| 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. | |