date(t.exit_time).getTime()) / 60000 < 250; // within 4h window }); if (closedThisRun.length > 0) { const ts = new Date().toISOString().replace('T',' ').slice(0,19) + ' UTC'; let note = `\n## [${ts}] Swing Auto-Observation\n`; note += `**BTC daily regime:** ${btcRegime}\n`; note += `**Closed this cycle:**\n`; for (const t of closedThisRun) { note += `- ${t.symbol}: ${t.exit_type} | ${t.pnl_pct >= 0 ? '+' : ''}${t.pnl_pct}% ($${t.pnl_usd >= 0 ? '+' : ''}${t.pnl_usd}) | held ${t.held_hours}h\n`; } note += `---\n`; const existing = fs.existsSync(OBS_FILE) ? fs.readFileSync(OBS_FILE, 'utf8') : '# Trading Observations Log\n---\n'; const headerEnd = existing.indexOf('---\n'); if (headerEnd > -1) { fs.writeFileSync(OBS_FILE, existing.slice(0, headerEnd + 4) + note + existing.slice(headerEnd + 4)); } else { fs.writeFileSync(OBS_FILE, existing + note); } } } catch {} const totalPnl = p.current_capital_usdc - p.starting_capital_usdc; const wr = p.stats.total_trades > 0 ? (p.stats.wins / p.stats.total_trades * 100).toFixed(1) : '—'; console.log(`\nSwing Portfolio: $${p.current_capital_usdc.toFixed(2)} | PnL: ${totalPnl >= 0 ? '+' : ''}$${totalPnl.toFixed(2)} | WR: ${wr}% | Open: ${p.open_positions.length}/${P.maxConcurrent}`); console.log('Done ✅'); } run().catch(e => { console.error('Swing monitor error:', e.message); process.exit(1); }); FILE:scripts/paper-monitor-swing.js #!/usr/bin/env node /** * paper-monitor-swing.js — Swing Paper Trading Monitor * Best config from Phase 3 backtest: TA≥5, FVG6, srch4, SL2.5×ATR, TP5×ATR, trail3×ATR * Uses 4H candles + Daily BoS detection. Runs every 4h. * Separate portfolio from day trading for A/B comparison. * Reads orchestrator lock file to prevent conflicting positions. */ 'use strict'; const https = require('https'); const fs = require('fs'); const path = require('path'); const PORTFOLIO_FILE = path.join(process.env.HOME, '.openclaw/workspace/trading/paper-dashboard/portfolio-swing.json'); const LOCK_FILE = path.join(process.env.HOME, '.openclaw/workspace/trading/paper-dashboard/orchestrator-lock.json'); const TOKENS = [ 'BTCUSDT','ETHUSDT','SOLUSDT','BNBUSDT','XRPUSDT','DOGEUSDT','AVAXUSDT','LINKUSDT', 'ARBUSDT','OPUSDT','SUIUSDT','APTUSDT','INJUSDT','SEIUSDT','FETUSDT','RENDERUSDT', 'TAOUSDT','NEARUSDT','WIFUSDT','JUPUSDT','TIAUSDT','DYMUSDT','STRKUSDT','TONUSDT', 'NOTUSDT','EIGENUSDT','GRASSUSDT','VIRTUALUSDT','AKTUSDT', ]; // Best swing config from Phase 3 backtest (row #9) const P = { swN: 5, // swing lookback for daily BoS fvgAge: 6, // max FVG age in 4h candles (24h) fvgSearch: 4, // candles to search for FVG after BoS maxHold: 72, // max hold time in hours (3 days) maxConcurrent: 5, // swing positions (orchestrator may override) posPct: 0.10, // 10% position size // ATR-based SL/TP slAtrMult: 2.5, tpAtrMult: 5.0, trailAtrMult: 3.0, atrPeriod: 14, // TA z-score taMinScore: 5, taZLookback: 30, // Volume z-score volZThreshold: 0.0, // best config had volZ=0 (no filter) volLookback: 30, // FVG z-score fvgZThreshold: 0.0, }; function apiFetch(url) { return new Promise((res, rej) => { const r = https.get(url, resp => { let d = ''; resp.on('data', c => d += c); resp.on('end', () => { try { res(JSON.parse(d)); } catch(e) { rej(e); } }); }); r.on('error', rej); r.setTimeout(15000, () => { r.destroy(); rej(new Error('timeout')); }); }); } function apiFetch2(url, token) { return new Promise((res, rej) => { const r = https.get(url, { headers: { Authorization: `token ${token}`, Accept: 'application/vnd.github.v3+json', 'User-Agent': 'Jarvis' } }, resp => { let d = ''; resp.on('data', c => d += c); resp.on('end', () => { try { res(JSON.parse(d)); } catch(e) { rej(e); } }); }); r.on('error', rej); r.setTimeout(10000, () => { r.destroy(); rej(new Error('timeout')); }); }); } function apiFetch2Put(url, token, body) { return new Promise((res, rej) => { const opts = require('url').parse(url); opts.method = 'PUT'; opts.headers = { Authorization: `token ${token}`, Accept: 'application/vnd.github.v3+json', 'Content-Type': 'application/json', 'User-Agent': 'Jarvis', 'Content-Length': Buffer.byteLength(body) }; const r = require('https').request(opts, resp => { let d = ''; resp.on('data', c => d += c); resp.on('end', () => { try { res(JSON.parse(d)); } catch(e) { rej(e); } }); }); r.on('error', rej); r.write(body); r.end(); }); } const sleep = ms => new Promise(r => setTimeout(r, ms)); // ─── Math helpers ───────────────────────────────────────────────────────────── function calcEMA(v,p){const k=2/(p+1);let e=v[0];return v.map((x,i)=>{if(i>0)e=x*k+e*(1-k);return e;});} function calcATR(cs,period=14){const t=cs.map((c,i)=>{if(i===0)return c.h-c.l;const p2=cs[i-1].c;return Math.max(c.h-c.l,Math.abs(c.h-p2),Math.abs(c.l-p2));});const a=[];for(let i=0;is+v2,0)/period);}else{a.push((a[i-1]*(period-1)+t[i])/period);}}return a;} function calcRSI(c,p=14){const r=Array(c.length).fill(null);let ag=0,al=0;for(let i=1;i<=p;i++){const d=c[i]-c[i-1];if(d>0)ag+=d;else al-=d;}ag/=p;al/=p;r[p]=al===0?100:100-100/(1+ag/al);for(let i=p+1;i0?d:0))/p;al=(al*(p-1)+(d<0?-d:0))/p;r[i]=al===0?100:100-100/(1+ag/al);}return r;} function calcMACD(c){const e12=calcEMA(c,12),e26=calcEMA(c,26);const ml=c.map((_,i)=>e12[i]-e26[i]);const sig=calcEMA(ml.slice(25),9);const h=[];for(let i=0;ics[i-1].c)o.push(o[i-1]+cs[i].v);else if(cs[i].ca+b,0)/p;const st=Math.sqrt(sl.reduce((a,b)=>a+(b-m)**2,0)/p);s.push(m);u.push(m+2*st);l.push(m-2*st);}return{sma:s,upper:u,lower:l};} function zScore(value, arr) { if (arr.length < 2) return 0; const mean = arr.reduce((s,v)=>s+v,0)/arr.length; const std = Math.sqrt(arr.reduce((s,v)=>s+(v-mean)**2,0)/arr.length); return std === 0 ? 0 : (value - mean) / std; } // ─── TA Confluence ──────────────────────────────────────────────────────────── function taConfluenceScore(cs, idx) { const closes = cs.map(c => c.c); const rsi = calcRSI(closes); const macd = calcMACD(closes); const obv = calcOBV(cs); const ema9 = calcEMA(closes, 9); const ema21 = calcEMA(closes, 21); const bb = calcBB(closes); const i = idx; let score = 0; if (rsi[i] !== null) { const rsiW = rsi.slice(Math.max(0,i-P.taZLookback), i).filter(v=>v!==null); const rsiZ = zScore(rsi[i], rsiW); if (rsiZ > 0.3 && rsi[i] < 78) score += 2; if (rsiZ > 1.0 && rsi[i] < 75) score += 1; } if (macd.histogram[i] !== null) { const mW = macd.histogram.slice(Math.max(0,i-P.taZLookback), i).filter(v=>v!==null); const mZ = zScore(macd.histogram[i], mW); if (mZ > 0.3) score += 1; if (i > 0 && macd.histogram[i] > (macd.histogram[i-1]||0)) score += 1; } if (ema9[i] > ema21[i]) score += 2; if (bb.sma[i] !== null) { const range = bb.upper[i] - bb.lower[i]; if (range > 0) { const pB = (closes[i] - bb.lower[i]) / range; if (pB > 0.5 && pB < 0.85) score += 2; } } if (i > 10) { const obvD = obv[i] - obv[i-5]; const obvDs = []; for (let j = Math.max(6, i-P.taZLookback); j < i; j++) obvDs.push(obv[j] - obv[j-5]); const oZ = zScore(obvD, obvDs); if (oZ > 0.5) score += 1; if (oZ > 1.0) score += 1; } return score; } // ─── BTC Regime ─────────────────────────────────────────────────────────────── async function getBTCRegime() { try { const r = await apiFetch('https://fapi.binance.com/fapi/v1/klines?symbol=BTCUSDT&interval=1d&limit=60'); const closes = r.map(k => parseFloat(k[4])); const e20 = calcEMA(closes, 20), e50 = calcEMA(closes, 50); return e20[e20.length-1] > e50[e50.length-1] ? 'bullish' : 'bearish'; } catch { return 'unknown'; } } // ─── Data ───────────────────────────────────────────────────────────────────── async function getCandles4h(sym, limit=200) { try { await sleep(80); const r = await apiFetch(`https://fapi.binance.com/fapi/v1/klines?symbol=${sym}&interval=4h&limit=${limit}`); return r.map(k => ({ ts:k[0], o:+k[1], h:+k[2], l:+k[3], c:+k[4], v:+k[5]*+k[4], tbv:+k[9]*+k[4] })); } catch { return []; } } async function getDailyCandles(sym, limit=120) { try { await sleep(80); const r = await apiFetch(`https://fapi.binance.com/fapi/v1/klines?symbol=${sym}&interval=1d&limit=${limit}`); return r.map(k => ({ ts:k[0], o:+k[1], h:+k[2], l:+k[3], c:+k[4], v:+k[5]*+k[4] })); } catch { return []; } } // ─── SMC on Daily → 4h Entry ───────────────────────────────────────────────── function findDailySwingHighs(kD) { const sh = Array(kD.length).fill(null); const n = P.swN; for (let i = n; i < kD.length - n; i++) { let ok = true; for (let j = 1; j <= n; j++) { if (kD[i-j].h >= kD[i].h || kD[i+j].h >= kD[i].h) { ok = false; break; } } if (ok) sh[i] = kD[i].h; } return sh; } function hasDailyBoS(kD, sh) { // Check if any of the last 5 daily candles broke a swing high for (let i = kD.length - 5; i < kD.length; i++) { if (i < P.swN + 1) continue; for (let j = i - 1; j >= Math.max(0, i - 30); j--) { if (sh[j] !== null && kD[i].c > sh[j]) return true; } } return false; } function detect4hSignal(cs, hasBoS) { if (!hasBoS) return null; const atrs = calcATR(cs, P.atrPeriod); // Look for FVG in recent candles (within fvgAge) for (let j = cs.length - 1; j >= Math.max(2, cs.length - P.fvgAge); j--) { const gap = cs[j].l - cs[j-2].h; if (gap <= 0) continue; const gapPct = gap / cs[j].c; if (gapPct < 0.0005) continue; // FVG z-score if (P.fvgZThreshold > 0) { const recentGaps = []; for (let g = Math.max(2, j-50); g < j; g++) { const pg = cs[g].l - cs[g-2].h; if (pg > 0) recentGaps.push(pg / cs[g].c); } const fZ = zScore(gapPct, recentGaps); if (fZ < P.fvgZThreshold) continue; } // Check if latest candle is retesting FVG const fvgLo = cs[j-2].h, fvgHi = cs[j].l, fvgMid = (fvgLo + fvgHi) / 2; const latest = cs[cs.length - 1]; const lastIdx = cs.length - 1; if (!(latest.l <= fvgHi && latest.h >= fvgLo)) continue; // Volume z-score if (P.volZThreshold > 0) { const vols = cs.slice(Math.max(0, lastIdx - P.volLookback), lastIdx).map(c => c.v); const vZ = zScore(latest.v, vols); if (vZ < P.volZThreshold) continue; } const atr = atrs[lastIdx]; if (!atr) continue; const ep = Math.min(latest.c, fvgMid); // OB low for SL let obLo = ep - atr * P.slAtrMult; for (let k = j - 1; k >= Math.max(0, j - 15); k--) { if (cs[k].c < cs[k].o) { obLo = cs[k].l; break; } } const sl = Math.min(obLo * 0.999, ep - atr * P.slAtrMult); const tp = ep + atr * P.tpAtrMult; if (sl >= ep) continue; const rr = (tp - ep) / (ep - sl); if (rr < 1.5) continue; return { ep, sl, tp, fvgMid, gap: gapPct, atr }; } return null; } // ─── Orchestrator Lock ──────────────────────────────────────────────────────── function getLockedSymbols() { try { const lock = JSON.parse(fs.readFileSync(LOCK_FILE, 'utf8')); return new Set(lock.day_trading_symbols || []); } catch { return new Set(); } } function updateOrchestratorLock(openSymbols) { try { let lock = {}; try { lock = JSON.parse(fs.readFileSync(LOCK_FILE, 'utf8')); } catch {} lock.swing_symbols = [...openSymbols]; lock.swing_updated = new Date().toISOString(); fs.writeFileSync(LOCK_FILE, JSON.stringify(lock, null, 2)); } catch {} } // ─── Portfolio ──────────────────────────────────────────────────────────────── function loadPortfolio() { try { return JSON.parse(fs.readFileSync(PORTFOLIO_FILE, 'utf8')); } catch { return { version: '1.0', last_updated: new Date().toISOString(), strategy: 'Swing SMC — Daily BoS → 4h FVG + TA ≥5 | Paper Trading', btc_regime: 'unknown', paper_portfolio: { starting_capital_usdc: 1000, current_capital_usdc: 1000, deployed_usdc: 0, open_positions: [], closed_trades: [], stats: { total_trades:0, wins:0, losses:0, total_pnl_usdc:0 } } }; } } function savePortfolio(data) { data.last_updated = new Date().toISOString(); fs.mkdirSync(path.dirname(PORTFOLIO_FILE), { recursive: true }); fs.writeFileSync(PORTFOLIO_FILE, JSON.stringify(data, null, 2)); } // ─── Main ───────────────────────────────────────────────────────────────────── async function run() { const uaeTime = new Date().toLocaleString('en-AE', { timeZone: 'Asia/Dubai', hour12: false }); console.log(`\n[${uaeTime} UAE] Swing paper monitor running...`); const portfolio = loadPortfolio(); const p = portfolio.paper_portfolio; // 1. BTC daily regime const btcRegime = await getBTCRegime(); portfolio.btc_regime = btcRegime; const btcBull = btcRegime === 'bullish'; const sizeMultiplier = btcBull ? 1.0 : 0.5; console.log(`BTC daily regime: ${btcRegime} → size: ${btcBull ? '10%' : '5%'}`); // 2. Check orchestrator lock for conflicting symbols const lockedSymbols = getLockedSymbols(); if (lockedSymbols.size > 0) { console.log(`Orchestrator lock: ${lockedSymbols.size} symbols held by day trading: ${[...lockedSymbols].join(', ')}`); } // 3. Manage open positions const now = Date.now(); const stillOpen = []; const atrs4h = {}; for (const pos of p.open_positions) { const ageH = (now - new Date(pos.entry_time).getTime()) / 3600000; try { await sleep(80); const ticker = await apiFetch(`https://fapi.binance.com/fapi/v1/ticker/price?symbol=${pos.symbol}`); const price = parseFloat(ticker.price); pos.current_price = price; // Get current ATR for trailing let currentATR = pos.atr_at_entry || 0; if (!atrs4h[pos.symbol]) { const cs = await getCandles4h(pos.symbol, 20); if (cs.length >= 15) { const atrs = calcATR(cs, 14); currentATR = atrs[atrs.length - 1] || currentATR; atrs4h[pos.symbol] = currentATR; } } else { currentATR = atrs4h[pos.symbol]; } let closed = false; let exitType = '', exitPrice = price, pnlPct = 0; // SL if (price <= pos.sl_price) { exitType = 'SL'; exitPrice = pos.sl_price; closed = true; } // TP1 (half position) else if (!pos.tp1_hit && price >= pos.tp_price) { pos.tp1_hit = true; pos.half_price = pos.tp_price; pos.trail_peak = price; stillOpen.push(pos); console.log(` 📈 ${pos.symbol} TP1 hit at $${price.toFixed(4)} — trailing stop active`); continue; } // Trailing stop after TP1 else if (pos.tp1_hit) { if (price > (pos.trail_peak || pos.tp_price)) pos.trail_peak = price; const trailSL = (pos.trail_peak || price) - currentATR * P.trailAtrMult; if (price <= trailSL) { exitType = 'TRAIL'; exitPrice = trailSL; closed = true; pnlPct = ((pos.half_price - pos.entry_price)*0.5 + (exitPrice - pos.entry_price)*0.5) / pos.entry_price * 100; } } // Time exit (72h = 3 days) else if (ageH >= P.maxHold) { exitType = 'TIME'; closed = true; } if (closed) { if (pnlPct === 0) pnlPct = (exitPrice - pos.entry_price) / pos.entry_price * 100; const pnlUSD = pos.size_usdc * pnlPct / 100; p.current_capital_usdc += pnlUSD; p.stats.total_trades++; if (pnlUSD > 0) p.stats.wins++; else p.stats.losses++; p.stats.total_pnl_usdc += pnlUSD; p.closed_trades.push({ symbol: pos.symbol, entry_price: pos.entry_price, exit_price: exitPrice, entry_time: pos.entry_time, exit_time: new Date().toISOString(), held_hours: parseFloat(ageH.toFixed(1)), pnl_pct: parseFloat(pnlPct.toFixed(3)), pnl_usd: parseFloat(pnlUSD.toFixed(2)), exit_type: exitType, size_usdc: pos.size_usdc, btc_bull: pos.btc_bull_at_entry, strategy: 'swing', }); console.log(` ${pnlUSD > 0 ? '✅' : '❌'} ${pos.symbol} CLOSED | ${exitType} | ${pnlPct >= 0 ? '+' : ''}${pnlPct.toFixed(2)}% | $${pnlUSD >= 0 ? '+' : ''}${pnlUSD.toFixed(2)} | held ${ageH.toFixed(0)}h`); } else { stillOpen.push(pos); } } catch(e) { stillOpen.push(pos); } } p.open_positions = stillOpen; // 4. Scan for new swing signals if (p.open_positions.length < P.maxConcurrent) { const openSymbols = new Set(p.open_positions.map(pos => pos.symbol)); for (const sym of TOKENS) { if (p.open_positions.length >= P.maxConcurrent) break; if (openSymbols.has(sym)) continue; if (lockedSymbols.has(sym)) { // Skip — day trading already has this symbol continue; } // Get daily candles for BoS detection const kD = await getDailyCandles(sym, 60); if (kD.length < 15) continue; const dailySH = findDailySwingHighs(kD); const hasBoS = hasDailyBoS(kD, dailySH); if (!hasBoS) continue; // Get 4h candles for entry const k4h = await getCandles4h(sym, 100); if (k4h.length < 60) continue; const signal = detect4hSignal(k4h, hasBoS); if (!signal) continue; // TA confluence gate const ta = taConfluenceScore(k4h, k4h.length - 1); if (ta < P.taMinScore) continue; const posSize = p.current_capital_usdc * P.posPct * sizeMultiplier; const pos = { symbol: sym, entry_price: signal.ep, sl_price: signal.sl, tp_price: signal.tp, size_usdc: posSize, entry_time: new Date().toISOString(), btc_bull_at_entry: btcBull, tp1_hit: false, trail_peak: null, half_price: null, current_price: signal.ep, atr_at_entry: signal.atr, strategy: 'swing', }; p.open_positions.push(pos); openSymbols.add(sym); console.log(` 🟢 SWING SIGNAL: ${sym} | Entry: $${signal.ep.toFixed(4)} | SL: $${signal.sl.toFixed(4)} | TP: $${signal.tp.toFixed(4)} | Size: $${posSize.toFixed(2)} | TA:${ta}/11`); } } // 5. Update p.deployed_usdc = p.open_positions.reduce((s, pos) => s + pos.size_usdc, 0); savePortfolio(portfolio); // Update orchestrator lock const swingSymbols = new Set(p.open_positions.map(pos => pos.symbol)); updateOrchestratorLock(swingSymbols); // 6. Push to GitHub try { const ghToken = fs.readFileSync(path.join(process.env.HOME, '.github_token'), 'utf8').trim(); const content = Buffer.from(JSON.stringify(portfolio, null, 2)).toString('base64'); const shaRes = await apiFetch2(`https://api.github.com/repos/Zero2Ai-hub/Jarvis-Ops/contents/trading/portfolio-swing.json`, ghToken); const sha = shaRes.sha || ''; const body = JSON.stringify({ message: 'trading: swing portfolio update', content, sha: sha || undefined }); await apiFetch2Put(`https://api.github.com/repos/Zero2Ai-hub/Jarvis-Ops/contents/trading/portfolio-swing.json`, ghToken, body); console.log('GitHub portfolio-swing.json updated ✅'); } catch(e) { console.log('GitHub push failed (non-critical):', e.message); } // 7. Log observations try { const OBS_FILE = path.join(process.env.HOME, '.openclaw/workspace/trading/observations.md'); const closedThisRun = p.closed_trades.filter(t => { return (now - new Date(t.exit_time).getTime()) / 60000 < 250; // within 4h window }); if (closedThisRun.length > 0) { const ts = new Date().toISOString().replace('T',' ').slice(0,19) + ' UTC'; let note = `\n## [${ts}] Swing Auto-Observation\n`; note += `**BTC daily regime:** ${btcRegime}\n`; note += `**Closed this cycle:**\n`; for (const t of closedThisRun) { note += `- ${t.symbol}: ${t.exit_type} | ${t.pnl_pct >= 0 ? '+' : ''}${t.pnl_pct}% ($${t.pnl_usd >= 0 ? '+' : ''}${t.pnl_usd}) | held ${t.held_hours}h\n`; } note += `---\n`; const existing = fs.existsSync(OBS_FILE) ? fs.readFileSync(OBS_FILE, 'utf8') : '# Trading Observations Log\n---\n'; const headerEnd = existing.indexOf('---\n'); if (headerEnd > -1) { fs.writeFileSync(OBS_FILE, existing.slice(0, headerEnd + 4) + note + existing.slice(headerEnd + 4)); } else { fs.writeFileSync(OBS_FILE, existing + note); } } } catch {} const totalPnl = p.current_capital_usdc - p.starting_capital_usdc; const wr = p.stats.total_trades > 0 ? (p.stats.wins / p.stats.total_trades * 100).toFixed(1) : '—'; console.log(`\nSwing Portfolio: $${p.current_capital_usdc.toFixed(2)} | PnL: ${totalPnl >= 0 ? '+' : ''}$${totalPnl.toFixed(2)} | WR: ${wr}% | Open: ${p.open_positions.length}/${P.maxConcurrent}`); console.log('Done ✅'); } run().catch(e => { console.error('Swing monitor error:', e.message); process.exit(1); }); FILE:scripts/paper-monitor-v5.js #!/usr/bin/env node /** * paper-monitor-v5.js — Live Paper Trading Monitor * SMC v5.0 — Hybrid SMC + TA + CVD Confirmation * Runs every 1h (XX:01 UTC). Scans all 29 tokens. * SMC structural signal + z-scored TA (≥5) + strict CVD delta (z≥0.5). * Separate portfolio from v4.0 for A/B comparison. */ 'use strict'; const https = require('https'); const fs = require('fs'); const path = require('path'); const PORTFOLIO_FILE = path.join(process.env.HOME, '.openclaw/workspace/trading/paper-dashboard/portfolio-v5.json'); const JOURNAL_FILE = path.join(process.env.HOME, '.openclaw/workspace/trading/journal-v5.json'); const LOCK_FILE = path.join(process.env.HOME, '.openclaw/workspace/trading/paper-dashboard/orchestrator-lock.json'); const TOKENS = [ 'BTCUSDT','ETHUSDT','SOLUSDT','BNBUSDT','XRPUSDT','DOGEUSDT','AVAXUSDT','LINKUSDT', 'ARBUSDT','OPUSDT','SUIUSDT','APTUSDT','INJUSDT','SEIUSDT','FETUSDT','RENDERUSDT', 'TAOUSDT','NEARUSDT','WIFUSDT','JUPUSDT','TIAUSDT','DYMUSDT','STRKUSDT','TONUSDT', 'NOTUSDT','EIGENUSDT','GRASSUSDT','VIRTUALUSDT','AKTUSDT', ]; const P = { swN:3, fvgAge:8, tr:0.03, maxH:12, maxConcurrent:10, posPct:0.10, // v5.0 z-score params (Config H: SMC+TA≥5+CVD z≥0.5) volZThreshold: 1.0, volLookback: 30, fvgZThreshold: 0.5, fvgLookback: 50, slAtrMult: 1.5, tpAtrMult: 3.0, atrPeriod: 14, taMinScore: 5, taZLookback: 30, cvdZThreshold: 0.5, cvdLookback: 30, }; function apiFetch2(url, token) { return new Promise((res, rej) => { const r = require('https').get(url, { headers: { Authorization: `token ${token}`, Accept: 'application/vnd.github.v3+json', 'User-Agent': 'Jarvis' } }, resp => { let d = ''; resp.on('data', c => d += c); resp.on('end', () => { try { res(JSON.parse(d)); } catch(e) { rej(e); } }); }); r.on('error', rej); r.setTimeout(10000, () => { r.destroy(); rej(new Error('timeout')); }); }); } function apiFetch2Put(url, token, body) { return new Promise((res, rej) => { const opts = require('url').parse(url); opts.method = 'PUT'; opts.headers = { Authorization: `token ${token}`, Accept: 'application/vnd.github.v3+json', 'Content-Type': 'application/json', 'User-Agent': 'Jarvis', 'Content-Length': Buffer.byteLength(body) }; const r = require('https').request(opts, resp => { let d = ''; resp.on('data', c => d += c); resp.on('end', () => { try { res(JSON.parse(d)); } catch(e) { rej(e); } }); }); r.on('error', rej); r.write(body); r.end(); }); } function apiFetch(url) { return new Promise((res, rej) => { const r = https.get(url, resp => { let d = ''; resp.on('data', c => d += c); resp.on('end', () => { try { res(JSON.parse(d)); } catch(e) { rej(e); } }); }); r.on('error', rej); r.setTimeout(10000, () => { r.destroy(); rej(new Error('timeout')); }); }); } const sleep = ms => new Promise(r => setTimeout(r, ms)); function calcEMA(v, p) { const k = 2/(p+1); let e = v[0]; return v.map((x,i) => { if(i>0) e=x*k+e*(1-k); return e; }); } function zScore(value, arr) { if (arr.length < 2) return 0; const mean = arr.reduce((s,v)=>s+v,0)/arr.length; const std = Math.sqrt(arr.reduce((s,v)=>s+(v-mean)**2,0)/arr.length); if (std === 0) return 0; return (value - mean) / std; } function calcATR(cs, period=14) { const trs = cs.map((c,i) => { if (i===0) return c.h - c.l; const prev = cs[i-1].c; return Math.max(c.h - c.l, Math.abs(c.h - prev), Math.abs(c.l - prev)); }); const atrs = []; for (let i=0; is+v,0)/period); } else { atrs.push((atrs[i-1]*(period-1)+trs[i])/period); } } return atrs; } function calcSMA(v, p) { return v.map((_, i) => { if (i < p-1) return null; return v.slice(i-p+1, i+1).reduce((s,x)=>s+x,0)/p; }); } function calcRSI(closes, period=14) { const rsi = new Array(closes.length).fill(null); let avgGain = 0, avgLoss = 0; for (let i = 1; i <= period; i++) { const d = closes[i] - closes[i-1]; if (d > 0) avgGain += d; else avgLoss += Math.abs(d); } avgGain /= period; avgLoss /= period; rsi[period] = avgLoss === 0 ? 100 : 100 - 100/(1+avgGain/avgLoss); for (let i = period+1; i < closes.length; i++) { const d = closes[i] - closes[i-1]; avgGain = (avgGain*(period-1) + (d>0?d:0)) / period; avgLoss = (avgLoss*(period-1) + (d<0?Math.abs(d):0)) / period; rsi[i] = avgLoss === 0 ? 100 : 100 - 100/(1+avgGain/avgLoss); } return rsi; } function calcMACD(closes) { const e12 = calcEMA(closes, 12), e26 = calcEMA(closes, 26); const macdLine = closes.map((_, i) => e12[i] - e26[i]); const signal = calcEMA(macdLine.slice(25), 9); const histogram = []; for (let i = 0; i < closes.length; i++) { if (i < 33) { histogram.push(null); continue; } histogram.push(macdLine[i] - (signal[i-25] || 0)); } return { macdLine, histogram }; } function calcOBV(cs) { const obv = [0]; for (let i = 1; i < cs.length; i++) { if (cs[i].c > cs[i-1].c) obv.push(obv[i-1] + cs[i].v); else if (cs[i].c < cs[i-1].c) obv.push(obv[i-1] - cs[i].v); else obv.push(obv[i-1]); } return obv; } function taConfluenceScore(cs, idx) { const closes = cs.map(c => c.c); const rsi = calcRSI(closes, 14); const macd = calcMACD(closes); const obv = calcOBV(cs); const ema9 = calcEMA(closes, 9); const ema21 = calcEMA(closes, 21); const bbSma = calcSMA(closes, 20); const i = idx; const ZLB = P.taZLookback; let score = 0; // Z-scored RSI if (rsi[i] !== null) { const rsiWindow = rsi.slice(Math.max(0,i-ZLB), i).filter(v=>v!==null); const rsiZ = zScore(rsi[i], rsiWindow); if (rsiZ > 0.3 && rsi[i] < 78) score += 2; if (rsiZ > 1.0 && rsi[i] < 75) score += 1; } // Z-scored MACD histogram if (macd.histogram[i] !== null) { const macdWindow = macd.histogram.slice(Math.max(0,i-ZLB), i).filter(v=>v!==null); const macdZ = zScore(macd.histogram[i], macdWindow); if (macdZ > 0.3) score += 1; if (i > 0 && macd.histogram[i] !== null && macd.histogram[i-1] !== null && macd.histogram[i] > macd.histogram[i-1]) score += 1; } // EMA alignment (9 > 21) if (ema9[i] > ema21[i]) score += 2; // BB position (sweet spot) if (bbSma[i] !== null && i >= 19) { const slice = closes.slice(i-19, i+1); const std = Math.sqrt(slice.reduce((s,v)=>s+(v-bbSma[i])**2,0)/20); const upper = bbSma[i] + 2*std; const lower = bbSma[i] - 2*std; const range = upper - lower; if (range > 0) { const bbPct = (closes[i] - lower) / range; if (bbPct > 0.5 && bbPct < 0.85) score += 2; } } // Z-scored OBV if (i > 10) { const obvDelta = obv[i] - obv[i-5]; const obvDeltas = []; for (let j = Math.max(6, i-ZLB); j < i; j++) { obvDeltas.push(obv[j] - obv[j-5]); } const obvZ = zScore(obvDelta, obvDeltas); if (obvZ > 0.5) score += 1; if (obvZ > 1.0) score += 1; } return score; // max ~11 } async function getBTCRegime() { try { const r = await apiFetch('https://fapi.binance.com/fapi/v1/klines?symbol=BTCUSDT&interval=4h&limit=60'); const closes = r.map(k => parseFloat(k[4])); const e20 = calcEMA(closes, 20), e50 = calcEMA(closes, 50); return e20[e20.length-1] > e50[e50.length-1] ? 'bullish' : 'bearish'; } catch { return 'unknown'; } } async function getBTCFastRegime() { try { const r = await apiFetch('https://fapi.binance.com/fapi/v1/klines?symbol=BTCUSDT&interval=15m&limit=30'); const closes = r.map(k => parseFloat(k[4])); const e8 = calcEMA(closes, 8), e21 = calcEMA(closes, 21); const fast = e8[e8.length-1], slow = e21[e21.length-1]; // Also check momentum: is price accelerating down? const pctFromSlow = (fast - slow) / slow * 100; // bullish: fast > slow, neutral: within 0.15%, bearish: fast < slow if (pctFromSlow > 0.15) return { trend: 'bullish', spread: pctFromSlow }; if (pctFromSlow < -0.15) return { trend: 'bearish', spread: pctFromSlow }; return { trend: 'neutral', spread: pctFromSlow }; } catch { return { trend: 'unknown', spread: 0 }; } } async function getCandles(sym, limit=100) { try { await sleep(80); const r = await apiFetch(`https://fapi.binance.com/fapi/v1/klines?symbol=${sym}&interval=1h&limit=${limit}`); return r.map(k => ({ ts:k[0], o:parseFloat(k[1]), h:parseFloat(k[2]), l:parseFloat(k[3]), c:parseFloat(k[4]), v:parseFloat(k[5])*parseFloat(k[4]), tbv:parseFloat(k[9])*parseFloat(k[4]) // taker buy quote volume })); } catch { return []; } } function calcCVDDelta(cs) { // Delta per candle = taker buy - taker sell (taker sell = total - taker buy) return cs.map(c => { const buyVol = c.tbv || 0; const sellVol = (c.v || 0) - buyVol; return buyVol - sellVol; }); } function detectSignal(cs) { // Find swing highs const hi = new Array(cs.length).fill(null); const n = P.swN; for (let i=n; i=cs[i].h||cs[i+j].h>=cs[i].h) isH=false; if(isH) hi[i]=cs[i].h; } // Precompute ATR for SL/TP const atrs = calcATR(cs, P.atrPeriod); // Check last 5 candles for BoS + FVG for (let i=cs.length-5; i=Math.max(0,i-60); j--) { if (hi[j]!==null && cs[i].c>hi[j]) { bosIdx=j; break; } } if (bosIdx < 0) continue; // FVG within 3 candles after BoS for (let j=Math.max(2,i-3); j<=i; j++) { const gap = cs[j].l - cs[j-2].h; if (gap <= 0) continue; const gapPct = gap / cs[j].c; // v3.2: Z-scored FVG size (must be 0.5σ above recent average) const recentGaps = []; for (let g=Math.max(2, j-P.fvgLookback); g 0) recentGaps.push(pg / cs[g].c); } const fvgZ = zScore(gapPct, recentGaps); if (fvgZ < P.fvgZThreshold) continue; // Check if price is retesting the FVG right now (latest candle) const fvgLo=cs[j-2].h, fvgHi=cs[j].l, fvgMid=(fvgLo+fvgHi)/2; const latest=cs[cs.length-1]; const lastIdx = cs.length - 1; if (!(latest.l<=fvgHi && latest.h>=fvgLo)) continue; // v3.2: Z-scored volume (must be 1.0σ above recent average) const volWindow = cs.slice(Math.max(0, lastIdx-P.volLookback), lastIdx).map(c=>c.v); const volZ = zScore(latest.v, volWindow); if (volZ < P.volZThreshold) continue; // v3.2: ATR-based SL/TP const atr = atrs[lastIdx]; if (!atr) continue; const ep = Math.min(latest.c, fvgMid); // SL: max of (OB low, entry - 1.5×ATR) let obLo = ep - atr * P.slAtrMult; for (let k=bosIdx-1; k>=Math.max(0,bosIdx-15); k--) { if (cs[k].c= ep) continue; return { ep, sl, tp, fvgMid, gap: gapPct, volZ: volZ.toFixed(1), fvgZ: fvgZ.toFixed(1), atr }; } } return null; } function loadPortfolio() { try { return JSON.parse(fs.readFileSync(PORTFOLIO_FILE, 'utf8')); } catch { return { version: '1.0', last_updated: new Date().toISOString(), strategy: 'SMC v5.0 — Hybrid SMC+TA+CVD | Paper Trading', btc_regime: 'unknown', paper_portfolio: { starting_capital_usdc: 1000, current_capital_usdc: 1000, deployed_usdc: 0, open_positions: [], closed_trades: [], stats: { total_trades:0, wins:0, losses:0, total_pnl_usdc:0 } } }; } } function savePortfolio(data) { data.last_updated = new Date().toISOString(); fs.mkdirSync(path.dirname(PORTFOLIO_FILE), { recursive: true }); fs.writeFileSync(PORTFOLIO_FILE, JSON.stringify(data, null, 2)); } async function run() { const uaeTime = new Date().toLocaleString('en-AE', { timeZone: 'Asia/Dubai', hour12: false }); console.log(`\n[${uaeTime} UAE] Paper monitor running...`); const portfolio = loadPortfolio(); const p = portfolio.paper_portfolio; // 1. Check BTC regime (macro + fast) const btcRegime = await getBTCRegime(); const btcFast = await getBTCFastRegime(); portfolio.btc_regime = btcRegime; portfolio.btc_fast_regime = btcFast.trend; portfolio.btc_fast_spread = parseFloat(btcFast.spread.toFixed(3)); const btcBull = btcRegime === 'bullish'; const sizeMultiplier = btcBull ? 1.0 : 0.5; // Fast regime gates new entries — if bearish on 15m, skip new longs const fastAllowEntry = btcFast.trend !== 'bearish'; console.log(`BTC regime: ${btcRegime} → position size: ${btcBull ? '10%' : '5%'}`); console.log(`BTC fast (15m): ${btcFast.trend} (spread: ${btcFast.spread.toFixed(3)}%)${!fastAllowEntry ? ' ⛔ NEW ENTRIES BLOCKED' : ' ✅'}`); // 2. Close expired positions const now = Date.now(); const stillOpen = []; for (const pos of p.open_positions) { const ageH = (now - new Date(pos.entry_time).getTime()) / 3600000; // Get current price try { await sleep(80); const ticker = await apiFetch(`https://fapi.binance.com/fapi/v1/ticker/price?symbol=${pos.symbol}`); const price = parseFloat(ticker.price); pos.current_price = price; let closed = false; let exitType = '', exitPrice = price, pnlPct = 0; // Check SL if (price <= pos.sl_price) { exitType = 'SL'; exitPrice = pos.sl_price; closed = true; } // Check TP1 (if not yet hit) else if (!pos.tp1_hit && price >= pos.tp_price) { pos.tp1_hit = true; pos.half_price = pos.tp_price; pos.trail_peak = price; stillOpen.push(pos); console.log(` 📈 ${pos.symbol} TP1 hit at $${price.toFixed(4)} — trailing stop active`); continue; } // Check trailing stop after TP1 else if (pos.tp1_hit) { if (price > (pos.trail_peak || pos.tp_price)) pos.trail_peak = price; const trailSL = (pos.trail_peak || price) * (1 - P.tr); if (price <= trailSL) { exitType = 'TRAIL'; exitPrice = trailSL; closed = true; pnlPct = ((pos.half_price - pos.entry_price)*0.5 + (exitPrice - pos.entry_price)*0.5) / pos.entry_price * 100; } } // Time exit else if (ageH >= P.maxH) { exitType = 'TIME'; exitPrice = price; closed = true; } if (closed) { if (pnlPct === 0) pnlPct = (exitPrice - pos.entry_price) / pos.entry_price * 100; const pnlUSD = pos.size_usdc * pnlPct / 100; p.current_capital_usdc += pnlUSD; p.stats.total_trades++; if (pnlUSD > 0) p.stats.wins++; else p.stats.losses++; p.stats.total_pnl_usdc += pnlUSD; const trade = { symbol: pos.symbol, entry_price: pos.entry_price, exit_price: exitPrice, entry_time: pos.entry_time, exit_time: new Date().toISOString(), held_hours: parseFloat(ageH.toFixed(1)), pnl_pct: parseFloat(pnlPct.toFixed(3)), pnl_usd: parseFloat(pnlUSD.toFixed(2)), exit_type: exitType, size_usdc: pos.size_usdc, btc_bull: pos.btc_bull_at_entry, }; p.closed_trades.push(trade); console.log(` ${pnlUSD > 0 ? '✅' : '❌'} ${pos.symbol} CLOSED | ${exitType} | ${pnlPct >= 0 ? '+' : ''}${pnlPct.toFixed(2)}% | $${pnlUSD >= 0 ? '+' : ''}${pnlUSD.toFixed(2)}`); } else { stillOpen.push(pos); } } catch(e) { stillOpen.push(pos); // keep open on error } } p.open_positions = stillOpen; // 3. Scan for new signals (gated by fast regime + orchestrator lock) let swingLockedSymbols = new Set(); try { const lock = JSON.parse(fs.readFileSync(LOCK_FILE, 'utf8')); swingLockedSymbols = new Set(lock.swing_symbols || []); if (swingLockedSymbols.size > 0) console.log(`Orchestrator: ${swingLockedSymbols.size} symbols locked by swing: ${[...swingLockedSymbols].join(', ')}`); } catch {} if (p.open_positions.length < P.maxConcurrent && fastAllowEntry) { const openSymbols = new Set(p.open_positions.map(pos => pos.symbol)); for (const sym of TOKENS) { if (p.open_positions.length >= P.maxConcurrent) break; if (openSymbols.has(sym)) continue; // already in position if (swingLockedSymbols.has(sym)) continue; // swing holds this const cs = await getCandles(sym, 80); if (cs.length < 60) continue; const signal = detectSignal(cs); if (!signal) continue; // v4.0: TA confluence confirmation const ta = taConfluenceScore(cs, cs.length - 1); if (ta < P.taMinScore) continue; // v5.0: CVD delta confirmation (z ≥ 0.5 = strong buying aggression) const deltas = calcCVDDelta(cs); const lastIdx = cs.length - 1; const deltaWindow = deltas.slice(Math.max(0, lastIdx - P.cvdLookback), lastIdx); const cvdZ = zScore(deltas[lastIdx], deltaWindow); if (cvdZ < P.cvdZThreshold) continue; const posSize = p.current_capital_usdc * P.posPct * sizeMultiplier; const pos = { symbol: sym, entry_price: signal.ep, sl_price: signal.sl, tp_price: signal.tp, size_usdc: posSize, entry_time: new Date().toISOString(), btc_bull_at_entry: btcBull, tp1_hit: false, trail_peak: null, half_price: null, current_price: signal.ep, }; p.open_positions.push(pos); console.log(` 🟢 NEW SIGNAL: ${sym} | Entry: $${signal.ep.toFixed(4)} | SL: $${signal.sl.toFixed(4)} | TP: $${signal.tp.toFixed(4)} | Size: $${posSize.toFixed(2)} | volZ:${signal.volZ} fvgZ:${signal.fvgZ} TA:${ta}/11 CVD:${cvdZ.toFixed(1)}`); } } // 4. Update deployed p.deployed_usdc = p.open_positions.reduce((s, pos) => s + pos.size_usdc, 0); // 5. Save locally + update orchestrator lock savePortfolio(portfolio); try { let lock = {}; try { lock = JSON.parse(fs.readFileSync(LOCK_FILE, 'utf8')); } catch {} lock.day_trading_symbols = p.open_positions.map(pos => pos.symbol); lock.day_trading_updated = new Date().toISOString(); fs.writeFileSync(LOCK_FILE, JSON.stringify(lock, null, 2)); } catch {} // 6. Push to GitHub (feeds Vercel dashboard) try { const fs2 = require('fs'), path2 = require('path'); const ghToken = fs2.readFileSync(path2.join(process.env.HOME, '.github_token'), 'utf8').trim(); const content = Buffer.from(JSON.stringify(portfolio, null, 2)).toString('base64'); // Get current SHA const shaRes = await apiFetch2(`https://api.github.com/repos/Zero2Ai-hub/Jarvis-Ops/contents/trading/portfolio-v5.json`, ghToken); const sha = shaRes.sha || ''; const body = JSON.stringify({ message: 'trading: v5 portfolio update', content, sha: sha || undefined }); await apiFetch2Put(`https://api.github.com/repos/Zero2Ai-hub/Jarvis-Ops/contents/trading/portfolio-v5.json`, ghToken, body); console.log('GitHub portfolio.json updated ✅'); } catch(e) { console.log('GitHub push failed (non-critical):', e.message); } const totalPnl = p.current_capital_usdc - p.starting_capital_usdc; const wr = p.stats.total_trades > 0 ? (p.stats.wins / p.stats.total_trades * 100).toFixed(1) : '—'; console.log(`Portfolio: $${p.current_capital_usdc.toFixed(2)} | PnL: ${totalPnl >= 0 ? '+' : ''}$${totalPnl.toFixed(2)} | WR: ${wr}% | Open: ${p.open_positions.length}/10`); // 7. Log observations (append to trading/observations.md for any notable events) try { const OBS_FILE = path.join(process.env.HOME, '.openclaw/workspace/trading/observations.md'); const closedThisRun = p.closed_trades.filter(t => { const exitAge = (now - new Date(t.exit_time).getTime()) / 60000; return exitAge < 35; // closed in last 35 min (within this cycle) }); if (closedThisRun.length > 0 || !fastAllowEntry) { const ts = new Date().toISOString().replace('T',' ').slice(0,19) + ' UTC'; let note = `\n## [${ts}] Auto-Observation\n`; note += `**Macro regime:** ${btcRegime} | **Fast regime (15m):** ${btcFast.trend} (${btcFast.spread.toFixed(3)}%)\n`; if (!fastAllowEntry) note += `**⛔ Fast filter blocked new entries** — BTC 15m trend bearish\n`; if (closedThisRun.length > 0) { note += `**Closed this cycle:**\n`; for (const t of closedThisRun) { note += `- ${t.symbol}: ${t.exit_type} | ${t.pnl_pct >= 0 ? '+' : ''}${t.pnl_pct}% ($${t.pnl_usd >= 0 ? '+' : ''}${t.pnl_usd}) | held ${t.held_hours}h | BTC bull at entry: ${t.btc_bull}\n`; } } note += `**Portfolio:** $${p.current_capital_usdc.toFixed(2)} | WR: ${wr}% | Open: ${p.open_positions.length}/10\n---\n`; const existing = fs.existsSync(OBS_FILE) ? fs.readFileSync(OBS_FILE, 'utf8') : '# Trading Observations Log\n---\n'; // Insert after the header (after first ---) const headerEnd = existing.indexOf('---\n'); if (headerEnd > -1) { const before = existing.slice(0, headerEnd + 4); const after = existing.slice(headerEnd + 4); fs.writeFileSync(OBS_FILE, before + note + after); } else { fs.writeFileSync(OBS_FILE, existing + note); } } } catch(e) { console.log('Observation log failed (non-critical):', e.message); } console.log('Done ✅'); } run().catch(e => { console.error('Monitor error:', e.message); process.exit(1); }); FILE:scripts/paper-monitor-v6.js #!/usr/bin/env node /** * paper-monitor-v6.js — Day Trading with STPI Gate * SMC v6.0 — Same SMC+TA≥5 entry logic, but gated by STPI probability * instead of simple EMA crosses. Reads STPI from regime.json. * STPI ≥ 0.5 → entries allowed. STPI < 0.5 → no new positions. * Runs every 1h (XX:03 UTC). Separate portfolio for A/B comparison. */ 'use strict'; const https = require('https'); const fs = require('fs'); const path = require('path'); const PORTFOLIO_FILE = path.join(process.env.HOME, '.openclaw/workspace/trading/paper-dashboard/portfolio-v6.json'); const REGIME_FILE = path.join(process.env.HOME, '.openclaw/workspace/trading/paper-dashboard/regime.json'); const TOKENS = [ 'BTCUSDT','ETHUSDT','SOLUSDT','BNBUSDT','XRPUSDT','DOGEUSDT','AVAXUSDT','LINKUSDT', 'ARBUSDT','OPUSDT','SUIUSDT','APTUSDT','INJUSDT','SEIUSDT','FETUSDT','RENDERUSDT', 'TAOUSDT','NEARUSDT','WIFUSDT','JUPUSDT','TIAUSDT','DYMUSDT','STRKUSDT','TONUSDT', 'NOTUSDT','EIGENUSDT','GRASSUSDT','VIRTUALUSDT','AKTUSDT', ]; const P = { swN:3, fvgAge:8, tr:0.03, maxH:12, maxConcurrent:10, posPct:0.10, // v4.0 z-score params (Config C: SMC+TA≥5) volZThreshold: 1.0, volLookback: 30, fvgZThreshold: 0.5, fvgLookback: 50, slAtrMult: 1.5, tpAtrMult: 3.0, atrPeriod: 14, taMinScore: 5, taZLookback: 30, }; function apiFetch2(url, token) { return new Promise((res, rej) => { const r = require('https').get(url, { headers: { Authorization: `token ${token}`, Accept: 'application/vnd.github.v3+json', 'User-Agent': 'Jarvis' } }, resp => { let d = ''; resp.on('data', c => d += c); resp.on('end', () => { try { res(JSON.parse(d)); } catch(e) { rej(e); } }); }); r.on('error', rej); r.setTimeout(10000, () => { r.destroy(); rej(new Error('timeout')); }); }); } function apiFetch2Put(url, token, body) { return new Promise((res, rej) => { const opts = require('url').parse(url); opts.method = 'PUT'; opts.headers = { Authorization: `token ${token}`, Accept: 'application/vnd.github.v3+json', 'Content-Type': 'application/json', 'User-Agent': 'Jarvis', 'Content-Length': Buffer.byteLength(body) }; const r = require('https').request(opts, resp => { let d = ''; resp.on('data', c => d += c); resp.on('end', () => { try { res(JSON.parse(d)); } catch(e) { rej(e); } }); }); r.on('error', rej); r.write(body); r.end(); }); } function apiFetch(url) { return new Promise((res, rej) => { const r = https.get(url, resp => { let d = ''; resp.on('data', c => d += c); resp.on('end', () => { try { res(JSON.parse(d)); } catch(e) { rej(e); } }); }); r.on('error', rej); r.setTimeout(10000, () => { r.destroy(); rej(new Error('timeout')); }); }); } const sleep = ms => new Promise(r => setTimeout(r, ms)); function calcEMA(v, p) { const k = 2/(p+1); let e = v[0]; return v.map((x,i) => { if(i>0) e=x*k+e*(1-k); return e; }); } function zScore(value, arr) { if (arr.length < 2) return 0; const mean = arr.reduce((s,v)=>s+v,0)/arr.length; const std = Math.sqrt(arr.reduce((s,v)=>s+(v-mean)**2,0)/arr.length); if (std === 0) return 0; return (value - mean) / std; } function calcATR(cs, period=14) { const trs = cs.map((c,i) => { if (i===0) return c.h - c.l; const prev = cs[i-1].c; return Math.max(c.h - c.l, Math.abs(c.h - prev), Math.abs(c.l - prev)); }); const atrs = []; for (let i=0; is+v,0)/period); } else { atrs.push((atrs[i-1]*(period-1)+trs[i])/period); } } return atrs; } function calcSMA(v, p) { return v.map((_, i) => { if (i < p-1) return null; return v.slice(i-p+1, i+1).reduce((s,x)=>s+x,0)/p; }); } function calcRSI(closes, period=14) { const rsi = new Array(closes.length).fill(null); let avgGain = 0, avgLoss = 0; for (let i = 1; i <= period; i++) { const d = closes[i] - closes[i-1]; if (d > 0) avgGain += d; else avgLoss += Math.abs(d); } avgGain /= period; avgLoss /= period; rsi[period] = avgLoss === 0 ? 100 : 100 - 100/(1+avgGain/avgLoss); for (let i = period+1; i < closes.length; i++) { const d = closes[i] - closes[i-1]; avgGain = (avgGain*(period-1) + (d>0?d:0)) / period; avgLoss = (avgLoss*(period-1) + (d<0?Math.abs(d):0)) / period; rsi[i] = avgLoss === 0 ? 100 : 100 - 100/(1+avgGain/avgLoss); } return rsi; } function calcMACD(closes) { const e12 = calcEMA(closes, 12), e26 = calcEMA(closes, 26); const macdLine = closes.map((_, i) => e12[i] - e26[i]); const signal = calcEMA(macdLine.slice(25), 9); const histogram = []; for (let i = 0; i < closes.length; i++) { if (i < 33) { histogram.push(null); continue; } histogram.push(macdLine[i] - (signal[i-25] || 0)); } return { macdLine, histogram }; } function calcOBV(cs) { const obv = [0]; for (let i = 1; i < cs.length; i++) { if (cs[i].c > cs[i-1].c) obv.push(obv[i-1] + cs[i].v); else if (cs[i].c < cs[i-1].c) obv.push(obv[i-1] - cs[i].v); else obv.push(obv[i-1]); } return obv; } function taConfluenceScore(cs, idx) { const closes = cs.map(c => c.c); const rsi = calcRSI(closes, 14); const macd = calcMACD(closes); const obv = calcOBV(cs); const ema9 = calcEMA(closes, 9); const ema21 = calcEMA(closes, 21); const bbSma = calcSMA(closes, 20); const i = idx; const ZLB = P.taZLookback; let score = 0; // Z-scored RSI if (rsi[i] !== null) { const rsiWindow = rsi.slice(Math.max(0,i-ZLB), i).filter(v=>v!==null); const rsiZ = zScore(rsi[i], rsiWindow); if (rsiZ > 0.3 && rsi[i] < 78) score += 2; if (rsiZ > 1.0 && rsi[i] < 75) score += 1; } // Z-scored MACD histogram if (macd.histogram[i] !== null) { const macdWindow = macd.histogram.slice(Math.max(0,i-ZLB), i).filter(v=>v!==null); const macdZ = zScore(macd.histogram[i], macdWindow); if (macdZ > 0.3) score += 1; if (i > 0 && macd.histogram[i] !== null && macd.histogram[i-1] !== null && macd.histogram[i] > macd.histogram[i-1]) score += 1; } // EMA alignment (9 > 21) if (ema9[i] > ema21[i]) score += 2; // BB position (sweet spot) if (bbSma[i] !== null && i >= 19) { const slice = closes.slice(i-19, i+1); const std = Math.sqrt(slice.reduce((s,v)=>s+(v-bbSma[i])**2,0)/20); const upper = bbSma[i] + 2*std; const lower = bbSma[i] - 2*std; const range = upper - lower; if (range > 0) { const bbPct = (closes[i] - lower) / range; if (bbPct > 0.5 && bbPct < 0.85) score += 2; } } // Z-scored OBV if (i > 10) { const obvDelta = obv[i] - obv[i-5]; const obvDeltas = []; for (let j = Math.max(6, i-ZLB); j < i; j++) { obvDeltas.push(obv[j] - obv[j-5]); } const obvZ = zScore(obvDelta, obvDeltas); if (obvZ > 0.5) score += 1; if (obvZ > 1.0) score += 1; } return score; // max ~11 } async function getBTCRegime() { try { const r = await apiFetch('https://fapi.binance.com/fapi/v1/klines?symbol=BTCUSDT&interval=4h&limit=60'); const closes = r.map(k => parseFloat(k[4])); const e20 = calcEMA(closes, 20), e50 = calcEMA(closes, 50); return e20[e20.length-1] > e50[e50.length-1] ? 'bullish' : 'bearish'; } catch { return 'unknown'; } } async function getBTCFastRegime() { try { const r = await apiFetch('https://fapi.binance.com/fapi/v1/klines?symbol=BTCUSDT&interval=15m&limit=30'); const closes = r.map(k => parseFloat(k[4])); const e8 = calcEMA(closes, 8), e21 = calcEMA(closes, 21); const fast = e8[e8.length-1], slow = e21[e21.length-1]; // Also check momentum: is price accelerating down? const pctFromSlow = (fast - slow) / slow * 100; // bullish: fast > slow, neutral: within 0.15%, bearish: fast < slow if (pctFromSlow > 0.15) return { trend: 'bullish', spread: pctFromSlow }; if (pctFromSlow < -0.15) return { trend: 'bearish', spread: pctFromSlow }; return { trend: 'neutral', spread: pctFromSlow }; } catch { return { trend: 'unknown', spread: 0 }; } } async function getCandles(sym, limit=100) { try { await sleep(80); const r = await apiFetch(`https://fapi.binance.com/fapi/v1/klines?symbol=${sym}&interval=1h&limit=${limit}`); return r.map(k => ({ ts:k[0], o:parseFloat(k[1]), h:parseFloat(k[2]), l:parseFloat(k[3]), c:parseFloat(k[4]), v:parseFloat(k[5])*parseFloat(k[4]) })); } catch { return []; } } function detectSignal(cs) { // Find swing highs const hi = new Array(cs.length).fill(null); const n = P.swN; for (let i=n; i=cs[i].h||cs[i+j].h>=cs[i].h) isH=false; if(isH) hi[i]=cs[i].h; } // Precompute ATR for SL/TP const atrs = calcATR(cs, P.atrPeriod); // Check last 5 candles for BoS + FVG for (let i=cs.length-5; i=Math.max(0,i-60); j--) { if (hi[j]!==null && cs[i].c>hi[j]) { bosIdx=j; break; } } if (bosIdx < 0) continue; // FVG within 3 candles after BoS for (let j=Math.max(2,i-3); j<=i; j++) { const gap = cs[j].l - cs[j-2].h; if (gap <= 0) continue; const gapPct = gap / cs[j].c; // v3.2: Z-scored FVG size (must be 0.5σ above recent average) const recentGaps = []; for (let g=Math.max(2, j-P.fvgLookback); g 0) recentGaps.push(pg / cs[g].c); } const fvgZ = zScore(gapPct, recentGaps); if (fvgZ < P.fvgZThreshold) continue; // Check if price is retesting the FVG right now (latest candle) const fvgLo=cs[j-2].h, fvgHi=cs[j].l, fvgMid=(fvgLo+fvgHi)/2; const latest=cs[cs.length-1]; const lastIdx = cs.length - 1; if (!(latest.l<=fvgHi && latest.h>=fvgLo)) continue; // v3.2: Z-scored volume (must be 1.0σ above recent average) const volWindow = cs.slice(Math.max(0, lastIdx-P.volLookback), lastIdx).map(c=>c.v); const volZ = zScore(latest.v, volWindow); if (volZ < P.volZThreshold) continue; // v3.2: ATR-based SL/TP const atr = atrs[lastIdx]; if (!atr) continue; const ep = Math.min(latest.c, fvgMid); // SL: max of (OB low, entry - 1.5×ATR) let obLo = ep - atr * P.slAtrMult; for (let k=bosIdx-1; k>=Math.max(0,bosIdx-15); k--) { if (cs[k].c= ep) continue; return { ep, sl, tp, fvgMid, gap: gapPct, volZ: volZ.toFixed(1), fvgZ: fvgZ.toFixed(1), atr }; } } return null; } function loadPortfolio() { try { return JSON.parse(fs.readFileSync(PORTFOLIO_FILE, 'utf8')); } catch { return { version: '1.0', last_updated: new Date().toISOString(), strategy: 'SMC v6.0 — BoS+FVG+TA≥5 + STPI Gate | Paper Trading', btc_regime: 'unknown', paper_portfolio: { starting_capital_usdc: 1000, current_capital_usdc: 1000, deployed_usdc: 0, open_positions: [], closed_trades: [], stats: { total_trades:0, wins:0, losses:0, total_pnl_usdc:0 } } }; } } function savePortfolio(data) { data.last_updated = new Date().toISOString(); fs.mkdirSync(path.dirname(PORTFOLIO_FILE), { recursive: true }); fs.writeFileSync(PORTFOLIO_FILE, JSON.stringify(data, null, 2)); } async function run() { const uaeTime = new Date().toLocaleString('en-AE', { timeZone: 'Asia/Dubai', hour12: false }); console.log(`\n[${uaeTime} UAE] Paper monitor running...`); const portfolio = loadPortfolio(); const p = portfolio.paper_portfolio; // 1. Read STPI from regime.json (computed by regime-scorer.js at XX:50) let stpi = 0.5, stpiSignal = 'NO_DATA'; try { const regime = JSON.parse(fs.readFileSync(REGIME_FILE, 'utf8')); if (regime.stpi) { stpi = regime.stpi.stpi; stpiSignal = regime.stpi.signal; } portfolio.btc_regime = regime.classification?.composite_signal || 'unknown'; portfolio.stpi = stpi; portfolio.stpi_signal = stpiSignal; } catch { console.log(' ⚠️ regime.json not found — using STPI=0.5'); } const stpiAllowEntry = stpi >= 0.5; const sizeMultiplier = stpi >= 0.6 ? 1.0 : 0.7; // confident STPI → full size, marginal → 70% console.log(`STPI: ${(stpi*100).toFixed(1)}% ${stpiSignal} → ${stpiAllowEntry ? '✅ entries allowed' : '⛔ ENTRIES BLOCKED'} | Size: ${(sizeMultiplier*100).toFixed(0)}%`); // 2. Close expired positions const now = Date.now(); const stillOpen = []; for (const pos of p.open_positions) { const ageH = (now - new Date(pos.entry_time).getTime()) / 3600000; // Get current price try { await sleep(80); const ticker = await apiFetch(`https://fapi.binance.com/fapi/v1/ticker/price?symbol=${pos.symbol}`); const price = parseFloat(ticker.price); pos.current_price = price; let closed = false; let exitType = '', exitPrice = price, pnlPct = 0; // Check SL if (price <= pos.sl_price) { exitType = 'SL'; exitPrice = pos.sl_price; closed = true; } // Check TP1 (if not yet hit) else if (!pos.tp1_hit && price >= pos.tp_price) { pos.tp1_hit = true; pos.half_price = pos.tp_price; pos.trail_peak = price; stillOpen.push(pos); console.log(` 📈 ${pos.symbol} TP1 hit at $${price.toFixed(4)} — trailing stop active`); continue; } // Check trailing stop after TP1 else if (pos.tp1_hit) { if (price > (pos.trail_peak || pos.tp_price)) pos.trail_peak = price; const trailSL = (pos.trail_peak || price) * (1 - P.tr); if (price <= trailSL) { exitType = 'TRAIL'; exitPrice = trailSL; closed = true; pnlPct = ((pos.half_price - pos.entry_price)*0.5 + (exitPrice - pos.entry_price)*0.5) / pos.entry_price * 100; } } // Time exit else if (ageH >= P.maxH) { exitType = 'TIME'; exitPrice = price; closed = true; } if (closed) { if (pnlPct === 0) pnlPct = (exitPrice - pos.entry_price) / pos.entry_price * 100; const pnlUSD = pos.size_usdc * pnlPct / 100; p.current_capital_usdc += pnlUSD; p.stats.total_trades++; if (pnlUSD > 0) p.stats.wins++; else p.stats.losses++; p.stats.total_pnl_usdc += pnlUSD; const trade = { symbol: pos.symbol, entry_price: pos.entry_price, exit_price: exitPrice, entry_time: pos.entry_time, exit_time: new Date().toISOString(), held_hours: parseFloat(ageH.toFixed(1)), pnl_pct: parseFloat(pnlPct.toFixed(3)), pnl_usd: parseFloat(pnlUSD.toFixed(2)), exit_type: exitType, size_usdc: pos.size_usdc, btc_bull: pos.btc_bull_at_entry, }; p.closed_trades.push(trade); console.log(` ${pnlUSD > 0 ? '✅' : '❌'} ${pos.symbol} CLOSED | ${exitType} | ${pnlPct >= 0 ? '+' : ''}${pnlPct.toFixed(2)}% | $${pnlUSD >= 0 ? '+' : ''}${pnlUSD.toFixed(2)}`); } else { stillOpen.push(pos); } } catch(e) { stillOpen.push(pos); // keep open on error } } p.open_positions = stillOpen; // 3. Scan for new signals (gated by STPI) if (p.open_positions.length < P.maxConcurrent && stpiAllowEntry) { const openSymbols = new Set(p.open_positions.map(pos => pos.symbol)); for (const sym of TOKENS) { if (p.open_positions.length >= P.maxConcurrent) break; if (openSymbols.has(sym)) continue; // already in position const cs = await getCandles(sym, 80); if (cs.length < 60) continue; const signal = detectSignal(cs); if (!signal) continue; // v4.0: TA confluence confirmation const ta = taConfluenceScore(cs, cs.length - 1); if (ta < P.taMinScore) continue; const posSize = p.current_capital_usdc * P.posPct * sizeMultiplier; const pos = { symbol: sym, entry_price: signal.ep, sl_price: signal.sl, tp_price: signal.tp, size_usdc: posSize, entry_time: new Date().toISOString(), btc_bull_at_entry: stpi >= 0.6, tp1_hit: false, trail_peak: null, half_price: null, current_price: signal.ep, }; p.open_positions.push(pos); console.log(` 🟢 NEW SIGNAL: ${sym} | Entry: $${signal.ep.toFixed(4)} | SL: $${signal.sl.toFixed(4)} | TP: $${signal.tp.toFixed(4)} | Size: $${posSize.toFixed(2)} | volZ:${signal.volZ} fvgZ:${signal.fvgZ} TA:${ta}/11`); } } // 4. Update deployed p.deployed_usdc = p.open_positions.reduce((s, pos) => s + pos.size_usdc, 0); // 5. Save locally savePortfolio(portfolio); // 6. Push to GitHub (feeds Vercel dashboard) try { const fs2 = require('fs'), path2 = require('path'); const ghToken = fs2.readFileSync(path2.join(process.env.HOME, '.github_token'), 'utf8').trim(); const content = Buffer.from(JSON.stringify(portfolio, null, 2)).toString('base64'); // Get current SHA const shaRes = await apiFetch2(`https://api.github.com/repos/Zero2Ai-hub/Jarvis-Ops/contents/trading/portfolio-v6.json`, ghToken); const sha = shaRes.sha || ''; const body = JSON.stringify({ message: 'trading: v6 portfolio update', content, sha: sha || undefined }); await apiFetch2Put(`https://api.github.com/repos/Zero2Ai-hub/Jarvis-Ops/contents/trading/portfolio-v6.json`, ghToken, body); console.log('GitHub portfolio.json updated ✅'); } catch(e) { console.log('GitHub push failed (non-critical):', e.message); } const totalPnl = p.current_capital_usdc - p.starting_capital_usdc; const wr = p.stats.total_trades > 0 ? (p.stats.wins / p.stats.total_trades * 100).toFixed(1) : '—'; console.log(`Portfolio: $${p.current_capital_usdc.toFixed(2)} | PnL: ${totalPnl >= 0 ? '+' : ''}$${totalPnl.toFixed(2)} | WR: ${wr}% | Open: ${p.open_positions.length}/10`); // 7. Log observations (append to trading/observations.md for any notable events) try { const OBS_FILE = path.join(process.env.HOME, '.openclaw/workspace/trading/observations.md'); const closedThisRun = p.closed_trades.filter(t => { const exitAge = (now - new Date(t.exit_time).getTime()) / 60000; return exitAge < 35; // closed in last 35 min (within this cycle) }); if (closedThisRun.length > 0 || !stpiAllowEntry) { const ts = new Date().toISOString().replace('T',' ').slice(0,19) + ' UTC'; let note = `\n## [${ts}] Auto-Observation\n`; note += `**Macro regime:** ${btcRegime} | **Fast regime (15m):** ${btcFast.trend} (${btcFast.spread.toFixed(3)}%)\n`; if (!stpiAllowEntry) note += `**⛔ STPI blocked new entries** — STPI: ${(stpi*100).toFixed(1)}%\n`; if (closedThisRun.length > 0) { note += `**Closed this cycle:**\n`; for (const t of closedThisRun) { note += `- ${t.symbol}: ${t.exit_type} | ${t.pnl_pct >= 0 ? '+' : ''}${t.pnl_pct}% ($${t.pnl_usd >= 0 ? '+' : ''}${t.pnl_usd}) | held ${t.held_hours}h | BTC bull at entry: ${t.btc_bull}\n`; } } note += `**Portfolio:** $${p.current_capital_usdc.toFixed(2)} | WR: ${wr}% | Open: ${p.open_positions.length}/10\n---\n`; const existing = fs.existsSync(OBS_FILE) ? fs.readFileSync(OBS_FILE, 'utf8') : '# Trading Observations Log\n---\n'; // Insert after the header (after first ---) const headerEnd = existing.indexOf('---\n'); if (headerEnd > -1) { const before = existing.slice(0, headerEnd + 4); const after = existing.slice(headerEnd + 4); fs.writeFileSync(OBS_FILE, before + note + after); } else { fs.writeFileSync(OBS_FILE, existing + note); } } } catch(e) { console.log('Observation log failed (non-critical):', e.message); } console.log('Done ✅'); } run().catch(e => { console.error('Monitor error:', e.message); process.exit(1); }); FILE:scripts/regime-scorer.js #!/usr/bin/env node /** * regime-scorer.js — Multi-Factor BTC Regime Scoring System * * Three timeframes: Fast (15m), Medium (4h), Macro (1d) * Each timeframe aggregates multiple z-scored indicators into a composite score (-10 to +10) * * INDICATORS PER TIMEFRAME: * Trend: EMA cross, ADX, price vs MA200, higher highs/lows * Momentum: RSI, MACD histogram, rate of change * Volatility: BB width, ATR percentile, Keltner squeeze * Volume: OBV trend, volume z-score, CVD * Derivatives: Funding rate, long/short ratio, open interest delta * Sentiment: Fear & Greed Index (macro only) * * OUTPUT: regime.json consumed by all monitors + dashboard */ 'use strict'; const https = require('https'); const fs = require('fs'); const path = require('path'); const REGIME_FILE = path.join(process.env.HOME, '.openclaw/workspace/trading/paper-dashboard/regime.json'); function httpGet(url, timeout = 10000) { return new Promise((res, rej) => { const r = https.get(url, resp => { let d = ''; resp.on('data', c => d += c); resp.on('end', () => { try { res(JSON.parse(d)); } catch(e) { rej(e); } }); }); r.on('error', rej); r.setTimeout(timeout, () => { r.destroy(); rej(new Error('timeout')); }); }); } const sleep = ms => new Promise(r => setTimeout(r, ms)); // ═══════════════════════════════════════════════════════════════════════════════ // MATH HELPERS // ═══════════════════════════════════════════════════════════════════════════════ function calcEMA(v, p) { const k = 2/(p+1); let e = v[0]; return v.map((x,i) => { if(i>0) e=x*k+e*(1-k); return e; }); } function calcSMA(v, p) { return v.map((_,i) => i < p-1 ? null : v.slice(i-p+1,i+1).reduce((s,x)=>s+x,0)/p); } function calcATR(cs, p=14) { const tr = cs.map((c,i) => i===0 ? c.h-c.l : Math.max(c.h-c.l, Math.abs(c.h-cs[i-1].c), Math.abs(c.l-cs[i-1].c))); const a = []; for (let i=0;is+v,0)/p);} else{a.push((a[i-1]*(p-1)+tr[i])/p);} } return a; } function calcRSI(c, p=14) { const r = Array(c.length).fill(null); let ag=0,al=0; for(let i=1;i<=p;i++){const d=c[i]-c[i-1];if(d>0)ag+=d;else al-=d;} ag/=p;al/=p; r[p]=al===0?100:100-100/(1+ag/al); for(let i=p+1;i0?d:0))/p;al=(al*(p-1)+(d<0?-d:0))/p;r[i]=al===0?100:100-100/(1+ag/al);} return r; } function calcMACD(c) { const e12=calcEMA(c,12),e26=calcEMA(c,26); const ml=c.map((_,i)=>e12[i]-e26[i]); const sig=calcEMA(ml.slice(25),9); const hist=[];for(let i=0;ics[i-1].c)o.push(o[i-1]+cs[i].v);else if(cs[i].cdownMove&&upMove>0?upMove:0); ndm.push(downMove>upMove&&downMove>0?downMove:0); tr.push(Math.max(cs[i].h-cs[i].l,Math.abs(cs[i].h-cs[i-1].c),Math.abs(cs[i].l-cs[i-1].c))); } const atr=calcEMA(tr,p),spdm=calcEMA(pdm,p),sndm=calcEMA(ndm,p); const pdi=[],ndi=[],dx=[]; for(let i=0;iv||0),p); return adx.map((v,i)=>dx[i]!==null?v:null); } function calcBBWidth(closes, p=20) { return closes.map((_,i) => { if (i < p-1) return null; const sl = closes.slice(i-p+1,i+1); const m = sl.reduce((a,b)=>a+b,0)/p; const std = Math.sqrt(sl.reduce((a,b)=>a+(b-m)**2,0)/p); return m === 0 ? 0 : (4 * std) / m * 100; // BB width as % of price }); } function calcROC(closes, p=10) { return closes.map((v,i) => i < p ? null : (v - closes[i-p]) / closes[i-p] * 100); } function zScore(value, arr) { const valid = arr.filter(v => v !== null && v !== undefined && !isNaN(v)); if (valid.length < 5) return 0; const mean = valid.reduce((s,v)=>s+v,0)/valid.length; const std = Math.sqrt(valid.reduce((s,v)=>s+(v-mean)**2,0)/valid.length); return std === 0 ? 0 : (value - mean) / std; } function percentile(value, arr) { const valid = arr.filter(v => v !== null && !isNaN(v)).sort((a,b) => a - b); if (!valid.length) return 50; let below = 0; for (const v of valid) if (v < value) below++; return below / valid.length * 100; } function clamp(v, min, max) { return Math.max(min, Math.min(max, v)); } function sigmoid(x) { return 1 / (1 + Math.exp(-x)); } function higherHighsLows(cs, lookback = 20) { if (cs.length < lookback * 2) return 0; const recent = cs.slice(-lookback), prior = cs.slice(-lookback*2, -lookback); const rHighs = recent.map(c=>c.h), rLows = recent.map(c=>c.l); const pHighs = prior.map(c=>c.h), pLows = prior.map(c=>c.l); const hh = Math.max(...rHighs) > Math.max(...pHighs) ? 1 : -1; const hl = Math.min(...rLows) > Math.min(...pLows) ? 1 : -1; return (hh + hl) / 2; // -1 to +1 } // ═══════════════════════════════════════════════════════════════════════════════ // DATA FETCHERS // ═══════════════════════════════════════════════════════════════════════════════ async function fetchCandles(sym, interval, limit) { await sleep(50); try { const r = await httpGet(`https://fapi.binance.com/fapi/v1/klines?symbol=${sym}&interval=${interval}&limit=${limit}`); return r.map(k => ({ ts:k[0], o:+k[1], h:+k[2], l:+k[3], c:+k[4], v:+k[5]*+k[4], tbv:+k[9]*+k[4] })); } catch { return []; } } async function fetchFundingRate(sym = 'BTCUSDT') { try { const r = await httpGet(`https://fapi.binance.com/fapi/v1/fundingRate?symbol=${sym}&limit=30`); return r.map(f => ({ ts: f.fundingTime, rate: parseFloat(f.fundingRate) })); } catch { return []; } } async function fetchLongShortRatio(sym = 'BTCUSDT', period = '4h') { try { const r = await httpGet(`https://fapi.binance.com/futures/data/globalLongShortAccountRatio?symbol=${sym}&period=${period}&limit=30`); return r.map(d => ({ ts: d.timestamp, ratio: parseFloat(d.longShortRatio) })); } catch { return []; } } async function fetchOpenInterest(sym = 'BTCUSDT', period = '4h') { try { const r = await httpGet(`https://fapi.binance.com/futures/data/openInterestHist?symbol=${sym}&period=${period}&limit=30`); return r.map(d => ({ ts: d.timestamp, oi: parseFloat(d.sumOpenInterest), oiVal: parseFloat(d.sumOpenInterestValue) })); } catch { return []; } } // ─── FRED Macro Data (no API key — CSV via curl for reliability) ─────────────── function fetchFRED(seriesId, startDate = '2023-01-01') { return new Promise((res) => { const url = `https://fred.stlouisfed.org/graph/fredgraph.csv?id=${seriesId}&cosd=${startDate}`; const { execSync } = require('child_process'); try { const csv = execSync(`curl -sL --max-time 12 "${url}"`, { encoding: 'utf8', timeout: 15000 }); const lines = csv.trim().split('\n').slice(1); const data = lines.map(l => { const [date, val] = l.split(','); const v = parseFloat(val); return { date, ts: new Date(date).getTime(), value: isNaN(v) ? null : v }; }).filter(d => d.value !== null); res(data); } catch(e) { res([]); } }); } async function fetchMacroLiquidity() { const [walcl, tga, rrp, m2, dxy, dgs10, t10yie, dff] = await Promise.all([ fetchFRED('WALCL', '2024-01-01'), // Fed Balance Sheet (weekly, millions) fetchFRED('WTREGEN', '2024-01-01'), // Treasury General Account (weekly, millions) fetchFRED('RRPONTSYD', '2024-01-01'), // Reverse Repo (daily, billions) fetchFRED('M2SL', '2023-01-01'), // M2 Money Supply (monthly, billions) fetchFRED('DTWEXBGS', '2024-01-01'), // Trade-Weighted Dollar Index fetchFRED('DGS10', '2024-01-01'), // 10Y Treasury Yield fetchFRED('T10YIE', '2024-01-01'), // 10Y Breakeven Inflation fetchFRED('DFF', '2024-01-01'), // Fed Funds Rate ]); return { walcl, tga, rrp, m2, dxy, dgs10, t10yie, dff }; } function scoreMacroLiquidity(macro) { const scores = {}; // 1. Net Liquidity = Fed Balance Sheet - TGA - RRP // WALCL in millions, TGA in millions, RRP in billions (convert to millions) if (macro.walcl.length >= 4 && macro.tga.length >= 4 && macro.rrp.length >= 4) { const latestBS = macro.walcl[macro.walcl.length - 1].value; // millions const latestTGA = macro.tga[macro.tga.length - 1].value; // millions const latestRRP = macro.rrp[macro.rrp.length - 1].value * 1000; // billions→millions const netLiq = latestBS - latestTGA - latestRRP; // Compare to 4 weeks ago const bs4w = macro.walcl.length >= 5 ? macro.walcl[macro.walcl.length - 5].value : latestBS; const tga4w = macro.tga.length >= 5 ? macro.tga[macro.tga.length - 5].value : latestTGA; const rrp4w = macro.rrp.length >= 5 ? macro.rrp[macro.rrp.length - 5].value * 1000 : latestRRP; const netLiq4w = bs4w - tga4w - rrp4w; const liqChange = (netLiq - netLiq4w) / netLiq4w * 100; // Expanding liquidity = bullish, contracting = bearish scores.net_liquidity = clamp(liqChange * 3, -2, 2); // 0.67% change = +2 scores.net_liquidity_raw = parseFloat((netLiq / 1e6).toFixed(3)); // in trillions scores.net_liquidity_delta = parseFloat(liqChange.toFixed(3)); } else { scores.net_liquidity = 0; } // 2. M2 Money Supply YoY growth rate if (macro.m2.length >= 13) { const latest = macro.m2[macro.m2.length - 1].value; const yoyAgo = macro.m2[macro.m2.length - 13].value; // ~12 months prior const yoyGrowth = (latest - yoyAgo) / yoyAgo * 100; // Positive M2 growth = bullish, negative = bearish // Historical: M2 growth 5-10% = normal, >10% = very bullish, <0% = bearish scores.m2_yoy = clamp((yoyGrowth - 3) / 4, -2, 2); // 3% = neutral, 7%+ = +1, 11%+ = +2 scores.m2_yoy_raw = parseFloat(yoyGrowth.toFixed(2)); // M2 momentum: 3-month change direction if (macro.m2.length >= 4) { const m3ago = macro.m2[macro.m2.length - 4].value; const m3delta = (latest - m3ago) / m3ago * 100; scores.m2_momentum = clamp(m3delta * 2, -1, 1); // 0.5% in 3mo = +1 } else { scores.m2_momentum = 0; } } else { scores.m2_yoy = 0; scores.m2_momentum = 0; } // 3. DXY (Dollar Strength) — INVERSE correlation with BTC if (macro.dxy.length >= 20) { const latestDXY = macro.dxy[macro.dxy.length - 1].value; const dxy20ago = macro.dxy[Math.max(0, macro.dxy.length - 21)].value; const dxyChange = (latestDXY - dxy20ago) / dxy20ago * 100; // Rising dollar = bearish for BTC, falling = bullish scores.dxy = clamp(-dxyChange * 2, -2, 2); // 1% dollar rise = -2 scores.dxy_raw = latestDXY; scores.dxy_delta = parseFloat(dxyChange.toFixed(3)); } else { scores.dxy = 0; } // 4. Real Yields (10Y - breakeven inflation) // High real yields = bad for BTC (money flows to bonds), low/negative = good if (macro.dgs10.length >= 5 && macro.t10yie.length >= 5) { const nominal = macro.dgs10[macro.dgs10.length - 1].value; const breakeven = macro.t10yie[macro.t10yie.length - 1].value; const realYield = nominal - breakeven; // Real yield > 2% = very bearish, < 0 = very bullish, 1% = neutral scores.real_yields = clamp(-(realYield - 1) * 1.5, -2, 2); scores.real_yields_raw = parseFloat(realYield.toFixed(3)); // Direction matters too const nom5 = macro.dgs10[macro.dgs10.length - 6].value; const be5 = macro.t10yie[macro.t10yie.length - 6].value; const realYield5 = nom5 - be5; const ryDelta = realYield - realYield5; scores.real_yields_momentum = clamp(-ryDelta * 3, -1, 1); // rising real yields = bearish } else { scores.real_yields = 0; scores.real_yields_momentum = 0; } // 5. Fed Funds Rate trajectory if (macro.dff.length >= 30) { const latest = macro.dff[macro.dff.length - 1].value; const dff30 = macro.dff[Math.max(0, macro.dff.length - 31)].value; const rateChange = latest - dff30; // Cutting rates = bullish, hiking = bearish scores.fed_rate = clamp(-rateChange * 2, -2, 2); // 1% cut = +2 scores.fed_rate_raw = latest; scores.fed_rate_delta = parseFloat(rateChange.toFixed(3)); } else { scores.fed_rate = 0; } return scores; } async function fetchFearGreed() { try { const r = await httpGet('https://api.alternative.me/fng/?limit=30'); if (r && r.data) return r.data.map(d => ({ ts: d.timestamp * 1000, value: parseInt(d.value), label: d.value_classification })); } catch {} return []; } // ═══════════════════════════════════════════════════════════════════════════════ // INDICATOR SCORING (each returns -2 to +2, z-scored where applicable) // ═══════════════════════════════════════════════════════════════════════════════ function scoreTrend(cs, closes) { const scores = {}; const n = cs.length - 1; // 1. EMA Cross (fast vs slow) const ema20 = calcEMA(closes, 20), ema50 = calcEMA(closes, 50); const emaDiff = (ema20[n] - ema50[n]) / closes[n] * 100; scores.ema_cross = clamp(emaDiff * 5, -2, 2); // scale: 0.4% diff = +2 // 2. ADX (trend strength, direction-agnostic) const adx = calcADX(cs); const adxVal = adx[n] || 20; scores.adx = adxVal > 25 ? clamp((adxVal - 25) / 15, 0, 2) : clamp(-(25 - adxVal) / 15, -1, 0); // ADX only measures strength; combine with direction if (ema20[n] < ema50[n]) scores.adx *= -1; // strong downtrend = negative // 3. Price vs MA200 const ema200 = calcEMA(closes, Math.min(200, closes.length - 1)); const distMA200 = (closes[n] - ema200[n]) / ema200[n] * 100; scores.price_vs_ma200 = clamp(distMA200 / 5, -2, 2); // 4. Higher highs / higher lows const hhhl = higherHighsLows(cs, 20); scores.structure = hhhl * 2; // -2 to +2 return scores; } function scoreMomentum(closes) { const scores = {}; const n = closes.length - 1; // 1. RSI position + z-score const rsi = calcRSI(closes); if (rsi[n] !== null) { const rsiCentered = (rsi[n] - 50) / 25; // 50=neutral, 75=+1, 25=-1 const rsiWindow = rsi.slice(Math.max(0, n-30), n).filter(v => v !== null); const rsiZ = zScore(rsi[n], rsiWindow); scores.rsi = clamp((rsiCentered + rsiZ * 0.3) * 1.5, -2, 2); } else { scores.rsi = 0; } // 2. MACD histogram z-score + direction const macd = calcMACD(closes); if (macd.histogram[n] !== null) { const macdWindow = macd.histogram.slice(Math.max(0, n-30), n).filter(v => v !== null); const macdZ = zScore(macd.histogram[n], macdWindow); const rising = n > 0 && macd.histogram[n] > (macd.histogram[n-1] || 0) ? 0.5 : -0.5; scores.macd = clamp((macdZ + rising) * 0.8, -2, 2); } else { scores.macd = 0; } // 3. Rate of Change (10-period) const roc = calcROC(closes, 10); if (roc[n] !== null) { const rocWindow = roc.slice(Math.max(0, n-30), n).filter(v => v !== null); const rocZ = zScore(roc[n], rocWindow); scores.roc = clamp(rocZ * 0.8, -2, 2); } else { scores.roc = 0; } return scores; } function scoreVolatility(cs, closes) { const scores = {}; const n = cs.length - 1; // 1. BB Width percentile (high = trending, low = squeeze) const bbw = calcBBWidth(closes, 20); if (bbw[n] !== null) { const bbwWindow = bbw.slice(Math.max(0, n-60), n+1).filter(v => v !== null); const pct = percentile(bbw[n], bbwWindow); // Low BB width (squeeze) = mean reversion likely. High = trend following scores.bb_width = clamp((pct - 50) / 25, -2, 2); // >75th = trending, <25th = squeeze } else { scores.bb_width = 0; } // 2. ATR percentile const atrs = calcATR(cs, 14); if (atrs[n] !== null) { const atrPct = atrs[n] / closes[n] * 100; // ATR as % of price const atrWindow = atrs.slice(Math.max(0, n-60), n+1).filter(v => v !== null).map((v,i) => v / closes[Math.max(0, n-60)+i] * 100); const pct = percentile(atrPct, atrWindow); scores.atr_pctile = clamp((pct - 50) / 25, -2, 2); } else { scores.atr_pctile = 0; } // 3. Keltner squeeze detection (BB inside Keltner = compression) // Simplified: compare BB width to ATR ratio if (bbw[n] !== null && atrs[n] !== null) { const keltnerWidth = atrs[n] * 3 / closes[n] * 100; // ~3×ATR bands const squeeze = bbw[n] < keltnerWidth; // BB inside Keltner = squeeze scores.squeeze = squeeze ? -1 : 1; // squeeze = expect breakout (direction unknown) } else { scores.squeeze = 0; } return scores; } function scoreVolume(cs) { const scores = {}; const n = cs.length - 1; // 1. OBV trend (z-scored 5-period OBV delta) const obv = calcOBV(cs); if (n > 10) { const obvDelta = obv[n] - obv[n-5]; const obvDeltas = []; for (let j = Math.max(6, n-30); j < n; j++) obvDeltas.push(obv[j] - obv[j-5]); scores.obv = clamp(zScore(obvDelta, obvDeltas) * 0.8, -2, 2); } else { scores.obv = 0; } // 2. Volume z-score (current vs recent average) const vols = cs.map(c => c.v); const volWindow = vols.slice(Math.max(0, n-30), n); const volZ = zScore(vols[n], volWindow); scores.volume_z = clamp(volZ * 0.5, -2, 2); // high volume = confirms move // 3. CVD (taker buy pressure) const deltas = cs.map(c => { const buy = c.tbv || 0; return buy - (c.v - buy); }); const deltaWindow = deltas.slice(Math.max(0, n-30), n); const cvdZ = zScore(deltas[n], deltaWindow); scores.cvd = clamp(cvdZ * 0.8, -2, 2); return scores; } function scoreDerivatives(funding, lsRatio, oiData) { const scores = {}; // 1. Funding rate (positive = longs pay, crowded long = bearish contrarian) if (funding.length >= 3) { const recent = funding.slice(-3).map(f => f.rate); const avgFunding = recent.reduce((s,v) => s+v, 0) / recent.length; // Extreme positive funding = bearish (crowded long), extreme negative = bullish scores.funding = clamp(-avgFunding * 5000, -2, 2); // 0.01% = -0.5 (slightly bearish) } else { scores.funding = 0; } // 2. Long/Short ratio if (lsRatio.length >= 5) { const recent = lsRatio.slice(-5).map(d => d.ratio); const avgRatio = recent.reduce((s,v) => s+v, 0) / recent.length; // >1 = more longs (contrarian bearish), <1 = more shorts (contrarian bullish) scores.ls_ratio = clamp(-(avgRatio - 1) * 3, -2, 2); } else { scores.ls_ratio = 0; } // 3. Open Interest delta (rising OI + rising price = strong trend) if (oiData.length >= 5) { const oiVals = oiData.map(d => d.oiVal); const oiDelta = (oiVals[oiVals.length-1] - oiVals[0]) / oiVals[0] * 100; scores.oi_delta = clamp(oiDelta / 5, -2, 2); // 5% OI increase = +1 } else { scores.oi_delta = 0; } return scores; } function scoreSentiment(fng) { const scores = {}; if (fng.length >= 1) { const latest = fng[0].value; // 0-100 // Contrarian: extreme fear = bullish, extreme greed = bearish // But also direct: moderate greed = healthy trend const centered = (latest - 50) / 50; // -1 to +1 // Below 25 = extreme fear (contrarian bullish) // 25-45 = fear (mildly bullish) // 45-55 = neutral // 55-75 = greed (mildly bullish trend confirmation) // Above 75 = extreme greed (contrarian bearish) if (latest < 25) scores.fear_greed = 1.5; // extreme fear = buy else if (latest < 45) scores.fear_greed = 0.5; else if (latest <= 55) scores.fear_greed = 0; else if (latest <= 75) scores.fear_greed = 0.5; // greed confirms trend else scores.fear_greed = -1.5; // extreme greed = caution scores.fear_greed_raw = latest; scores.fear_greed_label = fng[0].label; } else { scores.fear_greed = 0; } return scores; } // ═══════════════════════════════════════════════════════════════════════════════ // COMPOSITE SCORING // ═══════════════════════════════════════════════════════════════════════════════ function computeComposite(categories) { // Weights per category const weights = { trend: 2.0, momentum: 1.5, volatility: 1.0, volume: 1.5, derivatives: 1.5, sentiment: 1.0, liquidity: 3.0, // Heaviest weight — "trade the tide, not the waves" }; let totalScore = 0, totalWeight = 0; const breakdown = {}; for (const [cat, scores] of Object.entries(categories)) { const vals = Object.values(scores).filter(v => typeof v === 'number'); if (!vals.length) continue; const catAvg = vals.reduce((s,v) => s+v, 0) / vals.length; const w = weights[cat] || 1; totalScore += catAvg * w; totalWeight += w; breakdown[cat] = { avg: parseFloat(catAvg.toFixed(2)), weight: w, indicators: scores }; } const composite = totalWeight > 0 ? totalScore / totalWeight : 0; // Scale to -10 to +10 const scaled = clamp(composite * 5, -10, 10); return { score: parseFloat(scaled.toFixed(1)), signal: scaled > 3 ? 'BULLISH' : scaled > 1 ? 'LEAN_BULL' : scaled < -3 ? 'BEARISH' : scaled < -1 ? 'LEAN_BEAR' : 'NEUTRAL', breakdown, }; } // ═══════════════════════════════════════════════════════════════════════════════ // TIMEFRAME SCORERS // ═══════════════════════════════════════════════════════════════════════════════ async function scoreFast() { const cs = await fetchCandles('BTCUSDT', '15m', 200); if (cs.length < 100) return { score: 0, signal: 'NO_DATA', breakdown: {} }; const closes = cs.map(c => c.c); return computeComposite({ trend: scoreTrend(cs, closes), momentum: scoreMomentum(closes), volatility: scoreVolatility(cs, closes), volume: scoreVolume(cs), }); } // ═══════════════════════════════════════════════════════════════════════════════ // STPI — Short Term Probability Indicator (for day trading) // 15m + 1h indicators + fast derivatives → 0-1 probability // Updated hourly. Gates day trading entries at 0.5 threshold. // ═══════════════════════════════════════════════════════════════════════════════ async function computeSTPI() { const [cs15m, cs1h] = await Promise.all([ fetchCandles('BTCUSDT', '15m', 200), fetchCandles('BTCUSDT', '1h', 100), ]); if (cs15m.length < 100 || cs1h.length < 60) return { stpi: 0.5, rawScore: 0, breakdown: {} }; const closes15 = cs15m.map(c => c.c); const closes1h = cs1h.map(c => c.c); const n15 = closes15.length - 1; const n1h = closes1h.length - 1; const categories = { trend_15m: [], momentum_15m: [], structure_1h: [], volatility: [], flow: [] }; // ─── 15m TREND ─── const ema8 = calcEMA(closes15, 8), ema21 = calcEMA(closes15, 21), ema50_15 = calcEMA(closes15, 50); // 1. EMA8 vs EMA21 spread const spread821 = (ema8[n15] - ema21[n15]) / closes15[n15] * 100; categories.trend_15m.push(clamp(spread821 * 10, -2, 2)); // 2. EMA alignment (8 > 21 > 50) const aligned = ema8[n15] > ema21[n15] && ema21[n15] > ema50_15[n15]; const inverted = ema8[n15] < ema21[n15] && ema21[n15] < ema50_15[n15]; categories.trend_15m.push(aligned ? 2 : inverted ? -2 : 0); // 3. Price vs 50 EMA (short term trend) const dist50 = (closes15[n15] - ema50_15[n15]) / ema50_15[n15] * 100; categories.trend_15m.push(clamp(dist50 * 3, -2, 2)); // ─── 15m MOMENTUM ─── const rsi15 = calcRSI(closes15, 14); if (rsi15[n15] !== null) { const rsiCentered = (rsi15[n15] - 50) / 25; categories.momentum_15m.push(clamp(rsiCentered * 2, -2, 2)); } const macd15 = calcMACD(closes15); if (macd15.histogram[n15] !== null) { const macdWindow = macd15.histogram.slice(Math.max(0, n15-30), n15).filter(v => v !== null); const mz = zScore(macd15.histogram[n15], macdWindow); categories.momentum_15m.push(clamp(mz * 0.8, -2, 2)); // MACD rising/falling const rising = n15 > 0 && macd15.histogram[n15] > (macd15.histogram[n15-1] || 0); categories.momentum_15m.push(rising ? 1 : -1); } // ROC 5-period on 15m (~1.25 hours) if (n15 >= 5) { const roc5 = (closes15[n15] - closes15[n15-5]) / closes15[n15-5] * 100; categories.momentum_15m.push(clamp(roc5 * 5, -2, 2)); } // ─── 1h STRUCTURE ─── const ema9_1h = calcEMA(closes1h, 9), ema21_1h = calcEMA(closes1h, 21), ema50_1h = calcEMA(closes1h, 50); // 1h EMA alignment const aligned1h = ema9_1h[n1h] > ema21_1h[n1h] && ema21_1h[n1h] > ema50_1h[n1h]; const inverted1h = ema9_1h[n1h] < ema21_1h[n1h] && ema21_1h[n1h] < ema50_1h[n1h]; categories.structure_1h.push(aligned1h ? 2 : inverted1h ? -2 : 0); // 1h RSI const rsi1h = calcRSI(closes1h); if (rsi1h[n1h] !== null) { categories.structure_1h.push(clamp((rsi1h[n1h] - 50) / 25 * 1.5, -2, 2)); } // 1h MACD direction const macd1h = calcMACD(closes1h); if (macd1h.histogram[n1h] !== null) { categories.structure_1h.push(macd1h.histogram[n1h] > 0 ? 1 : -1); const rising1h = n1h > 0 && macd1h.histogram[n1h] > (macd1h.histogram[n1h-1] || 0); categories.structure_1h.push(rising1h ? 0.5 : -0.5); } // ─── VOLATILITY (15m) ─── const bbw = calcBBWidth(closes15, 20); if (bbw[n15] !== null) { const bbwWindow = bbw.slice(Math.max(0, n15-60), n15+1).filter(v => v !== null); const pct = percentile(bbw[n15], bbwWindow); categories.volatility.push(clamp((pct - 50) / 25, -2, 2)); } // ATR percentile const atrs15 = calcATR(cs15m, 14); if (atrs15[n15] !== null) { const atrPct = atrs15[n15] / closes15[n15] * 100; categories.volatility.push(clamp((atrPct - 0.3) * 5, -2, 2)); // 0.3% = neutral for 15m } // ─── FLOW (volume + CVD on 15m) ─── const vols15 = cs15m.map(c => c.v); const volWindow = vols15.slice(Math.max(0, n15-30), n15); const volZ = zScore(vols15[n15], volWindow); categories.flow.push(clamp(volZ * 0.5, -2, 2)); // CVD const deltas = cs15m.map(c => { const buy = c.tbv || 0; return buy - (c.v - buy); }); const deltaWindow = deltas.slice(Math.max(0, n15-30), n15); const cvdZ = zScore(deltas[n15], deltaWindow); categories.flow.push(clamp(cvdZ * 0.8, -2, 2)); // OBV trend const obv = calcOBV(cs15m); if (n15 > 10) { const obvDelta = obv[n15] - obv[n15-5]; const obvDs = []; for (let j = Math.max(6, n15-30); j < n15; j++) obvDs.push(obv[j] - obv[j-5]); categories.flow.push(clamp(zScore(obvDelta, obvDs) * 0.6, -2, 2)); } // ── AGGREGATE ── const weights = { trend_15m: 2.5, momentum_15m: 2.0, structure_1h: 2.0, volatility: 1.0, flow: 1.5 }; let totalScore = 0, totalWeight = 0; const breakdown = {}; for (const [cat, vals] of Object.entries(categories)) { if (!vals.length) continue; const avg = vals.reduce((s,v) => s+v, 0) / vals.length; const w = weights[cat] || 1; totalScore += avg * w; totalWeight += w; breakdown[cat] = { avg: parseFloat(avg.toFixed(3)), weight: w, count: vals.length }; } const rawScore = totalWeight > 0 ? totalScore / totalWeight : 0; const stpi = parseFloat(sigmoid(rawScore * 0.8).toFixed(4)); return { stpi, rawScore: parseFloat(rawScore.toFixed(3)), signal: stpi >= 0.5 ? 'BULLISH' : 'BEARISH', breakdown }; } async function scoreMedium() { const cs = await fetchCandles('BTCUSDT', '4h', 200); if (cs.length < 100) return { score: 0, signal: 'NO_DATA', breakdown: {} }; const closes = cs.map(c => c.c); const [funding, lsRatio, oiData] = await Promise.all([ fetchFundingRate(), fetchLongShortRatio('BTCUSDT', '4h'), fetchOpenInterest('BTCUSDT', '4h'), ]); return computeComposite({ trend: scoreTrend(cs, closes), momentum: scoreMomentum(closes), volatility: scoreVolatility(cs, closes), volume: scoreVolume(cs), derivatives: scoreDerivatives(funding, lsRatio, oiData), }); } async function scoreMacro() { const cs = await fetchCandles('BTCUSDT', '1d', 250); if (cs.length < 60) return { score: 0, signal: 'NO_DATA', breakdown: {} }; const closes = cs.map(c => c.c); const [funding, lsRatio, oiData, fng, macroData] = await Promise.all([ fetchFundingRate(), fetchLongShortRatio('BTCUSDT', '1d'), fetchOpenInterest('BTCUSDT', '1d'), fetchFearGreed(), fetchMacroLiquidity(), ]); return computeComposite({ trend: scoreTrend(cs, closes), momentum: scoreMomentum(closes), volatility: scoreVolatility(cs, closes), volume: scoreVolume(cs), derivatives: scoreDerivatives(funding, lsRatio, oiData), sentiment: scoreSentiment(fng), liquidity: scoreMacroLiquidity(macroData), }); } // ═══════════════════════════════════════════════════════════════════════════════ // REGIME CLASSIFICATION // ═══════════════════════════════════════════════════════════════════════════════ function classifyRegime(fast, medium, macro) { // Determine overall market type const avgScore = (fast.score * 0.2 + medium.score * 0.4 + macro.score * 0.4); // Volatility regime from medium timeframe const medVol = medium.breakdown.volatility; const isSqueezing = medVol && medVol.indicators && medVol.indicators.squeeze < 0; const isHighVol = medVol && medVol.avg > 1; let marketType = 'MIXED'; if (isSqueezing) marketType = 'COMPRESSION'; // expect breakout else if (isHighVol && Math.abs(avgScore) > 3) marketType = 'TRENDING'; else if (!isHighVol && Math.abs(avgScore) < 2) marketType = 'RANGE_BOUND'; else if (Math.abs(avgScore) > 5) marketType = 'STRONG_TREND'; // Strategy recommendation let recommendation = 'NEUTRAL'; if (marketType === 'TRENDING' || marketType === 'STRONG_TREND') { recommendation = avgScore > 0 ? 'TREND_FOLLOW_LONG' : 'TREND_FOLLOW_SHORT'; } else if (marketType === 'RANGE_BOUND') { recommendation = 'MEAN_REVERSION'; } else if (marketType === 'COMPRESSION') { recommendation = 'WAIT_BREAKOUT'; } // Position sizing suggestion const confidence = Math.min(Math.abs(avgScore) / 7, 1); // 0-1 const sizeMult = avgScore > 1 ? (0.5 + confidence * 0.5) : avgScore < -1 ? 0.5 * (1 - confidence * 0.3) : 0.5; return { composite_score: parseFloat(avgScore.toFixed(1)), composite_signal: avgScore > 3 ? 'BULLISH' : avgScore > 1 ? 'LEAN_BULL' : avgScore < -3 ? 'BEARISH' : avgScore < -1 ? 'LEAN_BEAR' : 'NEUTRAL', market_type: marketType, recommendation, confidence: parseFloat(confidence.toFixed(2)), size_multiplier: parseFloat(sizeMult.toFixed(2)), allow_new_longs: avgScore > -3, // block longs in strong downtrend }; } // ═══════════════════════════════════════════════════════════════════════════════ // MAIN // ═══════════════════════════════════════════════════════════════════════════════ async function computeMTPIProbability() { // MTPI for swing trading — mirrors macro-rotation MTPI logic // but outputs as 0-1 probability for regime.json consumption const cs = await fetchCandles('BTCUSDT', '4h', 200); if (cs.length < 100) return { mtpi: 0.5, rawScore: 0, signal: 'NO_DATA', breakdown: {} }; const closes = cs.map(c => c.c); const n = closes.length - 1; let funding = [], lsRatio = [], oiData = []; try { const r = await httpGet('https://fapi.binance.com/fapi/v1/fundingRate?symbol=BTCUSDT&limit=30'); funding = r.map(f => parseFloat(f.fundingRate)); } catch {} try { const r = await httpGet('https://fapi.binance.com/futures/data/globalLongShortAccountRatio?symbol=BTCUSDT&period=4h&limit=30'); lsRatio = r.map(d => parseFloat(d.longShortRatio)); } catch {} try { const r = await httpGet('https://fapi.binance.com/futures/data/openInterestHist?symbol=BTCUSDT&period=4h&limit=30'); oiData = r.map(d => parseFloat(d.sumOpenInterestValue)); } catch {} const categories = { momentum: [], structure: [], derivatives: [], flow: [] }; // Momentum const rsi = calcRSI(closes); if (rsi[n] !== null) categories.momentum.push(clamp((rsi[n] - 50) / 20, -2, 2)); const roc7 = n >= 42 ? (closes[n] - closes[n-42]) / closes[n-42] * 100 : 0; // 42×4h = 7 days categories.momentum.push(clamp(roc7 * 0.3, -2, 2)); const macd = calcMACD(closes); if (macd.histogram[n] !== null) { categories.momentum.push(macd.histogram[n] > 0 ? 1 : -1); if (n > 0) categories.momentum.push(macd.histogram[n] > (macd.histogram[n-1]||0) ? 0.5 : -0.5); } // Structure const ema20 = calcEMA(closes, 20), ema50 = calcEMA(closes, 50); categories.structure.push(ema20[n] > ema50[n] ? 1.5 : -1.5); categories.structure.push(clamp((closes[n] - ema50[n]) / ema50[n] * 100 * 0.5, -2, 2)); const hhhl = higherHighsLows(cs, 30); categories.structure.push(hhhl * 2); // Derivatives (data is already parsed to numbers) if (funding.length >= 3) { const valid = funding.slice(-3).filter(v => !isNaN(v)); if (valid.length) { const avgF = valid.reduce((s,v)=>s+v,0)/valid.length; categories.derivatives.push(clamp(-avgF * 3000, -2, 2)); } } if (lsRatio.length >= 5) { const valid = lsRatio.slice(-5).filter(v => !isNaN(v)); if (valid.length) { const avgLS = valid.reduce((s,v)=>s+v,0)/valid.length; categories.derivatives.push(clamp(-(avgLS - 1) * 3, -2, 2)); } } if (oiData.length >= 5) { const valid = oiData.filter(v => !isNaN(v)); if (valid.length >= 2) { const oiDelta = (valid[valid.length-1] - valid[0]) / valid[0] * 100; categories.derivatives.push(clamp(oiDelta / 5, -2, 2)); } } // Flow const obv = calcOBV(cs); if (n > 10) { const obvDelta = obv[n] - obv[n-5]; const obvDs = []; for (let j = Math.max(6,n-30); j < n; j++) obvDs.push(obv[j]-obv[j-5]); categories.flow.push(clamp(zScore(obvDelta, obvDs) * 0.8, -2, 2)); } const deltas = cs.map(c => { const buy = c.tbv || 0; return buy - (c.v - buy); }); const dw = deltas.slice(Math.max(0,n-30),n); categories.flow.push(clamp(zScore(deltas[n], dw) * 0.8, -2, 2)); const weights = { momentum: 2.0, structure: 2.0, derivatives: 1.5, flow: 1.5 }; let totalScore = 0, totalWeight = 0; const breakdown = {}; for (const [cat, vals] of Object.entries(categories)) { if (!vals.length) continue; const avg = vals.reduce((s,v)=>s+v,0)/vals.length; const w = weights[cat] || 1; totalScore += avg * w; totalWeight += w; breakdown[cat] = { avg: parseFloat(avg.toFixed(3)), weight: w, count: vals.length }; } const rawScore = totalWeight > 0 ? totalScore / totalWeight : 0; const mtpi = parseFloat(sigmoid(rawScore * 0.8).toFixed(4)); return { mtpi, rawScore: parseFloat(rawScore.toFixed(3)), signal: mtpi >= 0.5 ? 'BULLISH' : 'BEARISH', breakdown }; } async function run() { const uaeTime = new Date().toLocaleString('en-AE', { timeZone: 'Asia/Dubai', hour12: false }); console.log(`[${uaeTime} UAE] Regime scorer running...`); const [fast, medium, macro, stpiResult, mtpiResult] = await Promise.all([ scoreFast(), scoreMedium(), scoreMacro(), computeSTPI(), computeMTPIProbability(), ]); const classification = classifyRegime(fast, medium, macro); const regime = { updated: new Date().toISOString(), fast: { timeframe: '15m', ...fast }, medium: { timeframe: '4h', ...medium }, macro: { timeframe: '1d', ...macro }, stpi: stpiResult, // for day trading v6 mtpi: mtpiResult, // for swing v2 classification, }; // Save fs.mkdirSync(path.dirname(REGIME_FILE), { recursive: true }); fs.writeFileSync(REGIME_FILE, JSON.stringify(regime, null, 2)); // Console summary const arrow = s => s > 3 ? '🟢↑' : s > 1 ? '🟡↗' : s < -3 ? '🔴↓' : s < -1 ? '🟠↘' : '⚪→'; console.log(`\n Fast (15m): ${arrow(fast.score)} ${fast.score.toFixed(1).padStart(5)} | ${fast.signal}`); console.log(` Medium (4h): ${arrow(medium.score)} ${medium.score.toFixed(1).padStart(5)} | ${medium.signal}`); console.log(` Macro (1d): ${arrow(macro.score)} ${macro.score.toFixed(1).padStart(5)} | ${macro.signal}`); console.log(`\n STPI (day): ${stpiResult.stpi >= 0.5 ? '🟢' : '🔴'} ${(stpiResult.stpi*100).toFixed(1).padStart(5)}% | ${stpiResult.signal} (raw: ${stpiResult.rawScore})`); console.log(` MTPI (swing):${mtpiResult.mtpi >= 0.5 ? '🟢' : '🔴'} ${(mtpiResult.mtpi*100).toFixed(1).padStart(5)}% | ${mtpiResult.signal} (raw: ${mtpiResult.rawScore})`); console.log(`\n Composite: ${arrow(classification.composite_score)} ${classification.composite_score.toFixed(1).padStart(5)} | ${classification.composite_signal}`); console.log(` Market: ${classification.market_type} | Rec: ${classification.recommendation}`); console.log(` Confidence: ${(classification.confidence * 100).toFixed(0)}% | Size mult: ${classification.size_multiplier}x`); console.log(` Longs OK: ${classification.allow_new_longs ? '✅' : '⛔'}`); // Show breakdown for (const [tf, data] of [['Fast', fast], ['Medium', medium], ['Macro', macro]]) { console.log(`\n ${tf} Breakdown:`); for (const [cat, info] of Object.entries(data.breakdown)) { const indicators = Object.entries(info.indicators || {}).map(([k,v]) => `${k}:${typeof v === 'number' ? v.toFixed(1) : v}`).join(' '); console.log(` ${cat.padEnd(12)} avg:${info.avg.toFixed(1).padStart(5)} w:${info.weight} | ${indicators}`); } } console.log('\nDone ✅'); } // Export for use as module module.exports = { run, scoreFast, scoreMedium, scoreMacro, classifyRegime }; // Run if called directly if (require.main === module) { run().catch(e => { console.error('Error:', e.message); process.exit(1); }); }

SMC Multi-Strategy Paper Trader

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