backtrader-atr-stop-loss-usdchf/REPOSITORY_STRUCTURE.md

🏗️ Backtrader ATR Stop Loss USDCHF - Repository Structure

📂 Directory Tree

backtrader-atr-stop-loss-usdchf/
│
├── 📁 data/                              # Market Data Files
│   └── 📄 USDCHF_5m_5Yea.csv           # 🇨🇭 USDCHF 5-minute historical data (5 years)
│
├── 📁 debug/                            # Debug & Logging Files
│   ├── 📄 entry_debug_20250830_123010.log    # Entry signal debug log
│   ├── 📄 entry_debug_20250830_123132.log    # Entry signal debug log
│   ├── 📄 entry_debug_20250830_132754.log    # Entry signal debug log
│   └── 📄 entry_debug_20250830_132908.log    # Entry signal debug log
│
├── 📁 images/                           # Strategy Performance Charts
│   ├── 🖼️ sunrise_osiris.png           # Main strategy performance chart
│   └── 🖼️ sunrise_osiris_long_entrys.png    # LONG entries visualization
│
├── 📁 src/                              # Source Code
│   └── 📁 strategy/                     # Trading Strategy Implementation
│       ├── 📄 sunrise_osiris.py         # 🌅 Main Sunrise Osiris Strategy (USDCHF)
│       └── 📁 temp_reports/             # Local strategy reports
│           ├── 📄 USDCHF_trades_20250830_132754.txt
│           └── 📄 USDCHF_trades_20250830_132908.txt
│
└── 📁 temp_reports/                     # Global Trade Reports
    ├── 📄 USDCHF_trades_20250830_123010.txt    # Detailed trade analysis
    └── 📄 USDCHF_trades_20250830_123132.txt    # Detailed trade analysis

---

📋 File Descriptions

📊 Data Files

• USDCHF_5m_5Yea.csv: 5-minute OHLCV historical data for USD/CHF currency pair covering approximately 5 years of trading history

🚀 Strategy Files

• sunrise_osiris.py: Main trading strategy implementation
  • Purpose: USDCHF-focused trading system with pullback entry mechanics
  • Features: 3-phase pullback system, ATR volatility filtering, dual cerebro mode
  • Configuration: LONG/SHORT trading, risk management, forex calculations
  • Size: ~2,640 lines of code

🐛 Debug & Logs

• entry_debug_*.log: Comprehensive entry signal analysis logs
  • Tracks every potential entry signal
  • Records blocking reasons (ATR filters, time filters, etc.)
  • Shows success/failure rates for optimization

📈 Visual Reports

• sunrise_osiris.png: Strategy performance visualization
• sunrise_osiris_long_entrys.png: LONG entry points analysis chart

📋 Trade Reports

• USDCHF_trades_*.txt: Detailed trade execution reports
  • Entry/exit timestamps and prices
  • P&L calculations and pip movements
  • ATR values and volatility analysis
  • Risk metrics and position sizing

---

⚙️ Configuration Structure

🎯 Entry Parameters

# Trading Direction
ENABLE_LONG_TRADES = True
ENABLE_SHORT_TRADES = True
RUN_DUAL_CEREBRO = True              # Separate LONG/SHORT execution

# ATR Volatility Filters
LONG_ATR_MIN_THRESHOLD = 0.000200    # Minimum volatility for LONG
LONG_ATR_MAX_THRESHOLD = 0.000600    # Maximum volatility for LONG
SHORT_ATR_MIN_THRESHOLD = 0.000400   # Minimum volatility for SHORT
SHORT_ATR_MAX_THRESHOLD = 0.000750   # Maximum volatility for SHORT

# Pullback Entry System
LONG_USE_PULLBACK_ENTRY = True       # 3-phase pullback for LONG
LONG_PULLBACK_MAX_CANDLES = 1        # Max red candles in LONG pullback
SHORT_USE_PULLBACK_ENTRY = True      # 3-phase pullback for SHORT
SHORT_PULLBACK_MAX_CANDLES = 2       # Max green candles in SHORT pullback

💰 Risk Management

# Position Sizing
STARTING_CASH = 100000.0             # Initial capital
RISK_PERCENT = 0.01                  # 1% risk per trade

# Forex Configuration
FOREX_INSTRUMENT = 'USDCHF'          # USD vs Swiss Franc
FOREX_PIP_VALUE = 0.0001             # 4 decimal places
FOREX_LOT_SIZE = 100000              # 100K USD lots
FOREX_LEVERAGE = 30.0                # 30:1 leverage

🕐 Trading Hours

# Time Range Filter
USE_TIME_RANGE_FILTER = True
ENTRY_START_HOUR = 7                 # 07:00 UTC
ENTRY_END_HOUR = 17                  # 17:00 UTC

---

🏃‍♂️ Execution Commands

From Repository Root

python src/strategy/sunrise_osiris.py

From Strategy Directory

cd src/strategy
python sunrise_osiris.py

---

📊 Performance Summary

Latest Results (Combined Strategy)

• Total P&L: +$35,398.93 (35.4% return)
• Total Trades: 155
• Win Rate: 34.19%
• Profit Factor: 1.35

Strategy Breakdown

• LONG-ONLY: +$18,343.13 (100 trades, 27% win rate)
• SHORT-ONLY: +$17,055.80 (55 trades, 47.27% win rate)

---

🔧 Technical Features

🎯 Entry System

• 3-Phase Pullback Entry: Signal Detection → Pullback → Breakout
• EMA Crossover Detection: Confirmation EMA vs Fast/Medium/Slow EMAs
• ATR Volatility Filtering: Dynamic market condition assessment
• Time-Based Entry Windows: UTC trading hours restriction

📈 Exit System

• ATR-Based Stop Loss: 2.5x ATR protection
• ATR-Based Take Profit: 12.0x ATR (LONG), 6.5x ATR (SHORT)
• OCA Order Management: One-Cancels-All protective orders

💱 Forex Features

• USDCHF Optimization: Specialized for USD/CHF currency pair
• Dynamic Position Sizing: Risk-based lot calculation
• Pip Value Calculations: Accurate P&L in USD terms
• Leverage Integration: 30:1 leverage with margin requirements

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Last Updated: August 30, 2025 Strategy Version: Sunrise Osiris USDCHF Clean