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v3: accumulation signal optimizer - lower initial thresholds, disable PCA, simpler model start

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This commit is contained in:
BizzleBot 2026-03-19 23:55:51 +00:00
parent 560863fa0d
commit c17b3b5167
7 changed files with 59 additions and 328 deletions
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__pycache__/orchestrator.cpython-313.pyc
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56
config/current_config.json
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@ -1,10 +1,9 @@
{
"model_type": "xgboost",
"model_type": "hybrid",
"features": {
"technical_indicators": [
"RSI_14",
"RSI_7",
"RSI_21",
"MACD_line",
"MACD_signal",
"MACD_hist",
@ -12,23 +11,16 @@
"BB_lower",
"BB_width",
"ATR_14",
"SMA_5",
"SMA_10",
"SMA_20",
"SMA_50",
"SMA_200",
"EMA_5",
"EMA_10",
"EMA_20",
"EMA_50",
"OBV",
"stoch_k",
"stoch_d",
"williams_r",
"CCI_20",
"ROC_10",
"keltner_upper",
"keltner_lower"
"ROC_10"
],
"lookback_periods": [
3,
@ -38,47 +30,63 @@
],
"use_volume_features": true,
"use_volatility_features": true,
"use_candle_patterns": true,
"use_candle_patterns": false,
"use_lag_features": true,
"lag_periods": [
1,
2,
3,
5
]
],
"use_pca": true,
"pca_variance": 0.95,
"use_scaler": true
},
"target": {
"type": "classification",
"direction": "long",
"horizon_candles": 6,
"threshold_pct": 1.5
"direction": "both",
"horizon_candles": 4,
"threshold_pct": 1.0
},
"hyperparameters": {
"learning_rate": 0.05,
"max_depth": 4,
"n_estimators": 500,
"learning_rate": 0.001,
"max_depth": 5,
"n_estimators": 300,
"subsample": 0.8,
"colsample_bytree": 0.8,
"min_child_weight": 5,
"gamma": 0.1,
"reg_alpha": 0.5,
"reg_lambda": 2.0
"gamma": 0.3,
"reg_alpha": 0.1,
"reg_lambda": 5.0,
"lstm_hidden_size": 128,
"lstm_num_layers": 2,
"lstm_dropout": 0.3,
"lstm_epochs": 100,
"lstm_batch_size": 64,
"lstm_sequence_length": 20,
"lstm_patience": 10
},
"strategy": {
"entry_threshold": 0.75,
"entry_threshold": 0.65,
"exit_type": "trailing_stop",
"stop_loss_pct": 2.0,
"take_profit_pct": 4.0,
"trailing_stop_pct": 1.5,
"position_sizing": "confidence_scaled",
"max_position_pct": 100,
"min_confidence_to_trade": 0.55
"min_confidence_to_trade": 0.5,
"dynamic_sl_tp": true,
"atr_sl_multiplier": 1.2,
"atr_tp_multiplier": 3.0
},
"training": {
"walk_forward_windows": 5,
"train_pct": 0.7,
"validation_pct": 0.15,
"test_pct": 0.15
"test_pct": 0.15,
"rolling_window": true,
"rolling_train_size": 3000,
"rolling_test_size": 200
},
"timeframe": "4h"
}

39
config/initial_config.json
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@ -1,29 +1,44 @@
{
"model_type": "hybrid",
"model_type": "xgboost",
"features": {
"use_price_position": true,
"use_momentum": true,
"use_volatility": true,
"use_volume": true,
"use_cycle": true,
"use_pca": true,
"use_pca": false,
"pca_variance": 0.95,
"use_scaler": true
},
"target": {
"type": "regression",
"forward_periods_1h": [168, 720, 2160],
"forward_periods_4h": [42, 180, 540],
"weights": [0.2, 0.3, 0.5],
"score_range": [0, 100]
"forward_periods_1h": [
168,
720,
2160
],
"forward_periods_4h": [
42,
180,
540
],
"weights": [
0.2,
0.3,
0.5
],
"score_range": [
0,
100
]
},
"hyperparameters": {
"learning_rate": 0.01,
"max_depth": 5,
"n_estimators": 500,
"max_depth": 4,
"n_estimators": 300,
"subsample": 0.8,
"colsample_bytree": 0.8,
"min_child_weight": 10,
"min_child_weight": 20,
"gamma": 0.3,
"reg_alpha": 0.5,
"reg_lambda": 3.0,
@ -36,9 +51,9 @@
"lstm_patience": 10
},
"strategy": {
"strong_buy_threshold": 80,
"good_buy_threshold": 70,
"poor_threshold": 30
"strong_buy_threshold": 65,
"good_buy_threshold": 55,
"poor_threshold": 35
},
"training": {
"rolling_window": true,

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llm_client/__pycache__/analyzer.cpython-313.pyc
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results/iterations.jsonl
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@ -1,2 +0,0 @@
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{"iteration": 2, "timestamp": "2026-03-19T22:32:18.314965+00:00", "sharpe": -0.546, "return": -18.32, "max_drawdown": -20.98, "win_rate": 0.34, "trades": 53, "profit_factor": 0.542, "model_type": "xgboost", "is_best": false, "config": {"model_type": "xgboost", "features": {"technical_indicators": ["RSI_14", "RSI_7", "RSI_21", "MACD_line", "MACD_signal", "MACD_hist", "BB_upper", "BB_lower", "BB_width", "ATR_14", "SMA_5", "SMA_10", "SMA_20", "SMA_50", "SMA_200", "EMA_5", "EMA_10", "EMA_20", "EMA_50", "OBV", "stoch_k", "stoch_d", "williams_r", "CCI_20", "ROC_10", "keltner_upper", "keltner_lower"], "lookback_periods": [3, 5, 10, 20], "use_volume_features": true, "use_volatility_features": true, "use_candle_patterns": true, "use_lag_features": true, "lag_periods": [1, 2, 3, 5]}, "target": {"type": "classification", "direction": "long", "horizon_candles": 6, "threshold_pct": 1.5}, "hyperparameters": {"learning_rate": 0.05, "max_depth": 4, "n_estimators": 500, "subsample": 0.8, "colsample_bytree": 0.8, "min_child_weight": 5, "gamma": 0.1, "reg_alpha": 0.5, "reg_lambda": 2.0}, "strategy": {"entry_threshold": 0.75, "exit_type": "trailing_stop", "stop_loss_pct": 2.0, "take_profit_pct": 4.0, "trailing_stop_pct": 1.5, "position_sizing": "confidence_scaled", "max_position_pct": 100, "min_confidence_to_trade": 0.55}, "training": {"walk_forward_windows": 5, "train_pct": 0.7, "validation_pct": 0.15, "test_pct": 0.15}, "timeframe": "4h"}, "results": {"sharpe_ratio": -0.546, "total_return_pct": -18.32, "max_drawdown_pct": -20.98, "win_rate": 0.34, "trade_count": 53, "profit_factor": 0.542, "avg_trade_duration_candles": 2.3, "feature_importances": {"EMA_20": 0.0295, "EMA_5": 0.0274, "OBV": 0.0252, "price_vs_SMA_50": 0.0219, "EMA_10": 0.0214, "SMA_200": 0.0207, "return_lag_5": 0.0191, "SMA_5": 0.0189, "vwap_approx": 0.0187, "price_vs_SMA_200": 0.0186, "BB_lower": 0.0181, "SMA_20": 0.0175, "ATR_pct": 0.0174, "keltner_upper": 0.0172, "volume_sma_20": 0.017, "ATR_14": 0.0169, "return_5": 0.0167, "BB_upper": 0.0166, "SMA_50": 0.0164, "RSI_21": 0.0163, "high_low_range_10": 0.0163, "hist_volatility": 0.0163, "high_low_range_20": 0.0163, "EMA_50": 0.0162, "keltner_lower": 0.016, "MACD_hist": 0.0159, "RSI_14_lag_1": 0.0152, "CCI_20": 0.015, "high_low_range_5": 0.015, "volatility_20": 0.0149}, "monthly_returns": [-2.62, -1.95, -4.71, 1.32, -2.8, 1.53, -1.85, -4.51, -2.54, -3.73, 0.01, -1.05, 2.97, 0.31], "equity_curve": [1.0, 0.9952, 0.9921, 0.9767, 0.974, 0.9579, 0.9754, 0.954, 0.9546, 0.9336, 0.9323, 0.9308, 0.9103, 0.9023, 0.8926, 0.9265, 0.9217, 0.9567, 0.9357, 0.9151, 0.8949, 0.8857, 0.8992, 0.9025, 0.9085, 0.9106, 0.9157, 0.8956, 0.8916, 0.8842, 0.8766, 0.8663, 0.852, 0.8467, 0.828, 0.8386, 0.8304, 0.8167, 0.808, 0.7902, 0.7995, 0.7912, 0.7984, 0.8069, 0.7995, 0.8115, 0.8109, 0.8086, 0.7908, 0.7941, 0.8167, 0.8076, 0.8143, 0.8168], "per_window_sharpe": [-2.302, -0.762, -6.981, -0.909, 4.91]}}

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results/results_iter_1.json
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results/results_iter_2.json
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{
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