feat: wavelets

frontend/src/lib/waveletTrade.ts

@@ -364,12 +364,31 @@ export type WaveletOptimizationResult = {
   analysisMethod?: 'cwt' | 'ssq'
 }
 
+// Trend-confirmation filter: require a SECONDARY band's slope to align with the
+// direction implied by each trigger before it's allowed to fire — e.g. only take band
+// 1's trough (buy) if band 3 is sloping up, only take its peak (sell) if band 3 is
+// sloping down. Buy/cover expect an upward move so they require a positive slope;
+// sell/short expect a downward move so they require a negative slope. `null` disables
+// the filter entirely (every buyFilters/etc. array stays empty, unchanged behaviour).
+function trendConfirmationFilters(filterCurveId: string | null): {
+  buy: WaveletSlopeFilter[]; sell: WaveletSlopeFilter[]; short: WaveletSlopeFilter[]; cover: WaveletSlopeFilter[]
+} {
+  if (!filterCurveId) return { buy: [], sell: [], short: [], cover: [] }
+  return {
+    buy: [{ curveId: filterCurveId, sign: 'positive' }],
+    sell: [{ curveId: filterCurveId, sign: 'negative' }],
+    short: [{ curveId: filterCurveId, sign: 'negative' }],
+    cover: [{ curveId: filterCurveId, sign: 'positive' }],
+  }
+}
+
 // All grid combos use the SAME trigger kind/band symmetrically for both sides of a
 // position with each kind's validated default parameters — testing every
 // combination of *different* kinds for entry vs exit would multiply the grid by
 // another 5x for little practical benefit.
 export function buildSymmetricTradeConfig(
   curveId: string, triggerKind: WaveletTriggerKind, mode: WaveletPositionMode, variant: WaveletExitVariant,
+  filterCurveId: string | null = null,
 ): WaveletTradeConfig {
   const effectiveCurveId =
     triggerKind === 'ridge_shift' ? 'ridge' :
@@ -379,10 +398,11 @@ export function buildSymmetricTradeConfig(
   // ridge_shift's period series is coarser than a price band, so it rarely crosses
   // a full standard deviation — the shared default K=1 starves it of trades.
   if (triggerKind === 'ridge_shift') trigger.levelThresholdK = 0.5
+  const filters = trendConfirmationFilters(filterCurveId)
   return {
     mode,
-    buyTrigger: trigger, sellTrigger: trigger, buyFilters: [], sellFilters: [],
-    shortTrigger: trigger, coverTrigger: trigger, shortFilters: [], coverFilters: [],
+    buyTrigger: trigger, sellTrigger: trigger, buyFilters: filters.buy, sellFilters: filters.sell,
+    shortTrigger: trigger, coverTrigger: trigger, shortFilters: filters.short, coverFilters: filters.cover,
     exitStyle: variant.exitStyle, takeProfitPct: variant.takeProfitPct, stopLossPct: variant.stopLossPct,
   }
 }
@@ -391,6 +411,7 @@ export function runOptimizationGrid(
   symbol: string, lookback: number, wavelet: string, rolling: any,
   bandsToTest: number[], kindsToTest: WaveletTriggerKind[], modesToTest: WaveletPositionMode[],
   exitVariants: WaveletExitVariant[],
+  filterBandIndex: number | null = null,
 ): WaveletOptimizationResult[] {
   const curves: WaveletCurve[] = rolling.bands.map((band: any) => ({ id: `band_${band.index}`, label: band.label, series: band.series }))
   if (rolling.ridge_period_days) {
@@ -400,6 +421,7 @@ export function runOptimizationGrid(
     if (band.energy) curves.push({ id: `energy_band_${band.index}`, label: `Energie ${band.label}`, series: band.energy })
   })
   const availableBandIndices = new Set(rolling.bands.map((band: any) => band.index))
+  const filterCurveId = filterBandIndex != null && availableBandIndices.has(filterBandIndex) ? `band_${filterBandIndex}` : null
   const results: WaveletOptimizationResult[] = []
   let ridgeShiftComputed = false
   for (const bandIndex of bandsToTest) {
@@ -409,7 +431,7 @@ export function runOptimizationGrid(
       if (kind === 'ridge_shift' && ridgeShiftComputed) continue
       for (const mode of modesToTest) {
         for (const variant of exitVariants) {
-          const config = buildSymmetricTradeConfig(curveId, kind, mode, variant)
+          const config = buildSymmetricTradeConfig(curveId, kind, mode, variant, filterCurveId)
           const sim = runWaveletTradeSimulation(rolling.dates, rolling.original, curves, config)
           results.push({
             symbol, lookback, wavelet, mode,
@@ -438,6 +460,7 @@ export async function runFullOptimization(
   onProgress: (done: number, total: number, label: string, failures: string[]) => void,
   onBatchResults: (results: WaveletOptimizationResult[]) => void,
   method: 'cwt' | 'ssq' = 'cwt',
+  filterBandIndex: number | null = null,
 ): Promise<void> {
   const combos: { symbol: string; lookback: number; wavelet: string }[] = []
   for (const symbol of instruments) {
@@ -455,7 +478,7 @@ export async function runFullOptimization(
       const { data: rolling } = await api.get('/wavelet/rolling', {
         params: { symbol, period, levels, wavelet, lookback, step: 1, method },
       })
-      onBatchResults(runOptimizationGrid(symbol, lookback, wavelet, rolling, bandsToTest, kindsToTest, modesToTest, exitVariants))
+      onBatchResults(runOptimizationGrid(symbol, lookback, wavelet, rolling, bandsToTest, kindsToTest, modesToTest, exitVariants, filterBandIndex))
     } catch (error) {
       failures.push(`${symbol} @ ${lookback}j (${wavelet}): ${error instanceof Error ? error.message : String(error)}`)
     }