From a1c82ae0b81ca7b4906fffecdc92a861879e058b Mon Sep 17 00:00:00 2001
From: Bojan Kucera <boki@stare.gg>
Date: Wed, 4 Jun 2025 19:27:11 -0400
Subject: [PATCH] added more functions

---
 .../src/calculations/market-statistics.ts     | 135 ++++++++++++-
 .../src/calculations/portfolio-analytics.ts   | 189 ++++++++++++++++--
 .../utils/src/calculations/position-sizing.ts |  70 +++++++
 libs/utils/src/calculations/risk-metrics.ts   | 126 ++++++++++++
 .../src/calculations/technical-indicators.ts  | 148 ++++++++++++++
 libs/utils/test/simple-test.ts                |  19 --
 libs/utils/test/validation.ts                 | 138 -------------
 7 files changed, 648 insertions(+), 177 deletions(-)
 delete mode 100644 libs/utils/test/simple-test.ts
 delete mode 100644 libs/utils/test/validation.ts

diff --git a/libs/utils/src/calculations/market-statistics.ts b/libs/utils/src/calculations/market-statistics.ts
index 666fd7b..5efb214 100644
--- a/libs/utils/src/calculations/market-statistics.ts
+++ b/libs/utils/src/calculations/market-statistics.ts
@@ -326,10 +326,9 @@ export function IntradayPatterns(
     hourlyVolume[hour] = data.volumes.length > 0 ?
       data.volumes.reduce((sum, vol) => sum + vol, 0) / data.volumes.length : 0;
   }
-  
-  //  opening gap and closing drift
+    //  opening gap and closing drift
   const openingGap = ohlcv.length > 1 ? 
-    (ohlcv[0].open - ohlcv[0].close) / ohlcv[0].close : 0;
+    (ohlcv[1].open - ohlcv[0].close) / ohlcv[0].close : 0;
   
   const lastCandle = ohlcv[ohlcv.length - 1];
   const closingDrift = (lastCandle.close - lastCandle.open) / lastCandle.open;
@@ -536,6 +535,136 @@ export function ImplementationShortfall(
   };
 }
 
+/**
+ * Amihud Illiquidity Measure (price impact per unit of volume)
+ */
+export function amihudIlliquidity(
+  ohlcv: OHLCVData[], 
+  lookbackPeriod: number = 252
+): number {
+  if (ohlcv.length < lookbackPeriod) return 0;
+  
+  const recentData = ohlcv.slice(-lookbackPeriod);
+  let illiquiditySum = 0;
+  let validDays = 0;
+  
+  for (const candle of recentData) {
+    if (candle.volume > 0) {
+      const dailyReturn = Math.abs((candle.close - candle.open) / candle.open);
+      const dollarVolume = candle.volume * candle.close;
+      
+      if (dollarVolume > 0) {
+        illiquiditySum += dailyReturn / dollarVolume;
+        validDays++;
+      }
+    }
+  }
+  
+  return validDays > 0 ? (illiquiditySum / validDays) * 1000000 : 0; // Scale to millions
+}
+
+/**
+ * Roll's Spread Estimator (effective spread from serial covariance)
+ */
+export function rollSpreadEstimator(prices: number[]): number {
+  if (prices.length < 3) return 0;
+  
+  // Calculate price changes
+  const priceChanges: number[] = [];
+  for (let i = 1; i < prices.length; i++) {
+    priceChanges.push(prices[i] - prices[i - 1]);
+  }
+  
+  // Calculate serial covariance
+  let covariance = 0;
+  for (let i = 1; i < priceChanges.length; i++) {
+    covariance += priceChanges[i] * priceChanges[i - 1];
+  }
+  covariance /= (priceChanges.length - 1);
+  
+  // Roll's estimator: spread = 2 * sqrt(-covariance)
+  const spread = covariance < 0 ? 2 * Math.sqrt(-covariance) : 0;
+  
+  return spread;
+}
+
+/**
+ * Kyle's Lambda (price impact coefficient)
+ */
+export function kyleLambda(
+  priceChanges: number[],
+  orderFlow: number[] // Signed order flow (positive for buys, negative for sells)
+): number {
+  if (priceChanges.length !== orderFlow.length || priceChanges.length < 2) return 0;
+  
+  // Calculate regression: priceChange = lambda * orderFlow + error
+  const n = priceChanges.length;
+  const meanPrice = priceChanges.reduce((sum, p) => sum + p, 0) / n;
+  const meanFlow = orderFlow.reduce((sum, f) => sum + f, 0) / n;
+  
+  let numerator = 0;
+  let denominator = 0;
+  
+  for (let i = 0; i < n; i++) {
+    const priceDeviation = priceChanges[i] - meanPrice;
+    const flowDeviation = orderFlow[i] - meanFlow;
+    
+    numerator += priceDeviation * flowDeviation;
+    denominator += flowDeviation * flowDeviation;
+  }
+  
+  return denominator > 0 ? numerator / denominator : 0;
+}
+
+/**
+ * Probability of Informed Trading (PIN) - simplified version
+ */
+export function probabilityInformedTrading(
+  buyVolumes: number[],
+  sellVolumes: number[],
+  period: number = 20
+): number {
+  if (buyVolumes.length !== sellVolumes.length || buyVolumes.length < period) return 0;
+  
+  const recentBuys = buyVolumes.slice(-period);
+  const recentSells = sellVolumes.slice(-period);
+  
+  let totalImbalance = 0;
+  let totalVolume = 0;
+  
+  for (let i = 0; i < period; i++) {
+    const imbalance = Math.abs(recentBuys[i] - recentSells[i]);
+    const volume = recentBuys[i] + recentSells[i];
+    
+    totalImbalance += imbalance;
+    totalVolume += volume;
+  }
+  
+  // Simplified PIN estimate based on order imbalance
+  return totalVolume > 0 ? totalImbalance / totalVolume : 0;
+}
+
+/**
+ * Herfindahl-Hirschman Index for Volume Concentration
+ */
+export function volumeConcentrationHHI(
+  exchanges: Array<{ name: string; volume: number }>
+): number {
+  if (exchanges.length === 0) return 0;
+  
+  const totalVolume = exchanges.reduce((sum, exchange) => sum + exchange.volume, 0);
+  
+  if (totalVolume === 0) return 0;
+  
+  let hhi = 0;
+  for (const exchange of exchanges) {
+    const marketShare = exchange.volume / totalVolume;
+    hhi += marketShare * marketShare;
+  }
+  
+  return hhi * 10000; // Scale to 0-10000 range
+}
+
 // Helper functions
 
 function calculateVolatility(returns: number[]): number {
diff --git a/libs/utils/src/calculations/portfolio-analytics.ts b/libs/utils/src/calculations/portfolio-analytics.ts
index 4bbb0b6..a7b045c 100644
--- a/libs/utils/src/calculations/portfolio-analytics.ts
+++ b/libs/utils/src/calculations/portfolio-analytics.ts
@@ -389,33 +389,188 @@ export function performanceAttribution(
 }
 
 /**
- * Calculate efficient frontier points
+ * Calculate Efficient Frontier points
  */
 export function calculateEfficientFrontier(
-  expectedReturns: number[],
-  covarianceMatrix: number[][],
-  numPoints: number = 100
-): Array<{ return: number; volatility: number; sharpeRatio: number; weights: number[] }> {
+  returns: number[][],  // Array of return series for each asset
+  symbols: string[],
+  riskFreeRate: number = 0.02,
+  numPoints: number = 50
+): Array<{ 
+  weights: number[]; 
+  expectedReturn: number; 
+  volatility: number; 
+  sharpeRatio: number; 
+}> {
+  if (returns.length !== symbols.length || returns.length < 2) return [];
+  
+  const n = returns.length;
+  const results: Array<{ weights: number[]; expectedReturn: number; volatility: number; sharpeRatio: number; }> = [];
+  
+  // Calculate expected returns and covariance matrix
+  const expectedReturns = returns.map(assetReturns => 
+    assetReturns.reduce((sum, ret) => sum + ret, 0) / assetReturns.length
+  );
+  
+  const covarianceMatrix = calculateCovarianceMatrix(returns);
+  
+  // Generate target returns from min to max expected return
   const minReturn = Math.min(...expectedReturns);
   const maxReturn = Math.max(...expectedReturns);
   const returnStep = (maxReturn - minReturn) / (numPoints - 1);
   
-  const frontierPoints: Array<{ return: number; volatility: number; sharpeRatio: number; weights: number[] }> = [];
-  
   for (let i = 0; i < numPoints; i++) {
     const targetReturn = minReturn + i * returnStep;
     
-    // Simplified optimization for target return
-    // In production, use proper constrained optimization
-    const result = markowitzOptimization(expectedReturns, covarianceMatrix);
+    // Find minimum variance portfolio for target return using quadratic programming (simplified)
+    const weights = findMinimumVarianceWeights(expectedReturns, covarianceMatrix, targetReturn);
     
-    frontierPoints.push({
-      return: targetReturn,
-      volatility: result.volatility,
-      sharpeRatio: result.sharpeRatio,
-      weights: result.weights
-    });
+    if (weights && weights.length === n) {
+      const portfolioReturn = weights.reduce((sum, w, j) => sum + w * expectedReturns[j], 0);
+      const portfolioVariance = calculatePortfolioVariance(weights, covarianceMatrix);
+      const portfolioVolatility = Math.sqrt(portfolioVariance);
+      const sharpeRatio = portfolioVolatility > 0 ? (portfolioReturn - riskFreeRate) / portfolioVolatility : 0;
+      
+      results.push({
+        weights,
+        expectedReturn: portfolioReturn,
+        volatility: portfolioVolatility,
+        sharpeRatio
+      });
+    }
   }
   
-  return frontierPoints;
+  return results.sort((a, b) => a.volatility - b.volatility);
+}
+
+/**
+ * Find Minimum Variance Portfolio
+ */
+export function findMinimumVariancePortfolio(
+  returns: number[][],
+  symbols: string[]
+): PortfolioOptimizationResult | null {
+  if (returns.length !== symbols.length || returns.length < 2) return null;
+  
+  const covarianceMatrix = calculateCovarianceMatrix(returns);
+  const n = returns.length;
+  
+  // For minimum variance portfolio: w = (Σ^-1 * 1) / (1' * Σ^-1 * 1)
+  // Simplified implementation using equal weights as starting point
+  const weights = new Array(n).fill(1 / n);
+  
+  // Iterative optimization (simplified)
+  for (let iter = 0; iter < 100; iter++) {
+    const gradient = calculateVarianceGradient(weights, covarianceMatrix);
+    const stepSize = 0.01;
+    
+    // Update weights
+    for (let i = 0; i < n; i++) {
+      weights[i] -= stepSize * gradient[i];
+    }
+    
+    // Normalize weights to sum to 1
+    const weightSum = weights.reduce((sum, w) => sum + w, 0);
+    for (let i = 0; i < n; i++) {
+      weights[i] = Math.max(0, weights[i] / weightSum);
+    }
+  }
+  
+  const expectedReturns = returns.map(assetReturns => 
+    assetReturns.reduce((sum, ret) => sum + ret, 0) / assetReturns.length
+  );
+  
+  const portfolioReturn = weights.reduce((sum, w, i) => sum + w * expectedReturns[i], 0);
+  const portfolioVariance = calculatePortfolioVariance(weights, covarianceMatrix);
+  const portfolioVolatility = Math.sqrt(portfolioVariance);
+  const sharpeRatio = portfolioVolatility > 0 ? portfolioReturn / portfolioVolatility : 0;
+  
+  return {
+    weights,
+    expectedReturn: portfolioReturn,
+    volatility: portfolioVolatility,
+    sharpeRatio,
+    symbols
+  };
+}
+
+// Helper functions for portfolio optimization
+
+function calculateCovarianceMatrix(returns: number[][]): number[][] {
+  const n = returns.length;
+  const matrix: number[][] = [];
+  
+  for (let i = 0; i < n; i++) {
+    matrix[i] = [];
+    for (let j = 0; j < n; j++) {
+      matrix[i][j] = calculateCovariance(returns[i], returns[j]);
+    }
+  }
+  
+  return matrix;
+}
+
+function calculateCovariance(x: number[], y: number[]): number {
+  if (x.length !== y.length || x.length < 2) return 0;
+  
+  const n = x.length;
+  const meanX = x.reduce((sum, val) => sum + val, 0) / n;
+  const meanY = y.reduce((sum, val) => sum + val, 0) / n;
+  
+  return x.reduce((sum, val, i) => sum + (val - meanX) * (y[i] - meanY), 0) / (n - 1);
+}
+
+// calculatePortfolioVariance is already exported above
+
+function calculateVarianceGradient(weights: number[], covarianceMatrix: number[][]): number[] {
+  const n = weights.length;
+  const gradient: number[] = [];
+  
+  for (let i = 0; i < n; i++) {
+    let grad = 0;
+    for (let j = 0; j < n; j++) {
+      grad += 2 * weights[j] * covarianceMatrix[i][j];
+    }
+    gradient[i] = grad;
+  }
+  
+  return gradient;
+}
+
+function findMinimumVarianceWeights(
+  expectedReturns: number[],
+  covarianceMatrix: number[][],
+  targetReturn: number
+): number[] | null {
+  const n = expectedReturns.length;
+  
+  // Simplified implementation - in practice would use quadratic programming solver
+  // Start with equal weights and adjust
+  const weights = new Array(n).fill(1 / n);
+  
+  // Iterative adjustment to meet target return constraint
+  for (let iter = 0; iter < 50; iter++) {
+    const currentReturn = weights.reduce((sum, w, i) => sum + w * expectedReturns[i], 0);
+    const returnDiff = targetReturn - currentReturn;
+    
+    if (Math.abs(returnDiff) < 0.001) break;
+    
+    // Adjust weights proportionally to expected returns
+    const totalExpectedReturn = expectedReturns.reduce((sum, r) => sum + Math.abs(r), 0);
+    
+    for (let i = 0; i < n; i++) {
+      const adjustment = (returnDiff * Math.abs(expectedReturns[i])) / totalExpectedReturn;
+      weights[i] = Math.max(0, weights[i] + adjustment * 0.1);
+    }
+    
+    // Normalize weights
+    const weightSum = weights.reduce((sum, w) => sum + w, 0);
+    if (weightSum > 0) {
+      for (let i = 0; i < n; i++) {
+        weights[i] /= weightSum;
+      }
+    }
+  }
+  
+  return weights;
 }
diff --git a/libs/utils/src/calculations/position-sizing.ts b/libs/utils/src/calculations/position-sizing.ts
index cf68c82..e82775f 100644
--- a/libs/utils/src/calculations/position-sizing.ts
+++ b/libs/utils/src/calculations/position-sizing.ts
@@ -452,3 +452,73 @@ export function validatePositionSize(
     violations
   };
 }
+
+/**
+ * Optimal F position sizing (Ralph Vince's method)
+ */
+export function optimalFPositionSize(
+  accountSize: number,
+  historicalReturns: number[],
+  maxIterations: number = 100
+): number {
+  if (historicalReturns.length === 0 || accountSize <= 0) return 0;
+  
+  // Convert returns to P&L per unit
+  const pnlValues = historicalReturns.map(ret => ret * 1000); // Assuming $1000 per unit
+  
+  let bestF = 0;
+  let bestTWR = 0; // Terminal Wealth Relative
+  
+  // Test different f values (0.01 to 1.00)
+  for (let f = 0.01; f <= 1.0; f += 0.01) {
+    let twr = 1.0;
+    let valid = true;
+    
+    for (const pnl of pnlValues) {
+      const hpr = 1 + (f * pnl / 1000); // Holding Period Return
+      
+      if (hpr <= 0) {
+        valid = false;
+        break;
+      }
+      
+      twr *= hpr;
+    }
+    
+    if (valid && twr > bestTWR) {
+      bestTWR = twr;
+      bestF = f;
+    }
+  }
+  
+  // Apply safety factor
+  const safeF = bestF * 0.75; // 75% of optimal f for safety
+  
+  return accountSize * safeF;
+}
+
+/**
+ * Secure F position sizing (safer version of Optimal F)
+ */
+export function secureFPositionSize(
+  accountSize: number,
+  historicalReturns: number[],
+  confidenceLevel: number = 0.95
+): number {
+  if (historicalReturns.length === 0 || accountSize <= 0) return 0;
+  
+  // Sort returns to find worst-case scenarios
+  const sortedReturns = [...historicalReturns].sort((a, b) => a - b);
+  const worstCaseIndex = Math.floor((1 - confidenceLevel) * sortedReturns.length);
+  const worstCaseReturn = sortedReturns[worstCaseIndex];
+  
+  // Calculate maximum position size that won't bankrupt at confidence level
+  const maxLoss = Math.abs(worstCaseReturn);
+  const maxRiskPercentage = 0.02; // Never risk more than 2% on worst case
+  
+  if (maxLoss === 0) return accountSize * 0.1; // Default to 10% if no historical losses
+  
+  const secureF = Math.min(maxRiskPercentage / maxLoss, 0.25); // Cap at 25%
+  
+  return accountSize * secureF;
+}
diff --git a/libs/utils/src/calculations/risk-metrics.ts b/libs/utils/src/calculations/risk-metrics.ts
index 344ed4e..62da045 100644
--- a/libs/utils/src/calculations/risk-metrics.ts
+++ b/libs/utils/src/calculations/risk-metrics.ts
@@ -421,3 +421,129 @@ export function riskAdjustedReturn(
   if (portfolioRisk === 0) return 0;
   return (portfolioReturn - riskFreeRate) / portfolioRisk;
 }
+
+/**
+ * Calculate Omega Ratio (probability-weighted ratio of gains vs losses)
+ */
+export function omegaRatio(returns: number[], threshold: number = 0): number {
+  if (returns.length === 0) return 0;
+  
+  let gainsSum = 0;
+  let lossesSum = 0;
+  
+  for (const ret of returns) {
+    const excessReturn = ret - threshold;
+    if (excessReturn > 0) {
+      gainsSum += excessReturn;
+    } else {
+      lossesSum += Math.abs(excessReturn);
+    }
+  }
+  
+  return lossesSum > 0 ? gainsSum / lossesSum : (gainsSum > 0 ? Infinity : 0);
+}
+
+/**
+ * Calculate Upside Potential Ratio
+ */
+export function upsidePotentialRatio(returns: number[], threshold: number = 0): number {
+  if (returns.length === 0) return 0;
+  
+  let upsidePotentialSum = 0;
+  let downsideDeviationSum = 0;
+  
+  for (const ret of returns) {
+    const excessReturn = ret - threshold;
+    if (excessReturn > 0) {
+      upsidePotentialSum += excessReturn;
+    } else {
+      downsideDeviationSum += excessReturn * excessReturn;
+    }
+  }
+  
+  const downsideDeviation = Math.sqrt(downsideDeviationSum / returns.length);
+  const avgUpsidePotential = upsidePotentialSum / returns.length;
+  
+  return downsideDeviation > 0 ? avgUpsidePotential / downsideDeviation : 0;
+}
+
+/**
+ * Calculate maximum drawdown duration
+ */
+export function drawdownDuration(equityCurve: number[]): {
+  maxDuration: number;
+  currentDuration: number;
+  avgDuration: number;
+} {
+  if (equityCurve.length === 0) {
+    return { maxDuration: 0, currentDuration: 0, avgDuration: 0 };
+  }
+  
+  let peak = equityCurve[0];
+  let maxDuration = 0;
+  let currentDuration = 0;
+  const durations: number[] = [];
+  let inDrawdown = false;
+  let drawdownStart = 0;
+  
+  for (let i = 1; i < equityCurve.length; i++) {
+    if (equityCurve[i] > peak) {
+      if (inDrawdown) {
+        // End of drawdown
+        const duration = i - drawdownStart;
+        durations.push(duration);
+        maxDuration = Math.max(maxDuration, duration);
+        inDrawdown = false;
+        currentDuration = 0;
+      }
+      peak = equityCurve[i];
+    } else {
+      if (!inDrawdown) {
+        // Start of drawdown
+        inDrawdown = true;
+        drawdownStart = i;
+      }
+      currentDuration = i - drawdownStart;
+    }
+  }
+  
+  // If still in drawdown at the end
+  if (inDrawdown) {
+    maxDuration = Math.max(maxDuration, currentDuration);
+  }
+  
+  const avgDuration = durations.length > 0 ? 
+    durations.reduce((sum, dur) => sum + dur, 0) / durations.length : 0;
+  
+  return {
+    maxDuration,
+    currentDuration: inDrawdown ? currentDuration : 0,
+    avgDuration
+  };
+}
+
+/**
+ * Calculate CAPM expected return
+ * Uses the Capital Asset Pricing Model: E(R) = Rf + β(E(Rm) - Rf)
+ */
+export function capmExpectedReturn(
+  riskFreeRate: number,
+  marketReturn: number,
+  assetBeta: number
+): number {
+  return riskFreeRate + assetBeta * (marketReturn - riskFreeRate);
+}
+
+/**
+ * Calculate Jensen's Alpha
+ * Jensen's Alpha = Portfolio Return - CAPM Expected Return
+ */
+export function jensenAlpha(
+  portfolioReturn: number,
+  riskFreeRate: number,
+  marketReturn: number,
+  portfolioBeta: number
+): number {
+  const expectedReturn = capmExpectedReturn(riskFreeRate, marketReturn, portfolioBeta);
+  return portfolioReturn - expectedReturn;
+}
diff --git a/libs/utils/src/calculations/technical-indicators.ts b/libs/utils/src/calculations/technical-indicators.ts
index eb5cc80..e78526b 100644
--- a/libs/utils/src/calculations/technical-indicators.ts
+++ b/libs/utils/src/calculations/technical-indicators.ts
@@ -497,3 +497,151 @@ export function aroon(ohlcv: OHLCVData[], period: number = 14): { up: number[],
   
   return { up, down };
 }
+
+/**
+ * Average Directional Movement Index (ADX) and Directional Movement Indicators (DMI)
+ */
+export function adx(ohlcv: OHLCVData[], period: number = 14): { adx: number[], plusDI: number[], minusDI: number[] } {
+  if (period >= ohlcv.length) return { adx: [], plusDI: [], minusDI: [] };
+  
+  const trueRanges: number[] = [];
+  const plusDM: number[] = [];
+  const minusDM: number[] = [];
+  
+  // Calculate True Range and Directional Movements
+  for (let i = 1; i < ohlcv.length; i++) {
+    const current = ohlcv[i];
+    const previous = ohlcv[i - 1];
+    
+    // True Range
+    const tr = Math.max(
+      current.high - current.low,
+      Math.abs(current.high - previous.close),
+      Math.abs(current.low - previous.close)
+    );
+    trueRanges.push(tr);
+    
+    // Directional Movements
+    const highDiff = current.high - previous.high;
+    const lowDiff = previous.low - current.low;
+    
+    const plusDMValue = (highDiff > lowDiff && highDiff > 0) ? highDiff : 0;
+    const minusDMValue = (lowDiff > highDiff && lowDiff > 0) ? lowDiff : 0;
+    
+    plusDM.push(plusDMValue);
+    minusDM.push(minusDMValue);
+  }
+  
+  // Calculate smoothed averages
+  const atrValues = sma(trueRanges, period);
+  const smoothedPlusDM = sma(plusDM, period);
+  const smoothedMinusDM = sma(minusDM, period);
+  
+  const plusDI: number[] = [];
+  const minusDI: number[] = [];
+  const dx: number[] = [];
+  
+  // Calculate DI+ and DI-
+  for (let i = 0; i < atrValues.length; i++) {
+    const diPlus = atrValues[i] > 0 ? (smoothedPlusDM[i] / atrValues[i]) * 100 : 0;
+    const diMinus = atrValues[i] > 0 ? (smoothedMinusDM[i] / atrValues[i]) * 100 : 0;
+    
+    plusDI.push(diPlus);
+    minusDI.push(diMinus);
+    
+    // Calculate DX
+    const diSum = diPlus + diMinus;
+    const dxValue = diSum > 0 ? (Math.abs(diPlus - diMinus) / diSum) * 100 : 0;
+    dx.push(dxValue);
+  }
+  
+  // Calculate ADX (smoothed DX)
+  const adxValues = sma(dx, period);
+  
+  return {
+    adx: adxValues,
+    plusDI: plusDI.slice(period - 1),
+    minusDI: minusDI.slice(period - 1)
+  };
+}
+
+/**
+ * Volume Weighted Moving Average (VWMA)
+ */
+export function vwma(ohlcv: OHLCVData[], period: number = 20): number[] {
+  if (period >= ohlcv.length) return [];
+  
+  const result: number[] = [];
+  
+  for (let i = period - 1; i < ohlcv.length; i++) {
+    const slice = ohlcv.slice(i - period + 1, i + 1);
+    
+    let totalVolumePrice = 0;
+    let totalVolume = 0;
+    
+    for (const candle of slice) {
+      const typicalPrice = (candle.high + candle.low + candle.close) / 3;
+      totalVolumePrice += typicalPrice * candle.volume;
+      totalVolume += candle.volume;
+    }
+    
+    const vwmaValue = totalVolume > 0 ? totalVolumePrice / totalVolume : 0;
+    result.push(vwmaValue);
+  }
+  
+  return result;
+}
+
+/**
+ * Pivot Points (Standard)
+ */
+export function pivotPoints(ohlcv: OHLCVData[]): Array<{
+  pivot: number;
+  resistance1: number;
+  resistance2: number;
+  resistance3: number;
+  support1: number;
+  support2: number;
+  support3: number;
+}> {
+  if (ohlcv.length === 0) return [];
+  
+  const result: Array<{
+    pivot: number;
+    resistance1: number;
+    resistance2: number;
+    resistance3: number;
+    support1: number;
+    support2: number;
+    support3: number;
+  }> = [];
+  
+  for (let i = 0; i < ohlcv.length; i++) {
+    const candle = ohlcv[i];
+    
+    // Calculate pivot point
+    const pivot = (candle.high + candle.low + candle.close) / 3;
+    
+    // Calculate resistance and support levels
+    const resistance1 = (2 * pivot) - candle.low;
+    const support1 = (2 * pivot) - candle.high;
+    
+    const resistance2 = pivot + (candle.high - candle.low);
+    const support2 = pivot - (candle.high - candle.low);
+    
+    const resistance3 = candle.high + 2 * (pivot - candle.low);
+    const support3 = candle.low - 2 * (candle.high - pivot);
+    
+    result.push({
+      pivot,
+      resistance1,
+      resistance2,
+      resistance3,
+      support1,
+      support2,
+      support3
+    });
+  }
+  
+  return result;
+}
diff --git a/libs/utils/test/simple-test.ts b/libs/utils/test/simple-test.ts
deleted file mode 100644
index c0a90b7..0000000
--- a/libs/utils/test/simple-test.ts
+++ /dev/null
@@ -1,19 +0,0 @@
-import { fixedRiskPositionSize } from '../src/calculations/position-sizing.js';
-
-try {
-  console.log('Testing position sizing calculations...');
-
-  const result = fixedRiskPositionSize({
-    accountSize: 100000,
-    riskPercentage: 2,
-    entryPrice: 100,
-    stopLoss: 95
-  });
-
-  console.log('Fixed risk position size result:', result);
-  console.log('Expected: 400 shares');
-  console.log('Test passed:', result === 400);
-
-} catch (error) {
-  console.error('Error:', error);
-}
diff --git a/libs/utils/test/validation.ts b/libs/utils/test/validation.ts
deleted file mode 100644
index 45381e9..0000000
--- a/libs/utils/test/validation.ts
+++ /dev/null
@@ -1,138 +0,0 @@
-/**
- * Validation script for position sizing calculations
- */
-import { 
-  fixedRiskPositionSize,
-  kellyPositionSize,
-  volatilityTargetPositionSize,
-  equalWeightPositionSize,
-  atrBasedPositionSize,
-  expectancyPositionSize,
-  calculatePortfolioHeat,
-  validatePositionSize
-} from '../src/calculations/position-sizing.js';
-
-console.log('=== Position Sizing Calculation Validation ===\n');
-
-// Test 1: Fixed Risk Position Sizing
-console.log('1. Fixed Risk Position Sizing');
-const fixedRiskResult = fixedRiskPositionSize({
-  accountSize: 100000,
-  riskPercentage: 2,
-  entryPrice: 100,
-  stopLoss: 95,
-  leverage: 1
-});
-console.log(`   Account: $100,000, Risk: 2%, Entry: $100, Stop: $95`);
-console.log(`   Result: ${fixedRiskResult} shares`);
-console.log(`   Expected: 400 shares (Risk: $2,000 ÷ $5 risk per share = 400)`);
-console.log(`   ✓ ${fixedRiskResult === 400 ? 'PASS' : 'FAIL'}\n`);
-
-// Test 2: Kelly Criterion
-console.log('2. Kelly Criterion Position Sizing');
-const kellyResult = kellyPositionSize({
-  winRate: 0.6,
-  averageWin: 150,
-  averageLoss: -100
-}, 100000);
-console.log(`   Win Rate: 60%, Avg Win: $150, Avg Loss: $100`);
-console.log(`   Result: $${kellyResult.toFixed(0)}`);
-console.log(`   Kelly formula with safety factor applied`);
-console.log(`   ✓ ${kellyResult > 0 && kellyResult < 25000 ? 'PASS' : 'FAIL'}\n`);
-
-// Test 3: Volatility Target Position Sizing
-console.log('3. Volatility Target Position Sizing');
-const volResult = volatilityTargetPositionSize({
-  price: 100,
-  volatility: 0.20,
-  targetVolatility: 0.10,
-  lookbackDays: 30
-}, 100000);
-console.log(`   Price: $100, Asset Vol: 20%, Target Vol: 10%`);
-console.log(`   Result: ${volResult} shares`);
-console.log(`   Expected: 500 shares (Vol ratio 0.5 * $100k = $50k ÷ $100 = 500)`);
-console.log(`   ✓ ${volResult === 500 ? 'PASS' : 'FAIL'}\n`);
-
-// Test 4: Equal Weight Position Sizing
-console.log('4. Equal Weight Position Sizing');
-const equalResult = equalWeightPositionSize(100000, 5, 100);
-console.log(`   Account: $100,000, Positions: 5, Price: $100`);
-console.log(`   Result: ${equalResult} shares`);
-console.log(`   Expected: 200 shares ($100k ÷ 5 = $20k ÷ $100 = 200)`);
-console.log(`   ✓ ${equalResult === 200 ? 'PASS' : 'FAIL'}\n`);
-
-// Test 5: ATR-Based Position Sizing
-console.log('5. ATR-Based Position Sizing');
-const atrResult = atrBasedPositionSize(100000, 2, 5, 2, 100);
-console.log(`   Account: $100,000, Risk: 2%, ATR: $5, Multiplier: 2`);
-console.log(`   Result: ${atrResult} shares`);
-console.log(`   Expected: 200 shares (Risk: $2k ÷ Stop: $10 = 200)`);
-console.log(`   ✓ ${atrResult === 200 ? 'PASS' : 'FAIL'}\n`);
-
-// Test 6: Expectancy Position Sizing
-console.log('6. Expectancy Position Sizing');
-const expectancyResult = expectancyPositionSize(100000, 0.6, 150, -100, 5);
-console.log(`   Win Rate: 60%, Avg Win: $150, Avg Loss: $100`);
-console.log(`   Result: $${expectancyResult.toFixed(0)}`);
-console.log(`   Expectancy: 0.6*150 - 0.4*100 = 50 (positive expectancy)`);
-console.log(`   ✓ ${expectancyResult > 0 ? 'PASS' : 'FAIL'}\n`);
-
-// Test 7: Portfolio Heat Calculation
-console.log('7. Portfolio Heat Calculation');
-const heatResult = calculatePortfolioHeat([
-  { value: 10000, risk: 500 },
-  { value: 15000, risk: 750 },
-  { value: 20000, risk: 1000 }
-], 100000);
-console.log(`   Positions with risks: $500, $750, $1000`);
-console.log(`   Result: ${heatResult}%`);
-console.log(`   Expected: 2.25% (Total risk: $2250 ÷ $100k = 2.25%)`);
-console.log(`   ✓ ${heatResult === 2.25 ? 'PASS' : 'FAIL'}\n`);
-
-// Test 8: Position Size Validation
-console.log('8. Position Size Validation');
-const validationResult = validatePositionSize(50, 100, 100000, 10, 2);
-console.log(`   Position: 50 shares @ $100, Account: $100k, Max: 10%`);
-console.log(`   Result: ${validationResult.isValid ? 'Valid' : 'Invalid'}`);
-console.log(`   Position value: $5,000 (5% of account - within 10% limit)`);
-console.log(`   ✓ ${validationResult.isValid ? 'PASS' : 'FAIL'}\n`);
-
-// Test edge cases
-console.log('=== Edge Case Testing ===\n');
-
-// Zero/negative inputs
-console.log('9. Zero/Negative Input Handling');
-const zeroResult = fixedRiskPositionSize({
-  accountSize: 0,
-  riskPercentage: 2,
-  entryPrice: 100,
-  stopLoss: 95
-});
-console.log(`   Zero account size result: ${zeroResult}`);
-console.log(`   ✓ ${zeroResult === 0 ? 'PASS' : 'FAIL'}`);
-
-const equalStopResult = fixedRiskPositionSize({
-  accountSize: 100000,
-  riskPercentage: 2,
-  entryPrice: 100,
-  stopLoss: 100
-});
-console.log(`   Equal entry/stop result: ${equalStopResult}`);
-console.log(`   ✓ ${equalStopResult === 0 ? 'PASS' : 'FAIL'}\n`);
-
-// Negative expectancy Kelly
-console.log('10. Negative Expectancy Kelly');
-const negativeKellyResult = kellyPositionSize({
-  winRate: 0.3,
-  averageWin: 100,
-  averageLoss: -200
-}, 100000);
-console.log(`   Win Rate: 30%, Avg Win: $100, Avg Loss: $200`);
-console.log(`   Result: $${negativeKellyResult}`);
-console.log(`   Expected: $0 (negative expectancy)`);
-console.log(`   ✓ ${negativeKellyResult === 0 ? 'PASS' : 'FAIL'}\n`);
-
-console.log('=== Validation Complete ===');
-console.log('All position sizing calculations have been validated!');
-console.log('The functions now include proper input validation, edge case handling,');
-console.log('and mathematically correct implementations.');