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romysaputrasihanandaandClaude Sonnet 4.6
a78dd26cf0
Vendor domain and mt5-client from hermes into crates/ so the repo can be pushed to GitHub without external path dependencies. Also includes all bug fixes from autonomous session: - impulse SL fix (SL at impulse candle low/high, not zone edge) - pip_size fix for 5-decimal pairs - fill_ok premature cancellation fix - TIMEOUT_CANDLES, MIN_FVG_PIPS, MIN_SL_PIPS env vars Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
171 lines
5.0 KiB
Markdown
171 lines
5.0 KiB
Markdown
# Autonomous Backtest Session — 2026-06-09
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Dikerjakan saat user tidur. Ringkasan semua bug fix, backtest, dan temuan.
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---
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## Bug Fixes
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### 1. `!fill_ok` premature FVG cancellation (kritikal)
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**Masalah:** Saat zona FVG disentuh candle tapi entry midpoint belum tercapai, kode langsung
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membatalkan (`pending_fvg = None`). Akibatnya banyak setup yang valid ikut dibuang.
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**Fix:** Saat `is_touched && !fill_ok`, FVG tetap aktif dan dicoba di candle berikutnya.
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FVG hanya dibatalkan saat:
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- Expiry tercapai (`i >= expiry_idx`) → `missed_fills += 1`
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- EMA filter tidak sesuai
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- SL distance terlalu kecil
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**Dampak:**
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```
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Sebelum fix: 993 trades, WR=48.3%, PF=1.33, Return=+314.7%
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Sesudah fix: 1268 trades, WR=50.3%, PF=1.43, Return=+1183.3%
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```
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### 2. `missed_fills` counter dipindah ke expiry
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Sebelumnya counter dihitung setiap candle zona disentuh tanpa fill. Sekarang hanya dihitung
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sekali saat setup expired tanpa pernah terisi.
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---
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## Fitur Baru
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### 3. `TIMEOUT_CANDLES` (env var)
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Sama seperti Hermes — force close trade setelah N candles. Default = 0 (disabled).
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**Test result:** Hampir tidak berpengaruh di XAUUSDm:
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```
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TIMEOUT=0 → PF=1.43, Return=1183%
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TIMEOUT=24 → PF=1.42, Return=1088%
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TIMEOUT=48 → PF=1.43, Return=1132%
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```
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Artinya trade XAU selalu resolve (SL/TP) dalam <24 M5 candles (2 jam).
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---
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## Parameter Sweep XAUUSDm
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### BODY_PCT_MIN (body/range minimum)
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```
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0.50 → Trades=1351, PF=1.50, Return=1808%
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0.55 → Trades=1320, PF=1.46, Return=1509%
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0.60 → Trades=1268, PF=1.43, Return=1183% ← default
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0.65 → Trades=1191, PF=1.43, Return=854%
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0.70 → Trades=1102, PF=1.40, Return=575%
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```
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Lower = more trades, slightly better PF. 0.60 adalah titik keseimbangan.
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### MIN_RR
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```
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1.2 → WR=55.7%, PF=1.39, Return=784%
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1.5 → WR=50.3%, PF=1.43, Return=1183% ← default
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2.0 → WR=41.2%, PF=1.32, Return=853%
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2.5 → WR=35.2%, PF=1.27, Return=688%
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3.0 → WR=32.1%, PF=1.33, Return=1289%
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```
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MIN_RR=1.5 memberikan balance terbaik. MIN_RR=3.0 menarik tapi WR 32% beresiko tinggi.
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### FVG_EXPIRY_CANDLES
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```
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3 → PF=1.21, Return=170%
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5 → PF=1.31, Return=401%
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10 → PF=1.43, Return=1183% ← default
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15 → PF=1.44, Return=972%
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20 → PF=1.45, Return=796%
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```
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10 adalah sweet spot — cukup waktu untuk fill, tidak terlalu lama jadi stale.
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### EMA_PERIOD (KRITIKAL)
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```
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0 → WR=41.2%, PF=0.97, Return=-18% ← RUGI tanpa filter!
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10 → WR=53.5%, PF=1.70, Return=1723%
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15 → WR=50.1%, PF=1.46, Return=880%
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20 → WR=50.3%, PF=1.43, Return=1183% ← default
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30 → WR=47.6%, PF=1.26, Return=499%
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50 → WR=44.4%, PF=1.11, Return=107%
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```
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**EMA filter sangat kritikal** — tanpanya strategi rugi. EMA10 terlihat terbaik tapi
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lebih beresiko overfitting. EMA20 adalah pilihan konservatif yang terbukti profitable
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di EMA range 10-50.
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### SL_BUFFER
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```
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0 → WR=50.3%, PF=1.43, Return=1183% ← default (terbaik)
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0.5 → WR=48.0%, PF=1.29, Return=482%
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1.0 → WR=47.0%, PF=1.27, Return=348%
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2.0 → WR=45.2%, PF=1.20, Return=120%
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```
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Buffer di luar impulse candle malah mengurangi performa. SL tepat di impulse low/high adalah optimal.
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---
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## Hermes Validation
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Build dan backtest berhasil. BREAKEVEN_SL_1R=true bekerja dengan benar:
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- GBPUSDm H1: 102 BE-SL exits, PF=4.27 — fitur berjalan normal.
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---
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## Recommended Config (XAUUSDm)
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```env
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SYMBOL=XAUUSDm
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TIMEFRAME=M5
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BACKTEST_BALANCE=600
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BACKTEST_CANDLES=50000
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RISK_PCT=0.01
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BODY_PCT_MIN=0.6
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CLOSE_PCT_MIN=0.8
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FVG_EXPIRY_CANDLES=10
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MIN_FVG_PIPS=1
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MIN_SL_PIPS=5
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SL_BUFFER=0
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MIN_RR=1.5
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TIMEOUT_CANDLES=0
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EMA_PERIOD=20 # kritikal — jangan disable
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COMMISSION_PER_LOT=7
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SLIPPAGE_POINTS=5
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SPREAD_OVERRIDE=0
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```
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**Hasil:** 1268 trades, WR=50.3%, PF=1.43, Return=+1183%, Max DD=-$550 (dari peak ~$8250 = 6.7%)
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---
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## Peringatan / Risiko
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1. **Data hanya Sep 2025–Jun 2026** — XAU naik 65% dalam periode ini (bull run sangat kuat).
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Strategy dengan EMA filter otomatis bias LONG. Performance di bear market atau ranging market
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belum diketahui.
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2. **EMA adalah kunci** — tanpa EMA, strategi rugi. Ini menunjukkan edge bukan dari FVG pattern
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saja, tapi kombinasi FVG + trend momentum. Hati-hati jika trend berbalik.
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3. **Compounding effect besar** — return +1183% karena compounding 1268 trades. Real-world
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perlu ditest dengan RISK_PCT lebih kecil (0.005) di awal.
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4. **Post-fix multi-pair results (setelah fill_ok bug fix):**
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```
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GBPJPYm → WR=50.5%, PF=1.03, Return=+13.3% (was +10.3%)
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EURUSDm → WR=49.5%, PF=1.15, Return=+9.0% (was -5.6% → NOW POSITIVE!)
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GBPUSDm → WR=42.3%, PF=0.85, Return=-19.8% (still negative)
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XAUUSDm → WR=50.3%, PF=1.43, Return=+1183.3% (flagship)
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```
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Bug fix meningkatkan EURUSDm dari negatif ke positif!
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---
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## Next Steps (untuk user)
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1. Live micro-lot test di XAUUSDm dengan RISK_PCT=0.005
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2. Cari data XAU 2023–2024 untuk out-of-sample validation
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3. Explore apakah EURUSDm bisa profitable dengan EMA=10 (mungkin lebih baik dari EMA=20)
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4. GBPUSDm masih negatif (PF=0.85) — tidak direkomendasikan untuk sekarang
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5. Monitor performa 2 minggu pertama live dengan DD limit manual
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