/**
* AI Feedback Loop
* Compare AI predictions vs actual outcomes for model retraining
*/
import * as fs from 'fs';
import * as path from 'path';
/**
* Generate AI feedback data from signal and trade outcome
*/
export function generateAIFeedback(signal, trade, entryMarketData, _exitMarketData, cycleId) {
// Extract features from entry market data
const features = extractFeatures(signal, entryMarketData);
// Extract prediction from signal
const prediction = {
direction: signal.signal === 'buy_to_enter' ? 'LONG' : signal.signal === 'sell_to_enter' ? 'SHORT' : 'NEUTRAL',
confidence: signal.confidence || 50,
expectedReturn: signal.expected_value || 0,
entryPrice: trade.entryPrice,
stopLoss: signal.stop_loss || 0,
takeProfit: signal.take_profit || signal.profit_target || 0
};
// Extract actual outcome from trade
const outcome = {
pnlPct: trade.pnlPct,
pnlUsd: trade.pnl,
exitReason: trade.exitReason,
exitPrice: trade.exitPrice,
holdingTimeMinutes: trade.holdingTimeMinutes,
maxAdverseExcursion: trade.maxAdverseExcursion || 0,
maxFavorableExcursion: trade.maxFavorableExcursion || 0,
rMultiple: trade.rMultiple,
didHitStopLoss: trade.didHitStopLoss,
didHitTakeProfit: trade.didHitTakeProfit,
numExitConditionsTriggered: trade.numExitConditionsTriggered
};
return {
features,
prediction,
actualOutcome: outcome,
timestamp: Date.now(),
cycleId,
asset: signal.coin || ''
};
}
/**
* Extract features from market data and signal
*/
function extractFeatures(_signal, marketData) {
const indicators = marketData?.indicators || {};
// const externalData = marketData?.externalData || {}
const trendAlignment = marketData?.trendAlignment;
const marketRegime = marketData?.indicators?.marketRegime || marketData?.indicators?.regime;
// Determine market conditions
let marketConditions = 'neutral';
if (marketRegime) {
if (marketRegime.regime === 'trending') {
marketConditions = 'trending';
}
else if (marketRegime.regime === 'choppy') {
marketConditions = 'choppy';
}
else if (marketRegime.volatility === 'high') {
marketConditions = 'volatile';
}
else if (marketRegime.regime === 'neutral') {
marketConditions = 'ranging';
}
}
// Extract entry indicators
const entryIndicators = {};
if (indicators.rsi14 != null) {
entryIndicators.rsi14 = indicators.rsi14;
}
if (indicators.macd != null) {
const macd = indicators.macd;
entryIndicators.macdHistogram = macd.histogram || macd.MACD || 0;
}
if (indicators.ema20 != null && marketData?.price) {
const price = marketData.price;
const ema20 = indicators.ema20;
entryIndicators.ema20Trend = price > ema20 ? 'bullish' : price < ema20 ? 'bearish' : 'neutral';
}
if (indicators.atr != null && marketData?.price) {
entryIndicators.atrPct = (indicators.atr / marketData.price) * 100;
}
if (marketData?.volume24h && marketData?.historicalData && marketData.historicalData.length > 0) {
const recentVolume = marketData.historicalData[marketData.historicalData.length - 1].volume;
const avgVolume = marketData.historicalData.slice(-20).reduce((sum, d) => sum + d.volume, 0) / Math.min(20, marketData.historicalData.length);
if (avgVolume > 0) {
entryIndicators.volumeChangePct = ((recentVolume - avgVolume) / avgVolume) * 100;
}
}
if (indicators.bb != null && marketData?.price) {
const bb = indicators.bb;
const price = marketData.price;
const upper = bb.upper || bb.upperBand || 0;
const lower = bb.lower || bb.lowerBand || 0;
// const middle = bb.middle || bb.middleBand || (upper + lower) / 2
if (price >= upper) {
entryIndicators.bbPosition = 'upper';
}
else if (price <= lower) {
entryIndicators.bbPosition = 'lower';
}
else {
entryIndicators.bbPosition = 'middle';
}
}
// Volatility at entry
const volatilityAtEntry = indicators.atr != null && marketData?.price
? (indicators.atr / marketData.price) * 100
: 0;
// Volume profile
let volumeProfile = 'normal';
if (marketData?.volume24h && marketData?.historicalData && marketData.historicalData.length > 0) {
const avgVolume = marketData.historicalData.slice(-20).reduce((sum, d) => sum + d.volume, 0) / Math.min(20, marketData.historicalData.length);
if (marketData.volume24h > avgVolume * 1.5) {
volumeProfile = 'high';
}
else if (marketData.volume24h < avgVolume * 0.5) {
volumeProfile = 'low';
}
}
// Time of day
const hour = new Date().getUTCHours();
let timeOfDay = 'other';
if (hour >= 0 && hour < 8) {
timeOfDay = 'asia';
}
else if (hour >= 8 && hour < 16) {
timeOfDay = 'europe';
}
else if (hour >= 16 && hour < 24) {
timeOfDay = 'us';
}
return {
marketConditions,
entryIndicators,
volatilityAtEntry,
volumeProfile,
timeOfDay,
marketRegime: marketRegime?.regime || 'neutral',
trendAlignmentScore: trendAlignment?.strength,
assetRanking: 0, // Will be set by caller
correlationMatrix: undefined // Will be set by caller if available
};
}
/**
* Save AI feedback data to file
*/
export function saveAIFeedback(feedback, config) {
if (!config.enabled) {
return;
}
try {
const fileDir = path.dirname(config.trainingDataFile);
if (!fs.existsSync(fileDir)) {
fs.mkdirSync(fileDir, { recursive: true });
}
let trainingData = [];
if (fs.existsSync(config.trainingDataFile)) {
const content = fs.readFileSync(config.trainingDataFile, 'utf-8');
trainingData = JSON.parse(content);
}
trainingData.push(feedback);
// Keep only last 10000 records (to avoid file size issues)
if (trainingData.length > 10000) {
trainingData = trainingData.slice(-10000);
}
fs.writeFileSync(config.trainingDataFile, JSON.stringify(trainingData, null, 2));
}
catch (error) {
const errorMsg = error instanceof Error ? error.message : String(error);
console.error(`Failed to save AI feedback data: ${errorMsg}`);
}
}
