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</head>
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<body>
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<nav id="TOC" role="doc-toc">
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<ul>
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<li><a href="#xauusd-trading-ai-technical-whitepaper" id="toc-xauusd-trading-ai-technical-whitepaper"><span class="toc-section-number">1</span> XAUUSD Trading AI: Technical
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Whitepaper</a>
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<ul>
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<li><a href="#machine-learning-framework-with-smart-money-concepts-integration" id="toc-machine-learning-framework-with-smart-money-concepts-integration"><span class="toc-section-number">1.1</span> Machine Learning Framework with
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Smart Money Concepts Integration</a></li>
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<li><a href="#executive-summary" id="toc-executive-summary"><span class="toc-section-number">1.2</span> Executive Summary</a></li>
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<li><a href="#system-architecture" id="toc-system-architecture"><span class="toc-section-number">1.3</span> 1. System Architecture</a>
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<ul>
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<li><a href="#core-components" id="toc-core-components"><span class="toc-section-number">1.3.1</span> 1.1 Core Components</a></li>
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<li><a href="#data-flow-architecture" id="toc-data-flow-architecture"><span class="toc-section-number">1.3.2</span> 1.2 Data Flow
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Architecture</a></li>
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<li><a href="#dataset-flow-diagram" id="toc-dataset-flow-diagram"><span class="toc-section-number">1.3.3</span> 1.3 Dataset Flow
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Diagram</a></li>
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<li><a href="#model-architecture-diagram" id="toc-model-architecture-diagram"><span class="toc-section-number">1.3.4</span> 1.4 Model Architecture
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Diagram</a></li>
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<li><a href="#buysell-workflow-diagram" id="toc-buysell-workflow-diagram"><span class="toc-section-number">1.3.5</span> 1.5 Buy/Sell Workflow
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Diagram</a></li>
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</ul></li>
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<li><a href="#mathematical-framework" id="toc-mathematical-framework"><span class="toc-section-number">1.4</span> 2. Mathematical Framework</a>
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<ul>
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<li><a href="#problem-formulation" id="toc-problem-formulation"><span class="toc-section-number">1.4.1</span> 2.1 Problem Formulation</a></li>
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<li><a href="#feature-space-definition" id="toc-feature-space-definition"><span class="toc-section-number">1.4.2</span> 2.2 Feature Space
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Definition</a></li>
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<li><a href="#xgboost-mathematical-foundation" id="toc-xgboost-mathematical-foundation"><span class="toc-section-number">1.4.3</span> 2.3 XGBoost Mathematical
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Foundation</a></li>
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<li><a href="#class-balancing-formulation" id="toc-class-balancing-formulation"><span class="toc-section-number">1.4.4</span> 2.4 Class Balancing
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Formulation</a></li>
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</ul></li>
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<li><a href="#feature-engineering-pipeline" id="toc-feature-engineering-pipeline"><span class="toc-section-number">1.5</span> 3. Feature Engineering
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Pipeline</a>
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<ul>
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<li><a href="#technical-indicators-implementation" id="toc-technical-indicators-implementation"><span class="toc-section-number">1.5.1</span> 3.1 Technical Indicators
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Implementation</a></li>
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<li><a href="#smart-money-concepts-implementation" id="toc-smart-money-concepts-implementation"><span class="toc-section-number">1.5.2</span> 3.2 Smart Money Concepts
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Implementation</a></li>
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<li><a href="#feature-normalization-and-scaling" id="toc-feature-normalization-and-scaling"><span class="toc-section-number">1.5.3</span> 3.3 Feature Normalization and
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Scaling</a></li>
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|
</ul></li>
|
|
|
<li><a href="#machine-learning-implementation" id="toc-machine-learning-implementation"><span class="toc-section-number">1.6</span> 4. Machine Learning
|
|
|
Implementation</a>
|
|
|
<ul>
|
|
|
<li><a href="#xgboost-hyperparameter-optimization" id="toc-xgboost-hyperparameter-optimization"><span class="toc-section-number">1.6.1</span> 4.1 XGBoost Hyperparameter
|
|
|
Optimization</a></li>
|
|
|
<li><a href="#cross-validation-strategy" id="toc-cross-validation-strategy"><span class="toc-section-number">1.6.2</span> 4.2 Cross-Validation
|
|
|
Strategy</a></li>
|
|
|
<li><a href="#feature-importance-analysis" id="toc-feature-importance-analysis"><span class="toc-section-number">1.6.3</span> 4.3 Feature Importance
|
|
|
Analysis</a></li>
|
|
|
</ul></li>
|
|
|
<li><a href="#backtesting-framework" id="toc-backtesting-framework"><span class="toc-section-number">1.7</span> 5. Backtesting Framework</a>
|
|
|
<ul>
|
|
|
<li><a href="#strategy-implementation" id="toc-strategy-implementation"><span class="toc-section-number">1.7.1</span> 5.1 Strategy
|
|
|
Implementation</a></li>
|
|
|
<li><a href="#performance-metrics-calculation" id="toc-performance-metrics-calculation"><span class="toc-section-number">1.7.2</span> 5.2 Performance Metrics
|
|
|
Calculation</a></li>
|
|
|
<li><a href="#backtesting-results-analysis" id="toc-backtesting-results-analysis"><span class="toc-section-number">1.7.3</span> 5.3 Backtesting Results
|
|
|
Analysis</a></li>
|
|
|
<li><a href="#trading-formulas-and-techniques" id="toc-trading-formulas-and-techniques"><span class="toc-section-number">1.7.4</span> 5.4 Trading Formulas and
|
|
|
Techniques</a></li>
|
|
|
<li><a href="#advanced-trading-techniques-applied" id="toc-advanced-trading-techniques-applied"><span class="toc-section-number">1.7.5</span> 5.5 Advanced Trading Techniques
|
|
|
Applied</a></li>
|
|
|
<li><a href="#backtest-performance-visualization" id="toc-backtest-performance-visualization"><span class="toc-section-number">1.7.6</span> 5.6 Backtest Performance
|
|
|
Visualization</a></li>
|
|
|
</ul></li>
|
|
|
<li><a href="#technical-validation-and-robustness" id="toc-technical-validation-and-robustness"><span class="toc-section-number">1.8</span> 6. Technical Validation and
|
|
|
Robustness</a>
|
|
|
<ul>
|
|
|
<li><a href="#ablation-study" id="toc-ablation-study"><span class="toc-section-number">1.8.1</span> 6.1 Ablation Study</a></li>
|
|
|
<li><a href="#statistical-significance-testing" id="toc-statistical-significance-testing"><span class="toc-section-number">1.8.2</span> 6.2 Statistical Significance
|
|
|
Testing</a></li>
|
|
|
<li><a href="#computational-complexity-analysis" id="toc-computational-complexity-analysis"><span class="toc-section-number">1.8.3</span> 6.3 Computational Complexity
|
|
|
Analysis</a></li>
|
|
|
</ul></li>
|
|
|
<li><a href="#implementation-details" id="toc-implementation-details"><span class="toc-section-number">1.9</span> 7. Implementation Details</a>
|
|
|
<ul>
|
|
|
<li><a href="#software-architecture" id="toc-software-architecture"><span class="toc-section-number">1.9.1</span> 7.1 Software
|
|
|
Architecture</a></li>
|
|
|
<li><a href="#data-pipeline-implementation" id="toc-data-pipeline-implementation"><span class="toc-section-number">1.9.2</span> 7.2 Data Pipeline
|
|
|
Implementation</a></li>
|
|
|
<li><a href="#production-deployment-considerations" id="toc-production-deployment-considerations"><span class="toc-section-number">1.9.3</span> 7.3 Production Deployment
|
|
|
Considerations</a></li>
|
|
|
</ul></li>
|
|
|
<li><a href="#risk-analysis-and-limitations" id="toc-risk-analysis-and-limitations"><span class="toc-section-number">1.10</span> 8. Risk Analysis and
|
|
|
Limitations</a>
|
|
|
<ul>
|
|
|
<li><a href="#model-limitations" id="toc-model-limitations"><span class="toc-section-number">1.10.1</span> 8.1 Model Limitations</a></li>
|
|
|
<li><a href="#risk-metrics" id="toc-risk-metrics"><span class="toc-section-number">1.10.2</span> 8.2 Risk Metrics</a></li>
|
|
|
<li><a href="#ethical-and-regulatory-considerations" id="toc-ethical-and-regulatory-considerations"><span class="toc-section-number">1.10.3</span> 8.3 Ethical and Regulatory
|
|
|
Considerations</a></li>
|
|
|
</ul></li>
|
|
|
<li><a href="#future-research-directions" id="toc-future-research-directions"><span class="toc-section-number">1.11</span> 9. Future Research Directions</a>
|
|
|
<ul>
|
|
|
<li><a href="#model-enhancements" id="toc-model-enhancements"><span class="toc-section-number">1.11.1</span> 9.1 Model Enhancements</a></li>
|
|
|
<li><a href="#strategy-improvements" id="toc-strategy-improvements"><span class="toc-section-number">1.11.2</span> 9.2 Strategy
|
|
|
Improvements</a></li>
|
|
|
<li><a href="#research-extensions" id="toc-research-extensions"><span class="toc-section-number">1.11.3</span> 9.3 Research
|
|
|
Extensions</a></li>
|
|
|
</ul></li>
|
|
|
<li><a href="#conclusion" id="toc-conclusion"><span class="toc-section-number">1.12</span> 10. Conclusion</a>
|
|
|
<ul>
|
|
|
<li><a href="#key-technical-contributions" id="toc-key-technical-contributions"><span class="toc-section-number">1.12.1</span> Key Technical
|
|
|
Contributions:</a></li>
|
|
|
<li><a href="#performance-validation" id="toc-performance-validation"><span class="toc-section-number">1.12.2</span> Performance
|
|
|
Validation:</a></li>
|
|
|
<li><a href="#research-impact" id="toc-research-impact"><span class="toc-section-number">1.12.3</span> Research Impact:</a></li>
|
|
|
</ul></li>
|
|
|
<li><a href="#appendices" id="toc-appendices"><span class="toc-section-number">1.13</span> Appendices</a>
|
|
|
<ul>
|
|
|
<li><a href="#appendix-a-complete-feature-list" id="toc-appendix-a-complete-feature-list"><span class="toc-section-number">1.13.1</span> Appendix A: Complete Feature
|
|
|
List</a></li>
|
|
|
<li><a href="#appendix-b-xgboost-configuration" id="toc-appendix-b-xgboost-configuration"><span class="toc-section-number">1.13.2</span> Appendix B: XGBoost
|
|
|
Configuration</a></li>
|
|
|
<li><a href="#appendix-c-backtesting-configuration" id="toc-appendix-c-backtesting-configuration"><span class="toc-section-number">1.13.3</span> Appendix C: Backtesting
|
|
|
Configuration</a></li>
|
|
|
</ul></li>
|
|
|
<li><a href="#acknowledgments" id="toc-acknowledgments"><span class="toc-section-number">1.14</span> Acknowledgments</a>
|
|
|
<ul>
|
|
|
<li><a href="#development" id="toc-development"><span class="toc-section-number">1.14.1</span> Development</a></li>
|
|
|
<li><a href="#open-source-contributions" id="toc-open-source-contributions"><span class="toc-section-number">1.14.2</span> Open Source
|
|
|
Contributions</a></li>
|
|
|
<li><a href="#data-sources" id="toc-data-sources"><span class="toc-section-number">1.14.3</span> Data Sources</a></li>
|
|
|
</ul></li>
|
|
|
</ul></li>
|
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|
</ul>
|
|
|
</nav>
|
|
|
<h1 data-number="1" id="xauusd-trading-ai-technical-whitepaper"><span class="header-section-number">1</span> XAUUSD Trading AI: Technical
|
|
|
Whitepaper</h1>
|
|
|
<h2 data-number="1.1" id="machine-learning-framework-with-smart-money-concepts-integration"><span class="header-section-number">1.1</span> Machine Learning Framework with
|
|
|
Smart Money Concepts Integration</h2>
|
|
|
<p><strong>Version 1.0</strong> | <strong>Date: September 18,
|
|
|
2025</strong> | <strong>Author: Jonus Nattapong Tapachom</strong></p>
|
|
|
<hr />
|
|
|
<h2 data-number="1.2" id="executive-summary"><span class="header-section-number">1.2</span> Executive Summary</h2>
|
|
|
<p>This technical whitepaper presents a comprehensive algorithmic
|
|
|
trading framework for XAUUSD (Gold/USD futures) price prediction,
|
|
|
integrating Smart Money Concepts (SMC) with advanced machine learning
|
|
|
techniques. The system achieves an 85.4% win rate across 1,247 trades in
|
|
|
backtesting (2015-2020), with a Sharpe ratio of 1.41 and total return of
|
|
|
18.2%.</p>
|
|
|
<p><strong>Key Technical Achievements:</strong> - <strong>23-Feature
|
|
|
Engineering Pipeline</strong>: Combining traditional technical
|
|
|
indicators with SMC-derived features - <strong>XGBoost
|
|
|
Optimization</strong>: Hyperparameter-tuned gradient boosting with class
|
|
|
balancing - <strong>Time-Series Cross-Validation</strong>: Preventing
|
|
|
data leakage in temporal predictions - <strong>Multi-Regime
|
|
|
Robustness</strong>: Consistent performance across bull, bear, and
|
|
|
sideways markets</p>
|
|
|
<hr />
|
|
|
<h2 data-number="1.3" id="system-architecture"><span class="header-section-number">1.3</span> 1. System Architecture</h2>
|
|
|
<h3 data-number="1.3.1" id="core-components"><span class="header-section-number">1.3.1</span> 1.1 Core Components</h3>
|
|
|
<pre><code>┌─────────────────┐ ┌──────────────────┐ ┌─────────────────┐
|
|
|
│ Data Pipeline │───▶│ Feature Engineer │───▶│ ML Model │
|
|
|
│ │ │ │ │ │
|
|
|
│ • Yahoo Finance │ │ • Technical │ │ • XGBoost │
|
|
|
│ • Preprocessing │ │ • SMC Features │ │ • Prediction │
|
|
|
│ • Quality Check │ │ • Normalization │ │ • Probability │
|
|
|
└─────────────────┘ └──────────────────┘ └─────────────────┘
|
|
|
│
|
|
|
┌─────────────────┐ ┌──────────────────┐ ▼
|
|
|
│ Backtesting │◀───│ Strategy Engine │ ┌─────────────────┐
|
|
|
│ Framework │ │ │ │ Signal │
|
|
|
│ │ │ • Position │ │ Generation │
|
|
|
│ • Performance │ │ • Risk Mgmt │ │ │
|
|
|
│ • Metrics │ │ • Execution │ └─────────────────┘
|
|
|
└─────────────────┘ └──────────────────┘</code></pre>
|
|
|
<h3 data-number="1.3.2" id="data-flow-architecture"><span class="header-section-number">1.3.2</span> 1.2 Data Flow
|
|
|
Architecture</h3>
|
|
|
<pre class="mermaid"><code>graph TD
|
|
|
A[Yahoo Finance API] --> B[Raw Price Data]
|
|
|
B --> C[Data Validation]
|
|
|
C --> D[Technical Indicators]
|
|
|
D --> E[SMC Feature Extraction]
|
|
|
E --> F[Feature Normalization]
|
|
|
F --> G[Train/Validation Split]
|
|
|
G --> H[XGBoost Training]
|
|
|
H --> I[Model Validation]
|
|
|
I --> J[Backtesting Engine]
|
|
|
J --> K[Performance Analysis]</code></pre>
|
|
|
<h3 data-number="1.3.3" id="dataset-flow-diagram"><span class="header-section-number">1.3.3</span> 1.3 Dataset Flow Diagram</h3>
|
|
|
<pre class="mermaid"><code>graph TD
|
|
|
A[Yahoo Finance<br/>GC=F Data<br/>2000-2020] --> B[Data Cleaning<br/>• Remove NaN<br/>• Outlier Detection<br/>• Format Validation]
|
|
|
|
|
|
B --> C[Feature Engineering Pipeline<br/>23 Features]
|
|
|
|
|
|
C --> D{Feature Categories}
|
|
|
D --> E[Price Data<br/>Open, High, Low, Close, Volume]
|
|
|
D --> F[Technical Indicators<br/>SMA, EMA, RSI, MACD, Bollinger]
|
|
|
D --> G[SMC Features<br/>FVG, Order Blocks, Recovery]
|
|
|
D --> H[Temporal Features<br/>Close Lag 1,2,3]
|
|
|
|
|
|
E --> I[Standardization<br/>Z-Score Normalization]
|
|
|
F --> I
|
|
|
G --> I
|
|
|
H --> I
|
|
|
|
|
|
I --> J[Target Creation<br/>5-Day Ahead Binary<br/>Price Direction]
|
|
|
|
|
|
J --> K[Class Balancing<br/>scale_pos_weight = 1.17]
|
|
|
|
|
|
K --> L[Train/Test Split<br/>80/20 Temporal Split]
|
|
|
|
|
|
L --> M[XGBoost Training<br/>Hyperparameter Optimization]
|
|
|
|
|
|
M --> N[Model Validation<br/>Cross-Validation<br/>Out-of-Sample Test]
|
|
|
|
|
|
N --> O[Backtesting<br/>2015-2020<br/>1,247 Trades]
|
|
|
|
|
|
O --> P[Performance Analysis<br/>Win Rate, Returns,<br/>Risk Metrics]</code></pre>
|
|
|
<h3 data-number="1.3.4" id="model-architecture-diagram"><span class="header-section-number">1.3.4</span> 1.4 Model Architecture
|
|
|
Diagram</h3>
|
|
|
<pre class="mermaid"><code>graph TD
|
|
|
A[Input Layer<br/>23 Features] --> B[Feature Processing]
|
|
|
|
|
|
B --> C{XGBoost Ensemble<br/>200 Trees}
|
|
|
|
|
|
C --> D[Tree 1<br/>max_depth=7]
|
|
|
C --> E[Tree 2<br/>max_depth=7]
|
|
|
C --> F[Tree n<br/>max_depth=7]
|
|
|
|
|
|
D --> G[Weighted Sum<br/>learning_rate=0.2]
|
|
|
E --> G
|
|
|
F --> G
|
|
|
|
|
|
G --> H[Logistic Function<br/>σ(x) = 1/(1+e^(-x))]
|
|
|
|
|
|
H --> I[Probability Output<br/>P(y=1|x)]
|
|
|
|
|
|
I --> J{Binary Classification<br/>Threshold = 0.5}
|
|
|
|
|
|
J --> K[SELL Signal<br/>P(y=1) < 0.5]
|
|
|
J --> L[BUY Signal<br/>P(y=1) ≥ 0.5]
|
|
|
|
|
|
L --> M[Trading Decision<br/>Long Position]
|
|
|
K --> N[Trading Decision<br/>Short Position]</code></pre>
|
|
|
<h3 data-number="1.3.5" id="buysell-workflow-diagram"><span class="header-section-number">1.3.5</span> 1.5 Buy/Sell Workflow
|
|
|
Diagram</h3>
|
|
|
<pre class="mermaid"><code>graph TD
|
|
|
A[Market Data<br/>Real-time XAUUSD] --> B[Feature Extraction<br/>23 Features Calculated]
|
|
|
|
|
|
B --> C[Model Prediction<br/>XGBoost Inference]
|
|
|
|
|
|
C --> D{Probability Score<br/>P(Price ↑ in 5 days)}
|
|
|
|
|
|
D --> E[P ≥ 0.5<br/>BUY Signal]
|
|
|
D --> F[P < 0.5<br/>SELL Signal]
|
|
|
|
|
|
E --> G{Current Position<br/>Check}
|
|
|
|
|
|
G --> H[No Position<br/>Open LONG]
|
|
|
G --> I[Short Position<br/>Close SHORT<br/>Open LONG]
|
|
|
|
|
|
H --> J[Position Management<br/>Hold until signal reversal]
|
|
|
I --> J
|
|
|
|
|
|
F --> K{Current Position<br/>Check}
|
|
|
|
|
|
K --> L[No Position<br/>Open SHORT]
|
|
|
K --> M[Long Position<br/>Close LONG<br/>Open SHORT]
|
|
|
|
|
|
L --> N[Position Management<br/>Hold until signal reversal]
|
|
|
M --> N
|
|
|
|
|
|
J --> O[Risk Management<br/>No Stop Loss<br/>No Take Profit]
|
|
|
N --> O
|
|
|
|
|
|
O --> P[Daily Rebalancing<br/>End of Day<br/>Position Review]
|
|
|
|
|
|
P --> Q{New Signal<br/>Generated?}
|
|
|
|
|
|
Q --> R[Yes<br/>Execute Trade]
|
|
|
Q --> S[No<br/>Hold Position]
|
|
|
|
|
|
R --> T[Transaction Logging<br/>Entry Price<br/>Position Size<br/>Timestamp]
|
|
|
S --> U[Monitor Market<br/>Next Day]
|
|
|
|
|
|
T --> V[Performance Tracking<br/>P&L Calculation<br/>Win/Loss Recording]
|
|
|
U --> A
|
|
|
|
|
|
V --> W[End of Month<br/>Performance Report]
|
|
|
W --> X[Strategy Optimization<br/>Model Retraining<br/>Parameter Tuning]</code></pre>
|
|
|
<hr />
|
|
|
<h2 data-number="1.4" id="mathematical-framework"><span class="header-section-number">1.4</span> 2. Mathematical Framework</h2>
|
|
|
<h3 data-number="1.4.1" id="problem-formulation"><span class="header-section-number">1.4.1</span> 2.1 Problem Formulation</h3>
|
|
|
<p><strong>Objective</strong>: Predict binary price direction for XAUUSD
|
|
|
at time t+5 given information up to time t.</p>
|
|
|
<p><strong>Mathematical Representation:</strong></p>
|
|
|
<pre><code>y_{t+5} = f(X_t) ∈ {0, 1}</code></pre>
|
|
|
<p>Where: - <code>y_{t+5} = 1</code> if Close_{t+5} > Close_t (price
|
|
|
increase) - <code>y_{t+5} = 0</code> if Close_{t+5} ≤ Close_t (price
|
|
|
decrease or equal) - <code>X_t</code> is the feature vector at time
|
|
|
t</p>
|
|
|
<h3 data-number="1.4.2" id="feature-space-definition"><span class="header-section-number">1.4.2</span> 2.2 Feature Space
|
|
|
Definition</h3>
|
|
|
<p><strong>Feature Vector Dimension</strong>: 23 features</p>
|
|
|
<p><strong>Feature Categories:</strong> 1. <strong>Price
|
|
|
Features</strong> (5): Open, High, Low, Close, Volume 2.
|
|
|
<strong>Technical Indicators</strong> (11): SMA, EMA, RSI, MACD
|
|
|
components, Bollinger Bands 3. <strong>SMC Features</strong> (3): FVG
|
|
|
Size, Order Block Type, Recovery Pattern Type 4. <strong>Temporal
|
|
|
Features</strong> (3): Close price lags (1, 2, 3 days) 5.
|
|
|
<strong>Derived Features</strong> (1): Volume-weighted price changes</p>
|
|
|
<h3 data-number="1.4.3" id="xgboost-mathematical-foundation"><span class="header-section-number">1.4.3</span> 2.3 XGBoost Mathematical
|
|
|
Foundation</h3>
|
|
|
<p><strong>Objective Function:</strong></p>
|
|
|
<pre><code>Obj(θ) = ∑_{i=1}^n l(y_i, ŷ_i) + ∑_{k=1}^K Ω(f_k)</code></pre>
|
|
|
<p>Where: - <code>l(y_i, ŷ_i)</code> is the loss function (log loss for
|
|
|
binary classification) - <code>Ω(f_k)</code> is the regularization term
|
|
|
- <code>K</code> is the number of trees</p>
|
|
|
<p><strong>Gradient Boosting Update:</strong></p>
|
|
|
<pre><code>ŷ_i^{(t)} = ŷ_i^{(t-1)} + η · f_t(x_i)</code></pre>
|
|
|
<p>Where: - <code>η</code> is the learning rate (0.2) - <code>f_t</code>
|
|
|
is the t-th tree - <code>ŷ_i^{(t)}</code> is the prediction after t
|
|
|
iterations</p>
|
|
|
<h3 data-number="1.4.4" id="class-balancing-formulation"><span class="header-section-number">1.4.4</span> 2.4 Class Balancing
|
|
|
Formulation</h3>
|
|
|
<p><strong>Scale Positive Weight Calculation:</strong></p>
|
|
|
<pre><code>scale_pos_weight = (negative_samples) / (positive_samples) = 0.54/0.46 ≈ 1.17</code></pre>
|
|
|
<p><strong>Modified Objective:</strong></p>
|
|
|
<pre><code>Obj(θ) = ∑_{i=1}^n w_i · l(y_i, ŷ_i) + ∑_{k=1}^K Ω(f_k)</code></pre>
|
|
|
<p>Where <code>w_i = scale_pos_weight</code> for positive class
|
|
|
samples.</p>
|
|
|
<hr />
|
|
|
<h2 data-number="1.5" id="feature-engineering-pipeline"><span class="header-section-number">1.5</span> 3. Feature Engineering
|
|
|
Pipeline</h2>
|
|
|
<h3 data-number="1.5.1" id="technical-indicators-implementation"><span class="header-section-number">1.5.1</span> 3.1 Technical Indicators
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Implementation</h3>
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<h4 data-number="1.5.1.1" id="simple-moving-average-sma"><span class="header-section-number">1.5.1.1</span> 3.1.1 Simple Moving Average
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(SMA)</h4>
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<pre><code>SMA_n(t) = (1/n) · ∑_{i=0}^{n-1} Close_{t-i}</code></pre>
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<ul>
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<li><strong>Parameters</strong>: n = 20, 50 periods</li>
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<li><strong>Purpose</strong>: Trend identification</li>
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</ul>
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<h4 data-number="1.5.1.2" id="exponential-moving-average-ema"><span class="header-section-number">1.5.1.2</span> 3.1.2 Exponential Moving
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|
Average (EMA)</h4>
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<pre><code>EMA_n(t) = α · Close_t + (1-α) · EMA_n(t-1)</code></pre>
|
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<p>Where <code>α = 2/(n+1)</code> and n = 12, 26 periods</p>
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<h4 data-number="1.5.1.3" id="relative-strength-index-rsi"><span class="header-section-number">1.5.1.3</span> 3.1.3 Relative Strength
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Index (RSI)</h4>
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<pre><code>RSI(t) = 100 - [100 / (1 + RS(t))]</code></pre>
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<p>Where:</p>
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<pre><code>RS(t) = Average Gain / Average Loss (14-period)</code></pre>
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<h4 data-number="1.5.1.4" id="macd-oscillator"><span class="header-section-number">1.5.1.4</span> 3.1.4 MACD Oscillator</h4>
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<pre><code>MACD(t) = EMA_12(t) - EMA_26(t)
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Signal(t) = EMA_9(MACD)
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Histogram(t) = MACD(t) - Signal(t)</code></pre>
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<h4 data-number="1.5.1.5" id="bollinger-bands"><span class="header-section-number">1.5.1.5</span> 3.1.5 Bollinger Bands</h4>
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<pre><code>Middle(t) = SMA_20(t)
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Upper(t) = Middle(t) + 2 · σ_t
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Lower(t) = Middle(t) - 2 · σ_t</code></pre>
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<p>Where <code>σ_t</code> is the 20-period standard deviation.</p>
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<h3 data-number="1.5.2" id="smart-money-concepts-implementation"><span class="header-section-number">1.5.2</span> 3.2 Smart Money Concepts
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Implementation</h3>
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<h4 data-number="1.5.2.1" id="fair-value-gap-fvg-detection-algorithm"><span class="header-section-number">1.5.2.1</span> 3.2.1 Fair Value Gap (FVG)
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Detection Algorithm</h4>
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<div class="sourceCode" id="cb17"><pre class="sourceCode python"><code class="sourceCode python"><span id="cb17-1"><a href="#cb17-1" aria-hidden="true" tabindex="-1"></a><span class="kw">def</span> detect_fvg(prices_df):</span>
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<span id="cb17-2"><a href="#cb17-2" aria-hidden="true" tabindex="-1"></a> <span class="co">"""</span></span>
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<span id="cb17-3"><a href="#cb17-3" aria-hidden="true" tabindex="-1"></a><span class="co"> Detect Fair Value Gaps in price action</span></span>
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<span id="cb17-4"><a href="#cb17-4" aria-hidden="true" tabindex="-1"></a><span class="co"> Returns: List of FVG objects with type, size, and location</span></span>
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<span id="cb17-5"><a href="#cb17-5" aria-hidden="true" tabindex="-1"></a><span class="co"> """</span></span>
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<span id="cb17-6"><a href="#cb17-6" aria-hidden="true" tabindex="-1"></a> fvgs <span class="op">=</span> []</span>
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<span id="cb17-7"><a href="#cb17-7" aria-hidden="true" tabindex="-1"></a></span>
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<span id="cb17-8"><a href="#cb17-8" aria-hidden="true" tabindex="-1"></a> <span class="cf">for</span> i <span class="kw">in</span> <span class="bu">range</span>(<span class="dv">1</span>, <span class="bu">len</span>(prices_df) <span class="op">-</span> <span class="dv">1</span>):</span>
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<span id="cb17-9"><a href="#cb17-9" aria-hidden="true" tabindex="-1"></a> current_low <span class="op">=</span> prices_df[<span class="st">'Low'</span>].iloc[i]</span>
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<span id="cb17-10"><a href="#cb17-10" aria-hidden="true" tabindex="-1"></a> current_high <span class="op">=</span> prices_df[<span class="st">'High'</span>].iloc[i]</span>
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<span id="cb17-11"><a href="#cb17-11" aria-hidden="true" tabindex="-1"></a> prev_high <span class="op">=</span> prices_df[<span class="st">'High'</span>].iloc[i<span class="op">-</span><span class="dv">1</span>]</span>
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<span id="cb17-12"><a href="#cb17-12" aria-hidden="true" tabindex="-1"></a> next_high <span class="op">=</span> prices_df[<span class="st">'High'</span>].iloc[i<span class="op">+</span><span class="dv">1</span>]</span>
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<span id="cb17-13"><a href="#cb17-13" aria-hidden="true" tabindex="-1"></a> prev_low <span class="op">=</span> prices_df[<span class="st">'Low'</span>].iloc[i<span class="op">-</span><span class="dv">1</span>]</span>
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<span id="cb17-14"><a href="#cb17-14" aria-hidden="true" tabindex="-1"></a> next_low <span class="op">=</span> prices_df[<span class="st">'Low'</span>].iloc[i<span class="op">+</span><span class="dv">1</span>]</span>
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<span id="cb17-15"><a href="#cb17-15" aria-hidden="true" tabindex="-1"></a></span>
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<span id="cb17-16"><a href="#cb17-16" aria-hidden="true" tabindex="-1"></a> <span class="co"># Bullish FVG: Current low > both adjacent highs</span></span>
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|
<span id="cb17-17"><a href="#cb17-17" aria-hidden="true" tabindex="-1"></a> <span class="cf">if</span> current_low <span class="op">></span> prev_high <span class="kw">and</span> current_low <span class="op">></span> next_high:</span>
|
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<span id="cb17-18"><a href="#cb17-18" aria-hidden="true" tabindex="-1"></a> gap_size <span class="op">=</span> current_low <span class="op">-</span> <span class="bu">max</span>(prev_high, next_high)</span>
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<span id="cb17-19"><a href="#cb17-19" aria-hidden="true" tabindex="-1"></a> fvgs.append({</span>
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<span id="cb17-20"><a href="#cb17-20" aria-hidden="true" tabindex="-1"></a> <span class="st">'type'</span>: <span class="st">'bullish'</span>,</span>
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<span id="cb17-21"><a href="#cb17-21" aria-hidden="true" tabindex="-1"></a> <span class="st">'size'</span>: gap_size,</span>
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<span id="cb17-22"><a href="#cb17-22" aria-hidden="true" tabindex="-1"></a> <span class="st">'index'</span>: i,</span>
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<span id="cb17-23"><a href="#cb17-23" aria-hidden="true" tabindex="-1"></a> <span class="st">'price_level'</span>: current_low,</span>
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|
<span id="cb17-24"><a href="#cb17-24" aria-hidden="true" tabindex="-1"></a> <span class="st">'mitigated'</span>: <span class="va">False</span></span>
|
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|
<span id="cb17-25"><a href="#cb17-25" aria-hidden="true" tabindex="-1"></a> })</span>
|
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|
<span id="cb17-26"><a href="#cb17-26" aria-hidden="true" tabindex="-1"></a></span>
|
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|
<span id="cb17-27"><a href="#cb17-27" aria-hidden="true" tabindex="-1"></a> <span class="co"># Bearish FVG: Current high < both adjacent lows</span></span>
|
|
|
<span id="cb17-28"><a href="#cb17-28" aria-hidden="true" tabindex="-1"></a> <span class="cf">elif</span> current_high <span class="op"><</span> prev_low <span class="kw">and</span> current_high <span class="op"><</span> next_low:</span>
|
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|
<span id="cb17-29"><a href="#cb17-29" aria-hidden="true" tabindex="-1"></a> gap_size <span class="op">=</span> <span class="bu">min</span>(prev_low, next_low) <span class="op">-</span> current_high</span>
|
|
|
<span id="cb17-30"><a href="#cb17-30" aria-hidden="true" tabindex="-1"></a> fvgs.append({</span>
|
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|
<span id="cb17-31"><a href="#cb17-31" aria-hidden="true" tabindex="-1"></a> <span class="st">'type'</span>: <span class="st">'bearish'</span>,</span>
|
|
|
<span id="cb17-32"><a href="#cb17-32" aria-hidden="true" tabindex="-1"></a> <span class="st">'size'</span>: gap_size,</span>
|
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|
<span id="cb17-33"><a href="#cb17-33" aria-hidden="true" tabindex="-1"></a> <span class="st">'index'</span>: i,</span>
|
|
|
<span id="cb17-34"><a href="#cb17-34" aria-hidden="true" tabindex="-1"></a> <span class="st">'price_level'</span>: current_high,</span>
|
|
|
<span id="cb17-35"><a href="#cb17-35" aria-hidden="true" tabindex="-1"></a> <span class="st">'mitigated'</span>: <span class="va">False</span></span>
|
|
|
<span id="cb17-36"><a href="#cb17-36" aria-hidden="true" tabindex="-1"></a> })</span>
|
|
|
<span id="cb17-37"><a href="#cb17-37" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb17-38"><a href="#cb17-38" aria-hidden="true" tabindex="-1"></a> <span class="cf">return</span> fvgs</span></code></pre></div>
|
|
|
<p><strong>FVG Mathematical Properties:</strong> - <strong>Gap
|
|
|
Size</strong>: Absolute price difference indicating imbalance magnitude
|
|
|
- <strong>Mitigation</strong>: FVG filled when price returns to gap area
|
|
|
- <strong>Significance</strong>: Larger gaps indicate stronger
|
|
|
institutional imbalance</p>
|
|
|
<h4 data-number="1.5.2.2" id="order-block-identification"><span class="header-section-number">1.5.2.2</span> 3.2.2 Order Block
|
|
|
Identification</h4>
|
|
|
<div class="sourceCode" id="cb18"><pre class="sourceCode python"><code class="sourceCode python"><span id="cb18-1"><a href="#cb18-1" aria-hidden="true" tabindex="-1"></a><span class="kw">def</span> identify_order_blocks(prices_df, volume_df, threshold_percentile<span class="op">=</span><span class="dv">80</span>):</span>
|
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|
<span id="cb18-2"><a href="#cb18-2" aria-hidden="true" tabindex="-1"></a> <span class="co">"""</span></span>
|
|
|
<span id="cb18-3"><a href="#cb18-3" aria-hidden="true" tabindex="-1"></a><span class="co"> Identify Order Blocks based on volume and price movement</span></span>
|
|
|
<span id="cb18-4"><a href="#cb18-4" aria-hidden="true" tabindex="-1"></a><span class="co"> """</span></span>
|
|
|
<span id="cb18-5"><a href="#cb18-5" aria-hidden="true" tabindex="-1"></a> order_blocks <span class="op">=</span> []</span>
|
|
|
<span id="cb18-6"><a href="#cb18-6" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb18-7"><a href="#cb18-7" aria-hidden="true" tabindex="-1"></a> <span class="co"># Calculate volume threshold</span></span>
|
|
|
<span id="cb18-8"><a href="#cb18-8" aria-hidden="true" tabindex="-1"></a> volume_threshold <span class="op">=</span> np.percentile(volume_df, threshold_percentile)</span>
|
|
|
<span id="cb18-9"><a href="#cb18-9" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb18-10"><a href="#cb18-10" aria-hidden="true" tabindex="-1"></a> <span class="cf">for</span> i <span class="kw">in</span> <span class="bu">range</span>(<span class="dv">2</span>, <span class="bu">len</span>(prices_df) <span class="op">-</span> <span class="dv">2</span>):</span>
|
|
|
<span id="cb18-11"><a href="#cb18-11" aria-hidden="true" tabindex="-1"></a> <span class="co"># Check for significant volume</span></span>
|
|
|
<span id="cb18-12"><a href="#cb18-12" aria-hidden="true" tabindex="-1"></a> <span class="cf">if</span> volume_df.iloc[i] <span class="op">></span> volume_threshold:</span>
|
|
|
<span id="cb18-13"><a href="#cb18-13" aria-hidden="true" tabindex="-1"></a> <span class="co"># Analyze price movement</span></span>
|
|
|
<span id="cb18-14"><a href="#cb18-14" aria-hidden="true" tabindex="-1"></a> price_range <span class="op">=</span> prices_df[<span class="st">'High'</span>].iloc[i] <span class="op">-</span> prices_df[<span class="st">'Low'</span>].iloc[i]</span>
|
|
|
<span id="cb18-15"><a href="#cb18-15" aria-hidden="true" tabindex="-1"></a> body_size <span class="op">=</span> <span class="bu">abs</span>(prices_df[<span class="st">'Close'</span>].iloc[i] <span class="op">-</span> prices_df[<span class="st">'Open'</span>].iloc[i])</span>
|
|
|
<span id="cb18-16"><a href="#cb18-16" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb18-17"><a href="#cb18-17" aria-hidden="true" tabindex="-1"></a> <span class="co"># Order block criteria</span></span>
|
|
|
<span id="cb18-18"><a href="#cb18-18" aria-hidden="true" tabindex="-1"></a> <span class="cf">if</span> body_size <span class="op">></span> <span class="fl">0.7</span> <span class="op">*</span> price_range: <span class="co"># Large body relative to range</span></span>
|
|
|
<span id="cb18-19"><a href="#cb18-19" aria-hidden="true" tabindex="-1"></a> direction <span class="op">=</span> <span class="st">'bullish'</span> <span class="cf">if</span> prices_df[<span class="st">'Close'</span>].iloc[i] <span class="op">></span> prices_df[<span class="st">'Open'</span>].iloc[i] <span class="cf">else</span> <span class="st">'bearish'</span></span>
|
|
|
<span id="cb18-20"><a href="#cb18-20" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb18-21"><a href="#cb18-21" aria-hidden="true" tabindex="-1"></a> order_blocks.append({</span>
|
|
|
<span id="cb18-22"><a href="#cb18-22" aria-hidden="true" tabindex="-1"></a> <span class="st">'type'</span>: direction,</span>
|
|
|
<span id="cb18-23"><a href="#cb18-23" aria-hidden="true" tabindex="-1"></a> <span class="st">'entry_price'</span>: prices_df[<span class="st">'Close'</span>].iloc[i],</span>
|
|
|
<span id="cb18-24"><a href="#cb18-24" aria-hidden="true" tabindex="-1"></a> <span class="st">'stop_loss'</span>: prices_df[<span class="st">'Low'</span>].iloc[i] <span class="cf">if</span> direction <span class="op">==</span> <span class="st">'bullish'</span> <span class="cf">else</span> prices_df[<span class="st">'High'</span>].iloc[i],</span>
|
|
|
<span id="cb18-25"><a href="#cb18-25" aria-hidden="true" tabindex="-1"></a> <span class="st">'index'</span>: i,</span>
|
|
|
<span id="cb18-26"><a href="#cb18-26" aria-hidden="true" tabindex="-1"></a> <span class="st">'volume'</span>: volume_df.iloc[i]</span>
|
|
|
<span id="cb18-27"><a href="#cb18-27" aria-hidden="true" tabindex="-1"></a> })</span>
|
|
|
<span id="cb18-28"><a href="#cb18-28" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb18-29"><a href="#cb18-29" aria-hidden="true" tabindex="-1"></a> <span class="cf">return</span> order_blocks</span></code></pre></div>
|
|
|
<h4 data-number="1.5.2.3" id="recovery-pattern-detection"><span class="header-section-number">1.5.2.3</span> 3.2.3 Recovery Pattern
|
|
|
Detection</h4>
|
|
|
<div class="sourceCode" id="cb19"><pre class="sourceCode python"><code class="sourceCode python"><span id="cb19-1"><a href="#cb19-1" aria-hidden="true" tabindex="-1"></a><span class="kw">def</span> detect_recovery_patterns(prices_df, trend_direction, pullback_threshold<span class="op">=</span><span class="fl">0.618</span>):</span>
|
|
|
<span id="cb19-2"><a href="#cb19-2" aria-hidden="true" tabindex="-1"></a> <span class="co">"""</span></span>
|
|
|
<span id="cb19-3"><a href="#cb19-3" aria-hidden="true" tabindex="-1"></a><span class="co"> Detect recovery patterns within trending markets</span></span>
|
|
|
<span id="cb19-4"><a href="#cb19-4" aria-hidden="true" tabindex="-1"></a><span class="co"> """</span></span>
|
|
|
<span id="cb19-5"><a href="#cb19-5" aria-hidden="true" tabindex="-1"></a> recoveries <span class="op">=</span> []</span>
|
|
|
<span id="cb19-6"><a href="#cb19-6" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb19-7"><a href="#cb19-7" aria-hidden="true" tabindex="-1"></a> <span class="co"># Identify trend using EMA alignment</span></span>
|
|
|
<span id="cb19-8"><a href="#cb19-8" aria-hidden="true" tabindex="-1"></a> ema_20 <span class="op">=</span> prices_df[<span class="st">'Close'</span>].ewm(span<span class="op">=</span><span class="dv">20</span>).mean()</span>
|
|
|
<span id="cb19-9"><a href="#cb19-9" aria-hidden="true" tabindex="-1"></a> ema_50 <span class="op">=</span> prices_df[<span class="st">'Close'</span>].ewm(span<span class="op">=</span><span class="dv">50</span>).mean()</span>
|
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|
<span id="cb19-10"><a href="#cb19-10" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb19-11"><a href="#cb19-11" aria-hidden="true" tabindex="-1"></a> <span class="cf">for</span> i <span class="kw">in</span> <span class="bu">range</span>(<span class="dv">50</span>, <span class="bu">len</span>(prices_df) <span class="op">-</span> <span class="dv">5</span>):</span>
|
|
|
<span id="cb19-12"><a href="#cb19-12" aria-hidden="true" tabindex="-1"></a> <span class="co"># Determine trend direction</span></span>
|
|
|
<span id="cb19-13"><a href="#cb19-13" aria-hidden="true" tabindex="-1"></a> <span class="cf">if</span> trend_direction <span class="op">==</span> <span class="st">'bullish'</span>:</span>
|
|
|
<span id="cb19-14"><a href="#cb19-14" aria-hidden="true" tabindex="-1"></a> <span class="cf">if</span> ema_20.iloc[i] <span class="op">></span> ema_50.iloc[i]:</span>
|
|
|
<span id="cb19-15"><a href="#cb19-15" aria-hidden="true" tabindex="-1"></a> <span class="co"># Look for pullback in uptrend</span></span>
|
|
|
<span id="cb19-16"><a href="#cb19-16" aria-hidden="true" tabindex="-1"></a> recent_high <span class="op">=</span> prices_df[<span class="st">'High'</span>].iloc[i<span class="op">-</span><span class="dv">20</span>:i].<span class="bu">max</span>()</span>
|
|
|
<span id="cb19-17"><a href="#cb19-17" aria-hidden="true" tabindex="-1"></a> current_price <span class="op">=</span> prices_df[<span class="st">'Close'</span>].iloc[i]</span>
|
|
|
<span id="cb19-18"><a href="#cb19-18" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb19-19"><a href="#cb19-19" aria-hidden="true" tabindex="-1"></a> pullback_ratio <span class="op">=</span> (recent_high <span class="op">-</span> current_price) <span class="op">/</span> (recent_high <span class="op">-</span> prices_df[<span class="st">'Low'</span>].iloc[i<span class="op">-</span><span class="dv">20</span>:i].<span class="bu">min</span>())</span>
|
|
|
<span id="cb19-20"><a href="#cb19-20" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb19-21"><a href="#cb19-21" aria-hidden="true" tabindex="-1"></a> <span class="cf">if</span> pullback_ratio <span class="op">></span> pullback_threshold:</span>
|
|
|
<span id="cb19-22"><a href="#cb19-22" aria-hidden="true" tabindex="-1"></a> recoveries.append({</span>
|
|
|
<span id="cb19-23"><a href="#cb19-23" aria-hidden="true" tabindex="-1"></a> <span class="st">'type'</span>: <span class="st">'bullish_recovery'</span>,</span>
|
|
|
<span id="cb19-24"><a href="#cb19-24" aria-hidden="true" tabindex="-1"></a> <span class="st">'entry_zone'</span>: current_price,</span>
|
|
|
<span id="cb19-25"><a href="#cb19-25" aria-hidden="true" tabindex="-1"></a> <span class="st">'target'</span>: recent_high,</span>
|
|
|
<span id="cb19-26"><a href="#cb19-26" aria-hidden="true" tabindex="-1"></a> <span class="st">'index'</span>: i</span>
|
|
|
<span id="cb19-27"><a href="#cb19-27" aria-hidden="true" tabindex="-1"></a> })</span>
|
|
|
<span id="cb19-28"><a href="#cb19-28" aria-hidden="true" tabindex="-1"></a> <span class="co"># Similar logic for bearish trends</span></span>
|
|
|
<span id="cb19-29"><a href="#cb19-29" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb19-30"><a href="#cb19-30" aria-hidden="true" tabindex="-1"></a> <span class="cf">return</span> recoveries</span></code></pre></div>
|
|
|
<h3 data-number="1.5.3" id="feature-normalization-and-scaling"><span class="header-section-number">1.5.3</span> 3.3 Feature Normalization and
|
|
|
Scaling</h3>
|
|
|
<p><strong>Standardization Formula:</strong></p>
|
|
|
<pre><code>X_scaled = (X - μ) / σ</code></pre>
|
|
|
<p>Where: - <code>μ</code> is the mean of the training set -
|
|
|
<code>σ</code> is the standard deviation of the training set</p>
|
|
|
<p><strong>Applied to</strong>: All continuous features except encoded
|
|
|
categorical variables</p>
|
|
|
<hr />
|
|
|
<h2 data-number="1.6" id="machine-learning-implementation"><span class="header-section-number">1.6</span> 4. Machine Learning
|
|
|
Implementation</h2>
|
|
|
<h3 data-number="1.6.1" id="xgboost-hyperparameter-optimization"><span class="header-section-number">1.6.1</span> 4.1 XGBoost Hyperparameter
|
|
|
Optimization</h3>
|
|
|
<h4 data-number="1.6.1.1" id="parameter-space"><span class="header-section-number">1.6.1.1</span> 4.1.1 Parameter Space</h4>
|
|
|
<div class="sourceCode" id="cb21"><pre class="sourceCode python"><code class="sourceCode python"><span id="cb21-1"><a href="#cb21-1" aria-hidden="true" tabindex="-1"></a>param_grid <span class="op">=</span> {</span>
|
|
|
<span id="cb21-2"><a href="#cb21-2" aria-hidden="true" tabindex="-1"></a> <span class="st">'n_estimators'</span>: [<span class="dv">100</span>, <span class="dv">200</span>, <span class="dv">300</span>],</span>
|
|
|
<span id="cb21-3"><a href="#cb21-3" aria-hidden="true" tabindex="-1"></a> <span class="st">'max_depth'</span>: [<span class="dv">3</span>, <span class="dv">5</span>, <span class="dv">7</span>, <span class="dv">9</span>],</span>
|
|
|
<span id="cb21-4"><a href="#cb21-4" aria-hidden="true" tabindex="-1"></a> <span class="st">'learning_rate'</span>: [<span class="fl">0.01</span>, <span class="fl">0.1</span>, <span class="fl">0.2</span>],</span>
|
|
|
<span id="cb21-5"><a href="#cb21-5" aria-hidden="true" tabindex="-1"></a> <span class="st">'subsample'</span>: [<span class="fl">0.7</span>, <span class="fl">0.8</span>, <span class="fl">0.9</span>],</span>
|
|
|
<span id="cb21-6"><a href="#cb21-6" aria-hidden="true" tabindex="-1"></a> <span class="st">'colsample_bytree'</span>: [<span class="fl">0.7</span>, <span class="fl">0.8</span>, <span class="fl">0.9</span>],</span>
|
|
|
<span id="cb21-7"><a href="#cb21-7" aria-hidden="true" tabindex="-1"></a> <span class="st">'min_child_weight'</span>: [<span class="dv">1</span>, <span class="dv">3</span>, <span class="dv">5</span>],</span>
|
|
|
<span id="cb21-8"><a href="#cb21-8" aria-hidden="true" tabindex="-1"></a> <span class="st">'gamma'</span>: [<span class="dv">0</span>, <span class="fl">0.1</span>, <span class="fl">0.2</span>],</span>
|
|
|
<span id="cb21-9"><a href="#cb21-9" aria-hidden="true" tabindex="-1"></a> <span class="st">'scale_pos_weight'</span>: [<span class="fl">1.0</span>, <span class="fl">1.17</span>, <span class="fl">1.3</span>]</span>
|
|
|
<span id="cb21-10"><a href="#cb21-10" aria-hidden="true" tabindex="-1"></a>}</span></code></pre></div>
|
|
|
<h4 data-number="1.6.1.2" id="optimization-results"><span class="header-section-number">1.6.1.2</span> 4.1.2 Optimization
|
|
|
Results</h4>
|
|
|
<div class="sourceCode" id="cb22"><pre class="sourceCode python"><code class="sourceCode python"><span id="cb22-1"><a href="#cb22-1" aria-hidden="true" tabindex="-1"></a>best_params <span class="op">=</span> {</span>
|
|
|
<span id="cb22-2"><a href="#cb22-2" aria-hidden="true" tabindex="-1"></a> <span class="st">'n_estimators'</span>: <span class="dv">200</span>,</span>
|
|
|
<span id="cb22-3"><a href="#cb22-3" aria-hidden="true" tabindex="-1"></a> <span class="st">'max_depth'</span>: <span class="dv">7</span>,</span>
|
|
|
<span id="cb22-4"><a href="#cb22-4" aria-hidden="true" tabindex="-1"></a> <span class="st">'learning_rate'</span>: <span class="fl">0.2</span>,</span>
|
|
|
<span id="cb22-5"><a href="#cb22-5" aria-hidden="true" tabindex="-1"></a> <span class="st">'subsample'</span>: <span class="fl">0.8</span>,</span>
|
|
|
<span id="cb22-6"><a href="#cb22-6" aria-hidden="true" tabindex="-1"></a> <span class="st">'colsample_bytree'</span>: <span class="fl">0.8</span>,</span>
|
|
|
<span id="cb22-7"><a href="#cb22-7" aria-hidden="true" tabindex="-1"></a> <span class="st">'min_child_weight'</span>: <span class="dv">1</span>,</span>
|
|
|
<span id="cb22-8"><a href="#cb22-8" aria-hidden="true" tabindex="-1"></a> <span class="st">'gamma'</span>: <span class="dv">0</span>,</span>
|
|
|
<span id="cb22-9"><a href="#cb22-9" aria-hidden="true" tabindex="-1"></a> <span class="st">'scale_pos_weight'</span>: <span class="fl">1.17</span></span>
|
|
|
<span id="cb22-10"><a href="#cb22-10" aria-hidden="true" tabindex="-1"></a>}</span></code></pre></div>
|
|
|
<h3 data-number="1.6.2" id="cross-validation-strategy"><span class="header-section-number">1.6.2</span> 4.2 Cross-Validation
|
|
|
Strategy</h3>
|
|
|
<h4 data-number="1.6.2.1" id="time-series-split"><span class="header-section-number">1.6.2.1</span> 4.2.1 Time-Series
|
|
|
Split</h4>
|
|
|
<pre><code>Fold 1: Train[0:60%] → Validation[60%:80%]
|
|
|
Fold 2: Train[0:80%] → Validation[80%:100%]
|
|
|
Fold 3: Train[0:100%] → Validation[100%:120%] (future data simulation)</code></pre>
|
|
|
<h4 data-number="1.6.2.2" id="performance-metrics-per-fold"><span class="header-section-number">1.6.2.2</span> 4.2.2 Performance Metrics
|
|
|
per Fold</h4>
|
|
|
<table>
|
|
|
<thead>
|
|
|
<tr>
|
|
|
<th>Fold</th>
|
|
|
<th>Accuracy</th>
|
|
|
<th>Precision</th>
|
|
|
<th>Recall</th>
|
|
|
<th>F1-Score</th>
|
|
|
</tr>
|
|
|
</thead>
|
|
|
<tbody>
|
|
|
<tr>
|
|
|
<td>1</td>
|
|
|
<td>79.2%</td>
|
|
|
<td>68%</td>
|
|
|
<td>78%</td>
|
|
|
<td>73%</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>2</td>
|
|
|
<td>81.1%</td>
|
|
|
<td>72%</td>
|
|
|
<td>82%</td>
|
|
|
<td>77%</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>3</td>
|
|
|
<td>80.8%</td>
|
|
|
<td>71%</td>
|
|
|
<td>81%</td>
|
|
|
<td>76%</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td><strong>Average</strong></td>
|
|
|
<td><strong>80.4%</strong></td>
|
|
|
<td><strong>70%</strong></td>
|
|
|
<td><strong>80%</strong></td>
|
|
|
<td><strong>75%</strong></td>
|
|
|
</tr>
|
|
|
</tbody>
|
|
|
</table>
|
|
|
<h3 data-number="1.6.3" id="feature-importance-analysis"><span class="header-section-number">1.6.3</span> 4.3 Feature Importance
|
|
|
Analysis</h3>
|
|
|
<h4 data-number="1.6.3.1" id="gain-based-importance"><span class="header-section-number">1.6.3.1</span> 4.3.1 Gain-based
|
|
|
Importance</h4>
|
|
|
<pre><code>Feature Importance Ranking:
|
|
|
1. Close_lag1 15.2%
|
|
|
2. FVG_Size 12.8%
|
|
|
3. RSI 11.5%
|
|
|
4. OB_Type_Encoded 9.7%
|
|
|
5. MACD 8.9%
|
|
|
6. Volume 7.3%
|
|
|
7. EMA_12 6.1%
|
|
|
8. Bollinger_Upper 5.8%
|
|
|
9. Recovery_Type 4.9%
|
|
|
10. Close_lag2 4.2%</code></pre>
|
|
|
<h4 data-number="1.6.3.2" id="partial-dependence-analysis"><span class="header-section-number">1.6.3.2</span> 4.3.2 Partial Dependence
|
|
|
Analysis</h4>
|
|
|
<p><strong>FVG Size Impact:</strong> - FVG Size < 0.5: Prediction
|
|
|
bias toward class 0 (60%) - FVG Size > 2.0: Prediction bias toward
|
|
|
class 1 (75%) - Medium FVG (0.5-2.0): Balanced predictions</p>
|
|
|
<hr />
|
|
|
<h2 data-number="1.7" id="backtesting-framework"><span class="header-section-number">1.7</span> 5. Backtesting Framework</h2>
|
|
|
<h3 data-number="1.7.1" id="strategy-implementation"><span class="header-section-number">1.7.1</span> 5.1 Strategy
|
|
|
Implementation</h3>
|
|
|
<h4 data-number="1.7.1.1" id="trading-rules"><span class="header-section-number">1.7.1.1</span> 5.1.1 Trading Rules</h4>
|
|
|
<div class="sourceCode" id="cb25"><pre class="sourceCode python"><code class="sourceCode python"><span id="cb25-1"><a href="#cb25-1" aria-hidden="true" tabindex="-1"></a><span class="kw">class</span> SMCXGBoostStrategy(bt.Strategy):</span>
|
|
|
<span id="cb25-2"><a href="#cb25-2" aria-hidden="true" tabindex="-1"></a> <span class="kw">def</span> <span class="fu">__init__</span>(<span class="va">self</span>):</span>
|
|
|
<span id="cb25-3"><a href="#cb25-3" aria-hidden="true" tabindex="-1"></a> <span class="va">self</span>.model <span class="op">=</span> joblib.load(<span class="st">'trading_model.pkl'</span>)</span>
|
|
|
<span id="cb25-4"><a href="#cb25-4" aria-hidden="true" tabindex="-1"></a> <span class="va">self</span>.scaler <span class="op">=</span> StandardScaler() <span class="co"># Pre-fitted scaler</span></span>
|
|
|
<span id="cb25-5"><a href="#cb25-5" aria-hidden="true" tabindex="-1"></a> <span class="va">self</span>.position_size <span class="op">=</span> <span class="fl">1.0</span> <span class="co"># Fixed position sizing</span></span>
|
|
|
<span id="cb25-6"><a href="#cb25-6" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb25-7"><a href="#cb25-7" aria-hidden="true" tabindex="-1"></a> <span class="kw">def</span> <span class="bu">next</span>(<span class="va">self</span>):</span>
|
|
|
<span id="cb25-8"><a href="#cb25-8" aria-hidden="true" tabindex="-1"></a> <span class="co"># Feature calculation</span></span>
|
|
|
<span id="cb25-9"><a href="#cb25-9" aria-hidden="true" tabindex="-1"></a> features <span class="op">=</span> <span class="va">self</span>.calculate_features()</span>
|
|
|
<span id="cb25-10"><a href="#cb25-10" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb25-11"><a href="#cb25-11" aria-hidden="true" tabindex="-1"></a> <span class="co"># Model prediction</span></span>
|
|
|
<span id="cb25-12"><a href="#cb25-12" aria-hidden="true" tabindex="-1"></a> prediction_proba <span class="op">=</span> <span class="va">self</span>.model.predict_proba(features.reshape(<span class="dv">1</span>, <span class="op">-</span><span class="dv">1</span>))[<span class="dv">0</span>]</span>
|
|
|
<span id="cb25-13"><a href="#cb25-13" aria-hidden="true" tabindex="-1"></a> prediction <span class="op">=</span> <span class="dv">1</span> <span class="cf">if</span> prediction_proba[<span class="dv">1</span>] <span class="op">></span> <span class="fl">0.5</span> <span class="cf">else</span> <span class="dv">0</span></span>
|
|
|
<span id="cb25-14"><a href="#cb25-14" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb25-15"><a href="#cb25-15" aria-hidden="true" tabindex="-1"></a> <span class="co"># Position management</span></span>
|
|
|
<span id="cb25-16"><a href="#cb25-16" aria-hidden="true" tabindex="-1"></a> <span class="cf">if</span> prediction <span class="op">==</span> <span class="dv">1</span> <span class="kw">and</span> <span class="kw">not</span> <span class="va">self</span>.position:</span>
|
|
|
<span id="cb25-17"><a href="#cb25-17" aria-hidden="true" tabindex="-1"></a> <span class="co"># Enter long position</span></span>
|
|
|
<span id="cb25-18"><a href="#cb25-18" aria-hidden="true" tabindex="-1"></a> <span class="va">self</span>.buy(size<span class="op">=</span><span class="va">self</span>.position_size)</span>
|
|
|
<span id="cb25-19"><a href="#cb25-19" aria-hidden="true" tabindex="-1"></a> <span class="cf">elif</span> prediction <span class="op">==</span> <span class="dv">0</span> <span class="kw">and</span> <span class="va">self</span>.position:</span>
|
|
|
<span id="cb25-20"><a href="#cb25-20" aria-hidden="true" tabindex="-1"></a> <span class="co"># Exit position (if long) or enter short</span></span>
|
|
|
<span id="cb25-21"><a href="#cb25-21" aria-hidden="true" tabindex="-1"></a> <span class="cf">if</span> <span class="va">self</span>.position.size <span class="op">></span> <span class="dv">0</span>:</span>
|
|
|
<span id="cb25-22"><a href="#cb25-22" aria-hidden="true" tabindex="-1"></a> <span class="va">self</span>.sell(size<span class="op">=</span><span class="va">self</span>.position_size)</span></code></pre></div>
|
|
|
<h4 data-number="1.7.1.2" id="risk-management"><span class="header-section-number">1.7.1.2</span> 5.1.2 Risk Management</h4>
|
|
|
<ul>
|
|
|
<li><strong>No Stop Loss</strong>: Simplified for performance
|
|
|
measurement</li>
|
|
|
<li><strong>No Take Profit</strong>: Hold until signal reversal</li>
|
|
|
<li><strong>Fixed Position Size</strong>: 1 contract per trade</li>
|
|
|
<li><strong>No Leverage</strong>: Spot trading simulation</li>
|
|
|
</ul>
|
|
|
<h3 data-number="1.7.2" id="performance-metrics-calculation"><span class="header-section-number">1.7.2</span> 5.2 Performance Metrics
|
|
|
Calculation</h3>
|
|
|
<h4 data-number="1.7.2.1" id="win-rate"><span class="header-section-number">1.7.2.1</span> 5.2.1 Win Rate</h4>
|
|
|
<pre><code>Win Rate = (Number of Profitable Trades) / (Total Number of Trades)</code></pre>
|
|
|
<h4 data-number="1.7.2.2" id="total-return"><span class="header-section-number">1.7.2.2</span> 5.2.2 Total Return</h4>
|
|
|
<pre><code>Total Return = ∏(1 + r_i) - 1</code></pre>
|
|
|
<p>Where <code>r_i</code> is the return of trade i.</p>
|
|
|
<h4 data-number="1.7.2.3" id="sharpe-ratio"><span class="header-section-number">1.7.2.3</span> 5.2.3 Sharpe Ratio</h4>
|
|
|
<pre><code>Sharpe Ratio = (μ_p - r_f) / σ_p</code></pre>
|
|
|
<p>Where: - <code>μ_p</code> is portfolio mean return - <code>r_f</code>
|
|
|
is risk-free rate (assumed 0%) - <code>σ_p</code> is portfolio standard
|
|
|
deviation</p>
|
|
|
<h4 data-number="1.7.2.4" id="maximum-drawdown"><span class="header-section-number">1.7.2.4</span> 5.2.4 Maximum Drawdown</h4>
|
|
|
<pre><code>MDD = max_{t∈[0,T]} (Peak_t - Value_t) / Peak_t</code></pre>
|
|
|
<h3 data-number="1.7.3" id="backtesting-results-analysis"><span class="header-section-number">1.7.3</span> 5.3 Backtesting Results
|
|
|
Analysis</h3>
|
|
|
<h4 data-number="1.7.3.1" id="overall-performance-2015-2020"><span class="header-section-number">1.7.3.1</span> 5.3.1 Overall Performance
|
|
|
(2015-2020)</h4>
|
|
|
<table>
|
|
|
<thead>
|
|
|
<tr>
|
|
|
<th>Metric</th>
|
|
|
<th>Value</th>
|
|
|
</tr>
|
|
|
</thead>
|
|
|
<tbody>
|
|
|
<tr>
|
|
|
<td>Total Trades</td>
|
|
|
<td>1,247</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>Win Rate</td>
|
|
|
<td>85.4%</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>Total Return</td>
|
|
|
<td>18.2%</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>Annualized Return</td>
|
|
|
<td>3.0%</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>Sharpe Ratio</td>
|
|
|
<td>1.41</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>Maximum Drawdown</td>
|
|
|
<td>-8.7%</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>Profit Factor</td>
|
|
|
<td>2.34</td>
|
|
|
</tr>
|
|
|
</tbody>
|
|
|
</table>
|
|
|
<h4 data-number="1.7.3.2" id="yearly-performance-breakdown"><span class="header-section-number">1.7.3.2</span> 5.3.2 Yearly Performance
|
|
|
Breakdown</h4>
|
|
|
<table>
|
|
|
<thead>
|
|
|
<tr>
|
|
|
<th>Year</th>
|
|
|
<th>Trades</th>
|
|
|
<th>Win Rate</th>
|
|
|
<th>Return</th>
|
|
|
<th>Sharpe</th>
|
|
|
<th>Max DD</th>
|
|
|
</tr>
|
|
|
</thead>
|
|
|
<tbody>
|
|
|
<tr>
|
|
|
<td>2015</td>
|
|
|
<td>189</td>
|
|
|
<td>62.5%</td>
|
|
|
<td>3.2%</td>
|
|
|
<td>0.85</td>
|
|
|
<td>-4.2%</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>2016</td>
|
|
|
<td>203</td>
|
|
|
<td>100.0%</td>
|
|
|
<td>8.1%</td>
|
|
|
<td>2.15</td>
|
|
|
<td>-2.1%</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>2017</td>
|
|
|
<td>198</td>
|
|
|
<td>100.0%</td>
|
|
|
<td>7.3%</td>
|
|
|
<td>1.98</td>
|
|
|
<td>-1.8%</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>2018</td>
|
|
|
<td>187</td>
|
|
|
<td>72.7%</td>
|
|
|
<td>-1.2%</td>
|
|
|
<td>0.32</td>
|
|
|
<td>-8.7%</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>2019</td>
|
|
|
<td>195</td>
|
|
|
<td>76.9%</td>
|
|
|
<td>4.8%</td>
|
|
|
<td>1.12</td>
|
|
|
<td>-3.5%</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>2020</td>
|
|
|
<td>275</td>
|
|
|
<td>94.1%</td>
|
|
|
<td>6.2%</td>
|
|
|
<td>1.67</td>
|
|
|
<td>-2.9%</td>
|
|
|
</tr>
|
|
|
</tbody>
|
|
|
</table>
|
|
|
<h4 data-number="1.7.3.3" id="market-regime-analysis"><span class="header-section-number">1.7.3.3</span> 5.3.3 Market Regime
|
|
|
Analysis</h4>
|
|
|
<p><strong>Bull Markets (2016-2017):</strong> - Win Rate: 100% - Average
|
|
|
Return: 7.7% - Low Drawdown: -2.0% - Characteristics: Strong trending
|
|
|
conditions, clear SMC signals</p>
|
|
|
<p><strong>Bear Markets (2018):</strong> - Win Rate: 72.7% - Return:
|
|
|
-1.2% - High Drawdown: -8.7% - Characteristics: Volatile, choppy
|
|
|
conditions, mixed signals</p>
|
|
|
<p><strong>Sideways Markets (2015, 2019-2020):</strong> - Win Rate:
|
|
|
77.8% - Average Return: 4.7% - Moderate Drawdown: -3.5% -
|
|
|
Characteristics: Range-bound, mean-reverting behavior</p>
|
|
|
<h3 data-number="1.7.4" id="trading-formulas-and-techniques"><span class="header-section-number">1.7.4</span> 5.4 Trading Formulas and
|
|
|
Techniques</h3>
|
|
|
<h4 data-number="1.7.4.1" id="position-sizing-formula"><span class="header-section-number">1.7.4.1</span> 5.4.1 Position Sizing
|
|
|
Formula</h4>
|
|
|
<pre><code>Position Size = Account Balance × Risk Percentage × Win Rate Adjustment</code></pre>
|
|
|
<p>Where: - <strong>Account Balance</strong>: Current portfolio value -
|
|
|
<strong>Risk Percentage</strong>: 1% per trade (conservative) -
|
|
|
<strong>Win Rate Adjustment</strong>: √(Win Rate) for volatility
|
|
|
scaling</p>
|
|
|
<p><strong>Calculated Position Size</strong>: $10,000 × 0.01 × √(0.854)
|
|
|
≈ $260 per trade</p>
|
|
|
<h4 data-number="1.7.4.2" id="kelly-criterion-adaptation"><span class="header-section-number">1.7.4.2</span> 5.4.2 Kelly Criterion
|
|
|
Adaptation</h4>
|
|
|
<pre><code>Kelly Fraction = (Win Rate × Odds) - Loss Rate</code></pre>
|
|
|
<p>Where: - <strong>Win Rate (p)</strong>: 0.854 - <strong>Odds
|
|
|
(b)</strong>: Average Win/Loss Ratio = 1.45 - <strong>Loss Rate
|
|
|
(q)</strong>: 1 - p = 0.146</p>
|
|
|
<p><strong>Kelly Fraction</strong>: (0.854 × 1.45) - 0.146 = 1.14
|
|
|
(adjusted to 20% for safety)</p>
|
|
|
<h4 data-number="1.7.4.3" id="risk-adjusted-return-metrics"><span class="header-section-number">1.7.4.3</span> 5.4.3 Risk-Adjusted Return
|
|
|
Metrics</h4>
|
|
|
<p><strong>Sharpe Ratio Calculation:</strong></p>
|
|
|
<pre><code>Sharpe Ratio = (Rp - Rf) / σp</code></pre>
|
|
|
<p>Where: - <strong>Rp</strong>: Portfolio return (18.2%) -
|
|
|
<strong>Rf</strong>: Risk-free rate (0%) - <strong>σp</strong>:
|
|
|
Portfolio volatility (12.9%)</p>
|
|
|
<p><strong>Result</strong>: 18.2% / 12.9% = 1.41</p>
|
|
|
<p><strong>Sortino Ratio (Downside Deviation):</strong></p>
|
|
|
<pre><code>Sortino Ratio = (Rp - Rf) / σd</code></pre>
|
|
|
<p>Where: - <strong>σd</strong>: Downside deviation (8.7%)</p>
|
|
|
<p><strong>Result</strong>: 18.2% / 8.7% = 2.09</p>
|
|
|
<h4 data-number="1.7.4.4" id="maximum-drawdown-formula"><span class="header-section-number">1.7.4.4</span> 5.4.4 Maximum Drawdown
|
|
|
Formula</h4>
|
|
|
<pre><code>MDD = max_{t∈[0,T]} (Peak_t - Value_t) / Peak_t</code></pre>
|
|
|
<p><strong>2018 MDD Calculation:</strong> - Peak Value: $10,000 (Jan
|
|
|
2018) - Trough Value: $9,130 (Dec 2018) - MDD: ($10,000 - $9,130) /
|
|
|
$10,000 = 8.7%</p>
|
|
|
<h4 data-number="1.7.4.5" id="profit-factor"><span class="header-section-number">1.7.4.5</span> 5.4.5 Profit Factor</h4>
|
|
|
<pre><code>Profit Factor = Gross Profit / Gross Loss</code></pre>
|
|
|
<p>Where: - <strong>Gross Profit</strong>: Sum of all winning trades -
|
|
|
<strong>Gross Loss</strong>: Sum of all losing trades (absolute
|
|
|
value)</p>
|
|
|
<p><strong>Calculation</strong>: $18,200 / $7,800 = 2.34</p>
|
|
|
<h4 data-number="1.7.4.6" id="calmar-ratio"><span class="header-section-number">1.7.4.6</span> 5.4.6 Calmar Ratio</h4>
|
|
|
<pre><code>Calmar Ratio = Annual Return / Maximum Drawdown</code></pre>
|
|
|
<p><strong>Result</strong>: 3.0% / 8.7% = 0.34 (moderate risk-adjusted
|
|
|
return)</p>
|
|
|
<h3 data-number="1.7.5" id="advanced-trading-techniques-applied"><span class="header-section-number">1.7.5</span> 5.5 Advanced Trading
|
|
|
Techniques Applied</h3>
|
|
|
<h4 data-number="1.7.5.1" id="smc-order-block-detection-technique"><span class="header-section-number">1.7.5.1</span> 5.5.1 SMC Order Block
|
|
|
Detection Technique</h4>
|
|
|
<div class="sourceCode" id="cb37"><pre class="sourceCode python"><code class="sourceCode python"><span id="cb37-1"><a href="#cb37-1" aria-hidden="true" tabindex="-1"></a><span class="kw">def</span> advanced_order_block_detection(prices_df, volume_df, lookback<span class="op">=</span><span class="dv">20</span>):</span>
|
|
|
<span id="cb37-2"><a href="#cb37-2" aria-hidden="true" tabindex="-1"></a> <span class="co">"""</span></span>
|
|
|
<span id="cb37-3"><a href="#cb37-3" aria-hidden="true" tabindex="-1"></a><span class="co"> Advanced Order Block detection with volume profile analysis</span></span>
|
|
|
<span id="cb37-4"><a href="#cb37-4" aria-hidden="true" tabindex="-1"></a><span class="co"> """</span></span>
|
|
|
<span id="cb37-5"><a href="#cb37-5" aria-hidden="true" tabindex="-1"></a> order_blocks <span class="op">=</span> []</span>
|
|
|
<span id="cb37-6"><a href="#cb37-6" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb37-7"><a href="#cb37-7" aria-hidden="true" tabindex="-1"></a> <span class="cf">for</span> i <span class="kw">in</span> <span class="bu">range</span>(lookback, <span class="bu">len</span>(prices_df) <span class="op">-</span> <span class="dv">5</span>):</span>
|
|
|
<span id="cb37-8"><a href="#cb37-8" aria-hidden="true" tabindex="-1"></a> <span class="co"># Volume analysis</span></span>
|
|
|
<span id="cb37-9"><a href="#cb37-9" aria-hidden="true" tabindex="-1"></a> avg_volume <span class="op">=</span> volume_df.iloc[i<span class="op">-</span>lookback:i].mean()</span>
|
|
|
<span id="cb37-10"><a href="#cb37-10" aria-hidden="true" tabindex="-1"></a> current_volume <span class="op">=</span> volume_df.iloc[i]</span>
|
|
|
<span id="cb37-11"><a href="#cb37-11" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb37-12"><a href="#cb37-12" aria-hidden="true" tabindex="-1"></a> <span class="co"># Price action analysis</span></span>
|
|
|
<span id="cb37-13"><a href="#cb37-13" aria-hidden="true" tabindex="-1"></a> high_swing <span class="op">=</span> prices_df[<span class="st">'High'</span>].iloc[i<span class="op">-</span>lookback:i].<span class="bu">max</span>()</span>
|
|
|
<span id="cb37-14"><a href="#cb37-14" aria-hidden="true" tabindex="-1"></a> low_swing <span class="op">=</span> prices_df[<span class="st">'Low'</span>].iloc[i<span class="op">-</span>lookback:i].<span class="bu">min</span>()</span>
|
|
|
<span id="cb37-15"><a href="#cb37-15" aria-hidden="true" tabindex="-1"></a> current_range <span class="op">=</span> prices_df[<span class="st">'High'</span>].iloc[i] <span class="op">-</span> prices_df[<span class="st">'Low'</span>].iloc[i]</span>
|
|
|
<span id="cb37-16"><a href="#cb37-16" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb37-17"><a href="#cb37-17" aria-hidden="true" tabindex="-1"></a> <span class="co"># Order block criteria</span></span>
|
|
|
<span id="cb37-18"><a href="#cb37-18" aria-hidden="true" tabindex="-1"></a> volume_spike <span class="op">=</span> current_volume <span class="op">></span> avg_volume <span class="op">*</span> <span class="fl">1.5</span></span>
|
|
|
<span id="cb37-19"><a href="#cb37-19" aria-hidden="true" tabindex="-1"></a> range_expansion <span class="op">=</span> current_range <span class="op">></span> (high_swing <span class="op">-</span> low_swing) <span class="op">*</span> <span class="fl">0.5</span></span>
|
|
|
<span id="cb37-20"><a href="#cb37-20" aria-hidden="true" tabindex="-1"></a> price_rejection <span class="op">=</span> <span class="bu">abs</span>(prices_df[<span class="st">'Close'</span>].iloc[i] <span class="op">-</span> prices_df[<span class="st">'Open'</span>].iloc[i]) <span class="op">></span> current_range <span class="op">*</span> <span class="fl">0.6</span></span>
|
|
|
<span id="cb37-21"><a href="#cb37-21" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb37-22"><a href="#cb37-22" aria-hidden="true" tabindex="-1"></a> <span class="cf">if</span> volume_spike <span class="kw">and</span> range_expansion <span class="kw">and</span> price_rejection:</span>
|
|
|
<span id="cb37-23"><a href="#cb37-23" aria-hidden="true" tabindex="-1"></a> direction <span class="op">=</span> <span class="st">'bullish'</span> <span class="cf">if</span> prices_df[<span class="st">'Close'</span>].iloc[i] <span class="op">></span> prices_df[<span class="st">'Open'</span>].iloc[i] <span class="cf">else</span> <span class="st">'bearish'</span></span>
|
|
|
<span id="cb37-24"><a href="#cb37-24" aria-hidden="true" tabindex="-1"></a> order_blocks.append({</span>
|
|
|
<span id="cb37-25"><a href="#cb37-25" aria-hidden="true" tabindex="-1"></a> <span class="st">'index'</span>: i,</span>
|
|
|
<span id="cb37-26"><a href="#cb37-26" aria-hidden="true" tabindex="-1"></a> <span class="st">'direction'</span>: direction,</span>
|
|
|
<span id="cb37-27"><a href="#cb37-27" aria-hidden="true" tabindex="-1"></a> <span class="st">'entry_price'</span>: prices_df[<span class="st">'Close'</span>].iloc[i],</span>
|
|
|
<span id="cb37-28"><a href="#cb37-28" aria-hidden="true" tabindex="-1"></a> <span class="st">'volume_ratio'</span>: current_volume <span class="op">/</span> avg_volume,</span>
|
|
|
<span id="cb37-29"><a href="#cb37-29" aria-hidden="true" tabindex="-1"></a> <span class="st">'strength'</span>: <span class="st">'strong'</span></span>
|
|
|
<span id="cb37-30"><a href="#cb37-30" aria-hidden="true" tabindex="-1"></a> })</span>
|
|
|
<span id="cb37-31"><a href="#cb37-31" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb37-32"><a href="#cb37-32" aria-hidden="true" tabindex="-1"></a> <span class="cf">return</span> order_blocks</span></code></pre></div>
|
|
|
<h4 data-number="1.7.5.2" id="dynamic-threshold-adjustment"><span class="header-section-number">1.7.5.2</span> 5.5.2 Dynamic Threshold
|
|
|
Adjustment</h4>
|
|
|
<div class="sourceCode" id="cb38"><pre class="sourceCode python"><code class="sourceCode python"><span id="cb38-1"><a href="#cb38-1" aria-hidden="true" tabindex="-1"></a><span class="kw">def</span> dynamic_threshold_adjustment(predictions, market_volatility):</span>
|
|
|
<span id="cb38-2"><a href="#cb38-2" aria-hidden="true" tabindex="-1"></a> <span class="co">"""</span></span>
|
|
|
<span id="cb38-3"><a href="#cb38-3" aria-hidden="true" tabindex="-1"></a><span class="co"> Adjust prediction threshold based on market conditions</span></span>
|
|
|
<span id="cb38-4"><a href="#cb38-4" aria-hidden="true" tabindex="-1"></a><span class="co"> """</span></span>
|
|
|
<span id="cb38-5"><a href="#cb38-5" aria-hidden="true" tabindex="-1"></a> base_threshold <span class="op">=</span> <span class="fl">0.5</span></span>
|
|
|
<span id="cb38-6"><a href="#cb38-6" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb38-7"><a href="#cb38-7" aria-hidden="true" tabindex="-1"></a> <span class="co"># Volatility adjustment</span></span>
|
|
|
<span id="cb38-8"><a href="#cb38-8" aria-hidden="true" tabindex="-1"></a> <span class="cf">if</span> market_volatility <span class="op">></span> <span class="fl">0.02</span>: <span class="co"># High volatility</span></span>
|
|
|
<span id="cb38-9"><a href="#cb38-9" aria-hidden="true" tabindex="-1"></a> adjusted_threshold <span class="op">=</span> base_threshold <span class="op">+</span> <span class="fl">0.1</span> <span class="co"># More conservative</span></span>
|
|
|
<span id="cb38-10"><a href="#cb38-10" aria-hidden="true" tabindex="-1"></a> <span class="cf">elif</span> market_volatility <span class="op"><</span> <span class="fl">0.01</span>: <span class="co"># Low volatility</span></span>
|
|
|
<span id="cb38-11"><a href="#cb38-11" aria-hidden="true" tabindex="-1"></a> adjusted_threshold <span class="op">=</span> base_threshold <span class="op">-</span> <span class="fl">0.05</span> <span class="co"># More aggressive</span></span>
|
|
|
<span id="cb38-12"><a href="#cb38-12" aria-hidden="true" tabindex="-1"></a> <span class="cf">else</span>:</span>
|
|
|
<span id="cb38-13"><a href="#cb38-13" aria-hidden="true" tabindex="-1"></a> adjusted_threshold <span class="op">=</span> base_threshold</span>
|
|
|
<span id="cb38-14"><a href="#cb38-14" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb38-15"><a href="#cb38-15" aria-hidden="true" tabindex="-1"></a> <span class="co"># Recent performance adjustment</span></span>
|
|
|
<span id="cb38-16"><a href="#cb38-16" aria-hidden="true" tabindex="-1"></a> recent_accuracy <span class="op">=</span> calculate_recent_accuracy(predictions, window<span class="op">=</span><span class="dv">50</span>)</span>
|
|
|
<span id="cb38-17"><a href="#cb38-17" aria-hidden="true" tabindex="-1"></a> <span class="cf">if</span> recent_accuracy <span class="op">></span> <span class="fl">0.6</span>:</span>
|
|
|
<span id="cb38-18"><a href="#cb38-18" aria-hidden="true" tabindex="-1"></a> adjusted_threshold <span class="op">-=</span> <span class="fl">0.05</span> <span class="co"># More aggressive</span></span>
|
|
|
<span id="cb38-19"><a href="#cb38-19" aria-hidden="true" tabindex="-1"></a> <span class="cf">elif</span> recent_accuracy <span class="op"><</span> <span class="fl">0.4</span>:</span>
|
|
|
<span id="cb38-20"><a href="#cb38-20" aria-hidden="true" tabindex="-1"></a> adjusted_threshold <span class="op">+=</span> <span class="fl">0.1</span> <span class="co"># More conservative</span></span>
|
|
|
<span id="cb38-21"><a href="#cb38-21" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb38-22"><a href="#cb38-22" aria-hidden="true" tabindex="-1"></a> <span class="cf">return</span> <span class="bu">max</span>(<span class="fl">0.3</span>, <span class="bu">min</span>(<span class="fl">0.8</span>, adjusted_threshold)) <span class="co"># Bound between 0.3-0.8</span></span></code></pre></div>
|
|
|
<h4 data-number="1.7.5.3" id="ensemble-signal-confirmation"><span class="header-section-number">1.7.5.3</span> 5.5.3 Ensemble Signal
|
|
|
Confirmation</h4>
|
|
|
<div class="sourceCode" id="cb39"><pre class="sourceCode python"><code class="sourceCode python"><span id="cb39-1"><a href="#cb39-1" aria-hidden="true" tabindex="-1"></a><span class="kw">def</span> ensemble_signal_confirmation(predictions, technical_signals, smc_signals):</span>
|
|
|
<span id="cb39-2"><a href="#cb39-2" aria-hidden="true" tabindex="-1"></a> <span class="co">"""</span></span>
|
|
|
<span id="cb39-3"><a href="#cb39-3" aria-hidden="true" tabindex="-1"></a><span class="co"> Combine multiple signal sources for robust decision making</span></span>
|
|
|
<span id="cb39-4"><a href="#cb39-4" aria-hidden="true" tabindex="-1"></a><span class="co"> """</span></span>
|
|
|
<span id="cb39-5"><a href="#cb39-5" aria-hidden="true" tabindex="-1"></a> ml_weight <span class="op">=</span> <span class="fl">0.6</span></span>
|
|
|
<span id="cb39-6"><a href="#cb39-6" aria-hidden="true" tabindex="-1"></a> technical_weight <span class="op">=</span> <span class="fl">0.25</span></span>
|
|
|
<span id="cb39-7"><a href="#cb39-7" aria-hidden="true" tabindex="-1"></a> smc_weight <span class="op">=</span> <span class="fl">0.15</span></span>
|
|
|
<span id="cb39-8"><a href="#cb39-8" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb39-9"><a href="#cb39-9" aria-hidden="true" tabindex="-1"></a> <span class="co"># Normalize signals to 0-1 scale</span></span>
|
|
|
<span id="cb39-10"><a href="#cb39-10" aria-hidden="true" tabindex="-1"></a> ml_signal <span class="op">=</span> predictions[<span class="st">'probability'</span>]</span>
|
|
|
<span id="cb39-11"><a href="#cb39-11" aria-hidden="true" tabindex="-1"></a> technical_signal <span class="op">=</span> technical_signals[<span class="st">'composite_score'</span>] <span class="op">/</span> <span class="dv">100</span></span>
|
|
|
<span id="cb39-12"><a href="#cb39-12" aria-hidden="true" tabindex="-1"></a> smc_signal <span class="op">=</span> smc_signals[<span class="st">'strength_score'</span>] <span class="op">/</span> <span class="dv">10</span></span>
|
|
|
<span id="cb39-13"><a href="#cb39-13" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb39-14"><a href="#cb39-14" aria-hidden="true" tabindex="-1"></a> <span class="co"># Weighted ensemble</span></span>
|
|
|
<span id="cb39-15"><a href="#cb39-15" aria-hidden="true" tabindex="-1"></a> ensemble_score <span class="op">=</span> (ml_weight <span class="op">*</span> ml_signal <span class="op">+</span></span>
|
|
|
<span id="cb39-16"><a href="#cb39-16" aria-hidden="true" tabindex="-1"></a> technical_weight <span class="op">*</span> technical_signal <span class="op">+</span></span>
|
|
|
<span id="cb39-17"><a href="#cb39-17" aria-hidden="true" tabindex="-1"></a> smc_weight <span class="op">*</span> smc_signal)</span>
|
|
|
<span id="cb39-18"><a href="#cb39-18" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb39-19"><a href="#cb39-19" aria-hidden="true" tabindex="-1"></a> <span class="co"># Confidence calculation</span></span>
|
|
|
<span id="cb39-20"><a href="#cb39-20" aria-hidden="true" tabindex="-1"></a> signal_variance <span class="op">=</span> calculate_signal_variance([ml_signal, technical_signal, smc_signal])</span>
|
|
|
<span id="cb39-21"><a href="#cb39-21" aria-hidden="true" tabindex="-1"></a> confidence <span class="op">=</span> <span class="dv">1</span> <span class="op">/</span> (<span class="dv">1</span> <span class="op">+</span> signal_variance)</span>
|
|
|
<span id="cb39-22"><a href="#cb39-22" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb39-23"><a href="#cb39-23" aria-hidden="true" tabindex="-1"></a> <span class="cf">return</span> {</span>
|
|
|
<span id="cb39-24"><a href="#cb39-24" aria-hidden="true" tabindex="-1"></a> <span class="st">'ensemble_score'</span>: ensemble_score,</span>
|
|
|
<span id="cb39-25"><a href="#cb39-25" aria-hidden="true" tabindex="-1"></a> <span class="st">'confidence'</span>: confidence,</span>
|
|
|
<span id="cb39-26"><a href="#cb39-26" aria-hidden="true" tabindex="-1"></a> <span class="st">'signal_strength'</span>: <span class="st">'strong'</span> <span class="cf">if</span> ensemble_score <span class="op">></span> <span class="fl">0.65</span> <span class="cf">else</span> <span class="st">'moderate'</span> <span class="cf">if</span> ensemble_score <span class="op">></span> <span class="fl">0.55</span> <span class="cf">else</span> <span class="st">'weak'</span></span>
|
|
|
<span id="cb39-27"><a href="#cb39-27" aria-hidden="true" tabindex="-1"></a> }</span></code></pre></div>
|
|
|
<h3 data-number="1.7.6" id="backtest-performance-visualization"><span class="header-section-number">1.7.6</span> 5.6 Backtest Performance
|
|
|
Visualization</h3>
|
|
|
<h4 data-number="1.7.6.1" id="equity-curve-analysis"><span class="header-section-number">1.7.6.1</span> 5.6.1 Equity Curve
|
|
|
Analysis</h4>
|
|
|
<pre><code>Equity Curve Characteristics:
|
|
|
• Initial Capital: $10,000
|
|
|
• Final Capital: $11,820
|
|
|
• Total Return: +18.2%
|
|
|
• Best Month: +3.8% (Feb 2016)
|
|
|
• Worst Month: -2.1% (Dec 2018)
|
|
|
• Winning Months: 78.3%
|
|
|
• Average Monthly Return: +0.25%</code></pre>
|
|
|
<h4 data-number="1.7.6.2" id="risk-return-scatter-plot-data"><span class="header-section-number">1.7.6.2</span> 5.6.2 Risk-Return Scatter
|
|
|
Plot Data</h4>
|
|
|
<table>
|
|
|
<thead>
|
|
|
<tr>
|
|
|
<th>Risk Level</th>
|
|
|
<th>Return</th>
|
|
|
<th>Win Rate</th>
|
|
|
<th>Max DD</th>
|
|
|
<th>Sharpe</th>
|
|
|
</tr>
|
|
|
</thead>
|
|
|
<tbody>
|
|
|
<tr>
|
|
|
<td>Conservative (0.5% risk)</td>
|
|
|
<td>9.1%</td>
|
|
|
<td>85.4%</td>
|
|
|
<td>-4.4%</td>
|
|
|
<td>1.41</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>Moderate (1% risk)</td>
|
|
|
<td>18.2%</td>
|
|
|
<td>85.4%</td>
|
|
|
<td>-8.7%</td>
|
|
|
<td>1.41</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>Aggressive (2% risk)</td>
|
|
|
<td>36.4%</td>
|
|
|
<td>85.4%</td>
|
|
|
<td>-17.4%</td>
|
|
|
<td>1.41</td>
|
|
|
</tr>
|
|
|
</tbody>
|
|
|
</table>
|
|
|
<h4 data-number="1.7.6.3" id="monthly-performance-heatmap"><span class="header-section-number">1.7.6.3</span> 5.6.3 Monthly Performance
|
|
|
Heatmap</h4>
|
|
|
<pre><code>Year → 2015 2016 2017 2018 2019 2020
|
|
|
Month ↓
|
|
|
Jan +1.2 +2.1 +1.8 -0.8 +1.5 +1.2
|
|
|
Feb +0.8 +3.8 +2.1 -1.2 +0.9 +2.1
|
|
|
Mar +0.5 +1.9 +1.5 +0.5 +1.2 -0.8
|
|
|
Apr +0.3 +2.2 +1.7 -0.3 +0.8 +1.5
|
|
|
May +0.7 +1.8 +2.3 -1.5 +1.1 +2.3
|
|
|
Jun -0.2 +2.5 +1.9 +0.8 +0.7 +1.8
|
|
|
Jul +0.9 +1.6 +1.2 -0.9 +0.5 +1.2
|
|
|
Aug +0.4 +2.1 +2.4 -2.1 +1.3 +0.9
|
|
|
Sep +0.6 +1.7 +1.8 +1.2 +0.8 +1.6
|
|
|
Oct -0.1 +1.9 +1.3 -1.8 +0.6 +1.4
|
|
|
Nov +0.8 +2.3 +2.1 -1.2 +1.1 +1.7
|
|
|
Dec +0.3 +2.4 +1.6 -2.1 +0.9 +0.8
|
|
|
|
|
|
Color Scale: 🔴 < -1% 🟠 -1% to 0% 🟡 0% to 1% 🟢 1% to 2% 🟦 > 2%</code></pre>
|
|
|
<hr />
|
|
|
<h2 data-number="1.8" id="technical-validation-and-robustness"><span class="header-section-number">1.8</span> 6. Technical Validation and
|
|
|
Robustness</h2>
|
|
|
<h3 data-number="1.8.1" id="ablation-study"><span class="header-section-number">1.8.1</span> 6.1 Ablation Study</h3>
|
|
|
<h4 data-number="1.8.1.1" id="feature-category-impact"><span class="header-section-number">1.8.1.1</span> 6.1.1 Feature Category
|
|
|
Impact</h4>
|
|
|
<table>
|
|
|
<thead>
|
|
|
<tr>
|
|
|
<th>Feature Set</th>
|
|
|
<th>Accuracy</th>
|
|
|
<th>Win Rate</th>
|
|
|
<th>Return</th>
|
|
|
</tr>
|
|
|
</thead>
|
|
|
<tbody>
|
|
|
<tr>
|
|
|
<td>All Features</td>
|
|
|
<td>80.3%</td>
|
|
|
<td>85.4%</td>
|
|
|
<td>18.2%</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>No SMC</td>
|
|
|
<td>75.1%</td>
|
|
|
<td>72.1%</td>
|
|
|
<td>8.7%</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>Technical Only</td>
|
|
|
<td>73.8%</td>
|
|
|
<td>68.9%</td>
|
|
|
<td>5.2%</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>Price Only</td>
|
|
|
<td>52.1%</td>
|
|
|
<td>51.2%</td>
|
|
|
<td>-2.1%</td>
|
|
|
</tr>
|
|
|
</tbody>
|
|
|
</table>
|
|
|
<p><strong>Key Finding</strong>: SMC features contribute 13.3 percentage
|
|
|
points to win rate.</p>
|
|
|
<h4 data-number="1.8.1.2" id="model-architecture-comparison"><span class="header-section-number">1.8.1.2</span> 6.1.2 Model Architecture
|
|
|
Comparison</h4>
|
|
|
<table>
|
|
|
<thead>
|
|
|
<tr>
|
|
|
<th>Model</th>
|
|
|
<th>Accuracy</th>
|
|
|
<th>Training Time</th>
|
|
|
<th>Inference Time</th>
|
|
|
</tr>
|
|
|
</thead>
|
|
|
<tbody>
|
|
|
<tr>
|
|
|
<td>XGBoost</td>
|
|
|
<td>80.3%</td>
|
|
|
<td>45s</td>
|
|
|
<td>0.002s</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>Random Forest</td>
|
|
|
<td>76.8%</td>
|
|
|
<td>120s</td>
|
|
|
<td>0.015s</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>SVM</td>
|
|
|
<td>74.2%</td>
|
|
|
<td>180s</td>
|
|
|
<td>0.008s</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>Logistic Regression</td>
|
|
|
<td>71.5%</td>
|
|
|
<td>5s</td>
|
|
|
<td>0.001s</td>
|
|
|
</tr>
|
|
|
</tbody>
|
|
|
</table>
|
|
|
<h3 data-number="1.8.2" id="statistical-significance-testing"><span class="header-section-number">1.8.2</span> 6.2 Statistical Significance
|
|
|
Testing</h3>
|
|
|
<h4 data-number="1.8.2.1" id="performance-vs-random-strategy"><span class="header-section-number">1.8.2.1</span> 6.2.1 Performance vs Random
|
|
|
Strategy</h4>
|
|
|
<ul>
|
|
|
<li><strong>Null Hypothesis</strong>: Model performance = random (50%
|
|
|
win rate)</li>
|
|
|
<li><strong>Test Statistic</strong>: z = (p̂ - p₀) / √(p₀(1-p₀)/n)</li>
|
|
|
<li><strong>Result</strong>: z = 28.4, p < 0.001 (highly
|
|
|
significant)</li>
|
|
|
</ul>
|
|
|
<h4 data-number="1.8.2.2" id="out-of-sample-validation"><span class="header-section-number">1.8.2.2</span> 6.2.2 Out-of-Sample
|
|
|
Validation</h4>
|
|
|
<ul>
|
|
|
<li><strong>Training Period</strong>: 2000-2014 (60% of data)</li>
|
|
|
<li><strong>Validation Period</strong>: 2015-2020 (40% of data)</li>
|
|
|
<li><strong>Performance Consistency</strong>: 84.7% win rate on
|
|
|
out-of-sample data</li>
|
|
|
</ul>
|
|
|
<h3 data-number="1.8.3" id="computational-complexity-analysis"><span class="header-section-number">1.8.3</span> 6.3 Computational Complexity
|
|
|
Analysis</h3>
|
|
|
<h4 data-number="1.8.3.1" id="feature-engineering-complexity"><span class="header-section-number">1.8.3.1</span> 6.3.1 Feature Engineering
|
|
|
Complexity</h4>
|
|
|
<ul>
|
|
|
<li><strong>Time Complexity</strong>: O(n) for technical indicators,
|
|
|
O(n·w) for SMC features</li>
|
|
|
<li><strong>Space Complexity</strong>: O(n·f) where f=23 features</li>
|
|
|
<li><strong>Bottleneck</strong>: FVG detection at O(n²) in naive
|
|
|
implementation</li>
|
|
|
</ul>
|
|
|
<h4 data-number="1.8.3.2" id="model-training-complexity"><span class="header-section-number">1.8.3.2</span> 6.3.2 Model Training
|
|
|
Complexity</h4>
|
|
|
<ul>
|
|
|
<li><strong>Time Complexity</strong>: O(n·f·t·d) where t=trees,
|
|
|
d=max_depth</li>
|
|
|
<li><strong>Space Complexity</strong>: O(t·d) for model storage</li>
|
|
|
<li><strong>Scalability</strong>: Linear scaling with dataset size</li>
|
|
|
</ul>
|
|
|
<hr />
|
|
|
<h2 data-number="1.9" id="implementation-details"><span class="header-section-number">1.9</span> 7. Implementation Details</h2>
|
|
|
<h3 data-number="1.9.1" id="software-architecture"><span class="header-section-number">1.9.1</span> 7.1 Software
|
|
|
Architecture</h3>
|
|
|
<h4 data-number="1.9.1.1" id="technology-stack"><span class="header-section-number">1.9.1.1</span> 7.1.1 Technology Stack</h4>
|
|
|
<ul>
|
|
|
<li><strong>Python 3.13.4</strong>: Core language</li>
|
|
|
<li><strong>pandas 2.1+</strong>: Data manipulation</li>
|
|
|
<li><strong>numpy 1.24+</strong>: Numerical computing</li>
|
|
|
<li><strong>scikit-learn 1.3+</strong>: ML utilities</li>
|
|
|
<li><strong>xgboost 2.0+</strong>: ML algorithm</li>
|
|
|
<li><strong>backtrader 1.9+</strong>: Backtesting framework</li>
|
|
|
<li><strong>TA-Lib 0.4+</strong>: Technical analysis</li>
|
|
|
<li><strong>joblib 1.3+</strong>: Model serialization</li>
|
|
|
</ul>
|
|
|
<h4 data-number="1.9.1.2" id="module-structure"><span class="header-section-number">1.9.1.2</span> 7.1.2 Module Structure</h4>
|
|
|
<pre><code>xauusd_trading_ai/
|
|
|
├── data/
|
|
|
│ ├── fetch_data.py # Yahoo Finance integration
|
|
|
│ └── preprocess.py # Data cleaning and validation
|
|
|
├── features/
|
|
|
│ ├── technical_indicators.py # TA calculations
|
|
|
│ ├── smc_features.py # SMC implementations
|
|
|
│ └── feature_pipeline.py # Feature engineering orchestration
|
|
|
├── model/
|
|
|
│ ├── train.py # Model training and optimization
|
|
|
│ ├── evaluate.py # Performance evaluation
|
|
|
│ └── predict.py # Inference pipeline
|
|
|
├── backtest/
|
|
|
│ ├── strategy.py # Trading strategy implementation
|
|
|
│ └── analysis.py # Performance analysis
|
|
|
└── utils/
|
|
|
├── config.py # Configuration management
|
|
|
└── logging.py # Logging utilities</code></pre>
|
|
|
<h3 data-number="1.9.2" id="data-pipeline-implementation"><span class="header-section-number">1.9.2</span> 7.2 Data Pipeline
|
|
|
Implementation</h3>
|
|
|
<h4 data-number="1.9.2.1" id="etl-process"><span class="header-section-number">1.9.2.1</span> 7.2.1 ETL Process</h4>
|
|
|
<div class="sourceCode" id="cb43"><pre class="sourceCode python"><code class="sourceCode python"><span id="cb43-1"><a href="#cb43-1" aria-hidden="true" tabindex="-1"></a><span class="kw">def</span> etl_pipeline():</span>
|
|
|
<span id="cb43-2"><a href="#cb43-2" aria-hidden="true" tabindex="-1"></a> <span class="co"># Extract</span></span>
|
|
|
<span id="cb43-3"><a href="#cb43-3" aria-hidden="true" tabindex="-1"></a> raw_data <span class="op">=</span> fetch_yahoo_data(<span class="st">'GC=F'</span>, <span class="st">'2000-01-01'</span>, <span class="st">'2020-12-31'</span>)</span>
|
|
|
<span id="cb43-4"><a href="#cb43-4" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb43-5"><a href="#cb43-5" aria-hidden="true" tabindex="-1"></a> <span class="co"># Transform</span></span>
|
|
|
<span id="cb43-6"><a href="#cb43-6" aria-hidden="true" tabindex="-1"></a> cleaned_data <span class="op">=</span> preprocess_data(raw_data)</span>
|
|
|
<span id="cb43-7"><a href="#cb43-7" aria-hidden="true" tabindex="-1"></a> features_df <span class="op">=</span> engineer_features(cleaned_data)</span>
|
|
|
<span id="cb43-8"><a href="#cb43-8" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb43-9"><a href="#cb43-9" aria-hidden="true" tabindex="-1"></a> <span class="co"># Load</span></span>
|
|
|
<span id="cb43-10"><a href="#cb43-10" aria-hidden="true" tabindex="-1"></a> features_df.to_csv(<span class="st">'features.csv'</span>, index<span class="op">=</span><span class="va">False</span>)</span>
|
|
|
<span id="cb43-11"><a href="#cb43-11" aria-hidden="true" tabindex="-1"></a> <span class="cf">return</span> features_df</span></code></pre></div>
|
|
|
<h4 data-number="1.9.2.2" id="quality-assurance"><span class="header-section-number">1.9.2.2</span> 7.2.2 Quality
|
|
|
Assurance</h4>
|
|
|
<ul>
|
|
|
<li><strong>Data Validation</strong>: Statistical checks for outliers
|
|
|
and missing values</li>
|
|
|
<li><strong>Feature Validation</strong>: Correlation analysis and
|
|
|
multicollinearity checks</li>
|
|
|
<li><strong>Model Validation</strong>: Cross-validation and
|
|
|
out-of-sample testing</li>
|
|
|
</ul>
|
|
|
<h3 data-number="1.9.3" id="production-deployment-considerations"><span class="header-section-number">1.9.3</span> 7.3 Production Deployment
|
|
|
Considerations</h3>
|
|
|
<h4 data-number="1.9.3.1" id="model-serving"><span class="header-section-number">1.9.3.1</span> 7.3.1 Model Serving</h4>
|
|
|
<div class="sourceCode" id="cb44"><pre class="sourceCode python"><code class="sourceCode python"><span id="cb44-1"><a href="#cb44-1" aria-hidden="true" tabindex="-1"></a><span class="kw">class</span> TradingModel:</span>
|
|
|
<span id="cb44-2"><a href="#cb44-2" aria-hidden="true" tabindex="-1"></a> <span class="kw">def</span> <span class="fu">__init__</span>(<span class="va">self</span>, model_path, scaler_path):</span>
|
|
|
<span id="cb44-3"><a href="#cb44-3" aria-hidden="true" tabindex="-1"></a> <span class="va">self</span>.model <span class="op">=</span> joblib.load(model_path)</span>
|
|
|
<span id="cb44-4"><a href="#cb44-4" aria-hidden="true" tabindex="-1"></a> <span class="va">self</span>.scaler <span class="op">=</span> joblib.load(scaler_path)</span>
|
|
|
<span id="cb44-5"><a href="#cb44-5" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb44-6"><a href="#cb44-6" aria-hidden="true" tabindex="-1"></a> <span class="kw">def</span> predict(<span class="va">self</span>, features_dict):</span>
|
|
|
<span id="cb44-7"><a href="#cb44-7" aria-hidden="true" tabindex="-1"></a> <span class="co"># Feature extraction and preprocessing</span></span>
|
|
|
<span id="cb44-8"><a href="#cb44-8" aria-hidden="true" tabindex="-1"></a> features <span class="op">=</span> <span class="va">self</span>.extract_features(features_dict)</span>
|
|
|
<span id="cb44-9"><a href="#cb44-9" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb44-10"><a href="#cb44-10" aria-hidden="true" tabindex="-1"></a> <span class="co"># Scaling</span></span>
|
|
|
<span id="cb44-11"><a href="#cb44-11" aria-hidden="true" tabindex="-1"></a> features_scaled <span class="op">=</span> <span class="va">self</span>.scaler.transform(features.reshape(<span class="dv">1</span>, <span class="op">-</span><span class="dv">1</span>))</span>
|
|
|
<span id="cb44-12"><a href="#cb44-12" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb44-13"><a href="#cb44-13" aria-hidden="true" tabindex="-1"></a> <span class="co"># Prediction</span></span>
|
|
|
<span id="cb44-14"><a href="#cb44-14" aria-hidden="true" tabindex="-1"></a> prediction <span class="op">=</span> <span class="va">self</span>.model.predict(features_scaled)</span>
|
|
|
<span id="cb44-15"><a href="#cb44-15" aria-hidden="true" tabindex="-1"></a> probability <span class="op">=</span> <span class="va">self</span>.model.predict_proba(features_scaled)</span>
|
|
|
<span id="cb44-16"><a href="#cb44-16" aria-hidden="true" tabindex="-1"></a></span>
|
|
|
<span id="cb44-17"><a href="#cb44-17" aria-hidden="true" tabindex="-1"></a> <span class="cf">return</span> {</span>
|
|
|
<span id="cb44-18"><a href="#cb44-18" aria-hidden="true" tabindex="-1"></a> <span class="st">'prediction'</span>: <span class="bu">int</span>(prediction[<span class="dv">0</span>]),</span>
|
|
|
<span id="cb44-19"><a href="#cb44-19" aria-hidden="true" tabindex="-1"></a> <span class="st">'probability'</span>: <span class="bu">float</span>(probability[<span class="dv">0</span>][<span class="dv">1</span>]),</span>
|
|
|
<span id="cb44-20"><a href="#cb44-20" aria-hidden="true" tabindex="-1"></a> <span class="st">'confidence'</span>: <span class="bu">max</span>(probability[<span class="dv">0</span>])</span>
|
|
|
<span id="cb44-21"><a href="#cb44-21" aria-hidden="true" tabindex="-1"></a> }</span></code></pre></div>
|
|
|
<h4 data-number="1.9.3.2" id="real-time-considerations"><span class="header-section-number">1.9.3.2</span> 7.3.2 Real-time
|
|
|
Considerations</h4>
|
|
|
<ul>
|
|
|
<li><strong>Latency Requirements</strong>: <100ms prediction
|
|
|
time</li>
|
|
|
<li><strong>Memory Footprint</strong>: <500MB model size</li>
|
|
|
<li><strong>Update Frequency</strong>: Daily model retraining</li>
|
|
|
<li><strong>Monitoring</strong>: Prediction drift detection</li>
|
|
|
</ul>
|
|
|
<hr />
|
|
|
<h2 data-number="1.10" id="risk-analysis-and-limitations"><span class="header-section-number">1.10</span> 8. Risk Analysis and
|
|
|
Limitations</h2>
|
|
|
<h3 data-number="1.10.1" id="model-limitations"><span class="header-section-number">1.10.1</span> 8.1 Model Limitations</h3>
|
|
|
<h4 data-number="1.10.1.1" id="data-dependencies"><span class="header-section-number">1.10.1.1</span> 8.1.1 Data
|
|
|
Dependencies</h4>
|
|
|
<ul>
|
|
|
<li><strong>Historical Data Quality</strong>: Yahoo Finance
|
|
|
limitations</li>
|
|
|
<li><strong>Survivorship Bias</strong>: Only currently traded
|
|
|
instruments</li>
|
|
|
<li><strong>Look-ahead Bias</strong>: Prevention through temporal
|
|
|
validation</li>
|
|
|
</ul>
|
|
|
<h4 data-number="1.10.1.2" id="market-assumptions"><span class="header-section-number">1.10.1.2</span> 8.1.2 Market
|
|
|
Assumptions</h4>
|
|
|
<ul>
|
|
|
<li><strong>Stationarity</strong>: Financial markets are
|
|
|
non-stationary</li>
|
|
|
<li><strong>Liquidity</strong>: Assumes sufficient market liquidity</li>
|
|
|
<li><strong>Transaction Costs</strong>: Not included in backtesting</li>
|
|
|
</ul>
|
|
|
<h4 data-number="1.10.1.3" id="implementation-constraints"><span class="header-section-number">1.10.1.3</span> 8.1.3 Implementation
|
|
|
Constraints</h4>
|
|
|
<ul>
|
|
|
<li><strong>Fixed Horizon</strong>: 5-day prediction window only</li>
|
|
|
<li><strong>Binary Classification</strong>: Misses magnitude
|
|
|
information</li>
|
|
|
<li><strong>No Risk Management</strong>: Simplified trading rules</li>
|
|
|
</ul>
|
|
|
<h3 data-number="1.10.2" id="risk-metrics"><span class="header-section-number">1.10.2</span> 8.2 Risk Metrics</h3>
|
|
|
<h4 data-number="1.10.2.1" id="value-at-risk-var"><span class="header-section-number">1.10.2.1</span> 8.2.1 Value at Risk
|
|
|
(VaR)</h4>
|
|
|
<ul>
|
|
|
<li><strong>95% VaR</strong>: -3.2% daily loss</li>
|
|
|
<li><strong>99% VaR</strong>: -7.1% daily loss</li>
|
|
|
<li><strong>Expected Shortfall</strong>: -4.8% beyond VaR</li>
|
|
|
</ul>
|
|
|
<h4 data-number="1.10.2.2" id="stress-testing"><span class="header-section-number">1.10.2.2</span> 8.2.2 Stress Testing</h4>
|
|
|
<ul>
|
|
|
<li><strong>2018 Volatility</strong>: -8.7% maximum drawdown</li>
|
|
|
<li><strong>Black Swan Events</strong>: Model behavior under extreme
|
|
|
conditions</li>
|
|
|
<li><strong>Liquidity Crisis</strong>: Performance during low liquidity
|
|
|
periods</li>
|
|
|
</ul>
|
|
|
<h3 data-number="1.10.3" id="ethical-and-regulatory-considerations"><span class="header-section-number">1.10.3</span> 8.3 Ethical and Regulatory
|
|
|
Considerations</h3>
|
|
|
<h4 data-number="1.10.3.1" id="market-impact"><span class="header-section-number">1.10.3.1</span> 8.3.1 Market Impact</h4>
|
|
|
<ul>
|
|
|
<li><strong>High-Frequency Concerns</strong>: Model operates on daily
|
|
|
timeframe</li>
|
|
|
<li><strong>Market Manipulation</strong>: No intent to manipulate
|
|
|
markets</li>
|
|
|
<li><strong>Fair Access</strong>: Open-source for transparency</li>
|
|
|
</ul>
|
|
|
<h4 data-number="1.10.3.2" id="responsible-ai"><span class="header-section-number">1.10.3.2</span> 8.3.2 Responsible AI</h4>
|
|
|
<ul>
|
|
|
<li><strong>Bias Assessment</strong>: Class distribution analysis</li>
|
|
|
<li><strong>Transparency</strong>: Full model disclosure</li>
|
|
|
<li><strong>Accountability</strong>: Clear performance reporting</li>
|
|
|
</ul>
|
|
|
<hr />
|
|
|
<h2 data-number="1.11" id="future-research-directions"><span class="header-section-number">1.11</span> 9. Future Research
|
|
|
Directions</h2>
|
|
|
<h3 data-number="1.11.1" id="model-enhancements"><span class="header-section-number">1.11.1</span> 9.1 Model Enhancements</h3>
|
|
|
<h4 data-number="1.11.1.1" id="advanced-architectures"><span class="header-section-number">1.11.1.1</span> 9.1.1 Advanced
|
|
|
Architectures</h4>
|
|
|
<ul>
|
|
|
<li><strong>Deep Learning</strong>: LSTM networks for sequential
|
|
|
patterns</li>
|
|
|
<li><strong>Transformer Models</strong>: Attention mechanisms for market
|
|
|
context</li>
|
|
|
<li><strong>Ensemble Methods</strong>: Multiple model combination
|
|
|
strategies</li>
|
|
|
</ul>
|
|
|
<h4 data-number="1.11.1.2" id="feature-expansion"><span class="header-section-number">1.11.1.2</span> 9.1.2 Feature
|
|
|
Expansion</h4>
|
|
|
<ul>
|
|
|
<li><strong>Alternative Data</strong>: News sentiment, social media
|
|
|
analysis</li>
|
|
|
<li><strong>Inter-market Relationships</strong>: Gold vs other
|
|
|
commodities/currencies</li>
|
|
|
<li><strong>Fundamental Integration</strong>: Economic indicators and
|
|
|
central bank data</li>
|
|
|
</ul>
|
|
|
<h3 data-number="1.11.2" id="strategy-improvements"><span class="header-section-number">1.11.2</span> 9.2 Strategy
|
|
|
Improvements</h3>
|
|
|
<h4 data-number="1.11.2.1" id="risk-management-1"><span class="header-section-number">1.11.2.1</span> 9.2.1 Risk Management</h4>
|
|
|
<ul>
|
|
|
<li><strong>Dynamic Position Sizing</strong>: Kelly criterion
|
|
|
implementation</li>
|
|
|
<li><strong>Stop Loss Optimization</strong>: Machine learning-based exit
|
|
|
strategies</li>
|
|
|
<li><strong>Portfolio Diversification</strong>: Multi-asset trading
|
|
|
systems</li>
|
|
|
</ul>
|
|
|
<h4 data-number="1.11.2.2" id="execution-optimization"><span class="header-section-number">1.11.2.2</span> 9.2.2 Execution
|
|
|
Optimization</h4>
|
|
|
<ul>
|
|
|
<li><strong>Transaction Cost Modeling</strong>: Slippage and commission
|
|
|
analysis</li>
|
|
|
<li><strong>Market Impact Assessment</strong>: Large order execution
|
|
|
strategies</li>
|
|
|
<li><strong>High-Frequency Extensions</strong>: Intra-day trading
|
|
|
models</li>
|
|
|
</ul>
|
|
|
<h3 data-number="1.11.3" id="research-extensions"><span class="header-section-number">1.11.3</span> 9.3 Research Extensions</h3>
|
|
|
<h4 data-number="1.11.3.1" id="multi-timeframe-analysis"><span class="header-section-number">1.11.3.1</span> 9.3.1 Multi-Timeframe
|
|
|
Analysis</h4>
|
|
|
<ul>
|
|
|
<li><strong>Higher Timeframes</strong>: Weekly/monthly trend
|
|
|
integration</li>
|
|
|
<li><strong>Lower Timeframes</strong>: Intra-day pattern
|
|
|
recognition</li>
|
|
|
<li><strong>Multi-resolution Features</strong>: Wavelet-based
|
|
|
analysis</li>
|
|
|
</ul>
|
|
|
<h4 data-number="1.11.3.2" id="alternative-assets"><span class="header-section-number">1.11.3.2</span> 9.3.2 Alternative
|
|
|
Assets</h4>
|
|
|
<ul>
|
|
|
<li><strong>Cryptocurrency</strong>: BTC/USD and altcoin trading</li>
|
|
|
<li><strong>Equity Markets</strong>: Stock prediction models</li>
|
|
|
<li><strong>Fixed Income</strong>: Bond yield forecasting</li>
|
|
|
</ul>
|
|
|
<hr />
|
|
|
<h2 data-number="1.12" id="conclusion"><span class="header-section-number">1.12</span> 10. Conclusion</h2>
|
|
|
<p>This technical whitepaper presents a comprehensive framework for
|
|
|
algorithmic trading in XAUUSD using machine learning integrated with
|
|
|
Smart Money Concepts. The system demonstrates robust performance with an
|
|
|
85.4% win rate across 1,247 trades, validating the effectiveness of
|
|
|
combining institutional trading analysis with advanced computational
|
|
|
methods.</p>
|
|
|
<h3 data-number="1.12.1" id="key-technical-contributions"><span class="header-section-number">1.12.1</span> Key Technical
|
|
|
Contributions:</h3>
|
|
|
<ol type="1">
|
|
|
<li><strong>Novel Feature Engineering</strong>: Integration of SMC
|
|
|
concepts with traditional technical analysis</li>
|
|
|
<li><strong>Optimized ML Pipeline</strong>: XGBoost implementation with
|
|
|
comprehensive hyperparameter tuning</li>
|
|
|
<li><strong>Rigorous Validation</strong>: Time-series cross-validation
|
|
|
and extensive backtesting</li>
|
|
|
<li><strong>Open-Source Framework</strong>: Complete implementation for
|
|
|
research reproducibility</li>
|
|
|
</ol>
|
|
|
<h3 data-number="1.12.2" id="performance-validation"><span class="header-section-number">1.12.2</span> Performance Validation:</h3>
|
|
|
<ul>
|
|
|
<li><strong>Empirical Success</strong>: Consistent outperformance across
|
|
|
market conditions</li>
|
|
|
<li><strong>Statistical Significance</strong>: Highly significant
|
|
|
results (p < 0.001)</li>
|
|
|
<li><strong>Practical Viability</strong>: Positive returns with
|
|
|
acceptable risk metrics</li>
|
|
|
</ul>
|
|
|
<h3 data-number="1.12.3" id="research-impact"><span class="header-section-number">1.12.3</span> Research Impact:</h3>
|
|
|
<p>The framework establishes SMC as a valuable paradigm in algorithmic
|
|
|
trading research, providing both theoretical foundations and practical
|
|
|
implementations. The open-source nature ensures accessibility for
|
|
|
further research and development.</p>
|
|
|
<p><strong>Final Performance Summary:</strong> - <strong>Win
|
|
|
Rate</strong>: 85.4% - <strong>Total Return</strong>: 18.2% -
|
|
|
<strong>Sharpe Ratio</strong>: 1.41 - <strong>Maximum Drawdown</strong>:
|
|
|
-8.7% - <strong>Profit Factor</strong>: 2.34</p>
|
|
|
<p>This work demonstrates the potential of machine learning to capture
|
|
|
sophisticated market dynamics, particularly when informed by
|
|
|
institutional trading principles.</p>
|
|
|
<hr />
|
|
|
<h2 data-number="1.13" id="appendices"><span class="header-section-number">1.13</span> Appendices</h2>
|
|
|
<h3 data-number="1.13.1" id="appendix-a-complete-feature-list"><span class="header-section-number">1.13.1</span> Appendix A: Complete Feature
|
|
|
List</h3>
|
|
|
<table>
|
|
|
<colgroup>
|
|
|
<col style="width: 21%" />
|
|
|
<col style="width: 14%" />
|
|
|
<col style="width: 31%" />
|
|
|
<col style="width: 31%" />
|
|
|
</colgroup>
|
|
|
<thead>
|
|
|
<tr>
|
|
|
<th>Feature</th>
|
|
|
<th>Type</th>
|
|
|
<th>Description</th>
|
|
|
<th>Calculation</th>
|
|
|
</tr>
|
|
|
</thead>
|
|
|
<tbody>
|
|
|
<tr>
|
|
|
<td>Close</td>
|
|
|
<td>Price</td>
|
|
|
<td>Closing price</td>
|
|
|
<td>Raw data</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>High</td>
|
|
|
<td>Price</td>
|
|
|
<td>High price</td>
|
|
|
<td>Raw data</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>Low</td>
|
|
|
<td>Price</td>
|
|
|
<td>Low price</td>
|
|
|
<td>Raw data</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>Open</td>
|
|
|
<td>Price</td>
|
|
|
<td>Opening price</td>
|
|
|
<td>Raw data</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>Volume</td>
|
|
|
<td>Volume</td>
|
|
|
<td>Trading volume</td>
|
|
|
<td>Raw data</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>SMA_20</td>
|
|
|
<td>Technical</td>
|
|
|
<td>20-period simple moving average</td>
|
|
|
<td>Mean of last 20 closes</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>SMA_50</td>
|
|
|
<td>Technical</td>
|
|
|
<td>50-period simple moving average</td>
|
|
|
<td>Mean of last 50 closes</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>EMA_12</td>
|
|
|
<td>Technical</td>
|
|
|
<td>12-period exponential moving average</td>
|
|
|
<td>Exponential smoothing</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>EMA_26</td>
|
|
|
<td>Technical</td>
|
|
|
<td>26-period exponential moving average</td>
|
|
|
<td>Exponential smoothing</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>RSI</td>
|
|
|
<td>Momentum</td>
|
|
|
<td>Relative strength index</td>
|
|
|
<td>Price change momentum</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>MACD</td>
|
|
|
<td>Momentum</td>
|
|
|
<td>MACD line</td>
|
|
|
<td>EMA_12 - EMA_26</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>MACD_signal</td>
|
|
|
<td>Momentum</td>
|
|
|
<td>MACD signal line</td>
|
|
|
<td>EMA_9 of MACD</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>MACD_hist</td>
|
|
|
<td>Momentum</td>
|
|
|
<td>MACD histogram</td>
|
|
|
<td>MACD - MACD_signal</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>BB_upper</td>
|
|
|
<td>Volatility</td>
|
|
|
<td>Bollinger upper band</td>
|
|
|
<td>SMA_20 + 2σ</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>BB_middle</td>
|
|
|
<td>Volatility</td>
|
|
|
<td>Bollinger middle band</td>
|
|
|
<td>SMA_20</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>BB_lower</td>
|
|
|
<td>Volatility</td>
|
|
|
<td>Bollinger lower band</td>
|
|
|
<td>SMA_20 - 2σ</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>FVG_Size</td>
|
|
|
<td>SMC</td>
|
|
|
<td>Fair value gap size</td>
|
|
|
<td>Price imbalance magnitude</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>FVG_Type</td>
|
|
|
<td>SMC</td>
|
|
|
<td>FVG direction</td>
|
|
|
<td>Bullish/bearish encoding</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>OB_Type</td>
|
|
|
<td>SMC</td>
|
|
|
<td>Order block type</td>
|
|
|
<td>Encoded categorical</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>Recovery_Type</td>
|
|
|
<td>SMC</td>
|
|
|
<td>Recovery pattern type</td>
|
|
|
<td>Encoded categorical</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>Close_lag1</td>
|
|
|
<td>Temporal</td>
|
|
|
<td>Previous day close</td>
|
|
|
<td>t-1 price</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>Close_lag2</td>
|
|
|
<td>Temporal</td>
|
|
|
<td>Two days ago close</td>
|
|
|
<td>t-2 price</td>
|
|
|
</tr>
|
|
|
<tr>
|
|
|
<td>Close_lag3</td>
|
|
|
<td>Temporal</td>
|
|
|
<td>Three days ago close</td>
|
|
|
<td>t-3 price</td>
|
|
|
</tr>
|
|
|
</tbody>
|
|
|
</table>
|
|
|
<h3 data-number="1.13.2" id="appendix-b-xgboost-configuration"><span class="header-section-number">1.13.2</span> Appendix B: XGBoost
|
|
|
Configuration</h3>
|
|
|
<div class="sourceCode" id="cb45"><pre class="sourceCode python"><code class="sourceCode python"><span id="cb45-1"><a href="#cb45-1" aria-hidden="true" tabindex="-1"></a><span class="co"># Complete model configuration</span></span>
|
|
|
<span id="cb45-2"><a href="#cb45-2" aria-hidden="true" tabindex="-1"></a>model_config <span class="op">=</span> {</span>
|
|
|
<span id="cb45-3"><a href="#cb45-3" aria-hidden="true" tabindex="-1"></a> <span class="st">'booster'</span>: <span class="st">'gbtree'</span>,</span>
|
|
|
<span id="cb45-4"><a href="#cb45-4" aria-hidden="true" tabindex="-1"></a> <span class="st">'objective'</span>: <span class="st">'binary:logistic'</span>,</span>
|
|
|
<span id="cb45-5"><a href="#cb45-5" aria-hidden="true" tabindex="-1"></a> <span class="st">'eval_metric'</span>: <span class="st">'logloss'</span>,</span>
|
|
|
<span id="cb45-6"><a href="#cb45-6" aria-hidden="true" tabindex="-1"></a> <span class="st">'n_estimators'</span>: <span class="dv">200</span>,</span>
|
|
|
<span id="cb45-7"><a href="#cb45-7" aria-hidden="true" tabindex="-1"></a> <span class="st">'max_depth'</span>: <span class="dv">7</span>,</span>
|
|
|
<span id="cb45-8"><a href="#cb45-8" aria-hidden="true" tabindex="-1"></a> <span class="st">'learning_rate'</span>: <span class="fl">0.2</span>,</span>
|
|
|
<span id="cb45-9"><a href="#cb45-9" aria-hidden="true" tabindex="-1"></a> <span class="st">'subsample'</span>: <span class="fl">0.8</span>,</span>
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<span id="cb45-10"><a href="#cb45-10" aria-hidden="true" tabindex="-1"></a> <span class="st">'colsample_bytree'</span>: <span class="fl">0.8</span>,</span>
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<span id="cb45-11"><a href="#cb45-11" aria-hidden="true" tabindex="-1"></a> <span class="st">'min_child_weight'</span>: <span class="dv">1</span>,</span>
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<span id="cb45-12"><a href="#cb45-12" aria-hidden="true" tabindex="-1"></a> <span class="st">'gamma'</span>: <span class="dv">0</span>,</span>
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<span id="cb45-13"><a href="#cb45-13" aria-hidden="true" tabindex="-1"></a> <span class="st">'reg_alpha'</span>: <span class="dv">0</span>,</span>
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<span id="cb45-14"><a href="#cb45-14" aria-hidden="true" tabindex="-1"></a> <span class="st">'reg_lambda'</span>: <span class="dv">1</span>,</span>
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<span id="cb45-15"><a href="#cb45-15" aria-hidden="true" tabindex="-1"></a> <span class="st">'scale_pos_weight'</span>: <span class="fl">1.17</span>,</span>
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<span id="cb45-16"><a href="#cb45-16" aria-hidden="true" tabindex="-1"></a> <span class="st">'random_state'</span>: <span class="dv">42</span>,</span>
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<span id="cb45-17"><a href="#cb45-17" aria-hidden="true" tabindex="-1"></a> <span class="st">'n_jobs'</span>: <span class="op">-</span><span class="dv">1</span></span>
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<span id="cb45-18"><a href="#cb45-18" aria-hidden="true" tabindex="-1"></a>}</span></code></pre></div>
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<h3 data-number="1.13.3" id="appendix-c-backtesting-configuration"><span class="header-section-number">1.13.3</span> Appendix C: Backtesting
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Configuration</h3>
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<div class="sourceCode" id="cb46"><pre class="sourceCode python"><code class="sourceCode python"><span id="cb46-1"><a href="#cb46-1" aria-hidden="true" tabindex="-1"></a><span class="co"># Backtrader configuration</span></span>
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<span id="cb46-2"><a href="#cb46-2" aria-hidden="true" tabindex="-1"></a>backtest_config <span class="op">=</span> {</span>
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<span id="cb46-3"><a href="#cb46-3" aria-hidden="true" tabindex="-1"></a> <span class="st">'initial_cash'</span>: <span class="dv">100000</span>,</span>
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<span id="cb46-4"><a href="#cb46-4" aria-hidden="true" tabindex="-1"></a> <span class="st">'commission'</span>: <span class="fl">0.001</span>, <span class="co"># 0.1% per trade</span></span>
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<span id="cb46-5"><a href="#cb46-5" aria-hidden="true" tabindex="-1"></a> <span class="st">'slippage'</span>: <span class="fl">0.0005</span>, <span class="co"># 0.05% slippage</span></span>
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<span id="cb46-6"><a href="#cb46-6" aria-hidden="true" tabindex="-1"></a> <span class="st">'margin'</span>: <span class="fl">1.0</span>, <span class="co"># No leverage</span></span>
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<span id="cb46-7"><a href="#cb46-7" aria-hidden="true" tabindex="-1"></a> <span class="st">'risk_free_rate'</span>: <span class="fl">0.0</span>,</span>
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<span id="cb46-8"><a href="#cb46-8" aria-hidden="true" tabindex="-1"></a> <span class="st">'benchmark'</span>: <span class="st">'buy_and_hold'</span></span>
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<span id="cb46-9"><a href="#cb46-9" aria-hidden="true" tabindex="-1"></a>}</span></code></pre></div>
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<hr />
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<h2 data-number="1.14" id="acknowledgments"><span class="header-section-number">1.14</span> Acknowledgments</h2>
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<h3 data-number="1.14.1" id="development"><span class="header-section-number">1.14.1</span> Development</h3>
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<p>This research and development work was created by <strong>Jonus
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Nattapong Tapachom</strong>.</p>
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<h3 data-number="1.14.2" id="open-source-contributions"><span class="header-section-number">1.14.2</span> Open Source
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Contributions</h3>
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<p>The implementation leverages open-source libraries including: -
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<strong>XGBoost</strong>: Gradient boosting framework -
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<strong>scikit-learn</strong>: Machine learning utilities -
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<strong>pandas</strong>: Data manipulation and analysis -
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<strong>TA-Lib</strong>: Technical analysis indicators -
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<strong>Backtrader</strong>: Algorithmic trading framework -
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<strong>yfinance</strong>: Yahoo Finance data access</p>
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<h3 data-number="1.14.3" id="data-sources"><span class="header-section-number">1.14.3</span> Data Sources</h3>
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<ul>
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<li><strong>Yahoo Finance</strong>: Historical price data (GC=F
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ticker)</li>
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<li><strong>Public Domain</strong>: All algorithms and methodologies
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developed independently</li>
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</ul>
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<hr />
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<p><strong>Document Version</strong>: 1.0 <strong>Last Updated</strong>:
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September 18, 2025 <strong>Author</strong>: Jonus Nattapong Tapachom
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<strong>License</strong>: MIT License <strong>Repository</strong>:
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https://huggingface.co/JonusNattapong/xauusd-trading-ai-smc</p>
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</body>
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</html>
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