const { SYMBOL_BIL, SYMBOL_GDX, SYMBOL_QQQ, SYMBOL_TLT, STRATEGY_INTERVAL, } = require("./constants.js"); const { CUMRET_FEATURE_IDS } = require("./features.js"); const initialState = { warmupComplete: false }; function latestFeatureValue(featureSeries, field) { if (!featureSeries || featureSeries.length === 0) return undefined; const last = featureSeries[featureSeries.length - 1]; return last ? last[field] : undefined; } function strategyFn(ctx) { const { tick, data, state } = ctx; const bilBars = data.ohlcvs[SYMBOL_BIL]?.[STRATEGY_INTERVAL]; const gdxBars = data.ohlcvs[SYMBOL_GDX]?.[STRATEGY_INTERVAL]; const qqqBars = data.ohlcvs[SYMBOL_QQQ]?.[STRATEGY_INTERVAL]; const tltBars = data.ohlcvs[SYMBOL_TLT]?.[STRATEGY_INTERVAL]; if (!bilBars) throw new Error(`OHLCV missing for ${SYMBOL_BIL}`); if (!gdxBars) throw new Error(`OHLCV missing for ${SYMBOL_GDX}`); if (!qqqBars) throw new Error(`OHLCV missing for ${SYMBOL_QQQ}`); if (!tltBars) throw new Error(`OHLCV missing for ${SYMBOL_TLT}`); if (bilBars.length === 0) { return { target: null, state }; } const minBars = Math.min( bilBars.length, gdxBars.length, qqqBars.length, tltBars.length ); const warmupBarsRequired = 96; if (minBars < warmupBarsRequired) { const nextState = { ...state, warmupComplete: false }; return { target: { date: tick, instruction: { type: "allocate", weights: [ { symbol: SYMBOL_BIL, weight: 1.0 }, { symbol: SYMBOL_GDX, weight: 0.0 }, { symbol: SYMBOL_QQQ, weight: 0.0 }, { symbol: SYMBOL_TLT, weight: 0.0 }, ], }, meta: { reason: `Warmup gate: minBars=${minBars} < ${warmupBarsRequired}` }, }, state: nextState, logs: `warmup_gate minBars=${minBars}`, }; } const rsiSeries = data.features["rsi10_gdx"]; if (!rsiSeries) throw new Error('Feature "rsi10_gdx" not found'); const rsi10 = latestFeatureValue(rsiSeries, "rsi"); const qqq90 = latestFeatureValue(data.features[CUMRET_FEATURE_IDS.qqq_90], "value"); const qqq70 = latestFeatureValue(data.features[CUMRET_FEATURE_IDS.qqq_70], "value"); const qqq35 = latestFeatureValue(data.features[CUMRET_FEATURE_IDS.qqq_35], "value"); const gdx70 = latestFeatureValue(data.features[CUMRET_FEATURE_IDS.gdx_70], "value"); const gdx75 = latestFeatureValue(data.features[CUMRET_FEATURE_IDS.gdx_75], "value"); const tlt95 = latestFeatureValue(data.features[CUMRET_FEATURE_IDS.tlt_95], "value"); const required = { rsi10, qqq90, qqq70, qqq35, gdx70, gdx75, tlt95 }; for (const k of Object.keys(required)) { if (required[k] == null) { return { target: null, state, logs: `missing_feature_data ${k}` }; } } let selection = "BIL"; let reason = "default"; if (rsi10 > 79) { selection = "BIL"; reason = `RSI10_GDX ${rsi10} > 79`; } else if (rsi10 < 30) { selection = "GDX"; reason = `RSI10_GDX ${rsi10} < 30`; } else { if (qqq90 > qqq70) { if (gdx70 < gdx75) { selection = "GDX"; reason = `30<=RSI<=79 & CumRet90(QQQ) ${qqq90} > CumRet70(QQQ) ${qqq70} & CumRet70(GDX) ${gdx70} < CumRet75(GDX) ${gdx75}`; } else { selection = "BIL"; reason = `30<=RSI<=79 & CumRet90(QQQ) ${qqq90} > CumRet70(QQQ) ${qqq70} & CumRet70(GDX) ${gdx70} >= CumRet75(GDX) ${gdx75}`; } } else { if (tlt95 < qqq35) { selection = "BIL"; reason = `30<=RSI<=79 & CumRet90(QQQ) ${qqq90} <= CumRet70(QQQ) ${qqq70} & CumRet95(TLT) ${tlt95} < CumRet35(QQQ) ${qqq35}`; } else { selection = "BIL"; reason = `30<=RSI<=79 & CumRet90(QQQ) ${qqq90} <= CumRet70(QQQ) ${qqq70} & CumRet95(TLT) ${tlt95} >= CumRet35(QQQ) ${qqq35}`; } } } const weights = selection === "GDX" ? [ { symbol: SYMBOL_GDX, weight: 1.0 }, { symbol: SYMBOL_BIL, weight: 0.0 }, { symbol: SYMBOL_QQQ, weight: 0.0 }, { symbol: SYMBOL_TLT, weight: 0.0 }, ] : [ { symbol: SYMBOL_BIL, weight: 1.0 }, { symbol: SYMBOL_GDX, weight: 0.0 }, { symbol: SYMBOL_QQQ, weight: 0.0 }, { symbol: SYMBOL_TLT, weight: 0.0 }, ]; const nextState = { ...state, warmupComplete: true }; return { target: { date: tick, instruction: { type: "allocate", weights }, meta: { reason, selection }, }, state: nextState, logs: `select=${selection} rsi10=${rsi10}`, }; } module.exports = { strategyFn, initialState };

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