9c3d741a08
Move 17 library crates into crates/, CLI binary into bin/fxt, consolidate 10 test crates into testing/, split config crate from deployment config files. Root directory reduced from 38+ to ~17 directories. All Cargo.toml paths and build.rs proto refs updated. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
75 lines
2.7 KiB
Rust
75 lines
2.7 KiB
Rust
/// WAVE 8 AGENT 37: Extract Wave D regime detection features (24 total)
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///
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/// ## Feature Breakdown (Indices 201-224)
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/// - 201-210: CUSUM features (10)
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/// - 211-215: ADX & directional indicators (5)
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/// - 216-220: Transition probabilities (5)
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/// - 221-224: Adaptive position/stop-loss (4)
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fn extract_wave_d_features(&mut self, out: &mut [f64]) -> Result<()> {
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let bar = self.bars.back().context("No current bar")?;
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let mut idx = 0;
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// Features 201-210: CUSUM regime detection (10 features)
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let return_value = if self.bars.len() > 1 {
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let prev = &self.bars[self.bars.len() - 2];
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safe_log_return(bar.close, prev.close)
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} else {
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0.0
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};
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let cusum_features = self.regime_cusum.update(return_value);
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out[idx..idx + 10].copy_from_slice(&cusum_features);
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idx += 10;
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// Features 211-215: ADX & directional indicators (5 features)
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// Convert OHLCVBar to regime_adx OHLCVBar format
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let adx_bar = crate::features::regime_adx::OHLCVBar {
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timestamp: bar.timestamp.timestamp(),
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open: bar.open,
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high: bar.high,
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low: bar.low,
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close: bar.close,
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volume: bar.volume,
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};
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let adx_features = self.regime_adx.update(&adx_bar);
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out[idx..idx + 5].copy_from_slice(&adx_features);
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idx += 5;
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// Features 216-220: Transition probabilities (5 features)
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// Determine current regime based on ADX and CUSUM
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let adx_value = adx_features[0]; // ADX strength
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let cusum_direction = cusum_features[3]; // Direction feature
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let current_regime = if adx_value > 25.0 {
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if cusum_direction > 0.5 {
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MarketRegime::Bull
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} else if cusum_direction < -0.5 {
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MarketRegime::Bear
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} else {
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MarketRegime::Trending
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}
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} else if adx_value < 20.0 {
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MarketRegime::Sideways
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} else {
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MarketRegime::Normal
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};
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let transition_features = self.regime_transition.update(current_regime);
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out[idx..idx + 5].copy_from_slice(&transition_features);
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idx += 5;
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// Features 221-224: Adaptive position sizing & stop-loss (4 features)
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// Convert bars to regime_adaptive format
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let adaptive_bars: Vec<crate::features::regime_adaptive::OHLCVBar> = self.bars.iter().map(|b| {
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crate::features::regime_adaptive::OHLCVBar {
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timestamp: b.timestamp,
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open: b.open,
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high: b.high,
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low: b.low,
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close: b.close,
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volume: b.volume,
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}
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}).collect();
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let adaptive_features = self.regime_adaptive.update(current_regime, return_value, 0.0, &adaptive_bars);
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out[idx..idx + 4].copy_from_slice(&adaptive_features);
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Ok(())
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}
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