feat: add 5 dashboard features — dark mode, trade history, backtests, model insights, alerts
- Dark mode: class-based theme toggle with localStorage persistence and flash prevention - Trade History (/trades): paginated table, stats cards, equity curve chart with DB API endpoints - Backtest Viewer (/backtests): log parser for 35 backtest results, sidebar + detail + comparison tabs - Model Insights: dashboard card + dialog showing feature importance, regime distribution, training history - Alert/Signal Log (/alerts): signal stats, filterable table with execution tracking - API: 8 new endpoints with psycopg2 DB connection pool - Dark mode sweep across books page, about dialog, and all dashboard components - Architecture docs rewritten with Mermaid diagrams (23 docs) - README and FEATURES.md rewritten bilingual (Indonesian + English) - main_live.py: write model_metrics.json on startup and retrain Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
GifariKemal
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Claude Opus 4.6
Claude Opus 4.6
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# XAUBot AI — Feature Reference
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# XAUBot AI — Referensi Fitur
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## Overview
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## Gambaran Umum
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XAUBot AI is an automated XAUUSD (Gold) trading bot that combines **XGBoost Machine Learning**, **Smart Money Concepts (SMC)**, and **Hidden Markov Model (HMM)** regime detection. It operates on MetaTrader 5 via an asynchronous Python loop, executing trades on the M15 (15-minute) timeframe.
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XAUBot AI adalah bot *trading* XAUUSD (Emas) otomatis yang menggabungkan **XGBoost *Machine Learning***, **Smart Money Concepts (SMC)**, dan **Hidden Markov Model (HMM)** untuk deteksi *regime*. Bot ini beroperasi di MetaTrader 5 melalui *loop* Python asinkron, mengeksekusi *trade* pada *timeframe* M15 (15 menit).
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The bot follows a strict pipeline: data is fetched, features are engineered, market structure is analyzed, regime is classified, ML predictions are generated, and a series of 14 sequential filters determine whether a trade is executed. Once in a position, 12 exit conditions are monitored every 5-10 seconds.
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Bot mengikuti *pipeline* yang ketat: data diambil, fitur direkayasa, struktur pasar dianalisis, *regime* diklasifikasikan, prediksi ML dihasilkan, dan serangkaian 14 *filter* berurutan menentukan apakah *trade* dieksekusi. Setelah posisi terbuka, 12 kondisi *exit* dipantau setiap 5-10 detik.
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---
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## Entry Filter Pipeline
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## *Pipeline* 14 *Entry Filter*
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There are **14 filters** that run in order during `_trading_iteration()`. A signal must pass **ALL** of them to execute a trade.
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Terdapat **14 *filter*** yang berjalan secara berurutan selama `_trading_iteration()`. Sebuah sinyal harus melewati **SEMUA** *filter* untuk mengeksekusi *trade*.
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### 1. Data Fetch
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- Pulls **200 M15 bars** from MetaTrader 5.
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- Data is converted to a **Polars DataFrame** (not Pandas).
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### 1. Pengambilan Data
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- Mengambil **200 *bar* M15** dari MetaTrader 5.
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- Data dikonversi ke **Polars *DataFrame*** (bukan Pandas).
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### 2. Feature Engineering
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- Calculates **37 technical features** from the OHLCV data.
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- Includes: RSI, ATR, MACD, Bollinger Bands, EMA (multiple periods), Stochastic, volume-based indicators, and more.
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- All computations use Polars for performance.
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### 2. Rekayasa Fitur (*Feature Engineering*)
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- Menghitung **37 fitur teknikal** dari data OHLCV.
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- Meliputi: *RSI*, *ATR*, *MACD*, *Bollinger Bands*, *EMA* (berbagai periode), *Stochastic*, indikator berbasis volume, dan lainnya.
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- Semua komputasi menggunakan Polars untuk performa.
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### 3. SMC Analysis
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- Detects institutional **Smart Money Concepts** structures:
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- **Order Blocks (OB)** — supply/demand zones from institutional activity.
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- **Fair Value Gaps (FVG)** — imbalances in price action.
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- **Break of Structure (BOS)** — continuation signals.
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- **Change of Character (CHoCH)** — reversal signals.
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### 3. Analisis *SMC*
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- Mendeteksi struktur institusional *Smart Money Concepts*:
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- ***Order Block* (OB)** — zona *supply/demand* dari aktivitas institusional.
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- ***Fair Value Gap* (FVG)** — ketidakseimbangan dalam *price action*.
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- ***Break of Structure* (BOS)** — sinyal kelanjutan tren.
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- ***Change of Character* (CHoCH)** — sinyal pembalikan arah.
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### 4. Regime Detection
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- **HMM (Hidden Markov Model)** classifies the current market state:
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- `TRENDING` — directional movement, favorable for entries.
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- `RANGING` — sideways consolidation, reduced sizing.
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- `HIGH_VOLATILITY` — erratic movement, caution required.
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- `CRISIS` — extreme conditions, trading blocked.
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### 4. Deteksi *Regime*
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- ***HMM* (*Hidden Markov Model*)** mengklasifikasikan kondisi pasar saat ini:
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- `TRENDING` — pergerakan searah, kondusif untuk *entry*.
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- `RANGING` — konsolidasi menyamping, ukuran posisi dikurangi.
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- `HIGH_VOLATILITY` — pergerakan tidak menentu, butuh kehati-hatian.
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- `CRISIS` — kondisi ekstrem, *trading* diblokir.
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### 5. Flash Crash Guard
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- Emergency protection: if price move exceeds a threshold percentage, **all positions are immediately closed**.
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- Prevents catastrophic loss during sudden market dislocations.
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### 5. Pelindung *Flash Crash*
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- Proteksi darurat: jika pergerakan harga melebihi ambang persentase tertentu, **semua posisi langsung ditutup**.
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- Mencegah kerugian katastropik saat dislokasi pasar mendadak.
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### 6. Regime Filter
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- Blocks trading entirely if the regime recommendation is `SLEEP`.
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- Prevents entries during unfavorable market conditions identified by the HMM.
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### 6. *Filter Regime*
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- Memblokir *trading* sepenuhnya jika rekomendasi *regime* adalah `SLEEP`.
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- Mencegah *entry* saat kondisi pasar tidak menguntungkan yang teridentifikasi oleh *HMM*.
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### 7. Risk Check
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- Blocks trading if:
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- **Daily loss limit** has been reached (5% of capital).
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- **Equity** is too low relative to required margin.
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- **Total loss limit** has been breached (10% of capital).
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### 7. Pemeriksaan Risiko
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- Memblokir *trading* jika:
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- **Batas kerugian harian** telah tercapai (5% dari kapital).
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- ***Equity*** terlalu rendah relatif terhadap *margin* yang dibutuhkan.
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- **Batas kerugian total** telah dilanggar (10% dari kapital).
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### 8. Session Filter
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- Filters based on **WIB (Western Indonesian Time)** trading sessions.
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- Each session applies a **lot size multiplier** to control exposure:
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- **Sydney** (06:00-13:00 WIB) — 0.5x multiplier (low volatility).
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- **Tokyo** (07:00-16:00 WIB) — 0.7x multiplier (medium volatility).
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- **London** (15:00-24:00 WIB) — 1.0x multiplier (high volatility).
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- **New York** (20:00-24:00 WIB) — 1.0x multiplier (extreme volatility).
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- **Off-Hours** (00:00-06:00 WIB) — **blocked entirely**.
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### 8. *Filter* Sesi
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- Memfilter berdasarkan sesi *trading* **WIB (Waktu Indonesia Barat)**.
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- Setiap sesi menerapkan ***lot size multiplier*** untuk mengontrol eksposur:
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- **Sydney** (06:00-13:00 WIB) — *multiplier* 0.5x (volatilitas rendah).
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- **Tokyo** (07:00-16:00 WIB) — *multiplier* 0.7x (volatilitas sedang).
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- **London** (15:00-24:00 WIB) — *multiplier* 1.0x (volatilitas tinggi).
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- **New York** (20:00-24:00 WIB) — *multiplier* 1.0x (volatilitas ekstrem).
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- ***Off-Hours*** (00:00-06:00 WIB) — **diblokir sepenuhnya**.
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### 9. H1 Bias Filter (#31B)
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- Multi-timeframe confirmation using **EMA20 on the H1 chart**.
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- Price position relative to H1 EMA20 determines directional bias:
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- **BULLISH** (price above EMA20) — only BUY signals allowed.
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- **BEARISH** (price below EMA20) — only SELL signals allowed.
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- **NEUTRAL** (price near EMA20) — **all signals blocked**.
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- Backtest result: **+$343 improvement, 81.8% win rate, Sharpe 3.97**.
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### 9. *Filter Bias* H1 (#31B)
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- Konfirmasi *multi-timeframe* menggunakan ***EMA20* pada *chart* H1**.
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- Posisi harga relatif terhadap *EMA20* H1 menentukan bias arah:
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- **BULLISH** (harga di atas *EMA20*) — hanya sinyal *BUY* yang diizinkan.
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- **BEARISH** (harga di bawah *EMA20*) — hanya sinyal *SELL* yang diizinkan.
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- **NEUTRAL** (harga dekat *EMA20*) — **semua sinyal diblokir**.
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- Hasil *backtest*: **+$343 peningkatan, *win rate* 81.8%, *Sharpe* 3.97**.
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### 10. SMC Signal Generation
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- Generates a **BUY or SELL signal** based on SMC structure analysis.
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- Each signal includes a **confidence score** derived from the quality of the detected structures (OB proximity, FVG alignment, BOS/CHoCH context).
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### 10. Generasi Sinyal *SMC*
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- Menghasilkan sinyal ***BUY* atau *SELL*** berdasarkan analisis struktur *SMC*.
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- Setiap sinyal memiliki ***confidence score*** yang berasal dari kualitas struktur yang terdeteksi (kedekatan *OB*, keselarasan *FVG*, konteks *BOS*/*CHoCH*).
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### 11. Signal Combination
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- Combines **SMC signal + ML (XGBoost) prediction**.
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- Applies a **dynamic confidence threshold** that adapts based on:
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- Current trading session.
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- Market regime.
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- Recent volatility.
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- Both signals must agree on direction; combined confidence must exceed the threshold.
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### 11. Kombinasi Sinyal
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- Menggabungkan **sinyal *SMC* + prediksi *ML* (*XGBoost*)**.
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- Menerapkan ***dynamic confidence threshold*** yang beradaptasi berdasarkan:
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- Sesi *trading* saat ini.
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- *Regime* pasar.
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- Volatilitas terkini.
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- Kedua sinyal harus sepakat arah; *confidence* gabungan harus melampaui *threshold*.
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### 12. Time Filter (#34A)
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- Skips specific WIB hours known for poor conditions:
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- **Hour 9 WIB** — end of New York session, low liquidity.
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- **Hour 21 WIB** — London-New York transition, prone to whipsaw.
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- Backtest result: **+$356 improvement**.
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### 12. *Filter* Waktu (#34A)
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- Melewatkan jam WIB tertentu yang dikenal berkondisi buruk:
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- **Jam 9 WIB** — akhir sesi *New York*, likuiditas rendah.
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- **Jam 21 WIB** — transisi *London*-*New York*, rawan *whipsaw*.
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- Hasil *backtest*: **+$356 peningkatan**.
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### 13. Trade Cooldown
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- Enforces a minimum **150 seconds (2.5 minutes)** between consecutive trades.
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- Prevents overtrading and rapid-fire entries from noisy signals.
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### 13. *Cooldown Trade*
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- Memberlakukan jeda minimum **150 detik (2.5 menit)** antara *trade* berturut-turut.
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- Mencegah *overtrading* dan *entry* bertubi-tubi dari sinyal yang noisy.
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### 14. Smart Risk Gate
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- Final gate before execution. Checks:
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- **Trading mode**: `NORMAL`, `RECOVERY`, `PROTECTED`, or `STOPPED`.
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- **Lot size calculation**: Based on ATR, capital mode, and session multiplier.
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- **Position limit**: Maximum **2 concurrent positions** allowed.
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- If mode is `STOPPED`, no trade is executed regardless of signal quality.
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### 14. Gerbang Risiko Cerdas (*Smart Risk Gate*)
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- Gerbang terakhir sebelum eksekusi. Memeriksa:
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- **Mode *trading***: `NORMAL`, `RECOVERY`, `PROTECTED`, atau `STOPPED`.
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- **Perhitungan *lot size***: Berdasarkan *ATR*, mode kapital, dan *multiplier* sesi.
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- **Batas posisi**: Maksimal **2 posisi bersamaan** diizinkan.
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- Jika mode `STOPPED`, tidak ada *trade* yang dieksekusi terlepas dari kualitas sinyal.
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---
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## Exit Conditions
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## 12 Kondisi *Exit*
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**12 exit conditions** are checked every **5-10 seconds** while a position is open.
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**12 kondisi *exit*** diperiksa setiap **5-10 detik** selama posisi terbuka.
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### 1. Take Profit (Broker-Level TP)
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- TP is set at the broker level at entry time.
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- Calculated using ATR-based risk-reward ratios.
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### 1. *Take Profit* (TP Level Broker)
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- *TP* dipasang di level broker saat *entry*.
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- Dihitung menggunakan rasio *risk-reward* berbasis *ATR*.
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### 2. Trailing Stop (#24B)
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- **ATR-adaptive trailing stop**:
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- Activation distance: **ATR x 4.0**.
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- Step size: **ATR x 3.0**.
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- Locks in profits as price moves favorably.
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### 2. *Trailing Stop* (#24B)
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- ***Trailing stop* adaptif berbasis *ATR***:
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- Jarak aktivasi: ***ATR* x 4.0**.
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- Ukuran langkah: ***ATR* x 3.0**.
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- Mengunci keuntungan seiring harga bergerak menguntungkan.
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### 3. Breakeven Move (#24B)
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- Moves stop loss to **entry price** (breakeven) when unrealized profit exceeds **ATR x 2.0**.
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- Eliminates risk on the trade after a favorable move.
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### 3. Perpindahan *Breakeven* (#24B)
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- Memindahkan *stop loss* ke **harga *entry*** (*breakeven*) saat keuntungan belum direalisasi melampaui ***ATR* x 2.0**.
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- Menghilangkan risiko pada *trade* setelah pergerakan menguntungkan.
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### 4. ML Reversal Exit
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- Closes the position if the ML model's confidence **flips direction** with confidence exceeding **75%**.
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- Responds to changing market conditions detected by XGBoost.
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### 4. *Exit* Pembalikan *ML*
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- Menutup posisi jika *confidence* model *ML* **berbalik arah** dengan *confidence* melebihi **75%**.
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- Merespons perubahan kondisi pasar yang terdeteksi oleh *XGBoost*.
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### 5. Max Loss Per Trade
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- **Software-level stop loss** at **1% of capital**.
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- Acts as a safety net in addition to broker SL.
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### 5. Kerugian Maksimal Per *Trade*
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- ***Stop loss* level perangkat lunak** sebesar **1% dari kapital**.
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- Berfungsi sebagai jaring pengaman di samping *SL* broker.
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### 6. Daily Loss Limit
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- If cumulative daily loss reaches **5% of capital**, **all positions are closed** and trading halts for the day.
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### 6. Batas Kerugian Harian
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- Jika kerugian kumulatif harian mencapai **5% dari kapital**, **semua posisi ditutup** dan *trading* dihentikan untuk hari itu.
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### 7. Total Loss Limit
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- If cumulative total loss reaches **10% of capital**, **trading is stopped entirely** until manual intervention.
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### 7. Batas Kerugian Total
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- Jika kerugian kumulatif total mencapai **10% dari kapital**, ***trading* dihentikan sepenuhnya** sampai intervensi manual.
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### 8. Market Close Handler
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- Before daily close or weekend close:
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- Takes profit on positions with unrealized profit **> $5**.
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- Prevents gap risk from overnight/weekend holds.
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### 8. Penanganan Penutupan Pasar
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- Sebelum penutupan harian atau penutupan akhir pekan:
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- Mengambil keuntungan pada posisi dengan *unrealized profit* **> $5**.
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- Mencegah risiko *gap* dari posisi yang terbawa semalam/akhir pekan.
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### 9. Flash Crash Emergency
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- Triggered by sudden extreme price movement.
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- **Immediately closes all open positions** without delay.
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### 9. Darurat *Flash Crash*
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- Dipicu oleh pergerakan harga ekstrem secara tiba-tiba.
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- **Langsung menutup semua posisi terbuka** tanpa penundaan.
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### 10. Drawdown Protection
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- Monitors drawdown from equity peak.
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- Closes all positions if drawdown exceeds **50%** from the peak.
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### 10. Proteksi *Drawdown*
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- Memantau *drawdown* dari puncak *equity*.
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- Menutup semua posisi jika *drawdown* melebihi **50%** dari puncak.
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### 11. Impulse Trail (#33B)
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- Enhanced trailing stop using **impulse candle detection**.
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- Identifies strong momentum candles and trails the stop behind them.
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- More responsive than standard ATR trailing in trending conditions.
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### 11. *Impulse Trail* (#33B)
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- *Trailing stop* yang ditingkatkan menggunakan **deteksi *impulse candle***.
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- Mengidentifikasi *candle* momentum kuat dan men-*trail* *stop* di belakangnya.
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- Lebih responsif dibanding *trailing ATR* standar dalam kondisi tren.
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### 12. Smart Breakeven (#28B)
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- Enhanced breakeven logic with **ATR multiplier triggers**:
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- Trigger: profit exceeds **ATR x 2.0**.
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- Moves SL to entry + small buffer.
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- More adaptive than fixed-pip breakeven.
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### 12. *Smart Breakeven* (#28B)
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- Logika *breakeven* yang ditingkatkan dengan **pemicu *ATR multiplier***:
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- Pemicu: keuntungan melampaui ***ATR* x 2.0**.
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- Memindahkan *SL* ke *entry* + *buffer* kecil.
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- Lebih adaptif dibanding *breakeven* berbasis pip tetap.
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---
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## Backtest Optimization History
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## Riwayat Optimasi *Backtest*
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Summary of key optimizations applied to the live bot, tested and validated through backtesting.
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Rangkuman optimasi utama yang diterapkan ke bot *live*, diuji dan divalidasi melalui *backtest*.
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| # | Name | Key Change | Result |
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|---|------|------------|--------|
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| #24B | ATR-Adaptive Exit | ATR-based trailing (4.0x) and breakeven (2.0x) multipliers | Base optimization for exit logic |
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| #28B | Smart Breakeven | Enhanced breakeven with ATR x 2.0 trigger | Improved exit timing on winning trades |
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| #31B | H1 EMA20 Filter | H1 price vs EMA20 multi-timeframe filter | +$343, WR 81.8%, Sharpe 3.97 |
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| #33B | Impulse Trail | Trail using impulse candle detection | Better trailing in trending markets |
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| #34A | Skip Hours | Skip WIB hours 9 and 21 | +$356, reduced whipsaw losses |
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| # | Nama | Perubahan Utama | Hasil |
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|---|------|-----------------|-------|
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| #24B | *ATR-Adaptive Exit* | *Trailing* berbasis *ATR* (4.0x) dan *breakeven* (2.0x) *multiplier* | Optimasi dasar untuk logika *exit* |
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| #28B | *Smart Breakeven* | *Breakeven* yang ditingkatkan dengan pemicu *ATR* x 2.0 | Peningkatan waktu *exit* pada *trade* yang menang |
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| #31B | *Filter* H1 *EMA20* | *Filter multi-timeframe* harga H1 vs *EMA20* | +$343, WR 81.8%, *Sharpe* 3.97 |
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| #33B | *Impulse Trail* | *Trail* menggunakan deteksi *impulse candle* | *Trailing* lebih baik di pasar tren |
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| #34A | Lewati Jam Tertentu | Lewati jam WIB 9 dan 21 | +$356, pengurangan kerugian *whipsaw* |
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---
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## Risk Management
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## Manajemen Risiko
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### Capital Modes
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### Mode Kapital
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Capital modes are auto-configured based on account balance. Each mode sets risk parameters appropriate for the account size.
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Mode kapital dikonfigurasi otomatis berdasarkan saldo akun. Setiap mode mengatur parameter risiko yang sesuai untuk ukuran akun.
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| Mode | Capital Range | Risk/Trade | Max Lot |
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|------|--------------|------------|---------|
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| Mode | Rentang Kapital | Risiko/*Trade* | *Lot* Maks |
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|------|----------------|----------------|------------|
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||||
| MICRO | < $500 | 2% | 0.02 |
|
||||
| SMALL | $500 - $10,000 | 1.5% | 0.05 |
|
||||
| MEDIUM | $10,000 - $100,000 | 0.5% | 0.10 |
|
||||
| LARGE | > $100,000 | 0.25% | 0.50 |
|
||||
|
||||
### Trading Modes
|
||||
### Mode *Trading*
|
||||
|
||||
The Smart Risk Manager dynamically adjusts the trading mode based on recent performance.
|
||||
*Smart Risk Manager* secara dinamis menyesuaikan mode *trading* berdasarkan performa terkini.
|
||||
|
||||
| Mode | Trigger | Lot Adjustment |
|
||||
|------|---------|---------------|
|
||||
| NORMAL | Default state | Base lot (0.01-0.03) |
|
||||
| RECOVERY | After a losing trade | Recovery lot (0.01) |
|
||||
| PROTECTED | Approaching daily loss limit | Minimum lot (0.01) |
|
||||
| STOPPED | Daily or total loss limit hit | No trading allowed |
|
||||
| Mode | Pemicu | Penyesuaian *Lot* |
|
||||
|------|--------|-------------------|
|
||||
| NORMAL | Kondisi *default* | *Lot* dasar (0.01-0.03) |
|
||||
| RECOVERY | Setelah *trade* rugi | *Lot* pemulihan (0.01) |
|
||||
| PROTECTED | Mendekati batas kerugian harian | *Lot* minimum (0.01) |
|
||||
| STOPPED | Batas kerugian harian atau total tercapai | *Trading* tidak diizinkan |
|
||||
|
||||
### Risk Limits
|
||||
### Batas Risiko
|
||||
|
||||
| Limit | Value | Action |
|
||||
|-------|-------|--------|
|
||||
| Max daily loss | 5% of capital | Close all positions, halt trading for the day |
|
||||
| Max total loss | 10% of capital | Stop all trading until manual reset |
|
||||
| Max loss per trade | 1% of capital | Software stop loss |
|
||||
| Emergency broker SL | 2% of capital | Broker-level hard stop |
|
||||
| Max concurrent positions | 2 | Reject new entries if at limit |
|
||||
| Batas | Nilai | Aksi |
|
||||
|-------|-------|------|
|
||||
| Kerugian harian maks | 5% dari kapital | Tutup semua posisi, hentikan *trading* untuk hari itu |
|
||||
| Kerugian total maks | 10% dari kapital | Hentikan semua *trading* sampai *reset* manual |
|
||||
| Kerugian maks per *trade* | 1% dari kapital | *Stop loss* perangkat lunak |
|
||||
| *SL* darurat broker | 2% dari kapital | *Hard stop* level broker |
|
||||
| Posisi bersamaan maks | 2 | Tolak *entry* baru jika sudah di batas |
|
||||
|
||||
---
|
||||
|
||||
## Session Filter (WIB)
|
||||
## *Filter* Sesi (WIB)
|
||||
|
||||
All session times are in **WIB (Western Indonesian Time, UTC+7)**.
|
||||
Semua waktu sesi dalam **WIB (Waktu Indonesia Barat, UTC+7)**.
|
||||
|
||||
| Session | Hours (WIB) | Volatility | Lot Multiplier |
|
||||
|---------|-------------|------------|----------------|
|
||||
| Sydney | 06:00 - 13:00 | Low | 0.5x |
|
||||
| Tokyo | 07:00 - 16:00 | Medium | 0.7x |
|
||||
| London | 15:00 - 24:00 | High | 1.0x |
|
||||
| New York | 20:00 - 24:00 | Extreme | 1.0x |
|
||||
| Off-Hours | 00:00 - 06:00 | N/A | **Blocked** |
|
||||
| Sesi | Jam (WIB) | Volatilitas | *Multiplier Lot* |
|
||||
|------|-----------|-------------|-------------------|
|
||||
| Sydney | 06:00 - 13:00 | Rendah | 0.5x |
|
||||
| Tokyo | 07:00 - 16:00 | Sedang | 0.7x |
|
||||
| London | 15:00 - 24:00 | Tinggi | 1.0x |
|
||||
| New York | 20:00 - 24:00 | Ekstrem | 1.0x |
|
||||
| *Off-Hours* | 00:00 - 06:00 | N/A | **Diblokir** |
|
||||
|
||||
### Golden Hour
|
||||
- **19:00 - 23:00 WIB** (London-New York Overlap).
|
||||
- Highest liquidity and volatility period for XAUUSD.
|
||||
- Best trading conditions; full lot multiplier applied.
|
||||
### *Golden Hour*
|
||||
- **19:00 - 23:00 WIB** (*London*-*New York Overlap*).
|
||||
- Periode likuiditas dan volatilitas tertinggi untuk XAUUSD.
|
||||
- Kondisi *trading* terbaik; *multiplier lot* penuh diterapkan.
|
||||
|
||||
### Skip Hours (#34A)
|
||||
- **Hour 9 WIB** — End of New York session; low liquidity leads to erratic fills.
|
||||
- **Hour 21 WIB** — London-New York transition; prone to whipsaw and false breakouts.
|
||||
### Jam yang Dilewati (#34A)
|
||||
- **Jam 9 WIB** — Akhir sesi *New York*; likuiditas rendah menyebabkan *fill* yang tidak menentu.
|
||||
- **Jam 21 WIB** — Transisi *London*-*New York*; rawan *whipsaw* dan *false breakout*.
|
||||
|
||||
---
|
||||
|
||||
## Auto-Trainer
|
||||
## *Auto-Trainer*
|
||||
|
||||
The bot includes an automatic model retraining pipeline to keep the ML model current with market conditions.
|
||||
Bot menyertakan *pipeline* pelatihan ulang model otomatis untuk menjaga model *ML* tetap mutakhir dengan kondisi pasar.
|
||||
|
||||
| Parameter | Value |
|
||||
| Parameter | Nilai |
|
||||
|-----------|-------|
|
||||
| Check interval | Every 20 candles (~5 hours on M15) |
|
||||
| Daily retrain | 05:00 WIB (during market close) |
|
||||
| Weekend training | Deep training with expanded data window |
|
||||
| Min AUC threshold | 0.65 |
|
||||
| Rollback policy | If new model performs worse, revert to backup |
|
||||
| Interval pemeriksaan | Setiap 20 *candle* (~5 jam pada M15) |
|
||||
| Pelatihan ulang harian | 05:00 WIB (saat pasar tutup) |
|
||||
| Pelatihan akhir pekan | Pelatihan mendalam dengan jendela data yang diperluas |
|
||||
| *Threshold AUC* minimum | 0.65 |
|
||||
| Kebijakan *rollback* | Jika model baru berkinerja lebih buruk, kembali ke *backup* |
|
||||
|
||||
### Retraining Flow
|
||||
1. Every 20 candles, the auto-trainer checks model performance metrics.
|
||||
2. If AUC drops below **0.65**, a retrain is triggered.
|
||||
3. At **05:00 WIB daily** (market close), a scheduled retrain runs.
|
||||
4. On **weekends**, deep training uses a larger historical dataset.
|
||||
5. After training, the new model is validated against the previous one.
|
||||
6. If the new model underperforms, the system **rolls back** to the backup model.
|
||||
### Alur Pelatihan Ulang
|
||||
1. Setiap 20 *candle*, *auto-trainer* memeriksa metrik performa model.
|
||||
2. Jika *AUC* turun di bawah **0.65**, pelatihan ulang dipicu.
|
||||
3. Pada **05:00 WIB setiap hari** (pasar tutup), pelatihan ulang terjadwal berjalan.
|
||||
4. Pada **akhir pekan**, pelatihan mendalam menggunakan *dataset* historis yang lebih besar.
|
||||
5. Setelah pelatihan, model baru divalidasi terhadap model sebelumnya.
|
||||
6. Jika model baru berkinerja lebih buruk, sistem **melakukan *rollback*** ke model *backup*.
|
||||
|
||||
---
|
||||
|
||||
## ML Model
|
||||
## Model *ML*
|
||||
|
||||
### Algorithm
|
||||
- **XGBoost** gradient-boosted decision trees.
|
||||
### Algoritma
|
||||
- ***XGBoost* *gradient-boosted decision trees***.
|
||||
|
||||
### Features
|
||||
- **37 technical indicators** computed by `src/feature_eng.py`:
|
||||
- Trend: EMA (multiple periods), MACD, ADX.
|
||||
- Momentum: RSI, Stochastic K/D.
|
||||
- Volatility: ATR, Bollinger Bands (width, %B).
|
||||
- Volume: Volume-weighted indicators.
|
||||
- Custom: SMC-derived features, regime features.
|
||||
### Fitur
|
||||
- **37 indikator teknikal** dihitung oleh `src/feature_eng.py`:
|
||||
- Tren: *EMA* (berbagai periode), *MACD*, *ADX*.
|
||||
- Momentum: *RSI*, *Stochastic K/D*.
|
||||
- Volatilitas: *ATR*, *Bollinger Bands* (*width*, *%B*).
|
||||
- Volume: Indikator berbasis volume.
|
||||
- Kustom: Fitur turunan *SMC*, fitur *regime*.
|
||||
|
||||
### Output
|
||||
- **Signal**: BUY, SELL, or HOLD.
|
||||
- **Confidence score**: 0.0 to 1.0, used in combination with SMC confidence.
|
||||
### Keluaran
|
||||
- **Sinyal**: *BUY*, *SELL*, atau *HOLD*.
|
||||
- ***Confidence score***: 0.0 hingga 1.0, digunakan dalam kombinasi dengan *confidence SMC*.
|
||||
|
||||
### Dynamic Threshold
|
||||
- The confidence threshold for trade execution is not fixed.
|
||||
- It adjusts based on:
|
||||
- **Session**: Higher threshold during low-volatility sessions.
|
||||
- **Regime**: Higher threshold during ranging/volatile regimes.
|
||||
- **Recent performance**: Tightens after losses, relaxes after wins.
|
||||
### *Threshold* Dinamis
|
||||
- *Threshold confidence* untuk eksekusi *trade* tidak tetap.
|
||||
- Menyesuaikan berdasarkan:
|
||||
- **Sesi**: *Threshold* lebih tinggi saat sesi volatilitas rendah.
|
||||
- ***Regime***: *Threshold* lebih tinggi saat *regime ranging*/*volatile*.
|
||||
- **Performa terkini**: Diperketat setelah kerugian, dilonggarkan setelah kemenangan.
|
||||
|
||||
---
|
||||
|
||||
## Active Components
|
||||
## Komponen Aktif
|
||||
|
||||
| Component | File | Status | Description |
|
||||
|-----------|------|--------|-------------|
|
||||
| SMC Analyzer | `src/smc_polars.py` | Active | Order Block, FVG, BOS, CHoCH detection |
|
||||
| XGBoost ML | `src/ml_model.py` | Active | Signal prediction with confidence |
|
||||
| HMM Regime | `src/regime_detector.py` | Active | Market regime classification |
|
||||
| Feature Engine | `src/feature_eng.py` | Active | 37 technical feature computation |
|
||||
| Risk Engine | `src/risk_engine.py` | Active | ATR-based SL/TP, position sizing |
|
||||
| Smart Risk Manager | `src/smart_risk_manager.py` | Active | Dynamic mode management |
|
||||
| Position Manager | `src/position_manager.py` | Active | Exit condition monitoring |
|
||||
| Session Filter | `src/session_filter.py` | Active | WIB session-based filtering |
|
||||
| Dynamic Confidence | `src/dynamic_confidence.py` | Active | Adaptive threshold adjustment |
|
||||
| Auto Trainer | `src/auto_trainer.py` | Active | Scheduled model retraining |
|
||||
| Telegram Notifier | `src/telegram_notifier.py` | Active | Trade alerts via Telegram |
|
||||
| Trade Logger | `src/trade_logger.py` | Active | PostgreSQL trade logging |
|
||||
| News Agent | `src/news_agent.py` | **DISABLED** | Economic news filter (costs $178 profit in backtest) |
|
||||
| Flash Crash Detector | `src/regime_detector.py` | Active | Emergency position closure |
|
||||
| Komponen | File | Status | Deskripsi |
|
||||
|----------|------|--------|-----------|
|
||||
| Penganalisis *SMC* | `src/smc_polars.py` | Aktif | Deteksi *Order Block*, *FVG*, *BOS*, *CHoCH* |
|
||||
| *ML XGBoost* | `src/ml_model.py` | Aktif | Prediksi sinyal dengan *confidence* |
|
||||
| *Regime HMM* | `src/regime_detector.py` | Aktif | Klasifikasi *regime* pasar |
|
||||
| Mesin Fitur | `src/feature_eng.py` | Aktif | Komputasi 37 fitur teknikal |
|
||||
| Mesin Risiko | `src/risk_engine.py` | Aktif | *SL*/*TP* berbasis *ATR*, *position sizing* |
|
||||
| *Smart Risk Manager* | `src/smart_risk_manager.py` | Aktif | Manajemen mode dinamis |
|
||||
| Manajer Posisi | `src/position_manager.py` | Aktif | Pemantauan kondisi *exit* |
|
||||
| *Filter* Sesi | `src/session_filter.py` | Aktif | *Filtering* berbasis sesi WIB |
|
||||
| *Confidence* Dinamis | `src/dynamic_confidence.py` | Aktif | Penyesuaian *threshold* adaptif |
|
||||
| *Auto Trainer* | `src/auto_trainer.py` | Aktif | Pelatihan ulang model terjadwal |
|
||||
| Notifikasi Telegram | `src/telegram_notifier.py` | Aktif | Peringatan *trade* via Telegram |
|
||||
| Pencatat *Trade* | `src/trade_logger.py` | Aktif | Pencatatan *trade* ke PostgreSQL |
|
||||
| Agen Berita | `src/news_agent.py` | **NONAKTIF** | *Filter* berita ekonomi (mengurangi $178 profit di *backtest*) |
|
||||
| Detektor *Flash Crash* | `src/regime_detector.py` | Aktif | Penutupan posisi darurat |
|
||||
|
||||
---
|
||||
|
||||
## Architecture Diagram
|
||||
## Diagram Arsitektur
|
||||
|
||||
```
|
||||
MT5 Broker
|
||||
|
|
||||
v
|
||||
[Data Fetch] --> [Feature Eng (37)] --> [SMC Analysis] --> [Regime Detection (HMM)]
|
||||
|
|
||||
v
|
||||
[Flash Crash Guard]
|
||||
|
|
||||
v
|
||||
[Regime Filter]
|
||||
|
|
||||
v
|
||||
[Risk Check]
|
||||
|
|
||||
v
|
||||
[Session Filter]
|
||||
|
|
||||
v
|
||||
[H1 Bias Filter (#31B)]
|
||||
|
|
||||
v
|
||||
[SMC Signal Gen]
|
||||
|
|
||||
v
|
||||
[Signal Combination (ML+SMC)]
|
||||
|
|
||||
v
|
||||
[Time Filter (#34A)]
|
||||
|
|
||||
v
|
||||
[Trade Cooldown]
|
||||
|
|
||||
v
|
||||
[Smart Risk Gate]
|
||||
|
|
||||
v
|
||||
[TRADE EXECUTION]
|
||||
|
|
||||
v
|
||||
[Position Manager (12 exits)]
|
||||
|
|
||||
v
|
||||
[Telegram + PostgreSQL Logging]
|
||||
```mermaid
|
||||
flowchart TD
|
||||
MT5["MT5 Broker"] --> DF["Data Fetch"]
|
||||
DF --> FE["Feature Eng (37 fitur)"]
|
||||
FE --> SMC["SMC Analysis"]
|
||||
SMC --> HMM["Regime Detection (HMM)"]
|
||||
HMM --> FCG["Flash Crash Guard"]
|
||||
FCG --> RF["Regime Filter"]
|
||||
RF --> RC["Risk Check"]
|
||||
RC --> SF["Session Filter"]
|
||||
SF --> H1["H1 Bias Filter (#31B)"]
|
||||
H1 --> SG["SMC Signal Gen"]
|
||||
SG --> SC["Signal Combination (ML+SMC)"]
|
||||
SC --> TF["Time Filter (#34A)"]
|
||||
TF --> TC["Trade Cooldown"]
|
||||
TC --> SRG["Smart Risk Gate"]
|
||||
SRG --> TE["TRADE EXECUTION"]
|
||||
TE --> PM["Position Manager (12 exits)"]
|
||||
PM --> LOG["Telegram + PostgreSQL Logging"]
|
||||
```
|
||||
|
||||
Reference in New Issue
Block a user