feat: wavelets
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OpenSquared
@@ -1349,6 +1349,7 @@ export default function InstrumentDashboard({ instrumentIdProp, isVisible }: { i
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const [waveletData, setWaveletData] = useState<any | null>(null)
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const [loadingWavelet, setLoadingWavelet] = useState(false)
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const [hiddenBands, setHiddenBands] = useState<Set<string>>(new Set())
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const [hoveredWaveletIdx, setHoveredWaveletIdx] = useState<number | null>(null)
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const [templates, setTemplates] = useState<CausalTemplate[]>([])
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const [causalScores, setCausalScores] = useState<Record<number, number | null>>({}) // eventId → activation_score*100
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const [macroAtDate, setMacroAtDate] = useState<MacroGaugeSnap | null>(null)
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@@ -1591,6 +1592,65 @@ export default function InstrumentDashboard({ instrumentIdProp, isVisible }: { i
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return { correlation, meanAbsError: sumAbs / n, maxAbsError: maxAbs }
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}, [waveletData, waveletChartData])
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// Rolling energy per band E_i(t) = mean(w_i(t-k)^2, k=0..L-1) — RMS power of each band
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// over a trailing window, its share of total energy across bands, and its 20-day change.
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// Trend Ratio = (sum of all faster bands) / (slowest band) — a single number meant to be
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// far more stable than watching a band's raw coefficient cross zero: high → a genuine
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// slow trend dominates (breakouts tend to hold); low → high-frequency noise dominates
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// (range, false breakouts).
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const WAVELET_ROLLING_WINDOW = 20
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const waveletEnergy = useMemo(() => {
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const bands: { label: string; series: number[] }[] = waveletData?.bands ?? []
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const n = bands[0]?.series?.length ?? 0
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if (!bands.length || n === 0) return null
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const L = WAVELET_ROLLING_WINDOW
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const energyByBand: number[][] = bands.map(b => {
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const s = b.series
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const e = new Array(n).fill(0)
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let sumSq = 0
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for (let t = 0; t < n; t++) {
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sumSq += s[t] * s[t]
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if (t >= L) sumSq -= s[t - L] * s[t - L]
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e[t] = sumSq / Math.min(t + 1, L)
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}
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return e
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})
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// The "slowest" band = the one with the largest upper period bound parsed from its own
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// label (e.g. "25-256j" → 256). Falls back to the last band in the array (the usual
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// fast→slow ordering convention) if any label doesn't parse.
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const periodHighs = bands.map(b => {
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const m = b.label.match(/(\d+(?:\.\d+)?)\s*-\s*(\d+(?:\.\d+)?)/)
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return m ? parseFloat(m[2]) : null
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})
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const slowIdx = periodHighs.every(v => v != null)
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? periodHighs.indexOf(Math.max(...(periodHighs as number[])))
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: bands.length - 1
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const relByDate: number[][] = []
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const trendRatioByDate: (number | null)[] = []
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for (let t = 0; t < n; t++) {
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const values = energyByBand.map(e => e[t])
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const total = values.reduce((a, b) => a + b, 0)
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relByDate.push(values.map(v => (total > 0 ? (v / total) * 100 : 0)))
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// slow/fast (not the literal fast/slow from the spec — see note where this is used):
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// a HIGH ratio should mean "the slow trend dominates", matching the worked example
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// (70% slow / 30% fast called "trend-dominated") — fast/slow gives 0.43 there, which
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// reads as noise-dominated on the very same 3=trend/0.3=noise scale, contradicting it.
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const slowE = values[slowIdx]
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const fastSum = values.reduce((a, v, i) => (i === slowIdx ? a : a + v), 0)
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trendRatioByDate.push(fastSum > 1e-12 ? slowE / fastSum : null)
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}
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return { bands, energyByBand, relByDate, trendRatioByDate, slowIdx, n, L }
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}, [waveletData])
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const waveletEnergyIdx = waveletEnergy
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? Math.min(hoveredWaveletIdx ?? waveletEnergy.n - 1, waveletEnergy.n - 1)
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: 0
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return (
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<div className="p-6 max-w-screen-xl mx-auto space-y-4">
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@@ -1917,7 +1977,12 @@ export default function InstrumentDashboard({ instrumentIdProp, isVisible }: { i
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))}
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</div>
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<ResponsiveContainer width="100%" height={280}>
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<LineChart data={waveletChartData} margin={{ top: 4, right: 8, left: -14, bottom: 0 }}>
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<LineChart data={waveletChartData} margin={{ top: 4, right: 8, left: -14, bottom: 0 }}
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onMouseMove={(state: any) => {
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if (state?.activeTooltipIndex != null) setHoveredWaveletIdx(Number(state.activeTooltipIndex))
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}}
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onMouseLeave={() => setHoveredWaveletIdx(null)}
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>
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<CartesianGrid strokeDasharray="3 3" stroke="#1e293b" />
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<XAxis dataKey="date" tick={{ fontSize: 9, fill: '#64748b' }}
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interval={Math.max(0, Math.floor(waveletChartData.length / 8))} />
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@@ -1944,6 +2009,64 @@ export default function InstrumentDashboard({ instrumentIdProp, isVisible }: { i
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{waveletCausal && <span className="ml-auto text-blue-400/70">Mode causal (walk-forward) — {waveletData.recomputations} recalculs</span>}
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</div>
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)}
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{waveletEnergy && (
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<div className="mt-3 pt-3 border-t border-slate-700/30">
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<div className="flex items-center justify-between mb-2">
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<span className="text-xs font-semibold text-slate-400 uppercase tracking-wide">
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Énergie par bande {hoveredWaveletIdx != null && waveletChartData[waveletEnergyIdx] && (
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<span className="normal-case font-normal text-slate-500">— au {waveletChartData[waveletEnergyIdx].date}</span>
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)}
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</span>
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{waveletEnergy.trendRatioByDate[waveletEnergyIdx] != null && (() => {
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const ratio = waveletEnergy.trendRatioByDate[waveletEnergyIdx]!
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const verdict = ratio >= 2 ? 'cycle lent dominant' : ratio >= 0.7 ? 'équilibré' : 'bruit dominant'
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const color = ratio >= 2 ? 'text-emerald-400' : ratio >= 0.7 ? 'text-amber-400' : 'text-red-400'
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return (
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<span className="text-xs">
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Trend Ratio <span className={clsx('font-mono font-bold', color)}>{ratio.toFixed(2)}</span>
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<span className="text-slate-500"> — {verdict}</span>
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</span>
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)
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})()}
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</div>
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<table className="w-full text-[11px]">
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<thead>
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<tr className="text-slate-500 text-left">
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<th className="py-1 pr-3 font-normal">Bande</th>
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<th className="py-1 pr-3 font-normal text-right">RMS</th>
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<th className="py-1 pr-3 font-normal text-right">% énergie</th>
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<th className="py-1 pr-3 font-normal text-right">Δ énergie ({waveletEnergy.L}j)</th>
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</tr>
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</thead>
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<tbody>
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{waveletEnergy.bands.map((b, i) => {
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const rms = Math.sqrt(waveletEnergy.energyByBand[i][waveletEnergyIdx])
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const rel = waveletEnergy.relByDate[waveletEnergyIdx][i]
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const prevIdx = waveletEnergyIdx - waveletEnergy.L
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const delta = prevIdx >= 0 ? rel - waveletEnergy.relByDate[prevIdx][i] : null
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const isSlow = i === waveletEnergy.slowIdx
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return (
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<tr key={b.label} className="border-t border-slate-800/60">
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<td className="py-1 pr-3">
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<span style={{ color: WAVELET_BAND_COLORS[i % WAVELET_BAND_COLORS.length] }}>{b.label}</span>
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{isSlow && <span className="ml-1 text-slate-600">(lente)</span>}
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</td>
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<td className="py-1 pr-3 text-right text-slate-300 font-mono">{rms.toFixed(4)}</td>
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<td className="py-1 pr-3 text-right text-slate-200 font-mono">{rel.toFixed(0)}%</td>
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<td className={clsx('py-1 pr-3 text-right font-mono', delta == null ? 'text-slate-600' : delta >= 0 ? 'text-emerald-400' : 'text-red-400')}>
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{delta == null ? '—' : `${delta >= 0 ? '+' : ''}${delta.toFixed(0)}%`}
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</td>
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</tr>
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)
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})}
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</tbody>
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</table>
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<p className="text-[10px] text-slate-600 mt-1">
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Trend Ratio = (somme des bandes rapides) / (bande lente) — survolez le graphique pour voir ces valeurs évoluer dans le temps.
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</p>
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</div>
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)}
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</>
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) : (
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<div className="text-xs text-slate-500 text-center py-10">
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