feat: apply #28B smart breakeven + #31B H1 EMA20 filter, add backtests #26-#32
Live trading optimizations (cumulative: $2,807 net, 81.8% WR, Sharpe 3.97): - #28B: Smart breakeven locks profit at entry + 0.5x ATR instead of fixed $2 - #31B: H1 Price vs EMA20 filter — BUY only when H1 bullish, SELL only when bearish Backtests #26-#32 (7 scripts testing sell improvement, regime-aware entry, confluence scoring, dynamic RR, multi-TF H1, and ML exit optimizer). Winners: #28B (+$229), #31B (+$343). Failed: #26, #27, #29, #30, #32. Also includes: web dashboard redesign, Docker setup, startup scripts. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
GifariKemal
co-authored by
Claude Opus 4.6
Claude Opus 4.6
parent
53d8cd26a2
commit
214b64945d
+31
-66
@@ -525,15 +525,14 @@ class TradingBot:
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# --- H1 Multi-Timeframe Bias (Fix 5) ---
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def _get_h1_bias(self) -> str:
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"""
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Determine H1 higher-timeframe bias using SMC structure.
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Determine H1 higher-timeframe bias using Price vs EMA20 (#31B).
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Returns: "BULLISH", "BEARISH", or "NEUTRAL"
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Logic:
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Logic (#31B: backtest +$343, WR 81.8%, Sharpe 3.97, DD 2.5%):
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- Fetch H1 data (100 bars)
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- Run SMC analysis (BOS, CHoCH, OB, FVG)
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- Last BOS/CHoCH direction = H1 bias
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- If H1 has bullish OB near price → BULLISH zone
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- If H1 has bearish OB near price → BEARISH zone
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- Calculate EMA20 on H1 closes
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- If price > EMA20 * 1.001 → BULLISH (allow BUY only)
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- If price < EMA20 * 0.999 → BEARISH (allow SELL only)
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"""
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try:
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# Cache H1 bias — only update every 4 candles (1 hour) since H1 changes slowly
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@@ -550,73 +549,31 @@ class TradingBot:
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if len(df_h1) < 20:
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return "NEUTRAL"
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# Run SMC on H1 data
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from src.smc_polars import SMCAnalyzer
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h1_smc = SMCAnalyzer(swing_length=5, fvg_min_gap_pips=5.0, ob_lookback=10)
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df_h1 = h1_smc.calculate_all(df_h1)
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# #31B: Price vs EMA20 method (backtested winner)
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import numpy as np
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closes = df_h1["close"].to_list()
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current_price = closes[-1]
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current_price = df_h1["close"].tail(1).item()
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# Calculate EMA20
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period = 20
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multiplier = 2 / (period + 1)
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ema = np.mean(closes[:period])
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for val in closes[period:]:
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ema = (val - ema) * multiplier + ema
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# Determine bias with small buffer (0.1% threshold)
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bias = "NEUTRAL"
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# 1. Check last BOS direction on H1
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bos_col = df_h1["bos"].to_list()
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last_bos = 0
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for v in reversed(bos_col[-20:]):
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if v != 0:
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last_bos = v
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break
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# 2. Check last CHoCH direction on H1
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choch_col = df_h1["choch"].to_list()
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last_choch = 0
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for v in reversed(choch_col[-20:]):
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if v != 0:
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last_choch = v
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break
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# 3. Check if price is near H1 Order Block
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ob_col = df_h1["ob"].to_list()
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highs = df_h1["high"].to_list()
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lows = df_h1["low"].to_list()
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near_bullish_ob = False
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near_bearish_ob = False
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for i in range(-10, 0): # Last 10 H1 candles
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idx = len(ob_col) + i
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if idx < 0:
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continue
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ob_val = ob_col[idx]
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if ob_val == 1: # Bullish OB
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# Price within OB zone (low to high of that candle)
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if lows[idx] <= current_price <= highs[idx] * 1.002:
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near_bullish_ob = True
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elif ob_val == -1: # Bearish OB
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if lows[idx] * 0.998 <= current_price <= highs[idx]:
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near_bearish_ob = True
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# Determine bias: BOS > CHoCH > OB proximity
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if last_bos == 1:
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if current_price > ema * 1.001:
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bias = "BULLISH"
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elif last_bos == -1:
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elif current_price < ema * 0.999:
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bias = "BEARISH"
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elif last_choch == 1:
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bias = "BULLISH"
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elif last_choch == -1:
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bias = "BEARISH"
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# OB proximity can override if no clear structure
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if bias == "NEUTRAL":
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if near_bullish_ob:
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bias = "BULLISH"
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elif near_bearish_ob:
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bias = "BEARISH"
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# Cache result
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self._h1_bias_cache = bias
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self._h1_bias_loop = self._loop_count
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if self._loop_count % 4 == 0:
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logger.info(f"H1 Bias: {bias} (BOS={last_bos}, CHoCH={last_choch}, near_bull_OB={near_bullish_ob}, near_bear_OB={near_bearish_ob})")
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logger.info(f"H1 Bias: {bias} (price={current_price:.2f}, EMA20={ema:.2f})")
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return bias
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@@ -962,10 +919,18 @@ class TradingBot:
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if final_signal is None:
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return
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# 10.1 H1 Multi-Timeframe Filter - DISABLED (SMC-only mode)
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# H1 bias still logged for dashboard but does NOT block trades
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# 10.1 H1 Multi-Timeframe Filter (#31B: Price vs EMA20 — backtest +$343)
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# BUY only when H1 is BULLISH, SELL only when H1 is BEARISH
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if h1_bias != "NEUTRAL":
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logger.info(f"H1 Bias: {h1_bias} (monitoring only, not blocking)")
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if (final_signal.signal_type == "BUY" and h1_bias != "BULLISH") or \
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(final_signal.signal_type == "SELL" and h1_bias != "BEARISH"):
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logger.info(f"H1 Filter: {final_signal.signal_type} blocked (H1={h1_bias})")
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return
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logger.info(f"H1 Filter: {final_signal.signal_type} aligned with H1={h1_bias}")
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else:
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# H1 NEUTRAL = block both directions (strict mode from backtest)
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logger.info(f"H1 Filter: {final_signal.signal_type} blocked (H1=NEUTRAL)")
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return
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# 10.5 Check trade cooldown
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if self._last_trade_time:
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