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feat: EURUSD Trading-Verbesserungen implementiert (Phase 1)

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Neue Module für quantitatives EURUSD-Trading:

1. Hurst Exponent Regime Detection (eurusd_regime.py)
   - Erkennt Marktregime: MEAN_REVERSION, NEUTRAL, TRENDING
   - R/S-Analyse für 1min EURUSD-Daten optimiert
   - Trading-Empfehlungen pro Regime

2. BM25 Memory-System (eurusd_memory.py)
   - Speichert vergangene Trades mit Situation/Ergebnis
   - Findet ähnliche Setups via BM25-Ähnlichkeit
   - Persistente JSON-Speicherung
   - Historische Win-Rate Analyse

3. Volatility-Adjusted Position Sizing (eurusd_risk.py)
   - ATR-basierte Volatilitätsmessung
   - Positionsgröße nach Volatilitäts-Percentile (0.4x-1.5x)
   - Regime-Adjustierung (MEAN_REVERSION/TRENDING/NEUTRAL)
   - Korrelations-Adjustierung für Forex-Paare

4. Multi-Provider LLM Fallback (eurusd_llm.py)
   - Automatische Fallback-Kette bei API-Ausfällen
   - Provider: Qwen3.5 → DeepSeek → Gemini → Ollama
   - Provider-Statistiken für Monitoring
   - JSON-Modus für strukturierte Outputs

Daten-Pipeline verbessert:
- 1-Minuten-Daten korrekt in Qlib integriert
- Prompts von 15min auf 1min aktualisiert
- generate.py für 1min EURUSD-Daten angepasst

Alle Module einzeln und im Integrationstest bestanden.
This commit is contained in:
TPTBusiness
2026-03-30 19:56:26 +02:00
parent 11b347d0e7
commit b95bbf5900
10 changed files with 1772 additions and 37 deletions
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patches/factor_data_template_README.md
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@@ -9,16 +9,16 @@ NOTE: **key is always "data" for all hdf5 files **.
# Here is a short description about the data
| Filename | Description |
| -------------- | -----------------------------------------------------------------|
| "daily_pv.h5" | EURUSD 15-minute OHLCV intraday data. |
| "daily_pv.h5" | EURUSD 1-minute OHLCV intraday data (2020-2026). |
# For different data, We have some basic knowledge for them
## EURUSD 15min intraday data
$open: open price of EURUSD at the start of the 15min bar.
$close: close price of EURUSD at the end of the 15min bar.
$high: highest price of EURUSD during the 15min bar.
$low: lowest price of EURUSD during the 15min bar.
$volume: traded volume during the 15min bar.
## EURUSD 1min intraday data
$open: open price of EURUSD at the start of the 1min bar.
$close: close price of EURUSD at the end of the 1min bar.
$high: highest price of EURUSD during the 1min bar.
$low: lowest price of EURUSD during the 1min bar.
$volume: traded volume during the 1min bar (tick volume for FX).
**IMPORTANT: There is NO $factor column. Use only $open, $close, $high, $low, $volume.**
@@ -28,9 +28,15 @@ $volume: traded volume during the 15min bar.
- NY session: 13:00 - 21:00 (high volatility)
- London-NY overlap: 13:00 - 16:00 (highest volume)
## Lookback reference
- 4 bars = 1 hour
- 8 bars = 2 hours
- 16 bars = 4 hours
- 32 bars = 8 hours
- 96 bars = 1 day
## Lookback reference for 1min data
- 4 bars = 4 minutes
- 8 bars = 8 minutes
- 16 bars = 16 minutes
- 32 bars = 32 minutes
- 96 bars = 1.6 hours
- 1440 bars = 1 day (24 hours)
## Data range
- Start: 2020-01-01 17:00:00 UTC
- End: 2026-03-20 15:58:00 UTC
- Total bars: ~2.26 million