LEGSTECH Optimizer
d5a8973c05
NEW FILES: ea/__init__.py - EA module package ea/schema.py - ParameterDef + ParameterSchema (replaces YAML manifest) ea/set_parser.py - Parse ANY MT5 .set file → ParameterSchema ea/registry.py - EAProfile + EARegistry (ea_registry.yaml) ea_registry.yaml - LEGSTECH_EA_V2 pre-registered with automation overrides MODIFIED: mt5/ini_builder.py - Accepts ParameterSchema OR legacy manifest_path mt5/runner.py - Accepts optional EAProfile for EA-agnostic validation config.yaml - Removed hardcoded ea: block; added ea_registry path KEY DESIGN: - .set file IS the manifest: value|min|max|step auto-detects float/int/bool/enum/fixed - automation_overrides in EAProfile forces headless-safe values (InpShowPanel=0) - Phase A optimization INI: Optimization=2 (genetic), ranges from schema - Phase B single backtest: Optimization=0 (unchanged behavior) - LEGSTECH advanced mode: fully backwards compatible via legacy manifest fallback - runner.py still works for legacy callers (no EAProfile needed) TESTED: - 49/49 LEGSTECH params parsed correctly - InpShowPanel=0 automation override applied - INI output correct for both Phase A (Optimization=2) and Phase B (Optimization=0) - All imports pass
99 lines
4.4 KiB
YAML
99 lines
4.4 KiB
YAML
# MT5 EA Strategy Optimizer — Master Configuration
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# EA identity (name, symbol, timeframe, .set file) is now managed
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# in ea_registry.yaml via the EA Registry. See ea/registry.py.
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# ─────────────────────────────────────────────
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periods:
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train_start: "2022.01.01"
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train_end: "2023.12.31"
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validate_start: "2024.01.01"
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validate_end: "2024.06.30"
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oos_start: "2024.07.01" # LOCKED — never touched during optimization
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oos_end: "2024.12.31"
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broker:
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timezone_offset_hours: 2 # Broker server = UTC+2. Set to 0 for UTC brokers.
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deposit: 10000.0
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currency: "USD"
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leverage: 100
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# Session definitions in BROKER LOCAL TIME (will be normalized to UTC internally)
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sessions:
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Asian: {start: 0, end: 9}
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London: {start: 9, end: 18} # UTC+2: 07:00 UTC = 09:00 broker
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NY: {start: 15, end: 24} # UTC+2: 13:00 UTC = 15:00 broker
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LondonNY: {start: 15, end: 18} # Overlap
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mt5:
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terminal_exe: "C:/Program Files/MetaTrader 5/terminal64.exe"
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# Terminal data folder — detected automatically from your MetaQuotes installation
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appdata_path: "C:/Users/DELL/AppData/Roaming/MetaQuotes/Terminal/D0E8209F77C8CF37AD8BF550E51FF075"
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# MQL5 Files folder — TradeLogger CSV is written here during backtests
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# NOTE: Strategy Tester writes to the Agent subfolder, not the terminal Files folder
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mql5_files_path: "C:/Users/DELL/AppData/Roaming/MetaQuotes/Tester/D0E8209F77C8CF37AD8BF550E51FF075/Agent-127.0.0.1-3000/MQL5/Files"
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tester_model: 4 # 4=OHLC M1 (fast, reliable). Use 0=Every Tick only if full tick data available
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tester_timeout_seconds: 1800 # 30 min max per test
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shutdown_terminal: 1 # ShutdownTerminal=1 in INI — MT5 closes after test
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data_readiness_wait_seconds: 10 # Wait N seconds after MT5 launch for data to load before testing
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kill_on_start: true # Always kill existing MT5 before each run
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report_subdir: "runs" # relative to project root
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logging:
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level: "INFO" # DEBUG | INFO | WARNING | ERROR
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file: "optimizer.log"
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thresholds:
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min_trades: 50 # below this → no statistical confidence
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min_profit_factor: 1.20
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min_calmar: 0.35
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max_oos_degradation: 0.30 # 30% drop IS→OOS is acceptable; above = reject
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sensitivity_tolerance: 0.30 # ±10% param → >30% calmar drop = fragile, reject
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min_wfv_ratio: 0.70 # OOS calmar must be ≥ 70% of IS calmar in WFV
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scoring:
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weights:
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calmar: 0.35
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profit_factor: 0.20
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mfe_capture: 0.20 # avg MFE capture ratio (exit quality)
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session_stability: 0.15 # 1 - std_dev of per-session Calmar
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recovery_factor: 0.10
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normalization:
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calmar: {lo: 0.0, hi: 4.0}
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profit_factor: {lo: 1.0, hi: 3.5}
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mfe_capture: {lo: 0.0, hi: 1.0}
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session_stability: {lo: 0.0, hi: 1.0}
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recovery_factor: {lo: 0.0, hi: 6.0}
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significance_trades: 150 # full significance weight at this trade count
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analysis:
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reversal:
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mfe_threshold_pips: 15.0 # minimum MFE to classify as reversal candidate
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min_reversal_rate: 0.15 # above this → HIGH finding
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permutation_n: 500 # permutation tests for significance
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time_performance:
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min_trades_per_bucket: 10 # ignore time buckets with fewer trades
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z_score_threshold: -1.5 # flag as negative edge
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permutation_n: 1000
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entry_exit:
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poor_exit_quality: 0.55 # below this → HIGH finding
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poor_entry_quality: 0.40 # below this → HIGH finding
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equity_curve:
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max_flatness_score: 0.50 # above this → raise finding
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min_r_squared: 0.70 # below this → high variance
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mutation:
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max_hypotheses_per_cycle: 3 # test at most N hypotheses before picking best
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dedup_lookback_runs: 10 # avoid re-testing same delta seen in last N runs
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explore_fallback_after: 5 # switch to explore if N targeted runs all rejected
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optimization:
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max_iterations: 50
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convergence_window: 3 # stop if no improvement in this many promotions
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convergence_threshold: 0.04 # minimum composite score delta to count as improvement
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paths:
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db: "optimizer.db"
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runs_dir: "runs"
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reports_dir: "reports"
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log_file: "optimizer.log"
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ea_registry: "ea_registry.yaml" # EA profiles (symbol, .set path, mode)
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