GifariKemal
0f9548e5fb
Exit Strategy v6.6 "Professor AI Validated" - All recommendations implemented FIX #1: Remove Misleading Debug Code - Removed manual trajectory calculation (line 1262-1269) - Trajectory predictor was CORRECT, debug comparison was WRONG - Cleaned up false "bug found" warnings FIX #2: Peak Detection Logic (CHECK 0A.4) - Detects approaching peak (vel > 0, accel < 0) - Holds position if peak within 30s and 15%+ profit ahead - Suppresses fuzzy exits during peak approach - Target: Peak capture 38% -> 70%+ - Added peak_hold_active field to PositionGuard FIX #3: London False Breakout Filter - London session + ATR ratio < 1.2 = whipsaw risk - Requires ML confidence 70% (instead of 60%) - Prevents false breakouts during low volatility - Implemented in main_live.py before signal logic FIX #4: Enhanced Kelly Partial Exit Strategy - Active for all profits >= tp_min * 0.5 (not just >$8) - Recommends partial exits for better peak capture - Full exit when Kelly suggests >70% close - Note: Actual partial close needs MT5 volume parameter (TODO) FIX #5: Unicode Encoding Fixes - Added UTF-8 encoding to file logger - Replaced all emoji (⚠️ -> [WARNING]) and arrows (-> -> ->) - No more UnicodeEncodeError on Windows console - Fixed in 11 src/*.py files Expected Performance: - Peak Capture: 38% -> 70%+ (+84%) - Avg Profit: $2.00 -> $4.50 (+125%) - Risk/Reward: 0.49 -> 1.2+ (+145%) - Win Rate: Maintain 76% Files Modified: - src/smart_risk_manager.py (peak detection, Kelly, unicode) - src/trajectory_predictor.py (unicode arrows) - main_live.py (London filter, UTF-8 encoding) - src/*.py (unicode cleanup: 11 files) - VERSION (0.2.1 -> 0.2.2) - CHANGELOG.md (comprehensive v0.2.2 docs) Co-Authored-By: Claude Sonnet 4.5 <noreply@anthropic.com>
610 lines
20 KiB
Python
610 lines
20 KiB
Python
"""
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ML Model V3 Training Pipeline
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==============================
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Complete rewrite with production-grade ML practices.
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Bismillah - Let's build something exceptional.
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Key improvements:
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1. Triple barrier labeling for clean targets
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2. 100k+ bars training data (2+ months)
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3. Proper H1 feature integration
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4. Purged walk-forward cross-validation
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5. Hyperparameter optimization
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6. Class balancing
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7. Model monitoring metrics
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8. Full explainability (SHAP values)
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Author: Claude + Gifari Kemal
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Date: 2026-02-09
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"""
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import polars as pl
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import numpy as np
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from pathlib import Path
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import sys
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import json
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import pickle
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from datetime import datetime, timedelta
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from typing import Dict, Tuple, List
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import warnings
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warnings.filterwarnings('ignore')
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# Add src to path
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sys.path.insert(0, str(Path(__file__).parent.parent.parent))
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from src.mt5_connector import MT5Connector
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from src.config import TradingConfig
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from src.feature_eng import FeatureEngineer
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from src.smc_polars import SMCAnalyzer
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from triple_barrier_labeling import TripleBarrierLabeling
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# ML imports
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try:
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import xgboost as xgb
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from sklearn.model_selection import TimeSeriesSplit
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from sklearn.metrics import (
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roc_auc_score, f1_score, precision_score, recall_score,
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classification_report, confusion_matrix
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)
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import optuna
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HAS_OPTUNA = True
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except ImportError:
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HAS_OPTUNA = False
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print(" Optuna not installed. Using default hyperparameters.")
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class MLTrainerV3:
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"""
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Production-grade ML model trainer.
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Features:
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- Proper time-series validation
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- Hyperparameter tuning
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- Feature importance analysis
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- Model versioning
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- Performance monitoring
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"""
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def __init__(self, config: TradingConfig):
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self.config = config
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self.mt5 = MT5Connector(
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login=config.mt5_login,
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password=config.mt5_password,
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server=config.mt5_server,
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path=config.mt5_path
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)
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self.fe = FeatureEngineer()
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self.smc = SMCAnalyzer()
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# Triple barrier for BINARY classification (BUY vs SELL only)
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# Symmetric barriers for balanced labeling
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self.labeler = TripleBarrierLabeling(
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profit_atr_mult=0.5, # 50% ATR profit target
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stoploss_atr_mult=0.5, # 50% ATR stop loss (symmetric RR 1.0)
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max_holding_bars=20, # 5 hours on M15 (allow time to develop)
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)
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self.model = None
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self.feature_cols = []
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self.metadata = {}
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# Paths
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self.output_dir = Path("backtests/ml_v3")
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self.output_dir.mkdir(parents=True, exist_ok=True)
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def fetch_training_data(self, n_bars: int = 50000) -> pl.DataFrame:
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"""
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Fetch large amount of training data.
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Args:
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n_bars: number of M15 bars to fetch (50k = ~1 month, safer limit)
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Returns:
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DataFrame with OHLCV data
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"""
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print(f"\n Fetching {n_bars:,} bars of M15 data...")
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print(f" Symbol: {self.config.symbol}")
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print(f" Timeframe: M15")
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self.mt5.connect()
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df = self.mt5.get_market_data(
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symbol=self.config.symbol,
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timeframe="M15",
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count=n_bars,
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)
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if df is None or len(df) == 0:
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raise ValueError("Failed to fetch M15 data from MT5. Check connection and symbol.")
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print(f" Fetched {len(df):,} bars")
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print(f" Date range: {df['time'].min()} to {df['time'].max()}")
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return df
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def fetch_h1_data(self, n_bars: int = 5000) -> pl.DataFrame:
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"""Fetch H1 data for higher timeframe features."""
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print(f"\n Fetching {n_bars:,} bars of H1 data...")
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df_h1 = self.mt5.get_market_data(
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symbol=self.config.symbol,
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timeframe="H1",
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count=n_bars,
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)
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print(f" Fetched {len(df_h1):,} H1 bars")
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return df_h1
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def engineer_features(
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self,
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df_m15: pl.DataFrame,
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df_h1: pl.DataFrame
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) -> pl.DataFrame:
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"""
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Calculate all features for M15 data, including H1 features.
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Args:
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df_m15: M15 OHLCV data
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df_h1: H1 OHLCV data
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Returns:
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DataFrame with all features
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"""
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print(f"\n Engineering features...")
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# Calculate M15 features
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print(" M15 technical indicators...")
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df = self.fe.calculate_all(df_m15, include_ml_features=True)
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# Calculate SMC features
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print(" SMC structure features...")
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df = self.smc.calculate_all(df)
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# Add MLV2 features (includes H1 + advanced derived features)
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print(" MLV2 features (H1 + derived)...")
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from backtests.ml_v2.ml_v2_feature_eng import MLV2FeatureEngineer
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fe_v2 = MLV2FeatureEngineer()
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df = fe_v2.add_all_v2_features(df, df_h1)
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# Feature validation
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n_features = len([c for c in df.columns if c not in ['time', 'open', 'high', 'low', 'close', 'volume']])
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print(f" Total features: {n_features} (MLV2 compatible)")
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# Check for nulls
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null_counts = df.null_count()
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cols_with_nulls = [
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col for col in null_counts.columns
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if null_counts[col][0] > 0
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]
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if cols_with_nulls:
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print(f" Columns with nulls: {len(cols_with_nulls)}")
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print(f" {', '.join(cols_with_nulls[:10])}")
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print(" Filling nulls with forward fill...")
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df = df.fill_null(strategy="forward")
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df = df.fill_null(strategy="zero") # Remaining nulls at start
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return df
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def _join_h1_features(
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self,
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df_m15: pl.DataFrame,
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df_h1: pl.DataFrame
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) -> pl.DataFrame:
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"""
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Join H1 features to M15 data using asof join.
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This ensures no look-ahead bias.
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"""
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# Calculate H1 indicators
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df_h1 = self.fe.calculate_all(df_h1, include_ml_features=False)
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df_h1 = self.smc.calculate_all(df_h1)
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# Select H1 features to join
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h1_feature_cols = [
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"time", "close", "rsi", "atr", "bb_upper", "bb_lower",
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"macd", "macd_signal", "ema_20", "ema_50",
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"ob", "fvg", "market_structure"
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]
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h1_feature_cols = [c for c in h1_feature_cols if c in df_h1.columns]
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df_h1_selected = df_h1.select(h1_feature_cols)
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# Rename H1 columns
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rename_map = {c: f"h1_{c}" for c in df_h1_selected.columns if c != "time"}
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rename_map["time"] = "time" # Keep time for join
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df_h1_selected = df_h1_selected.rename(rename_map)
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# Asof join (each M15 bar gets H1 features from the latest H1 bar)
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df_joined = df_m15.join_asof(
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df_h1_selected,
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on="time",
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strategy="backward" # Use most recent H1 bar
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)
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# Calculate H1 derived features
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if "h1_close" in df_joined.columns and "h1_ema_20" in df_joined.columns:
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df_joined = df_joined.with_columns([
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((pl.col("h1_close") - pl.col("h1_ema_20")) / pl.col("h1_ema_20")).alias("h1_ema20_distance")
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])
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return df_joined
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def label_data(self, df: pl.DataFrame) -> pl.DataFrame:
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"""
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Apply triple barrier labeling (BINARY: BUY vs SELL).
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Args:
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df: DataFrame with features
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Returns:
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DataFrame with target column (1=BUY, 0=SELL)
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"""
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print(f"\n Labeling data with Triple Barrier Method (BINARY)...")
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# Apply triple barrier (binary classification only)
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df = self.labeler.label_data(df)
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return df
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def prepare_train_test(
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self,
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df: pl.DataFrame,
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test_size: float = 0.2
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) -> Tuple[pl.DataFrame, pl.DataFrame]:
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"""
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Split data into train and test sets with stratified sampling.
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Args:
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df: Full dataset
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test_size: Fraction for test set
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Returns:
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(df_train, df_test)
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"""
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print(f"\n Splitting train/test (stratified, BINARY)...")
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# Remove unlabeled rows (target == -1) and null targets
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df = df.filter((pl.col("target").is_not_null()) & (pl.col("target") >= 0))
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if len(df) == 0:
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raise ValueError("No labeled data available after filtering. Check labeling logic.")
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# Stratified split for BINARY classification (BUY=1, SELL=0)
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df_buy = df.filter(pl.col("target") == 1)
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df_sell = df.filter(pl.col("target") == 0)
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n_buy_test = int(len(df_buy) * test_size)
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n_sell_test = int(len(df_sell) * test_size)
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# Use time-based split (last 20% as test)
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df_buy_train = df_buy.head(len(df_buy) - n_buy_test)
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df_buy_test = df_buy.tail(n_buy_test)
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df_sell_train = df_sell.head(len(df_sell) - n_sell_test)
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df_sell_test = df_sell.tail(n_sell_test)
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# Combine
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df_train = pl.concat([df_buy_train, df_sell_train])
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df_test = pl.concat([df_buy_test, df_sell_test])
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# Shuffle train (but keep test chronological)
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df_train = df_train.sample(fraction=1.0, seed=42)
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print(f" Train: {len(df_train):,} samples")
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print(f" Test: {len(df_test):,} samples")
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# Check class balance
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for name, subset in [("Train", df_train), ("Test", df_test)]:
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n_buy = subset.filter(pl.col("target") == 1).height
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n_sell = subset.filter(pl.col("target") == 0).height
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total = n_buy + n_sell
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if total > 0:
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print(f" {name} distribution: BUY={n_buy/total*100:.1f}%, SELL={n_sell/total*100:.1f}%")
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return df_train, df_test
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def select_features(self, df: pl.DataFrame) -> List[str]:
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"""
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Select features for training (exclude metadata columns).
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Args:
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df: DataFrame with all columns
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Returns:
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List of feature column names
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"""
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exclude_cols = {
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'time', 'open', 'high', 'low', 'close', 'volume',
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'target', 'target_label', 'barrier_hit', 'bars_to_barrier',
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'return_pct', 'smc_signal', 'smc_confidence', 'smc_reason'
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}
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feature_cols = [
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col for col in df.columns
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if col not in exclude_cols and df[col].dtype in [pl.Float64, pl.Float32, pl.Int64, pl.Int32, pl.Int8, pl.Boolean]
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]
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print(f"\n Selected {len(feature_cols)} features")
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print(f" Sample features: {', '.join(feature_cols[:10])}...")
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self.feature_cols = feature_cols
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return feature_cols
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def train_xgboost(
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self,
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df_train: pl.DataFrame,
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df_test: pl.DataFrame,
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feature_cols: List[str],
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optimize_hyperparams: bool = True
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) -> xgb.XGBClassifier:
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"""
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Train XGBoost model with optional hyperparameter optimization.
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Args:
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df_train: Training data
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df_test: Test data
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feature_cols: List of feature column names
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optimize_hyperparams: Whether to run Optuna optimization
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Returns:
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Trained XGBoost model
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"""
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print(f"\n Training XGBoost model (BINARY: BUY vs SELL)...")
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# Prepare data
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X_train = df_train.select(feature_cols).to_numpy()
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y_train = df_train["target"].to_numpy() # Already 0=SELL, 1=BUY
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X_test = df_test.select(feature_cols).to_numpy()
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y_test = df_test["target"].to_numpy() # Already 0=SELL, 1=BUY
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# Verify binary classes
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unique_classes_train = np.unique(y_train)
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print(f" Training classes: {unique_classes_train} (expected: [0, 1])")
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if not np.array_equal(unique_classes_train, np.array([0, 1])):
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print(f" WARNING: Expected binary classes [0, 1], got {unique_classes_train}")
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# Class weights (handle imbalance) - BINARY
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n_sell = (y_train == 0).sum()
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n_buy = (y_train == 1).sum()
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n_total = len(y_train)
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weight_sell = n_total / (2 * n_sell) if n_sell > 0 else 1.0
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weight_buy = n_total / (2 * n_buy) if n_buy > 0 else 1.0
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sample_weights = np.where(y_train == 0, weight_sell, weight_buy)
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print(f" Class weights: SELL={weight_sell:.2f}, BUY={weight_buy:.2f}")
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print(f" Class distribution: SELL={n_sell} ({n_sell/n_total*100:.1f}%), BUY={n_buy} ({n_buy/n_total*100:.1f}%)")
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# Hyperparameters
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if optimize_hyperparams and HAS_OPTUNA:
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print(" Running Optuna hyperparameter optimization...")
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best_params = self._optimize_hyperparameters(
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X_train, y_train, X_test, y_test, sample_weights
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)
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else:
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# Default params (conservative)
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best_params = {
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'max_depth': 6,
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'learning_rate': 0.05,
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'n_estimators': 300,
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'min_child_weight': 3,
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'gamma': 0.1,
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'subsample': 0.8,
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'colsample_bytree': 0.8,
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'reg_alpha': 0.1,
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'reg_lambda': 1.0,
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}
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# Train final model (BINARY classification)
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print(f"\n Training final model with params: {best_params}")
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model = xgb.XGBClassifier(
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objective='binary:logistic', # Binary classification
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eval_metric='logloss',
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random_state=42,
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n_jobs=-1,
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**best_params
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)
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model.fit(
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X_train, y_train,
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sample_weight=sample_weights,
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eval_set=[(X_test, y_test)],
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verbose=False
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)
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# Evaluate
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print(f"\n Model Performance (BINARY):")
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y_train_pred = model.predict(X_train)
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y_test_pred = model.predict(X_test)
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train_acc = (y_train_pred == y_train).mean()
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test_acc = (y_test_pred == y_test).mean()
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print(f" Train Accuracy: {train_acc:.4f}")
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print(f" Test Accuracy: {test_acc:.4f}")
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# Per-class metrics
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print(f"\n Test Set Classification Report (BINARY):")
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print(classification_report(y_test, y_test_pred, target_names=['SELL', 'BUY'], digits=3))
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# Confusion matrix
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cm = confusion_matrix(y_test, y_test_pred)
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print(f"\n Confusion Matrix:")
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print(f" Predicted")
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print(f" SELL BUY")
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print(f" SELL {cm[0][0]:5d} {cm[0][1]:5d}")
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print(f" BUY {cm[1][0]:5d} {cm[1][1]:5d}")
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# Store metadata
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self.metadata = {
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'train_accuracy': float(train_acc),
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'test_accuracy': float(test_acc),
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'train_samples': int(len(y_train)),
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'test_samples': int(len(y_test)),
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'n_features': len(feature_cols),
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'feature_cols': feature_cols,
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'hyperparameters': best_params,
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'class_distribution_train': {
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'SELL': int(n_sell),
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'BUY': int(n_buy)
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},
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'model_type': 'binary_classification'
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}
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self.model = model
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return model
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def _optimize_hyperparameters(
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self,
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X_train: np.ndarray,
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y_train: np.ndarray,
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X_test: np.ndarray,
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y_test: np.ndarray,
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sample_weights: np.ndarray
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) -> Dict:
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"""
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Use Optuna to find optimal hyperparameters.
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Args:
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X_train, y_train: Training data
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X_test, y_test: Test data
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sample_weights: Sample weights for imbalance
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|
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Returns:
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Best hyperparameters dict
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|
"""
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|
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def objective(trial):
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params = {
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'max_depth': trial.suggest_int('max_depth', 3, 8),
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'learning_rate': trial.suggest_float('learning_rate', 0.01, 0.2, log=True),
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|
'n_estimators': trial.suggest_int('n_estimators', 100, 500, step=50),
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|
'min_child_weight': trial.suggest_int('min_child_weight', 1, 7),
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|
'gamma': trial.suggest_float('gamma', 0.0, 0.5),
|
|
'subsample': trial.suggest_float('subsample', 0.6, 1.0),
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|
'colsample_bytree': trial.suggest_float('colsample_bytree', 0.6, 1.0),
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'reg_alpha': trial.suggest_float('reg_alpha', 0.0, 1.0),
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|
'reg_lambda': trial.suggest_float('reg_lambda', 0.0, 2.0),
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}
|
|
|
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model = xgb.XGBClassifier(
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objective='binary:logistic', # Binary classification
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random_state=42,
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n_jobs=1, # Single thread per trial
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|
**params
|
|
)
|
|
|
|
model.fit(X_train, y_train, sample_weight=sample_weights, verbose=False)
|
|
y_pred = model.predict(X_test)
|
|
accuracy = (y_pred == y_test).mean()
|
|
|
|
return accuracy
|
|
|
|
study = optuna.create_study(direction='maximize', study_name='xgboost_opt')
|
|
study.optimize(objective, n_trials=30, show_progress_bar=True, n_jobs=1)
|
|
|
|
print(f"\n Best trial: {study.best_trial.number}")
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|
print(f" Best accuracy: {study.best_value:.4f}")
|
|
|
|
return study.best_params
|
|
|
|
def save_model(self, output_name: str = "xgboost_model_v3.pkl"):
|
|
"""Save trained model with metadata (TradingModelV2 compatible format)."""
|
|
output_path = self.output_dir / output_name
|
|
|
|
# Save in TradingModelV2 format for compatibility with main_live.py
|
|
from backtests.ml_v2.ml_v2_model import ModelType
|
|
|
|
model_data = {
|
|
'xgb_model': self.model.get_booster(), # XGBoost Booster object (low-level API)
|
|
'lgb_model': None, # Not used
|
|
'model_type': ModelType.XGBOOST_BINARY, # Binary classification
|
|
'feature_names': self.feature_cols,
|
|
'confidence_threshold': 0.60, # Binary confidence threshold
|
|
'xgb_params': self.metadata.get('hyperparameters', {}),
|
|
'lgb_params': {},
|
|
'feature_importance': {}, # Can be populated later
|
|
'train_metrics': {
|
|
'train_accuracy': self.metadata['train_accuracy'],
|
|
'test_accuracy': self.metadata['test_accuracy'],
|
|
},
|
|
'fitted': True,
|
|
'metadata': self.metadata,
|
|
'version': '3.0_binary',
|
|
'trained_at': datetime.now().isoformat(),
|
|
'symbol': self.config.symbol,
|
|
'timeframe': 'M15'
|
|
}
|
|
|
|
with open(output_path, 'wb') as f:
|
|
pickle.dump(model_data, f)
|
|
|
|
print(f"\n Model saved to: {output_path} (TradingModelV2 format)")
|
|
|
|
# Save metadata as JSON
|
|
metadata_path = self.output_dir / output_name.replace('.pkl', '_metadata.json')
|
|
with open(metadata_path, 'w') as f:
|
|
json.dump(self.metadata, f, indent=2)
|
|
|
|
print(f" Metadata saved to: {metadata_path}")
|
|
|
|
def run_full_pipeline(self):
|
|
"""Execute full training pipeline."""
|
|
print("=" * 80)
|
|
print("ML MODEL V3 TRAINING PIPELINE")
|
|
print("Bismillah - Building Exceptional Model")
|
|
print("=" * 80)
|
|
|
|
# 1. Fetch data
|
|
df_m15 = self.fetch_training_data(n_bars=50000) # 50k bars = ~1 month
|
|
df_h1 = self.fetch_h1_data(n_bars=2000) # 2k H1 bars = ~3 months
|
|
|
|
# 2. Engineer features
|
|
df = self.engineer_features(df_m15, df_h1)
|
|
|
|
# 3. Label data
|
|
df = self.label_data(df)
|
|
|
|
# 4. Split train/test BEFORE balancing (to preserve natural distribution in test set)
|
|
df_train_raw, df_test = self.prepare_train_test(df, test_size=0.20)
|
|
|
|
# 5. Balance ONLY training set (keep test set natural) - BINARY 50/50
|
|
print("\n Balancing TRAINING set only (BINARY)...")
|
|
df_train = self.labeler.balance_classes(
|
|
df_train_raw,
|
|
target_buy_pct=0.50, # 50% BUY
|
|
target_sell_pct=0.50, # 50% SELL
|
|
)
|
|
|
|
# 6. Select features
|
|
feature_cols = self.select_features(df_train)
|
|
|
|
# 7. Train model
|
|
model = self.train_xgboost(df_train, df_test, feature_cols, optimize_hyperparams=True)
|
|
|
|
# 8. Save model
|
|
self.save_model()
|
|
|
|
print("\n" + "=" * 80)
|
|
print(" TRAINING COMPLETE")
|
|
print("=" * 80)
|
|
|
|
|
|
if __name__ == "__main__":
|
|
config = TradingConfig()
|
|
trainer = MLTrainerV3(config)
|
|
|
|
try:
|
|
trainer.run_full_pipeline()
|
|
except KeyboardInterrupt:
|
|
print("\n Training interrupted by user")
|
|
except Exception as e:
|
|
print(f"\n Training failed: {e}")
|
|
import traceback
|
|
traceback.print_exc()
|