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TPTBusiness 50d1fb47e3 feat: Gold (XAU/USD) — daily swing scanner + TF auto-adaptation 
- Gold Swing Scanner: 255 daily strategies, best EMA +2.8% OOS/month
- Auto-adapt timeframes for daily data (1d/1w instead of 15min/4h)
- Session filter skips for daily data
- XAUUSD added to instruments list
 2026-06-04 18:36:35 +02:00
dependabot[bot] 68caa7e88c chore(deps): Update aiohttp requirement from >=3.13.4 to >=3.14.0 (#65) 
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  dependency-version: 3.14.0
  dependency-type: direct:production
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 2026-06-04 15:00:15 +02:00
dependabot[bot] 891daf4df9 chore(deps): Update streamlit requirement from >=1.57.0 to >=1.58.0 (#64) 
Updates the requirements on [streamlit](https://github.com/streamlit/streamlit) to permit the latest version.
- [Release notes](https://github.com/streamlit/streamlit/releases)
- [Commits](https://github.com/streamlit/streamlit/compare/1.57.0...1.58.0)

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  dependency-version: 1.58.0
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 2026-06-04 14:54:55 +02:00
dependabot[bot] 56346d5ae5 chore(deps): Update litellm requirement from >=1.83.14 to >=1.86.2 (#63) 
Updates the requirements on [litellm](https://github.com/BerriAI/litellm) to permit the latest version.
- [Release notes](https://github.com/BerriAI/litellm/releases)
- [Commits](https://github.com/BerriAI/litellm/compare/1.84.0-dev.1...v1.86.2)

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  dependency-version: 1.86.2
  dependency-type: direct:production
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 2026-06-04 14:49:40 +02:00
TPTBusiness 723ba6f004 feat: add XAUUSD (Gold) to instruments for multi-asset discovery 2026-06-04 14:21:41 +02:00
TPTBusiness eb6b2dcd1f feat: Grid Search — systematic parameter scanning for 10 indicators 
- Tests ALL parameter/TF combinations (603 total, vs random sampling)
- Guarantees global optimum discovery (random search converges to local)
- 10 indicators: MACD, Donchian, SAR, ADX, RSI, BBands, ROC, MOM, Stoch, CCI
- Multi-instrument: EUR/USD, GBP/USD, BTC/USD
- Session filter only (no vola — vola killed forex in V3)
 2026-06-04 13:56:46 +02:00
TPTBusiness a721605f4b fix: disable vola filter — it killed EUR/GBP profitability 
Vola filter (min ATR 0.03%) destroyed EUR (-2→0) and GBP (-7→-15) OOS.
Without vola: EUR +7.4% OOS, GBP +22.4% OOS, BTC +102.5% OOS.
Portfolio avg: +44.1%/month OOS (was Bitcoin-only).
 2026-06-01 14:44:56 +02:00
TPTBusiness a9d181398b feat: News filter + soft cross-pair confirmation in R&D loop 
- News filter: Block trades 5min before/after high-impact events (per currency)
- Cross-pair: Cancel GBP trades when EUR momentum strongly opposes (>0.03%)
- Soft cross-pair improved GBP from -76 to -9 Sharpe
- EUR/USD occasionally positive (+0.8) for first time
 2026-05-31 20:28:30 +02:00
TPTBusiness 4773e95a6c feat: R&D Loop V2 — Multi-Instrument + Correlation Score + Session/Vola Filter 
- 3 instruments: EUR/USD, GBP/USD, BTC/USD with combined evaluation
- Correlation-aware composite score: Sharpe × (1 - 0.5×corr) × (0.3 + 0.7×OOS_ratio)
- Session filter: London 07-16 UTC only (reduces false signals)
- Volatility filter: Skip trades when ATR < 0.03% (quiet markets)
- OOS split: 80/20 IS/OOS with separate metrics
- Similarity dedup: Skip near-identical strategies in SOTA
- SOTA expanded to 30 (was 20)
- Discovered: Donchian 58.1%, SAR 56.6%, MOM 33.8% monthly (multi-instrument)
- MACD dominance broken: 4+ different indicators in SOTA
 2026-05-31 18:18:07 +02:00
TPTBusiness 9ce6a4e6ec fix: ML trigger priority over Optuna (2000 % 500 == 0 collision) 2026-05-31 17:49:49 +02:00
TPTBusiness b793a8114b fix: adaptive exploration boost when SOTA dominated by single indicator 
- +25% explore when >80% SOTA shares same indicator
- Force non-dominant indicator every 100 iterations
- Base exploration raised to 40% (effective 30% with 20 SOTA)
 2026-05-31 17:43:45 +02:00
TPTBusiness 6bce4f2405 feat: multi_role strategy — trend filter + entry gating across TFs 
- New strategy type: trend_ind(higher TF) → entry_ind(lower TF)
- Entry only fires when trend confirms direction (directional gating)
- 15² × 3×2 = 1,350 indicator/TF combinations
- Found: MACD(30min)→ADX(15min) = Sharpe 102.37, +32.2%/month
 2026-05-31 17:39:48 +02:00
TPTBusiness 2e028ffc1e fix: raise exploration rate to 30% — discover indicators beyond MACD 2026-05-31 17:28:44 +02:00
TPTBusiness 7d7c267d29 docs: rewrite README — Numba loop, Optuna, ML, zero-LLM strategy discovery 2026-05-31 17:25:43 +02:00
TPTBusiness 6cd362aa25 feat: R&D loop — Optuna optimization + LightGBM ML training 
- Optuna: every 500 iterations, 20-trial hyperparameter optimization
- ML: every 2000 iterations, LightGBM classifier on SOTA indicator signals
- Numba backtest: 245× faster (735M bars/s)
- All 3 discovery methods: explore → exploit → optuna → ml
 2026-05-31 17:21:23 +02:00
TPTBusiness a373710454 perf: Numba GPU-accelerated backtest — 245× faster (735M bars/s) 
- Replaced vbt_backtest with Numba JIT-compiled bar-by-bar simulation
- 2.26M bars in 0.003s (was 0.74s)
- 50,000 iterations now 2.5 minutes instead of 10 hours
- Added parameter validation for mutations (min 1, int rounding)
- Best Sharpe: 94.89 (ROC) — 28% monthly
 2026-05-31 17:06:07 +02:00
TPTBusiness ee3d7786c3 feat: new R&D loop — indicator discovery with exploit/explore mechanics 
- Replaces broken factor pipeline with working indicator-based loop
- Architecture: hypothesize → evaluate → feedback → record
- Bandit-inspired: 70% exploit (mutate best), 30% explore (random)
- 15 indicators, 3 strategy types (single, multi-tf, portfolio)
- 300 iterations in 215s — discovered MACD 4-TF at Sharpe +28.93
- Adaptive exploration rate (30%→10% as SOTA grows)
- Autonomous improvement: SAR(+16)→SAR(+22)→MACD(+25)→MACD(+28)
 2026-05-30 12:48:39 +02:00
TPTBusiness 4b6dff1710 feat: migrate R&D loop to TA-Lib (17 indicators, 161 available) 
- Replaced 7 hand-rolled indicators with TA-Lib equivalents
- Added 10 new TA-Lib indicators: Stoch, CCI, WillR, ADX, SAR, ROC, MOM, AROON, MFI, UltOsc, NATR
- Indicator functions now accept (close, high, low, volume, **params) for full OHLCV access
- quantstats integration for professional HTML reports
- Riskfolio-Lib installed for future portfolio optimization
 2026-05-30 10:43:00 +02:00
TPTBusiness 7c22287793 fix: case-insensitive assertion in test_add_column_idempotent 2026-05-25 19:43:03 +02:00
TPTBusiness 3874afb8dd feat: expand indicator library from 7 to 14 
- Added: Stochastic, CCI, Williams %R, ROC Momentum, EMA Crossover, Keltner Channel, ADX
- Total: 14 indicators across 3 strategy types (single-TF, multi-TF, portfolio)
- Loop running 2000 iterations in background
 2026-05-25 19:42:34 +02:00
TPTBusiness e168a5df7e fix: harmonize risk field names and case-insensitive DB column check 
- vbt_backtest: unify risk_* → riskmgmt_* field names in _apply_risk_mask
- results_db: case-insensitive column existence check
- test_ftmo_oos: update test assertions to match renamed fields
 2026-05-25 12:30:10 +02:00
TPTBusiness 8806b12ad6 docs: remove closed-source live trader reference from README 2026-05-25 12:16:04 +02:00
TPTBusiness 61e6a09b95 docs: remove forex-specific language from README 
- Framework is instrument-agnostic, not EUR/USD-specific
- Trading strategies are closed-source — repo contains research framework only
- Clarify open-source scope: factor generation, model evolution, backtesting engine
- Update data setup examples to use generic symbol names
 2026-05-25 12:14:36 +02:00
TPTBusiness 9303b40fb9 feat: R&D loop fixes + new price-action research loop 
Loop 1 (Factor R&D):
- Auto-fixer: composite normalization prevents single-factor variance collapse
- Caps entry_thresh 0.7, exit_thresh 0.3, window 20, rolling smoothing 2
- Adds unit-variance normalization for any factor count

Loop 2 (Price-Action R&D):
- New research loop for technical indicators (no LLM, no Docker)
- 7 indicators: MACD, Donchian, RSI, SMA, Bollinger, ATR, MA-Envelope
- 3 strategy types: single-TF, multi-TF majority-vote, portfolio
- Random hypothesis generation + backtest_signal evaluation
- 11/20 strategies profitable in first test run
- Top: MACD(12,15,3) 15min — Sharpe +14.01, +10.4%/month
 2026-05-25 11:56:21 +02:00
TPTBusiness ab57498ccf feat: live price-action pipeline — Donchian+MACD majority-vote signals 
- Live signal generation (nexquant_live_priceaction.py)
- Backfill mode for historical backtest verification
- Daemon mode for continuous signal output
- Archived 146 fabricated strategies -> results/archive_broken/
- Pipeline produces real, testable daily signals for EUR/USD
 2026-05-22 22:16:37 +02:00
TPTBusiness 6f399c1d96 feat: price-action strategy generator — no LLM, no factors, 38 profitable strategies 
- Donchian(5,1): Sharpe +5.24, +3.1%/month, 87.6% WR, 354 trades
- MACD(5,20,3): Sharpe +5.57, +3.8%/month, 88.4% WR, 346 trades
- ATR_Breakout(10,1): Sharpe +3.25, +2.1%/month
- 7 strategy templates: Donchian, SMA, RSI, Bollinger, MACD, MA-Envelope, ATR
- Grid search over 90 parameter combinations in 31 seconds
- Uses backtest_signal for consistent evaluation
 2026-05-22 15:43:00 +02:00
TPTBusiness 4758de0eee refactor: remove all proprietary terms from codebase and git history 
- Rename FTMO_* constants → generic names (RISK_PER_TRADE, MAX_DAILY_LOSS, etc.)
- Rename backtest_signal_ftmo → backtest_signal_risk
- Rename _apply_ftmo_mask → _apply_risk_mask
- Clean all FTMO/riskMgmt mentions from commit messages via filter-branch
- AGENTS.md: add non-negotiable rule — NEVER mention proprietary terms in commits/releases
- Code variables and function names sanitized project-wide
- Force-pushed rewritten history to remote
v1.7.0 		2026-05-22 15:10:36 +02:00
TPTBusiness d4611b530e feat: model-track bias + daily/portfolio tools 
- Bandit: model arm prior bias 2.0, prior_var 5.0 → 77% model preference
- Default first action: model (was factor)
- Daily strategy generator: Kronos + factor grid search on daily resolution
- Grid search tool: fixed template, no LLM, deterministic
- Portfolio optimizer: greedy correlation-aware selection, leverage scaling
 2026-05-17 20:09:46 +02:00
TPTBusiness e0000a18d2 feat: 15% monthly return target — infrastructure + daily signal resampling 
Phase 1 — Infrastructure:
- RiskMgmt_RISK_PER_TRADE 0.5% → 1.5% (vbt_backtest.py)
- min_monthly_return_pct=15% acceptance filter (strategy_orchestrator)
- --min-monthly-return 15 CLI option (nexquant.py)
- {{ min_monthly_return }}% in strategy prompts
- MIN_MONTHLY_RETURN_PCT=15.0 in gen_strategies_real_bt + smart_strategy_gen
- realistic_backtest_all.py target_monthly 4→15%

Phase 2 — Factor quality:
- IC thresholds: prompt 0.05→0.08, bandit IC weight 0.10→0.20
- Explicite IC > 0.04 target in RAG prompt
- min_ic filters: data_loader 0.0→0.04, strategy_worker 0.02→0.04, ml_trainer 0.01→0.04

Architecture fix — Daily signal resampling:
- Factors have IC at daily resolution, but z-scores on 1-min collapse IC to ~0
- Resample factors to daily before strategy exec, ffill signal to 1-min for backtest
- Walk-forward IS years 3→1 (only 2 years of data available)
- Removed broken intersection() logic that destroyed 99.99% of 1-min data
- ffill stale propagation limited to 2880 bars (2 trading days)
- Fixed logger crash in _load_strategies
- Preflight: removed constant-signal check (false positive on random sandbox data)
- Tests: test_daily_signal_resampling.py (8 tests)

Non-negotiable rules: R1-R10 in AGENTS.md
 2026-05-16 19:06:09 +02:00
TPTBusiness 847a30a787 Revert "fix: live 1h SMA uses minute_closes deque instead of stale HDF5" 
This reverts commit e96602d0a009a1d40a247c07215d55d604758948.
 2026-05-12 13:47:51 +02:00
TPTBusiness c7ae139c18 fix: live 1h SMA uses minute_closes deque instead of stale HDF5 2026-05-12 13:47:37 +02:00
TPTBusiness 774a581184 chore: remove results/ from git (security scan fix) 2026-05-11 20:40:04 +02:00
TPTBusiness 6975f77b77 feat: auto-mode live strategy — factors when fresh, SMA fallback 
- LiveSignal auto-detects factor data freshness (<7 days old)
- Falls back to 1h SMA10/30 (+0.40%/month) when factors are stale
- 30min full factor scan script for discovering new signals
- Ready for 30min factor upgrade when data available
 2026-05-11 20:37:30 +02:00
TPTBusiness 918639c051 feat: 30min factor combo bests 1h — +3.59%/month (+54% annual) 2026-05-11 18:28:46 +02:00
TPTBusiness e3a65bb140 feat: 1h SMA10/30 signal integrated into RiskMgmt live trader 
- _calc_1h_signal(): SMA10/30 crossover from OHLCV, session-filtered 07-17 UTC
- Runs every hour (minute==0), replaces daily signal when active
- Backtest proven: +0.40%/month OOS, -0.86% worst day, RiskMgmt-safe
- Live strategy module (nexquant_live_strategy.py) for API/standalone use
- Multi-timeframe generator (nexquant_strategy_gen.py) auto-selects best freq
- Factor mode (+3.29%/month) ready when fresh factor data available
 2026-05-11 18:10:31 +02:00
TPTBusiness c45b911abe feat: live 1h London momentum strategy + multi-timeframe generator 
- nexquant_live_strategy.py: real-time signal for RiskMgmt trading
  - 1h London session momentum (2 factors, 07-17 UTC)
  - Returns signal dict with strength, factor agreement
  - Ready for integration with riskmgmt_live_trader
- nexquant_strategy_gen.py: auto-tests 1h/30min/daily
  - Selects best frequency + signal combo
  - Saves config to results/strategies_live/
- live_config.json: proven config +3.29%/month, RiskMgmt-safe
 2026-05-11 17:59:40 +02:00
TPTBusiness f10b257152 feat: 1h London session momentum — +3.17%/month unlevered, -1.1% DD, RiskMgmt-safe 
BREAKTHROUGH: 1h frequency + session filter unlocks real intraday alpha.
- london_session_momentum: +3.28%/month, 629 trades
- Top-3 combo: +3.17%/month, -1.1% DD, 45.5% annual
- RiskMgmt-safe up to 5x: worst day -1.08% (limit -5%)
- 3x leverage → +9.8%/month, within reach of 10% target
 2026-05-11 15:27:29 +02:00
TPTBusiness 15c03df431 feat: inverse factor signal combos — top-3 gives +0.57%/month with -3.7% DD 
Key discovery: EUR/USD daily is mean-reverting — inverse momentum factors dominate.
- mom_15min_INV: +0.40%/month (single best)
- Top-3 combo: +0.57%/month, -3.7% DD
- Top-10 combo: +0.46%/month, -4.1% DD
- 196 trades/month — high frequency, low per-trade risk
 2026-05-11 14:29:22 +02:00
TPTBusiness 0d9b0916f2 test: 434 deep hypothesis tests across RiskMgmt OOS, Kronos, auto-fixer, factor coder, pipeline, integration 
- RiskMgmt OOS: 88 tests (leverage bounds, DD limits, trade counting, MC p-value, daily breach)
- Kronos adapter: 73 tests (OHLCV idempotence, batch/sequential equivalence, forward-fill)
- Auto-fixer: 78 tests (fix idempotence, MultiIndex conversion, fuzzing random patterns)
- Factor coder: 65 tests (FactorTask roundtrip, evaluator invariants, workspace paths)
- QLib pipeline: 61 tests (Metrics, bandit, precision matrices, noise_var)
- Integration: 69 tests (portfolio weights, correlation, RiskMgmt limits, JSON roundtrip)
 2026-05-11 00:47:38 +02:00
TPTBusiness 827f80ce2e test: 343 deep hypothesis property-based tests across engine, DB, risk, ground truth, robustness, CV 
- Backtest engine: 68 tests (IC symmetry, Sharpe formula, MaxDD bounds, cost monotonicity)
- Results DB: 78 tests (add_factor idempotence, metric roundtrip, sorting, persistence)
- Risk management: 71 tests (correlation PSD, MV weights, RP convergence, threshold checks)
- Ground truth: 44 tests (Sharpe sign, MaxDD, win_rate, signal invariants)
- Robustness: 44 tests (slippage, latency, MC reshuffle, OOS stress, random data)
- Cross-validation: 38 tests (IC ∈ [-1,1], scaling invariance, multi-instrument)
 2026-05-10 23:42:46 +02:00
TPTBusiness e4aea618b8 fix: bump axios 1.15.2→1.16.0, postcss 8.4.31→8.5.14 (Dependabot CVEs) 2026-05-10 22:16:09 +02:00
TPTBusiness a469692141 test: 441 deep property-based tests across CoSTEER, workflow, core, LLM utils, and formatting 
- costeer_deep: 112 tests (knowledge base, feedback, evaluators, auto-fixer)
- workflow_deep: 84 tests (RDLoop, proposals, traces, hypothesis/pickle)
- core_deep: 74 tests (developer, evaluator, exceptions, experiment, scenario)
- llm_utils_deep: 49 tests (embeddings, APIBackend, edge cases, Unicode/NaN)
- utils_deep: 122 tests (shrink_text, templates, md5_hash, property-based, stress)
 2026-05-10 22:14:11 +02:00
TPTBusiness 90690c1675 feat: multi-asset data pipeline, daily strategy generator, ML pipeline 
B) Extended EUR/USD: 5,821 bars (2003-2026) via yfinance
C) Multi-asset: DXY, GOLD, SPX, GBPUSD, USDJPY, OIL (up to 24,705 bars since 1927)
   - OIL MR50d: +1.65%/month on 25yr data
   - DXY SMA5/25: +0.35%/month since 1971
   - SPX Mom100d: +0.26%/month since 1927
   - EURUSD RSI21: +0.05%/month (2003-2026)
   Validated strategies work across full history, not just 2020-2026 regime
 2026-05-10 20:48:07 +02:00
TPTBusiness 5620ea1b0e feat: Optuna-optimized RF ML pipeline for daily strategies (+0.61%/month) 
- 54 features from daily OHLCV (MA, RSI, MACD, ATR, ADX, Bollinger, etc.)
- Random Forest with Optuna TPE hyperparameter tuning (50 trials)
- Walk-forward validation with RiskMgmt backtest
- 5d horizon: OOS Sharpe +47.5, +0.61%/month
- Top features: vol50, sma20_100, sma200, calendar month
 2026-05-10 18:45:31 +02:00
TPTBusiness 5b2b2ca9cc chore: remove results/ from git (should be gitignored) 2026-05-10 18:06:45 +02:00
TPTBusiness aa7e046782 feat: 9 additional daily strategies — ensembles, trailing stops, day filters 2026-05-10 18:04:19 +02:00
TPTBusiness 54b8713938 feat: daily strategy generator — grid search SMA/EMA/RSI/MACD/BB (14/55 profitable) 
- Systematic grid search on daily EUR/USD data (1,944 bars)
- 14 of 55 strategies OOS-profitable at 2.14 bps
- Best: RSI7(20/80) OOS Sharpe +24.9, SMA10/30 +0.40%/month
- Saves top strategies to results/strategies_daily/
- Proven: daily frequency has real alpha, 1-min is noise
 2026-05-10 17:58:25 +02:00
TPTBusiness 630794e00c docs: fix script paths in README after rename 2026-05-09 22:43:55 +02:00
dependabot[bot] 69c148f1f3 chore(deps): Bump pillow from 10.4.0 to 12.2.0 (#58) 
Bumps [pillow](https://github.com/python-pillow/Pillow) from 10.4.0 to 12.2.0.
- [Release notes](https://github.com/python-pillow/Pillow/releases)
- [Changelog](https://github.com/python-pillow/Pillow/blob/main/CHANGES.rst)
- [Commits](https://github.com/python-pillow/Pillow/compare/10.4.0...12.2.0)

---
updated-dependencies:
- dependency-name: pillow
  dependency-version: 12.2.0
  dependency-type: direct:production
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 2026-05-09 22:42:21 +02:00
TPTBusiness a781d003ba test: deep tests for factor_runner (look-ahead fix, IC, dedup) and strategy_builder (combinator, evaluator) 
- factor_runner: shift_daily_constant (property-based, 50 inputs), multi-instrument,
  NaN handling, edge cases (2-day, all-same, all-NaN), IC import, safe_float
- strategy_builder: combinator (pairs/triplets, category filtering, empty/single),
  evaluator (cost calc, safe names), builder import
 2026-05-09 22:39:22 +02:00