""" Backtest: SMC-Only + Broker SL Only Exit ========================================== Base: SMC-Only v4 (same entry as baseline) Changed: EXIT SYSTEM stripped down — trust broker SL/TP KEEP: - Broker SL hit (SMC swing low + 1.5x ATR) - Broker TP hit (RR 1:1.5) - Trailing SL (WIDER: start at $10/100 pips, trail $7/70 pips behind) - Weekend close - Daily loss limit - Hard timeout at 12 hours (48 bars) REMOVED: - Breakeven move (biggest killer — 35% of baseline trades) - Early cut - Trend reversal exit - Peak protect - Stall detection - Market signal exit - Smart TP - Early exit - 4h/6h timeout (replaced by 12h hard max) Exit: Simplified — let trades breathe Usage: python backtests/backtest_broker_sl.py """ import polars as pl import pandas as pd import numpy as np from datetime import datetime, timedelta, date from typing import Dict, List, Tuple, Optional from dataclasses import dataclass, field from enum import Enum import sys import os from zoneinfo import ZoneInfo from openpyxl import Workbook from openpyxl.styles import Font, Alignment, PatternFill, Border, Side from openpyxl.chart import LineChart, Reference from openpyxl.utils import get_column_letter sys.path.insert(0, os.path.dirname(os.path.dirname(os.path.abspath(__file__)))) from src.mt5_connector import MT5Connector from src.smc_polars import SMCAnalyzer, SMCSignal from src.feature_eng import FeatureEngineer from src.regime_detector import MarketRegimeDetector, MarketRegime from src.ml_model import TradingModel from src.config import get_config from src.dynamic_confidence import DynamicConfidenceManager, create_dynamic_confidence, MarketQuality from loguru import logger logger.remove() logger.add(sys.stderr, level="WARNING") WIB = ZoneInfo("Asia/Jakarta") # ─── Enums & Dataclasses ────────────────────────────────────── class TradeResult(Enum): WIN = "WIN" LOSS = "LOSS" BREAKEVEN = "BREAKEVEN" class ExitReason(Enum): TAKE_PROFIT = "take_profit" MAX_LOSS = "max_loss" TRAILING_SL = "trailing_sl" WEEKEND_CLOSE = "weekend_close" DAILY_LIMIT = "daily_limit" TIMEOUT = "timeout" class TradingMode(Enum): NORMAL = "normal" RECOVERY = "recovery" PROTECTED = "protected" STOPPED = "stopped" @dataclass class SimulatedTrade: ticket: int entry_time: datetime exit_time: datetime direction: str entry_price: float exit_price: float stop_loss: float take_profit: float lot_size: float profit_usd: float profit_pips: float result: TradeResult exit_reason: ExitReason smc_confidence: float regime: str session: str signal_reason: str has_bos: bool = False has_choch: bool = False has_fvg: bool = False has_ob: bool = False atr_at_entry: float = 0.0 rr_ratio: float = 0.0 trading_mode: str = "normal" @dataclass class BacktestStats: total_trades: int = 0 wins: int = 0 losses: int = 0 total_profit: float = 0.0 total_loss: float = 0.0 max_drawdown: float = 0.0 max_drawdown_usd: float = 0.0 win_rate: float = 0.0 profit_factor: float = 0.0 avg_win: float = 0.0 avg_loss: float = 0.0 avg_trade: float = 0.0 expectancy: float = 0.0 sharpe_ratio: float = 0.0 trades: List[SimulatedTrade] = field(default_factory=list) equity_curve: List[float] = field(default_factory=list) avoided_signals: int = 0 # Signals blocked by AVOID filter daily_limit_stops: int = 0 # Days stopped by daily loss limit recovery_mode_trades: int = 0 # Trades in RECOVERY mode # ─── Broker SL Only Backtest ───────────────────────────────── class BrokerSLOnlyBacktest: """SMC-Only v4 entry + Broker SL Only simplified exit system.""" def __init__( self, capital: float = 5000.0, # SmartRiskManager params (synced) max_daily_loss_percent: float = 5.0, max_loss_per_trade_percent: float = 1.0, base_lot_size: float = 0.01, max_lot_size: float = 0.02, recovery_lot_size: float = 0.01, trend_reversal_threshold: float = 0.75, max_concurrent_positions: int = 2, # Other trade_cooldown_bars: int = 10, ): self.capital = capital self.max_daily_loss_usd = capital * (max_daily_loss_percent / 100) self.max_loss_per_trade = capital * (max_loss_per_trade_percent / 100) self.base_lot_size = base_lot_size self.max_lot_size = max_lot_size self.recovery_lot_size = recovery_lot_size self.trend_reversal_threshold = trend_reversal_threshold self.max_concurrent_positions = max_concurrent_positions self.trade_cooldown_bars = trade_cooldown_bars config = get_config() self.smc = SMCAnalyzer( swing_length=config.smc.swing_length, ob_lookback=config.smc.ob_lookback, ) self.features = FeatureEngineer() self.dynamic_confidence = create_dynamic_confidence() # ML model for dynamic confidence analysis (entry filter) self.ml_model = TradingModel(model_path="models/xgboost_model.pkl") try: self.ml_model.load() print(" ML model loaded (for entry evaluation)") except Exception: print(" [WARN] ML model not loaded — ML checks disabled") self.regime_detector = MarketRegimeDetector(model_path="models/hmm_regime.pkl") try: self.regime_detector.load() except Exception: print(" [WARN] HMM model not loaded") self._ticket_counter = 2000000 # ── Session filter (synced) ── def _get_session_from_time(self, dt: datetime) -> Tuple[str, bool, float]: if dt.tzinfo is None: dt = dt.replace(tzinfo=ZoneInfo("UTC")) wib_time = dt.astimezone(WIB) hour = wib_time.hour if 6 <= hour < 15: return "Sydney-Tokyo", True, 0.5 elif 15 <= hour < 16: return "Tokyo-London Overlap", True, 0.75 elif 16 <= hour < 19: return "London Early", True, 0.8 elif 19 <= hour < 24: return "London-NY Overlap (Golden)", True, 1.0 elif 0 <= hour < 4: return "NY Session", True, 0.9 else: return "Off Hours", False, 0.0 def _hours_to_golden(self, dt: datetime) -> float: """Hours until golden time (19:00 WIB). Returns 0 if already in golden.""" if dt.tzinfo is None: dt = dt.replace(tzinfo=ZoneInfo("UTC")) wib = dt.astimezone(WIB) if 19 <= wib.hour < 24: return 0 target = wib.replace(hour=19, minute=0, second=0, microsecond=0) if wib.hour >= 19: target += timedelta(days=1) return max(0, (target - wib).total_seconds() / 3600) def _is_near_weekend_close(self, dt: datetime) -> bool: """Check if near weekend market close (Saturday 04:30+ WIB).""" if dt.tzinfo is None: dt = dt.replace(tzinfo=ZoneInfo("UTC")) wib = dt.astimezone(WIB) if wib.weekday() == 5 and wib.hour >= 4 and wib.minute >= 30: return True return False # ── SmartRiskManager: Lot sizing with RECOVERY mode (synced) ── def _calculate_lot_size( self, confidence: float, regime: str, trading_mode: TradingMode, session_mult: float, ) -> float: """Synced with SmartRiskManager.calculate_lot_size()""" if trading_mode == TradingMode.STOPPED: return 0 lot = self.base_lot_size if trading_mode in (TradingMode.RECOVERY, TradingMode.PROTECTED): lot = self.recovery_lot_size else: # ML confidence-based sizing (using SMC confidence as proxy) if confidence >= 0.65: lot = self.max_lot_size elif confidence >= 0.55: lot = self.base_lot_size else: lot = self.recovery_lot_size # Regime override if regime.lower() in ["high_volatility", "crisis"]: lot = self.recovery_lot_size # Session multiplier lot = max(0.01, lot * session_mult) return round(lot, 2) # ── Simplified exit simulation (Broker SL Only) ── def _simulate_trade_exit( self, df: pl.DataFrame, entry_idx: int, direction: str, entry_price: float, take_profit: float, stop_loss: float, lot_size: float, daily_loss_so_far: float, feature_cols: list, max_bars: int = 100, ) -> Tuple[float, float, ExitReason, int, float]: pip_value = 10 highs = df["high"].to_list() lows = df["low"].to_list() closes = df["close"].to_list() times = df["time"].to_list() # Wide trailing params (NO breakeven, just trailing) trail_start_pips = 100.0 # Start trail after $10 profit trail_step_pips = 70.0 # Trail $7 behind price current_sl = stop_loss trailing_active = False for i in range(entry_idx + 1, min(entry_idx + max_bars, len(df))): high, low, close, current_time = highs[i], lows[i], closes[i], times[i] if direction == "BUY": current_pips = (close - entry_price) / 0.1 pip_profit_from_entry = current_pips else: current_pips = (entry_price - close) / 0.1 pip_profit_from_entry = current_pips current_profit = current_pips * pip_value * lot_size bars_since_entry = i - entry_idx # 1. BROKER TP HIT if direction == "BUY" and high >= take_profit: pips = (take_profit - entry_price) / 0.1 return pips * pip_value * lot_size, pips, ExitReason.TAKE_PROFIT, i, take_profit elif direction == "SELL" and low <= take_profit: pips = (entry_price - take_profit) / 0.1 return pips * pip_value * lot_size, pips, ExitReason.TAKE_PROFIT, i, take_profit # 2. BROKER SL HIT (original SMC SL or trailing SL) if direction == "BUY" and low <= current_sl: pips = (current_sl - entry_price) / 0.1 reason = ExitReason.TRAILING_SL if trailing_active else ExitReason.MAX_LOSS return pips * pip_value * lot_size, pips, reason, i, current_sl elif direction == "SELL" and high >= current_sl: pips = (entry_price - current_sl) / 0.1 reason = ExitReason.TRAILING_SL if trailing_active else ExitReason.MAX_LOSS return pips * pip_value * lot_size, pips, reason, i, current_sl # 3. WIDE TRAILING SL (no breakeven, start at $10 profit) if pip_profit_from_entry >= trail_start_pips: trail_distance = trail_step_pips * 0.1 if direction == "BUY": new_trail_sl = close - trail_distance if new_trail_sl > current_sl: current_sl = new_trail_sl trailing_active = True else: new_trail_sl = close + trail_distance if current_sl == 0 or new_trail_sl < current_sl: current_sl = new_trail_sl trailing_active = True # 4. WEEKEND CLOSE if self._is_near_weekend_close(current_time): if current_profit > -10: return current_profit, current_pips, ExitReason.WEEKEND_CLOSE, i, close # 5. DAILY LOSS LIMIT if daily_loss_so_far + abs(min(0, current_profit)) >= self.max_daily_loss_usd: return current_profit, current_pips, ExitReason.DAILY_LIMIT, i, close # 6. HARD TIMEOUT (12 hours = 48 bars on M15) if bars_since_entry >= 48: return current_profit, current_pips, ExitReason.TIMEOUT, i, close # End of data final_idx = min(entry_idx + max_bars - 1, len(df) - 1) fp = closes[final_idx] pips = (fp - entry_price) / 0.1 if direction == "BUY" else (entry_price - fp) / 0.1 return pips * pip_value * lot_size, pips, ExitReason.TIMEOUT, final_idx, fp # ── Main backtest run ── def run( self, df: pl.DataFrame, start_date: Optional[datetime] = None, end_date: Optional[datetime] = None, initial_capital: float = 5000.0, ) -> BacktestStats: stats = BacktestStats() capital = initial_capital peak_capital = initial_capital stats.equity_curve.append(capital) # SmartRiskManager state tracking daily_loss = 0.0 daily_profit = 0.0 daily_trades = 0 consecutive_losses = 0 trading_mode = TradingMode.NORMAL current_date = None # Feature columns for ML predictions feature_cols = [] if self.ml_model.fitted and self.ml_model.feature_names: feature_cols = [f for f in self.ml_model.feature_names if f in df.columns] times = df["time"].to_list() start_idx = next((i for i, t in enumerate(times) if t >= start_date), 100) if start_date else 100 end_idx = next((i for i, t in enumerate(times) if t > end_date), len(df) - 100) if end_date else len(df) - 100 last_trade_idx = -self.trade_cooldown_bars * 2 print(f"\n Running SMC + Broker SL Only backtest...") print(f" Date range: {times[start_idx]} to {times[end_idx - 1]}") print(f" Total bars: {end_idx - start_idx}") for i in range(start_idx, end_idx): # Cooldown if i - last_trade_idx < self.trade_cooldown_bars: continue current_time = times[i] # ── Daily reset (synced with SmartRiskManager.check_new_day) ── trade_date = current_time.date() if hasattr(current_time, 'date') else current_time if current_date is None or trade_date != current_date: if daily_loss > 0 and current_date is not None: pass # Could log daily summary daily_loss = 0.0 daily_profit = 0.0 daily_trades = 0 current_date = trade_date # Reset mode unless consecutive losses persist if consecutive_losses < 2: trading_mode = TradingMode.NORMAL # ── Trading mode check (synced) ── if trading_mode == TradingMode.STOPPED: continue # Session filter session_name, can_trade, lot_mult = self._get_session_from_time(current_time) if not can_trade: continue # Skip weekends if hasattr(current_time, 'weekday') and current_time.weekday() >= 5: continue df_slice = df.head(i + 1) # Regime check — CRISIS and SLEEP (synced) regime = "normal" regime_state = None try: if self.regime_detector.fitted: regime_state = self.regime_detector.get_current_state(df_slice) if regime_state: regime = regime_state.regime.value if regime_state.regime == MarketRegime.CRISIS: continue if regime_state.recommendation == "SLEEP": continue except Exception: pass # ═══ DYNAMIC CONFIDENCE — AVOID filter (synced with _combine_signals) ═══ try: # Get ML prediction for dynamic confidence analysis ml_signal = "" ml_confidence = 0.5 if self.ml_model.fitted and feature_cols: ml_pred = self.ml_model.predict(df_slice, feature_cols) ml_signal = ml_pred.signal ml_confidence = ml_pred.confidence market_analysis = self.dynamic_confidence.analyze_market( session=session_name, regime=regime, volatility="medium", trend_direction=regime, has_smc_signal=True, ml_signal=ml_signal, ml_confidence=ml_confidence, ) if market_analysis.quality == MarketQuality.AVOID: stats.avoided_signals += 1 continue except Exception: pass # ═══ SMC SIGNAL ═══ try: smc_signal = self.smc.generate_signal(df_slice) except Exception: continue if smc_signal is None: continue # ═══ NO ML gate, NO persistence, NO pullback — SMC-Only v4 ═══ # SMC details recent_df = df_slice.tail(10) recent_bos = recent_df["bos"].to_list() if "bos" in df_slice.columns else [] recent_choch = recent_df["choch"].to_list() if "choch" in df_slice.columns else [] recent_fvg_bull = recent_df["is_fvg_bull"].to_list() if "is_fvg_bull" in df_slice.columns else [] recent_fvg_bear = recent_df["is_fvg_bear"].to_list() if "is_fvg_bear" in df_slice.columns else [] recent_obs = recent_df["ob"].to_list() if "ob" in df_slice.columns else [] has_bos = 1 in recent_bos or -1 in recent_bos has_choch = 1 in recent_choch or -1 in recent_choch has_fvg = any(recent_fvg_bull) or any(recent_fvg_bear) has_ob = 1 in recent_obs or -1 in recent_obs atr_at_entry = 12.0 if "atr" in df_slice.columns: atr_val = df_slice.tail(1)["atr"].item() if atr_val is not None and atr_val > 0: atr_at_entry = atr_val # ═══ Confidence (synced with _combine_signals) ═══ confidence = smc_signal.confidence # ML agrees → average confidence (synced) ml_agrees = ( (smc_signal.signal_type == "BUY" and ml_signal == "BUY") or (smc_signal.signal_type == "SELL" and ml_signal == "SELL") ) if ml_agrees: confidence = (smc_signal.confidence + ml_confidence) / 2 # High vol adjustment (synced) if regime == "high_volatility": confidence *= 0.9 # ═══ Lot size with RECOVERY mode (synced) ═══ lot_size = self._calculate_lot_size(confidence, regime, trading_mode, lot_mult) if lot_size <= 0: continue if trading_mode == TradingMode.RECOVERY: stats.recovery_mode_trades += 1 # ═══ Execute trade ═══ entry_price = smc_signal.entry_price take_profit_price = smc_signal.take_profit stop_loss_price = smc_signal.stop_loss risk = abs(entry_price - stop_loss_price) rr = abs(take_profit_price - entry_price) / risk if risk > 0 else 0 profit, pips, exit_reason, exit_idx, exit_price = self._simulate_trade_exit( df=df, entry_idx=i, direction=smc_signal.signal_type, entry_price=entry_price, take_profit=take_profit_price, stop_loss=stop_loss_price, lot_size=lot_size, daily_loss_so_far=daily_loss, feature_cols=feature_cols, ) # Record trade self._ticket_counter += 1 result = TradeResult.WIN if profit > 0 else (TradeResult.LOSS if profit < 0 else TradeResult.BREAKEVEN) trade = SimulatedTrade( ticket=self._ticket_counter, entry_time=current_time, exit_time=times[exit_idx] if exit_idx < len(times) else times[-1], direction=smc_signal.signal_type, entry_price=entry_price, exit_price=exit_price, stop_loss=stop_loss_price, take_profit=take_profit_price, lot_size=lot_size, profit_usd=profit, profit_pips=pips, result=result, exit_reason=exit_reason, smc_confidence=confidence, regime=regime, session=session_name, signal_reason=smc_signal.reason, has_bos=has_bos, has_choch=has_choch, has_fvg=has_fvg, has_ob=has_ob, atr_at_entry=atr_at_entry, rr_ratio=rr, trading_mode=trading_mode.value, ) stats.trades.append(trade) # ── Update SmartRiskManager state (synced record_trade_result) ── stats.total_trades += 1 daily_trades += 1 capital += profit if profit > 0: stats.wins += 1 stats.total_profit += profit daily_profit += profit consecutive_losses = 0 if trading_mode == TradingMode.RECOVERY: trading_mode = TradingMode.NORMAL else: stats.losses += 1 stats.total_loss += abs(profit) daily_loss += abs(profit) consecutive_losses += 1 # Mode transitions (synced with SmartRiskManager._update_state) if daily_loss >= self.max_daily_loss_usd: trading_mode = TradingMode.STOPPED stats.daily_limit_stops += 1 elif consecutive_losses >= 3 or daily_loss >= self.max_daily_loss_usd * 0.6: trading_mode = TradingMode.PROTECTED elif consecutive_losses >= 2: trading_mode = TradingMode.RECOVERY # Drawdown if capital > peak_capital: peak_capital = capital drawdown_pct = (peak_capital - capital) / peak_capital * 100 drawdown_usd = peak_capital - capital if drawdown_pct > stats.max_drawdown: stats.max_drawdown = drawdown_pct stats.max_drawdown_usd = drawdown_usd stats.equity_curve.append(capital) last_trade_idx = exit_idx if stats.total_trades % 100 == 0: print(f" {stats.total_trades} trades processed...") # Final statistics if stats.total_trades > 0: stats.win_rate = stats.wins / stats.total_trades * 100 stats.avg_win = stats.total_profit / stats.wins if stats.wins > 0 else 0 stats.avg_loss = stats.total_loss / stats.losses if stats.losses > 0 else 0 stats.avg_trade = (stats.total_profit - stats.total_loss) / stats.total_trades stats.profit_factor = stats.total_profit / stats.total_loss if stats.total_loss > 0 else float("inf") win_prob = stats.wins / stats.total_trades loss_prob = stats.losses / stats.total_trades stats.expectancy = (win_prob * stats.avg_win) - (loss_prob * stats.avg_loss) returns = [t.profit_usd for t in stats.trades] if len(returns) > 1: avg_return = np.mean(returns) std_return = np.std(returns) stats.sharpe_ratio = (avg_return / std_return) * np.sqrt(252) if std_return > 0 else 0 return stats # ─── XLSX Report ─────────────────────────────────────────────── def generate_xlsx_report(stats: BacktestStats, filepath: str, start_date: datetime, end_date: datetime): wb = Workbook() header_font = Font(name="Calibri", bold=True, size=12, color="FFFFFF") header_fill = PatternFill(start_color="1F4E79", end_color="1F4E79", fill_type="solid") subheader_font = Font(name="Calibri", bold=True, size=10) subheader_fill = PatternFill(start_color="D6E4F0", end_color="D6E4F0", fill_type="solid") win_fill = PatternFill(start_color="C6EFCE", end_color="C6EFCE", fill_type="solid") loss_fill = PatternFill(start_color="FFC7CE", end_color="FFC7CE", fill_type="solid") border = Border(left=Side(style="thin"), right=Side(style="thin"), top=Side(style="thin"), bottom=Side(style="thin")) net_pnl = stats.total_profit - stats.total_loss # ═══ SHEET 1: SUMMARY ═══ ws = wb.active ws.title = "Summary" ws.sheet_properties.tabColor = "1F4E79" ws.merge_cells("A1:F1") ws["A1"] = "XAUBot AI — SMC + Broker SL Only Exit Backtest Report" ws["A1"].font = Font(name="Calibri", bold=True, size=16, color="1F4E79") ws["A2"] = f"Period: {start_date.strftime('%Y-%m-%d')} to {end_date.strftime('%Y-%m-%d')}" ws["A2"].font = Font(name="Calibri", size=10, italic=True) ws["A3"] = f"Generated: {datetime.now().strftime('%Y-%m-%d %H:%M:%S')}" ws["A3"].font = Font(name="Calibri", size=10, italic=True) summary_data = [ ("Performance Metrics", "", True), ("Total Trades", stats.total_trades, False), ("Wins", stats.wins, False), ("Losses", stats.losses, False), ("Win Rate", f"{stats.win_rate:.1f}%", False), ("Avoided (AVOID filter)", stats.avoided_signals, False), ("Recovery Mode Trades", stats.recovery_mode_trades, False), ("Daily Limit Stops", stats.daily_limit_stops, False), ("", "", False), ("Profit - Loss", "", True), ("Total Profit", f"${stats.total_profit:,.2f}", False), ("Total Loss", f"${stats.total_loss:,.2f}", False), ("Net PnL", f"${net_pnl:,.2f}", False), ("Profit Factor", f"{stats.profit_factor:.2f}", False), ("", "", False), ("Risk Metrics", "", True), ("Max Drawdown", f"{stats.max_drawdown:.1f}%", False), ("Max Drawdown ($)", f"${stats.max_drawdown_usd:,.2f}", False), ("Avg Win", f"${stats.avg_win:,.2f}", False), ("Avg Loss", f"${stats.avg_loss:,.2f}", False), ("Avg Trade", f"${stats.avg_trade:,.2f}", False), ("Expectancy", f"${stats.expectancy:,.2f}", False), ("Sharpe Ratio", f"{stats.sharpe_ratio:.2f}", False), ] row = 5 for label, value, is_header in summary_data: ws.cell(row=row, column=1, value=label) ws.cell(row=row, column=2, value=value) if is_header: ws.cell(row=row, column=1).font = subheader_font ws.cell(row=row, column=1).fill = subheader_fill ws.cell(row=row, column=2).fill = subheader_fill if label == "Net PnL": ws.cell(row=row, column=2).font = Font(bold=True, color="006100" if net_pnl > 0 else "9C0006") row += 1 ws.column_dimensions["A"].width = 24 ws.column_dimensions["B"].width = 18 # Exit Reason Breakdown exit_counts = {} for t in stats.trades: reason = t.exit_reason.value exit_counts[reason] = exit_counts.get(reason, 0) + 1 ws.cell(row=5, column=4, value="Exit Reasons") ws.cell(row=5, column=4).font = subheader_font ws.cell(row=5, column=4).fill = subheader_fill ws.cell(row=5, column=5).fill = subheader_fill ws.cell(row=5, column=6).fill = subheader_fill row = 6 for reason, count in sorted(exit_counts.items(), key=lambda x: -x[1]): pct = count / stats.total_trades * 100 if stats.total_trades > 0 else 0 ws.cell(row=row, column=4, value=reason) ws.cell(row=row, column=5, value=count) ws.cell(row=row, column=6, value=f"{pct:.1f}%") row += 1 # Session Breakdown row += 1 ws.cell(row=row, column=4, value="Session Performance") ws.cell(row=row, column=4).font = subheader_font ws.cell(row=row, column=4).fill = subheader_fill for c in range(5, 8): ws.cell(row=row, column=c).fill = subheader_fill row += 1 for lbl, col in [("Session", 4), ("Trades", 5), ("WR", 6), ("Net PnL", 7)]: ws.cell(row=row, column=col, value=lbl).font = Font(bold=True) row += 1 session_stats = {} for t in stats.trades: s = t.session if s not in session_stats: session_stats[s] = {"w": 0, "l": 0, "p": 0.0} if t.result == TradeResult.WIN: session_stats[s]["w"] += 1 else: session_stats[s]["l"] += 1 session_stats[s]["p"] += t.profit_usd for sess, d in sorted(session_stats.items(), key=lambda x: -x[1]["p"]): total = d["w"] + d["l"] wr = d["w"] / total * 100 if total > 0 else 0 ws.cell(row=row, column=4, value=sess) ws.cell(row=row, column=5, value=total) ws.cell(row=row, column=6, value=f"{wr:.1f}%") ws.cell(row=row, column=7, value=f"${d['p']:,.2f}") ws.cell(row=row, column=7).font = Font(color="006100" if d["p"] >= 0 else "9C0006") row += 1 # SMC Component Analysis row += 1 ws.cell(row=row, column=4, value="SMC Component Analysis") ws.cell(row=row, column=4).font = subheader_font ws.cell(row=row, column=4).fill = subheader_fill for c in range(5, 8): ws.cell(row=row, column=c).fill = subheader_fill row += 1 for lbl, col in [("Component", 4), ("Trades", 5), ("WR", 6), ("Net PnL", 7)]: ws.cell(row=row, column=col, value=lbl).font = Font(bold=True) row += 1 for comp_name, attr in [("BOS", "has_bos"), ("CHoCH", "has_choch"), ("FVG", "has_fvg"), ("OB", "has_ob")]: ct = [t for t in stats.trades if getattr(t, attr)] cw = sum(1 for t in ct if t.result == TradeResult.WIN) cp = sum(t.profit_usd for t in ct) cwr = cw / len(ct) * 100 if ct else 0 ws.cell(row=row, column=4, value=comp_name) ws.cell(row=row, column=5, value=len(ct)) ws.cell(row=row, column=6, value=f"{cwr:.1f}%") ws.cell(row=row, column=7, value=f"${cp:,.2f}") row += 1 col_widths = {4: 28, 5: 10, 6: 12, 7: 14} for c, w in col_widths.items(): ws.column_dimensions[get_column_letter(c)].width = w # ═══ SHEET 2: TRADE LOG ═══ ws2 = wb.create_sheet("Trade Log") ws2.sheet_properties.tabColor = "2E75B6" headers = [ "Ticket", "Entry Time", "Exit Time", "Dir", "Entry", "Exit", "SL", "TP", "Lot", "Profit ($)", "Pips", "Result", "Exit Reason", "SMC Conf", "Regime", "Session", "Signal", "BOS", "CHoCH", "FVG", "OB", "ATR", "RR", "Mode", ] for col, h in enumerate(headers, 1): cell = ws2.cell(row=1, column=col, value=h) cell.font = header_font cell.fill = header_fill cell.alignment = Alignment(horizontal="center") for ri, t in enumerate(stats.trades, 2): vals = [ t.ticket, t.entry_time.strftime("%Y-%m-%d %H:%M"), t.exit_time.strftime("%Y-%m-%d %H:%M"), t.direction, t.entry_price, t.exit_price, t.stop_loss, t.take_profit, t.lot_size, round(t.profit_usd, 2), round(t.profit_pips, 1), t.result.value, t.exit_reason.value, round(t.smc_confidence, 2), t.regime, t.session, t.signal_reason, "Y" if t.has_bos else "", "Y" if t.has_choch else "", "Y" if t.has_fvg else "", "Y" if t.has_ob else "", round(t.atr_at_entry, 2), round(t.rr_ratio, 2), t.trading_mode, ] for ci, v in enumerate(vals, 1): cell = ws2.cell(row=ri, column=ci, value=v) cell.border = border if ci == 10 and isinstance(v, (int, float)): cell.fill = win_fill if v > 0 else (loss_fill if v < 0 else PatternFill()) if ci == 12: cell.fill = win_fill if v == "WIN" else (loss_fill if v == "LOSS" else PatternFill()) for col in range(1, len(headers) + 1): ws2.column_dimensions[get_column_letter(col)].width = max(11, len(headers[col - 1]) + 3) # ═══ SHEET 3: EQUITY CURVE ═══ ws3 = wb.create_sheet("Equity Curve") ws3.sheet_properties.tabColor = "548235" for c, h in enumerate(["Trade #", "Equity", "Drawdown ($)"], 1): ws3.cell(row=1, column=c, value=h).font = header_font ws3.cell(row=1, column=c).fill = header_fill peak = stats.equity_curve[0] if stats.equity_curve else 5000 for idx, eq in enumerate(stats.equity_curve): if eq > peak: peak = eq ws3.cell(row=idx + 2, column=1, value=idx) ws3.cell(row=idx + 2, column=2, value=round(eq, 2)) ws3.cell(row=idx + 2, column=3, value=round(peak - eq, 2)) if len(stats.equity_curve) > 1: chart = LineChart() chart.title = "Equity Curve" chart.style = 10 chart.y_axis.title = "Equity ($)" chart.x_axis.title = "Trade #" chart.width = 30 chart.height = 15 data = Reference(ws3, min_col=2, min_row=1, max_row=len(stats.equity_curve) + 1) chart.add_data(data, titles_from_data=True) chart.series[0].graphicalProperties.line.width = 20000 ws3.add_chart(chart, "E2") # ═══ SHEET 4: DAILY PnL ═══ ws4 = wb.create_sheet("Daily PnL") ws4.sheet_properties.tabColor = "BF8F00" daily_pnl = {} for t in stats.trades: day = t.entry_time.strftime("%Y-%m-%d") if day not in daily_pnl: daily_pnl[day] = {"trades": 0, "wins": 0, "profit": 0.0} daily_pnl[day]["trades"] += 1 if t.result == TradeResult.WIN: daily_pnl[day]["wins"] += 1 daily_pnl[day]["profit"] += t.profit_usd for c, h in enumerate(["Date", "Trades", "Wins", "WR", "Net PnL", "Cumulative"], 1): ws4.cell(row=1, column=c, value=h).font = header_font ws4.cell(row=1, column=c).fill = header_fill cum = 0.0 for ri, (day, d) in enumerate(sorted(daily_pnl.items()), 2): wr = d["wins"] / d["trades"] * 100 if d["trades"] > 0 else 0 cum += d["profit"] ws4.cell(row=ri, column=1, value=day) ws4.cell(row=ri, column=2, value=d["trades"]) ws4.cell(row=ri, column=3, value=d["wins"]) ws4.cell(row=ri, column=4, value=f"{wr:.0f}%") ws4.cell(row=ri, column=5, value=round(d["profit"], 2)) ws4.cell(row=ri, column=6, value=round(cum, 2)) ws4.cell(row=ri, column=5).fill = win_fill if d["profit"] >= 0 else loss_fill for c in range(1, 7): ws4.column_dimensions[get_column_letter(c)].width = 16 wb.save(filepath) print(f"\n Report saved: {filepath}") # ─── Log Generator ───────────────────────────────────────────── def generate_log(stats: BacktestStats, filepath: str, start_date: datetime, end_date: datetime): net_pnl = stats.total_profit - stats.total_loss lines = [] lines.append("=" * 80) lines.append("XAUBOT AI — SMC + Broker SL Only Exit Backtest Log") lines.append("=" * 80) lines.append(f"Generated: {datetime.now().strftime('%Y-%m-%d %H:%M:%S')}") lines.append(f"Period: {start_date.strftime('%Y-%m-%d')} to {end_date.strftime('%Y-%m-%d')}") lines.append(f"Strategy: SMC-Only v4 + Broker SL Only Exit (simplified)") lines.append("") lines.append("--- PERFORMANCE SUMMARY ---") lines.append(f" Total Trades: {stats.total_trades}") lines.append(f" Wins: {stats.wins}") lines.append(f" Losses: {stats.losses}") lines.append(f" Win Rate: {stats.win_rate:.1f}%") lines.append(f" Total Profit: ${stats.total_profit:,.2f}") lines.append(f" Total Loss: ${stats.total_loss:,.2f}") lines.append(f" Net PnL: ${net_pnl:,.2f}") lines.append(f" Profit Factor: {stats.profit_factor:.2f}") lines.append(f" Max Drawdown: {stats.max_drawdown:.1f}% (${stats.max_drawdown_usd:,.2f})") lines.append(f" Avg Win: ${stats.avg_win:,.2f}") lines.append(f" Avg Loss: ${stats.avg_loss:,.2f}") lines.append(f" Expectancy: ${stats.expectancy:,.2f}") lines.append(f" Sharpe Ratio: {stats.sharpe_ratio:.2f}") lines.append(f" Avoided (AVOID): {stats.avoided_signals}") lines.append(f" Recovery Trades: {stats.recovery_mode_trades}") lines.append(f" Daily Stops: {stats.daily_limit_stops}") lines.append("") lines.append("--- EXIT REASON BREAKDOWN ---") exit_counts = {} for t in stats.trades: r = t.exit_reason.value exit_counts[r] = exit_counts.get(r, 0) + 1 for reason, count in sorted(exit_counts.items(), key=lambda x: -x[1]): pct = count / stats.total_trades * 100 if stats.total_trades > 0 else 0 lines.append(f" {reason:20s}: {count:4d} ({pct:5.1f}%)") lines.append("") lines.append("--- DIRECTION BREAKDOWN ---") for d in ["BUY", "SELL"]: dt = [t for t in stats.trades if t.direction == d] dw = sum(1 for t in dt if t.result == TradeResult.WIN) dp = sum(t.profit_usd for t in dt) dwr = dw / len(dt) * 100 if dt else 0 lines.append(f" {d}: {len(dt)} trades, {dwr:.1f}% WR, ${dp:,.2f}") lines.append("") lines.append("--- SESSION BREAKDOWN ---") ss = {} for t in stats.trades: if t.session not in ss: ss[t.session] = {"w": 0, "l": 0, "p": 0.0} if t.result == TradeResult.WIN: ss[t.session]["w"] += 1 else: ss[t.session]["l"] += 1 ss[t.session]["p"] += t.profit_usd for s, d in sorted(ss.items(), key=lambda x: -x[1]["p"]): total = d["w"] + d["l"] wr = d["w"] / total * 100 if total > 0 else 0 lines.append(f" {s:30s}: {total:3d} trades, {wr:5.1f}% WR, ${d['p']:>8,.2f}") lines.append("") lines.append("--- SMC COMPONENT ANALYSIS ---") for cn, attr in [("BOS", "has_bos"), ("CHoCH", "has_choch"), ("FVG", "has_fvg"), ("OB", "has_ob")]: ct = [t for t in stats.trades if getattr(t, attr)] cw = sum(1 for t in ct if t.result == TradeResult.WIN) cp = sum(t.profit_usd for t in ct) cwr = cw / len(ct) * 100 if ct else 0 lines.append(f" {cn:6s}: {len(ct):3d} trades, {cwr:5.1f}% WR, ${cp:>8,.2f}") lines.append("") lines.append("--- TRADE LOG ---") lines.append(f"{'#':>4} {'Entry Time':>16} {'Dir':>4} {'Entry':>10} {'Exit':>10} {'P/L($)':>8} {'Result':>6} {'Exit Reason':>18} {'Conf':>5} {'Mode':>10} {'Session':>20}") lines.append("-" * 140) for idx, t in enumerate(stats.trades, 1): lines.append( f"{idx:4d} {t.entry_time.strftime('%Y-%m-%d %H:%M'):>16} {t.direction:>4} " f"{t.entry_price:>10.2f} {t.exit_price:>10.2f} {t.profit_usd:>8.2f} " f"{t.result.value:>6} {t.exit_reason.value:>18} {t.smc_confidence:>5.0%} " f"{t.trading_mode:>10} {t.session:>20}" ) lines.append("\n" + "=" * 80) lines.append("END OF REPORT") with open(filepath, "w", encoding="utf-8") as f: f.write("\n".join(lines)) print(f" Log saved: {filepath}") # ─── Main ────────────────────────────────────────────────────── def main(): print("=" * 70) print("XAUBOT AI — SMC + Broker SL Only Exit Backtest") print("Entry: SMC-Only v4 (same as baseline)") print("Exit: Broker SL Only (simplified — no breakeven, wider trail, 12h max)") print("=" * 70) config = get_config() mt5 = MT5Connector( login=config.mt5_login, password=config.mt5_password, server=config.mt5_server, path=config.mt5_path, ) mt5.connect() print(f"\nConnected to MT5") print("Fetching XAUUSD M15 historical data...") df = mt5.get_market_data(symbol="XAUUSD", timeframe="M15", count=50000) if len(df) == 0: print("ERROR: No data received") mt5.disconnect() return print(f" Received {len(df)} bars") times = df["time"].to_list() print(f" Data range: {times[0]} to {times[-1]}") end_date = datetime.now() start_date = datetime(2025, 8, 1) data_start = times[0] if hasattr(data_start, 'replace') and data_start.tzinfo: start_date = start_date.replace(tzinfo=data_start.tzinfo) end_date = end_date.replace(tzinfo=data_start.tzinfo) if data_start > start_date: start_date = data_start + timedelta(days=5) print(f" [INFO] Adjusted start: {start_date}") print(f"\n Backtest period: {start_date.strftime('%Y-%m-%d')} to {end_date.strftime('%Y-%m-%d')}") print("\nCalculating indicators...") features = FeatureEngineer() smc = SMCAnalyzer(swing_length=config.smc.swing_length, ob_lookback=config.smc.ob_lookback) df = features.calculate_all(df, include_ml_features=True) df = smc.calculate_all(df) regime_detector = MarketRegimeDetector(model_path="models/hmm_regime.pkl") try: regime_detector.load() df = regime_detector.predict(df) print(" HMM regime loaded") except Exception: print(" [WARN] HMM not available") print(" Indicators calculated") backtest = BrokerSLOnlyBacktest( capital=5000.0, max_daily_loss_percent=5.0, max_loss_per_trade_percent=1.0, base_lot_size=0.01, max_lot_size=0.02, recovery_lot_size=0.01, trade_cooldown_bars=10, ) stats = backtest.run(df=df, start_date=start_date, end_date=end_date, initial_capital=5000.0) net_pnl = stats.total_profit - stats.total_loss print("\n" + "=" * 70) print("SMC + BROKER SL ONLY EXIT — RESULTS") print("=" * 70) print(f"\n Strategy: SMC-Only v4 + Broker SL Only Exit") print(f" Exit: Simplified (TP/SL/Trail/Weekend/DailyLimit/12h timeout)") print(f"\n Performance:") print(f" Total Trades: {stats.total_trades}") print(f" Wins: {stats.wins}") print(f" Losses: {stats.losses}") print(f" Win Rate: {stats.win_rate:.1f}%") print(f"\n Profit/Loss:") print(f" Total Profit: ${stats.total_profit:,.2f}") print(f" Total Loss: ${stats.total_loss:,.2f}") print(f" Net PnL: ${net_pnl:,.2f}") print(f" Profit Factor: {stats.profit_factor:.2f}") print(f"\n Risk Metrics:") print(f" Max Drawdown: {stats.max_drawdown:.1f}% (${stats.max_drawdown_usd:,.2f})") print(f" Avg Win: ${stats.avg_win:,.2f}") print(f" Avg Loss: ${stats.avg_loss:,.2f}") print(f" Expectancy: ${stats.expectancy:,.2f}") print(f" Sharpe Ratio: {stats.sharpe_ratio:.2f}") print(f"\n Sync Metrics:") print(f" Avoided (AVOID): {stats.avoided_signals}") print(f" Recovery Trades: {stats.recovery_mode_trades}") print(f" Daily Limit Stops:{stats.daily_limit_stops}") print(f"\n Exit Reasons:") exit_counts = {} for t in stats.trades: r = t.exit_reason.value exit_counts[r] = exit_counts.get(r, 0) + 1 for reason, count in sorted(exit_counts.items(), key=lambda x: -x[1]): pct = count / stats.total_trades * 100 if stats.total_trades > 0 else 0 print(f" {reason:20s}: {count} ({pct:.1f}%)") print(f"\n Direction:") for d in ["BUY", "SELL"]: dt = [t for t in stats.trades if t.direction == d] dw = sum(1 for t in dt if t.result == TradeResult.WIN) dp = sum(t.profit_usd for t in dt) dwr = dw / len(dt) * 100 if dt else 0 print(f" {d}: {len(dt)} trades, {dwr:.1f}% WR, ${dp:,.2f}") timestamp = datetime.now().strftime("%Y%m%d_%H%M%S") output_dir = os.path.join(os.path.dirname(os.path.abspath(__file__)), "11_broker_sl_results") os.makedirs(output_dir, exist_ok=True) log_path = os.path.join(output_dir, f"broker_sl_{timestamp}.log") xlsx_path = os.path.join(output_dir, f"broker_sl_{timestamp}.xlsx") generate_log(stats, log_path, start_date, end_date) generate_xlsx_report(stats, xlsx_path, start_date, end_date) mt5.disconnect() print("\n" + "=" * 70) print(f"Output: {output_dir}") print(f" Log: {os.path.basename(log_path)}") print(f" Report: {os.path.basename(xlsx_path)}") print("=" * 70) print("Backtest complete!") if __name__ == "__main__": main()