V5_DESIGN.md

V5 Trading System — Design and Roadmap

Goal

Build a production-ready V5 trading system for XAUUSD that is robust to market costs and suitable for live paper/live trading. Focus on risk controls, walk-forward validation, realistic fills, and a live inference API.

Key Requirements

• Realistic backtests with slippage, commissions, partial fills, and order types
• Walk-forward training & validation to reduce overfitting
• Modular model artifacts: tree-only + Keras artifacts (same as V4) but with versioning
• Live inference API with strict risk manager, position sizing, and circuit-breakers
• Paper-trade adapter to test on real exchange simulator/broker sandbox
• Monitoring & alerting (P&L, drawdown, latency, model drift)

Milestones

1. V5 spec + scaffolding (this doc + FastAPI scaffold)
2. Realistic backtester improvements
3. Walk-forward validation pipeline
4. Ensemble retrain with robust techniques
5. Live inference + paper-trade adapter
6. Monitoring, HF model card, and deployment

Acceptance Criteria

• Backtest Sharpe > target (configurable) on OOS sets with realistic costs
• Max drawdown within risk budget
• Live inference latency < 100ms per request (p95) on target hardware
• Automated rollback on model drift or large drawdown

Notes

Start from existing V4 codebase for feature engineering and model saving. Reuse safe serialization approach. Incrementally add safety features and validate each milestone with tests.