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

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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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config/current_config.json
+32 -24
View File
@@ -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"
}
config/initial_config.json
+27 -12
View File
@@ -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,