// @ts-nocheck
/**
 * Volatility-aware entry validation.
 *
 * Current production baseline in this script:
 *   L16/S8 cap420 wait30 minSoft25 roundMoat25
 *   realistic maker-SL path model.
 *
 * This tests entry/execution adaptation only: immediate-entry threshold, L1 touch
 * requirement in high volatility, wait-window adaptation, stale drift cancel, and
 * extreme volatility skips. No signal weights are changed.
 */
import fs from 'node:fs'
import readline from 'node:readline'

type Bar={ts:number;o:number;h:number;l:number;c:number;v?:number}
type Side='long'|'short'
type Trade={gross:number;net:number;month:string;side:Side;bar:number;sizingBps:number;softSlBps:number;isSl:boolean;isHardSl:boolean;reason:string;hold:number;entryMode:string;atr60:number}
type Cfg={label:string;immBps:number;wait:number;hiAtr?:number;hiImmBps?:number;hiWait?:number;loAtr?:number;loWait?:number;maxAwayBps?:number;skipAtrAbove?:number;skipAtrBelow?:number}

async function loadBars(files:string[]):Promise<Bar[]>{const seen=new Set<number>(),all:Bar[]=[];for(const f of files){if(!fs.existsSync(f))continue;const rl=readline.createInterface({input:fs.createReadStream(f),crlfDelay:Infinity});for await(const line of rl){if(!line.trim())continue;const b=JSON.parse(line);if(!seen.has(b.ts)){seen.add(b.ts);all.push(b)}}}all.sort((a,b)=>a.ts-b.ts);return all}
function lbRet(bars:Bar[],i:number,n:number){return i>=n&&bars[i-n].c>0?(bars[i].c-bars[i-n].c)/bars[i-n].c*10000:0}
function closePos(b:Bar){return b.h>b.l?(b.c-b.l)/(b.h-b.l):0.5}
function avgCP(bars:Bar[],i:number,n:number){let s=0;for(let j=Math.max(0,i-n+1);j<=i;j++)s+=closePos(bars[j]);return s/Math.min(n,i+1)}
function rsi(bars:Bar[],i:number,n:number){if(i<n)return 50;let u=0,d=0;for(let j=i-n+1;j<=i;j++){const x=bars[j].c-bars[j-1].c;if(x>0)u+=x;else d-=x}return d===0?100:100-100/(1+u/d)}
function atrBps(bars:Bar[],i:number,n:number){let s=0,c=0;for(let j=Math.max(1,i-n+1);j<=i;j++){const prev=bars[j-1].c;const tr=Math.max(bars[j].h-bars[j].l,Math.abs(bars[j].h-prev),Math.abs(bars[j].l-prev));s+=tr/bars[j].c*10000;c++}return c?s/c:0}
function computeScore(bars:Bar[],i:number){const d=new Date(bars[i].ts),h=d.getUTCHours(),m=d.getUTCMinutes(),dow=d.getUTCDay();let w=0,hW=0,tW=0;const add=(dir:number,wt:number,hold:number)=>{w+=dir*wt;hW+=hold*wt;tW+=wt};if(dow===4)add(-1,20,240);if(dow===3)add(1,19.05,240);if(dow===0)add(1,15.05,240);if(dow===1)add(1,10.61,240);if(dow===5)add(-1,6,240);if(h===22)add(1,2.86,120);if(h===21)add(1,17.9,120);if(h===20)add(1,9.49,60);if(h===23)add(-1,8.94,30);if(i>=60){const bp=avgCP(bars,i,60);if(bp>0.58)add(1,15.49,240);if(bp<0.42)add(-1,8,240)}if(i>=60&&(h===13||(h===14&&m<=15))&&m<=15){const gap=lbRet(bars,i,60);if(Math.abs(gap)>5)add(gap>0?-1:1,15,120)}if(i>=60){const rv=rsi(bars,i,60);if(rv<30)add(1,4.63,120)}if(i>=1440){const dy=lbRet(bars,i,1440);if(Math.abs(dy)>30)add(dy>0?-1:1,5,240)}return{score:w,hold:tW>0?Math.max(60,Math.min(240,Math.round(hW/tW))):120}}

const SWING_N=5,SWING_LOOKBACK=480
function compositeLiquidityLevel(bars:Bar[],i:number,dir:1|-1,refPrice?:number){const N=i+1,price=refPrice??bars[i].c,candidates:number[]=[];candidates.push(dir>0?Math.floor(price/1000)*1000:Math.ceil(price/1000)*1000,dir>0?Math.floor(price/500)*500:Math.ceil(price/500)*500,dir>0?Math.floor(price/250)*250:Math.ceil(price/250)*250);let bestSwing:number|null=null,bestDist=Infinity;const scanEnd=N-SWING_N-1,scanStart=Math.max(SWING_N,N-SWING_LOOKBACK-SWING_N);for(let j=scanEnd;j>=scanStart;j--){let ok=true;for(let k=1;k<=SWING_N&&ok;k++){if(dir>0){if((bars[j-k]?.l??Infinity)<=bars[j].l)ok=false;if((bars[j+k]?.l??Infinity)<=bars[j].l)ok=false}else{if((bars[j-k]?.h??0)>=bars[j].h)ok=false;if((bars[j+k]?.h??0)>=bars[j].h)ok=false}}if(!ok)continue;const lvl=dir>0?bars[j].l:bars[j].h;if(dir>0?lvl>=price:lvl<=price)continue;const dist=Math.abs(price-lvl);if(dist<bestDist){bestDist=dist;bestSwing=lvl}}if(bestSwing!==null)candidates.push(bestSwing);const d=new Date(bars[N-1].ts);d.setUTCHours(0,0,0,0);const today=d.getTime();let pdH=0,pdL=Infinity;for(let j=N-1;j>=0;j--){if(bars[j].ts>=today)continue;if(bars[j].ts<today-86400000)break;if(bars[j].h>pdH)pdH=bars[j].h;if(bars[j].l<pdL)pdL=bars[j].l}if(dir>0&&pdL<price&&pdL>0)candidates.push(pdL);if(dir<0&&pdH>price&&pdH>0)candidates.push(pdH);const volMap=new Map<number,number>();for(let j=N-1;j>=0&&bars[j].ts>=today;j--){const bucket=Math.round(bars[j].c/50)*50;volMap.set(bucket,(volMap.get(bucket)??0)+(bars[j].v??0))}let maxV=0,poc=0;volMap.forEach((v,p)=>{if(v>maxV){maxV=v;poc=p}});if(poc>0&&(dir>0?poc<price:poc>price))candidates.push(poc);const valid=candidates.filter(l=>dir>0?l<=price:l>=price);if(!valid.length)return dir>0?Math.floor(price/250)*250:Math.ceil(price/250)*250;return valid.reduce((b,c)=>Math.abs(price-c)<Math.abs(price-b)?c:b)}
function stopCandidates(bars:Bar[],i:number,dir:1|-1,refPrice:number){const N=i+1,price=refPrice;const c=[dir>0?Math.floor(price/1000)*1000:Math.ceil(price/1000)*1000,dir>0?Math.floor(price/500)*500:Math.ceil(price/500)*500,dir>0?Math.floor(price/250)*250:Math.ceil(price/250)*250];const d=new Date(bars[N-1].ts);d.setUTCHours(0,0,0,0);const today=d.getTime();let pdH=0,pdL=Infinity;for(let j=N-1;j>=0;j--){if(bars[j].ts>=today)continue;if(bars[j].ts<today-86400000)break;if(bars[j].h>pdH)pdH=bars[j].h;if(bars[j].l<pdL)pdL=bars[j].l}if(dir>0&&pdL<price&&pdL>0)c.push(pdL);if(dir<0&&pdH>price&&pdH>0)c.push(pdH);return[...new Set(c)].filter(l=>dir>0?l<=price:l>=price).sort((a,b)=>Math.abs(price-a)-Math.abs(price-b))}
function stopLiquidityLevel(bars:Bar[],i:number,dir:1|-1,refPrice:number,minBps=0){const c=stopCandidates(bars,i,dir,refPrice),price=refPrice;const v=minBps>0?c.filter(l=>Math.abs(price-l)/price*10000>=minBps):c;if(v.length)return v[0];if(c.length)return c.at(-1)!;return dir>0?Math.floor(price/250)*250:Math.ceil(price/250)*250}
function isRoundStopZone(level:number){return Number.isFinite(level)&&Math.abs(level/250-Math.round(level/250))*250<=0.05}
function moveAwayUsd(px:number,dir:1|-1,usd:number){return dir>0?px-usd:px+usd}
function moveAway(px:number,dir:1|-1,bps:number){return dir>0?px*(1-bps/10000):px*(1+bps/10000)}
function distBps(a:number,b:number){return Math.abs(a-b)/a*10000}
function crossedClose(b:Bar,dir:1|-1,px:number){return dir>0?b.c<=px:b.c>=px}
function touchedHard(b:Bar,dir:1|-1,px:number){return dir>0?b.l<=px:b.h>=px}
function reclaimedFill(b:Bar,dir:1|-1,px:number){return dir>0?b.h>=px:b.l<=px}
function pnlBps(dir:1|-1,entry:number,exit:number){return dir*(exit-entry)/entry*10000}

function buildStops(bars:Bar[],i:number,dir:1|-1,target:number){const slRef=dir>0?target-0.01:target+0.01;const baseL2=stopLiquidityLevel(bars,i,dir,slRef,25);const baseBps=distBps(target,baseL2);const isStruct=baseBps>=15&&baseBps<=200;const currentSoft=isStruct?baseL2:(dir>0?target*0.99:target*1.01);const moat=isStruct&&isRoundStopZone(baseL2)?25:0;const soft=moat>0?moveAwayUsd(currentSoft,dir,moat):currentSoft;const l3ref=dir>0?soft-0.01:soft+0.01;const l3=stopLiquidityLevel(bars,i,dir,l3ref,0);const gap=Math.max(10,Math.min(100,distBps(soft,l3)));const hard=isStruct?moveAway(soft,dir,gap):(dir>0?target*(1-1.25/100):target*(1+1.25/100));return{softPx:soft,hardPx:hard,softBps:distBps(target,soft),hardBps:distBps(target,hard)+8,sizingBps:isStruct?distBps(target,hard):125}}
function entryParams(cfg:Cfg,atr:number){let imm=cfg.immBps,wait=cfg.wait;if(cfg.hiAtr!==undefined&&atr>=cfg.hiAtr){if(cfg.hiImmBps!==undefined)imm=cfg.hiImmBps;if(cfg.hiWait!==undefined)wait=cfg.hiWait}if(cfg.loAtr!==undefined&&atr<=cfg.loAtr&&cfg.loWait!==undefined)wait=cfg.loWait;return{imm,wait}}
function awayFromL1(dir:1|-1,close:number,target:number){return dir>0?(close-target)/target*10000:(target-close)/target*10000}

function simulate(bars:Bar[],cfg:Cfg,startIdx=20160,endIdx=bars.length):Trade[]{const trades:Trade[]=[],stopCounts=new Map<string,number>();let cooldown=Math.max(startIdx,20160);const EXT=8,MIN_H=60,MAX_H=240,CAP=420,CONFIRM=4,SL_CD=30,MAKER_WAIT=30,N=bars.length;const first=Math.max(startIdx,20160),last=Math.min(endIdx,N-60);for(let i=first;i<last;i++){if(i<cooldown)continue;const atr60=atrBps(bars,i,60);if(cfg.skipAtrAbove!==undefined&&atr60>=cfg.skipAtrAbove)continue;if(cfg.skipAtrBelow!==undefined&&atr60<=cfg.skipAtrBelow)continue;const {score,hold}=computeScore(bars,i);if(score===0)continue;const dir:1|-1=score>0?1:-1,side:Side=dir>0?'long':'short',thresh=dir>0?16:8;if(Math.abs(score)<thresh)continue;let confirmed=true;for(let k=1;k<CONFIRM;k++){const sk=computeScore(bars,i-k).score;if(sk*dir<thresh){confirmed=false;break}}if(!confirmed)continue;if(dir*lbRet(bars,i,4320)<-600)continue;if(dir*lbRet(bars,i,10080)<-700)continue;if(dir*lbRet(bars,i,20160)<-800)continue;const day=new Date(bars[i].ts).toISOString().slice(0,10),ck=`${day}_${side}`;if((stopCounts.get(ck)??0)>=2)continue;const target=compositeLiquidityLevel(bars,i,dir);const {imm,wait}=entryParams(cfg,atr60);const d0=distBps(bars[i].c,target);let entryPx=bars[i].c,entryBar=i,filled=d0<=imm,entryMode=filled?'mid':'touch';if(!filled){let abort=false;for(let j=i+1;j<=Math.min(N-1,i+wait);j++){const hit=dir>0?bars[j].l<=target:bars[j].h>=target;if(hit){filled=true;entryBar=j;entryPx=target;break}if(cfg.maxAwayBps!==undefined&&awayFromL1(dir,bars[j].c,target)>cfg.maxAwayBps){abort=true;break}}if(abort)continue}if(!filled)continue;const st=buildStops(bars,i,dir,target);if(st.softBps<5||st.sizingBps<15||st.sizingBps>350)continue;const hardCap=i+CAP;let deadline=i+Math.max(MIN_H,Math.min(MAX_H,hold));let exitBar=-1,isSl=false,isHardSl=false,gross=0,reason='time';for(let j=entryBar+1;j<Math.min(N,hardCap+1);j++){if(touchedHard(bars[j],dir,st.hardPx)){exitBar=j;isSl=true;isHardSl=true;reason='hard_sl';gross=-st.hardBps;break}if(crossedClose(bars[j],dir,st.softPx)){isSl=true;let done=false;for(let k=j+1;k<=Math.min(N-1,j+MAKER_WAIT,hardCap);k++){if(touchedHard(bars[k],dir,st.hardPx)){exitBar=k;isHardSl=true;reason='hard_sl_after_soft';gross=-st.hardBps;done=true;break}if(reclaimedFill(bars[k],dir,st.softPx)){exitBar=k;reason='soft_maker_fill';gross=pnlBps(dir,entryPx,st.softPx);done=true;break}}if(!done){exitBar=Math.min(N-1,j+MAKER_WAIT,hardCap);reason='soft_timeout';gross=pnlBps(dir,entryPx,bars[exitBar].c)}break}if(j>=i+MIN_H){const es=computeScore(bars,j);if(es.score*dir>=EXT){const proposed=Math.min(j+Math.max(MIN_H,Math.min(MAX_H,es.hold)),hardCap);if(proposed>deadline)deadline=proposed}}if(j>=deadline){exitBar=j;reason='time';gross=pnlBps(dir,entryPx,bars[j].c);break}}if(exitBar<0){exitBar=Math.min(N-2,hardCap);reason='cap';gross=pnlBps(dir,entryPx,bars[exitBar].c)}const dt=new Date(bars[i].ts);trades.push({gross,net:gross,reason,isSl,isHardSl,month:dt.toISOString().slice(0,7),side,bar:i,softSlBps:st.softBps,sizingBps:st.sizingBps,hold:exitBar-entryBar,entryMode,atr60});if(isSl)stopCounts.set(ck,(stopCounts.get(ck)??0)+1);cooldown=exitBar+(isSl?SL_CD:5)}return trades}

function stats(v:number[]){const n=v.length;if(n<3)return{n,mean:0,sd:0,t:0,wr:0};const mean=v.reduce((a,b)=>a+b,0)/n;const sd=Math.sqrt(v.reduce((s,x)=>s+(x-mean)**2,0)/(n-1));return{n,mean,sd,t:sd>0?mean/(sd/Math.sqrt(n)):0,wr:v.filter(x=>x>0).length/n}}
function sig(t:number){const a=Math.abs(t);return a>3.89?'****':a>3.29?'***':a>2.58?'**':a>1.96?'*':''}
function monthly(tr:Trade[],fixed=1500){const m:Record<string,number>={};for(const t of tr)m[t.month]=(m[t.month]??0)+fixed*t.net/10000;return m}
function actualMonthly(tr:Trade[],acct=10000,risk=0.03){const m:Record<string,number>={};for(const t of tr){const notional=acct*risk/(t.sizingBps/10000);m[t.month]=(m[t.month]??0)+notional*t.net/10000}return m}
function ir(vals:number[]){if(vals.length<3)return 0;const s=stats(vals);return s.sd>0?s.mean/s.sd:0}
function moIR(tr:Trade[]){return ir(Object.values(monthly(tr)))}
function actualIR(tr:Trade[]){return ir(Object.values(actualMonthly(tr)))}
function maxDD(tr:Trade[],risk=0.03){let eq=500,pk=500,dd=0;for(const t of tr){eq+=eq*risk/(t.sizingBps/10000)*t.net/10000;if(eq>pk)pk=eq;dd=Math.max(dd,(pk-eq)/pk)}return dd}
function totalActual(tr:Trade[]){return Object.values(actualMonthly(tr)).reduce((a,b)=>a+b,0)}
function pairedMaps(a:Record<string,number>,b:Record<string,number>){const months=[...new Set([...Object.keys(a),...Object.keys(b)])].sort();const diffs=months.map(m=>(b[m]??0)-(a[m]??0));const s=stats(diffs);return{n:diffs.length,imp:diffs.filter(x=>x>0).length,mean:s.mean,t:s.t,total:diffs.reduce((x,y)=>x+y,0)}}
function metric(label:string,tr:Trade[]){const s=stats(tr.map(t=>t.net)),mp=Object.values(monthly(tr));const sl=tr.filter(t=>t.isSl),hard=tr.filter(t=>t.isHardSl),mid=tr.filter(t=>t.entryMode==='mid');return{label,n:s.n,mean:s.mean,t:s.t,wr:s.wr,moIR:moIR(tr),actIR:actualIR(tr),maxDD:maxDD(tr),mp:mp.filter(x=>x>0).length,mt:mp.length,slRate:tr.length?sl.length/tr.length:0,hardRate:sl.length?hard.length/sl.length:0,midRate:tr.length?mid.length/tr.length:0,avgAtr:tr.reduce((a,t)=>a+t.atr60,0)/Math.max(1,tr.length)}}
function withFee(tr:Trade[],fee:number){return tr.map(t=>({...t,net:t.gross-fee}))}
function fmt(m:ReturnType<typeof metric>,ref?:Trade[],tr?:Trade[]){let p='';if(ref&&tr){const pa=pairedMaps(actualMonthly(ref),actualMonthly(tr));p=` actualΔ=$${pa.mean.toFixed(0)}(${pa.imp}/${pa.n},t=${pa.t.toFixed(2)}) total=$${totalActual(tr).toFixed(0)}`}return`${m.label.padEnd(14)} n=${String(m.n).padStart(4)} mean=${m.mean.toFixed(2).padStart(6)} t=${m.t.toFixed(2)}${sig(m.t).padEnd(4)} WR=${(m.wr*100).toFixed(1)}% moIR=${m.moIR.toFixed(2)} actIR=${m.actIR.toFixed(2)} DD=${(m.maxDD*100).toFixed(1)}% m+=${m.mp}/${m.mt} SL=${(m.slRate*100).toFixed(1)}% hard=${(m.hardRate*100).toFixed(1)}% mid=${(m.midRate*100).toFixed(1)}% atr=${m.avgAtr.toFixed(1)}${p}`}
function tradeYear(t:Trade,bars:Bar[]){return new Date(bars[t.bar].ts).getUTCFullYear()}
function byYear(tr:Trade[],bars:Bar[],year:number){return tr.filter(t=>tradeYear(t,bars)===year)}
function monthList(sims:{cfg:Cfg;trades:Trade[]}[]){return [...new Set(sims.flatMap(s=>s.trades.map(t=>t.month)))].sort()}
function rollingDiff(ref:Trade[],tr:Trade[],months:string[],win:number){const a=actualMonthly(ref),b=actualMonthly(tr),diffs:number[]=[];for(let i=0;i+win<=months.length;i++){let d=0;for(let j=i;j<i+win;j++){const m=months[j];d+=(b[m]??0)-(a[m]??0)}diffs.push(d)}const s=stats(diffs);return{n:diffs.length,win:diffs.filter(x=>x>0).length,mean:s.mean,t:s.t,total:diffs.reduce((x,y)=>x+y,0)}}
function compact(label:string,tr:Trade[]){const m=metric(label,tr);return`${label.padEnd(14)} n=${String(m.n).padStart(4)} mean=${m.mean.toFixed(2).padStart(6)} moIR=${m.moIR.toFixed(2)} actIR=${m.actIR.toFixed(2)} DD=${(m.maxDD*100).toFixed(1).padStart(5)}% mid=${(m.midRate*100).toFixed(0).padStart(2)}% act=$${totalActual(tr).toFixed(0)}`}

;(async()=>{console.log('Loading bars...');const bars=await loadBars(['data/klines/BTCUSDT-1m-2022-2025.jsonl','data/klines/BTCUSDT-1m-2022-2025b.jsonl','data/klines/BTCUSDT-1m.jsonl']);console.log(`${bars.length.toLocaleString()} bars`);const cfgs:Cfg[]=[
  {label:'prod',immBps:10,wait:30},
  {label:'imm5',immBps:5,wait:30},
  {label:'touchOnly',immBps:0,wait:30},
  {label:'hiAtr6touch',immBps:10,wait:30,hiAtr:6,hiImmBps:0},
  {label:'hiAtr8touch',immBps:10,wait:30,hiAtr:8,hiImmBps:0},
  {label:'hiAtr10touch',immBps:10,wait:30,hiAtr:10,hiImmBps:0},
  {label:'hiAtr8wait15',immBps:10,wait:30,hiAtr:8,hiWait:15},
  {label:'hiAtr8touchW15',immBps:10,wait:30,hiAtr:8,hiImmBps:0,hiWait:15},
  {label:'stale30',immBps:10,wait:30,maxAwayBps:30},
  {label:'stale50',immBps:10,wait:30,maxAwayBps:50},
  {label:'skipAtr12',immBps:10,wait:30,skipAtrAbove:12},
  {label:'skipAtr15',immBps:10,wait:30,skipAtrAbove:15},
  {label:'loAtr45',immBps:10,wait:30,loAtr:3,loWait:45},
];const sims=cfgs.map(cfg=>({cfg,trades:simulate(bars,cfg)}));for(const fee of [0,4]){console.log(`\n================ VOL ENTRY full feeRT=${fee} ================`);const ref=withFee(sims[0].trades,fee);for(const sim of sims){const tr=withFee(sim.trades,fee);console.log(fmt(metric(sim.cfg.label,tr),sim.cfg.label==='prod'?undefined:ref,sim.cfg.label==='prod'?undefined:tr))}}for(const fee of [0,4]){console.log(`\n================ YEAR SLICES feeRT=${fee} ================`);for(const y of [2022,2023,2024,2025,2026]){console.log(`\n-- ${y} --`);const ref=withFee(byYear(sims[0].trades,bars,y),fee);for(const sim of sims){const tr=withFee(byYear(sim.trades,bars,y),fee);console.log(compact(sim.cfg.label,tr)+(sim.cfg.label==='prod'?'':` Δ=$${(totalActual(tr)-totalActual(ref)).toFixed(0)}`))}}}for(const fee of [0,4]){console.log(`\n================ ROLLING WINDOW ACTUAL Δ vs prod feeRT=${fee} ================`);const months=monthList(sims);const ref=withFee(sims[0].trades,fee);for(const win of [3,6,12]){console.log(`\n-- ${win}m windows --`);for(const sim of sims.filter(s=>s.cfg.label!=='prod')){const tr=withFee(sim.trades,fee);const r=rollingDiff(ref,tr,months,win);console.log(`${sim.cfg.label.padEnd(14)} win=${r.win}/${r.n} meanΔ=$${r.mean.toFixed(0)} t=${r.t.toFixed(2)} totalΔ=$${r.total.toFixed(0)}`)}}}})().catch(e=>{console.error(e);process.exit(1)})