50d1fb47e3
feat: Gold (XAU/USD) — daily swing scanner + TF auto-adaptation
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- 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
723ba6f004
feat: add XAUUSD (Gold) to instruments for multi-asset discovery
2026-06-04 14:21:41 +02:00
a721605f4b
fix: disable vola filter — it killed EUR/GBP profitability
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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
a9d181398b
feat: News filter + soft cross-pair confirmation in R&D loop
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- 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
4773e95a6c
feat: R&D Loop V2 — Multi-Instrument + Correlation Score + Session/Vola Filter
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- 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
9ce6a4e6ec
fix: ML trigger priority over Optuna (2000 % 500 == 0 collision)
2026-05-31 17:49:49 +02:00
b793a8114b
fix: adaptive exploration boost when SOTA dominated by single indicator
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- +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
6bce4f2405
feat: multi_role strategy — trend filter + entry gating across TFs
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- 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
2e028ffc1e
fix: raise exploration rate to 30% — discover indicators beyond MACD
2026-05-31 17:28:44 +02:00
6cd362aa25
feat: R&D loop — Optuna optimization + LightGBM ML training
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- 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
a373710454
perf: Numba GPU-accelerated backtest — 245× faster (735M bars/s)
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- 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
ee3d7786c3
feat: new R&D loop — indicator discovery with exploit/explore mechanics
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- 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