more fixes

libs/utils/src/calculations/correlation-analysis.ts

@@ -645,19 +645,81 @@ function erf(x: number): number {
 }
 
 function betaIncomplete(a: number, b: number, x: number): number {
-  // Simplified beta incomplete function
+  // Better approximation of incomplete beta function
   if (x === 0) return 0;
   if (x === 1) return 1;
   
-  // Use continued fraction approximation
-  let result = 0;
-  for (let i = 0; i < 100; i++) {
-    const term = Math.pow(x, a + i) * Math.pow(1 - x, b) / (a + i);
-    result += term;
-    if (Math.abs(term) < 1e-10) break;
+  // Use continued fraction approximation (Lentz's algorithm)
+  const fpmin = 1e-30;
+  const maxIter = 200;
+  const eps = 3e-7;
+  
+  const bt = Math.exp(
+    gammaLn(a + b) - gammaLn(a) - gammaLn(b) + 
+    a * Math.log(x) + b * Math.log(1 - x)
+  );
+  
+  if (x < (a + 1) / (a + b + 2)) {
+    return bt * betaContinuedFraction(a, b, x) / a;
+  } else {
+    return 1 - bt * betaContinuedFraction(b, a, 1 - x) / b;
   }
   
-  return result;
+  function betaContinuedFraction(a: number, b: number, x: number): number {
+    let c = 1;
+    let d = 1 - (a + b) * x / (a + 1);
+    if (Math.abs(d) < fpmin) d = fpmin;
+    d = 1 / d;
+    let h = d;
+    
+    for (let m = 1; m <= maxIter; m++) {
+      const m2 = 2 * m;
+      const aa = m * (b - m) * x / ((a + m2 - 1) * (a + m2));
+      d = 1 + aa * d;
+      if (Math.abs(d) < fpmin) d = fpmin;
+      c = 1 + aa / c;
+      if (Math.abs(c) < fpmin) c = fpmin;
+      d = 1 / d;
+      h *= d * c;
+      
+      const bb = -(a + m) * (a + b + m) * x / ((a + m2) * (a + m2 + 1));
+      d = 1 + bb * d;
+      if (Math.abs(d) < fpmin) d = fpmin;
+      c = 1 + bb / c;
+      if (Math.abs(c) < fpmin) c = fpmin;
+      d = 1 / d;
+      const del = d * c;
+      h *= del;
+      
+      if (Math.abs(del - 1) < eps) break;
+    }
+    
+    return h;
+  }
+  
+  function gammaLn(xx: number): number {
+    const stp = 2.50662827465;
+    const coeffs = [
+      76.18009172947146,
+      -86.50532032941677,
+      24.01409824083091,
+      -1.231739572450155,
+      0.1208650973866179e-2,
+      -0.5395239384953e-5
+    ];
+    
+    let x = xx - 1;
+    let tmp = x + 5.5;
+    tmp -= (x + 0.5) * Math.log(tmp);
+    let ser = 1.000000000190015;
+    
+    for (let j = 0; j < 6; j++) {
+      x += 1;
+      ser += coeffs[j] / x;
+    }
+    
+    return -tmp + Math.log(stp * ser);
+  }
 }
 
 function eigenDecomposition(matrix: number[][]): { eigenvalues: number[]; eigenvectors: number[][] } {

libs/utils/src/calculations/market-statistics.ts

@@ -208,14 +208,13 @@ export function identifyMarketRegime(
   const recentData = ohlcv.slice(-lookbackPeriod);
   const prices = recentData.map(candle => candle.close);
   const volumes = recentData.map(candle => candle.volume);
-  
-  //  returns and volatility
+    //  returns and volatility
   const returns = [];
   for (let i = 1; i < prices.length; i++) {
     returns.push((prices[i] - prices[i - 1]) / prices[i - 1]);
   }
   
-  const volatility = Volatility(returns);
+  const volatility = calculateVolatility(returns);
   const averageVolume = volumes.reduce((sum, vol) => sum + vol, 0) / volumes.length;
   
   // Trend analysis
@@ -319,11 +318,10 @@ export function IntradayPatterns(
   
   for (let hour = 0; hour < 24; hour++) {
     const data = hourlyData[hour];
-    
-    hourlyReturns[hour] = data.returns.length > 0 ? 
+      hourlyReturns[hour] = data.returns.length > 0 ? 
       data.returns.reduce((sum, ret) => sum + ret, 0) / data.returns.length : 0;
     
-    hourlyVolatility[hour] = Volatility(data.returns);
+    hourlyVolatility[hour] = calculateVolatility(data.returns);
     
     hourlyVolume[hour] = data.volumes.length > 0 ?
       data.volumes.reduce((sum, vol) => sum + vol, 0) / data.volumes.length : 0;
@@ -374,21 +372,20 @@ export function PriceDiscovery(
     returns1.push((prices1[i] - prices1[i - 1]) / prices1[i - 1]);
     returns2.push((prices2[i] - prices2[i - 1]) / prices2[i - 1]);
   }
-  
-  //  correlations with lags
-  const correlation0 = Correlation(returns1, returns2);
+    //  correlations with lags
+  const correlation0 = calculateCorrelation(returns1, returns2);
   const correlation1 = returns1.length > 1 ? 
-   Correlation(returns1.slice(1), returns2.slice(0, -1)) : 0;
+   calculateCorrelation(returns1.slice(1), returns2.slice(0, -1)) : 0;
   const correlationMinus1 = returns1.length > 1 ? 
-   Correlation(returns1.slice(0, -1), returns2.slice(1)) : 0;
+   calculateCorrelation(returns1.slice(0, -1), returns2.slice(1)) : 0;
   
   // Price lead-lag (simplified)
   const priceLeadLag = correlation1 - correlationMinus1;
   
   // Information shares (simplified Hasbrouck methodology)
-  const variance1 = Variance(returns1);
-  const variance2 = Variance(returns2);
-  const covariance = Covariance(returns1, returns2);
+  const variance1 = calculateVariance(returns1);
+  const variance2 = calculateVariance(returns2);
+  const covariance = calculateCovariance(returns1, returns2);
   
   const totalVariance = variance1 + variance2 + 2 * covariance;
   const informationShare1 = totalVariance > 0 ? (variance1 + covariance) / totalVariance : 0.5;
@@ -436,14 +433,13 @@ export function MarketStress(
     returns.push((recentData[i].close - recentData[i - 1].close) / recentData[i - 1].close);
     volumes.push(recentData[i].volume);
   }
-  
-  // Volatility stress
-  const volatility = Volatility(returns);
+    // Volatility stress
+  const volatility = calculateVolatility(returns);
   const volatilityStress = Math.min(1, volatility / 0.05); // Normalize to 5% daily vol
   
   // Liquidity stress (volume-based)
   const averageVolume = volumes.reduce((sum, vol) => sum + vol, 0) / volumes.length;
-  const volumeVariability = Volatility(volumes.map(vol => vol / averageVolume));
+  const volumeVariability = calculateVolatility(volumes.map(vol => vol / averageVolume));
   const liquidityStress = Math.min(1, volumeVariability);
   
   // Correlation stress (simplified - would need multiple assets)
@@ -542,7 +538,7 @@ export function ImplementationShortfall(
 
 // Helper functions
 
-function Volatility(returns: number[]): number {
+function calculateVolatility(returns: number[]): number {
   if (returns.length < 2) return 0;
   
   const mean = returns.reduce((sum, ret) => sum + ret, 0) / returns.length;
@@ -551,7 +547,7 @@ function Volatility(returns: number[]): number {
   return Math.sqrt(variance);
 }
 
-function Correlation(x: number[], y: number[]): number {
+function calculateCorrelation(x: number[], y: number[]): number {
   if (x.length !== y.length || x.length < 2) return 0;
   
   const n = x.length;

libs/utils/src/calculations/position-sizing.ts

@@ -220,18 +220,14 @@ export function sharpeOptimizedPositionSize(
 ): number {
   // Input validation
   if (volatility <= 0 || accountSize <= 0 || expectedReturn <= riskFreeRate || maxLeverage <= 0) return 0;
-  
-  // Kelly criterion with Sharpe ratio optimization
+    // Kelly criterion with Sharpe ratio optimization
   const excessReturn = expectedReturn - riskFreeRate;
   const kellyFraction = excessReturn / (volatility * volatility);
   
-  // Apply maximum leverage constraint and ensure reasonable bounds
+  // Apply maximum leverage constraint
   const constrainedFraction = Math.max(0, Math.min(kellyFraction, maxLeverage));
   
-  // Further cap at 100% of account for safety
-  const finalFraction = Math.min(constrainedFraction, 1);
-  
-  return accountSize * finalFraction;
+  return accountSize * constrainedFraction;
 }
 
 /**
@@ -405,14 +401,12 @@ export function riskParityPositionSize(
   
   return assets.map(asset => {
     if (asset.volatility === 0 || asset.price === 0) return 0;
-    
-    // Calculate weight based on inverse volatility
+      // Calculate weight based on inverse volatility
     const weight = (1 / asset.volatility) / totalInverseVol;
     
-    // Scale by target risk
-    const riskAdjustedWeight = weight * (targetRisk / asset.volatility);
-    
-    const positionValue = accountSize * riskAdjustedWeight;
+    // The weight itself already accounts for risk parity
+    // We just need to scale by target risk once
+    const positionValue = accountSize * weight * targetRisk;
     return Math.floor(positionValue / asset.price);
   });
 }

libs/utils/src/calculations/risk-metrics.ts

@@ -359,9 +359,10 @@ export function calculateRiskMetrics(
 
 /**
  * Helper function to get Z-score for confidence level
+ * This implementation handles arbitrary confidence levels
  */
 function getZScore(confidenceLevel: number): number {
-  // Approximate Z-scores for common confidence levels
+  // First check our lookup table for common values (more precise)
   const zScores: { [key: string]: number } = {
     '0.90': 1.282,
     '0.95': 1.645,
@@ -371,7 +372,17 @@ function getZScore(confidenceLevel: number): number {
   };
   
   const key = confidenceLevel.toString();
-  return zScores[key] || 1.645; // Default to 95% confidence
+  if (zScores[key]) return zScores[key];
+  
+  // For arbitrary confidence levels, use approximation
+  if (confidenceLevel < 0.5) return -getZScore(1 - confidenceLevel);
+  
+  if (confidenceLevel >= 0.999) return 3.09; // Cap at 99.9% for numerical stability
+  
+  // Approximation of inverse normal CDF
+  const y = Math.sqrt(-2.0 * Math.log(1.0 - confidenceLevel));
+  return y - (2.515517 + 0.802853 * y + 0.010328 * y * y) / 
+         (1.0 + 1.432788 * y + 0.189269 * y * y + 0.001308 * y * y * y);
 }
 
 /**

libs/utils/test/calculations/position-sizing.test.ts

@@ -340,6 +340,38 @@ describe('Position Sizing Calculations', () => {
     });
   });
 
+  describe('sharpeOptimizedPositionSize', () => {
+    it('should calculate position size based on Sharpe optimization', () => {
+      const result = sharpeOptimizedPositionSize(100000, 0.15, 0.20, 0.02, 3);
+      
+      // Kelly formula for continuous returns: f = (μ - r) / σ²
+      // Expected return: 0.15, Risk-free: 0.02, Volatility: 0.20
+      // f = (0.15 - 0.02) / (0.20)² = 0.13 / 0.04 = 3.25
+      // But capped at maxLeverage=3, so should be 3.0
+      // Final position: 100000 * 3 = 300000
+      expect(result).toBe(300000);
+    });
+    
+    it('should return 0 for invalid inputs', () => {
+      // Invalid volatility
+      expect(sharpeOptimizedPositionSize(100000, 0.15, 0, 0.02)).toBe(0);
+      
+      // Invalid account size
+      expect(sharpeOptimizedPositionSize(0, 0.15, 0.20, 0.02)).toBe(0);
+      
+      // Expected return less than risk-free rate
+      expect(sharpeOptimizedPositionSize(100000, 0.01, 0.20, 0.02)).toBe(0);
+    });
+    
+    it('should respect maximum leverage', () => {
+      const result = sharpeOptimizedPositionSize(100000, 0.30, 0.20, 0.02, 2);
+      
+      // Kelly fraction would be (0.30 - 0.02) / (0.20)² = 7, but capped at 2
+      // Position: 100000 * 2 = 200000
+      expect(result).toBe(200000);
+    });
+  });
+
   describe('validatePositionSize', () => {
     it('should validate position size against limits', () => {
       const result = validatePositionSize(500, 100, 100000, 10, 2);