reorganized data files and enhance backtesting structure, monte carlo sim
This commit is contained in:
moen0
+54
-16
@@ -1,27 +1,65 @@
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def find_fvgs(candles):
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def find_fvgs(candles, min_gap_size=0.0, impulse_multiplier=0.0):
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"""
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Find Fair Value Gaps in candle data.
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Args:
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candles: list of Candle objects
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min_gap_size: minimum gap size in price units to filter noise (0 = no filter)
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impulse_multiplier: minimum body-to-avg ratio for the middle candle (0 = no filter)
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"""
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fvgs = []
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avg_body = 0
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if impulse_multiplier > 0 and len(candles) > 20:
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bodies = [abs(c.close - c.open) for c in candles[:20]]
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avg_body = sum(bodies) / len(bodies)
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for i in range(2, len(candles)):
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c1 = candles[i - 2]
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c2 = candles[i - 1]
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c3 = candles[i]
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# Bullish
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# Impulse check on middle candle
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if impulse_multiplier > 0 and avg_body > 0:
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middle_body = abs(c2.close - c2.open)
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if middle_body < avg_body * impulse_multiplier:
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continue
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# Update rolling average
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avg_body = (avg_body * 19 + middle_body) / 20
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# Bullish FVG
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if c1.high < c3.low:
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fvgs.append({
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"index": i - 1,
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"type": "bullish",
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"top": c3.low,
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"bottom": c1.high
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})
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gap_size = c3.low - c1.high
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if gap_size >= min_gap_size:
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fvgs.append({
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"index": i - 1,
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"type": "bullish",
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"top": c3.low,
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"bottom": c1.high,
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"mitigated": False,
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})
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# bearish
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# Bearish FVG
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elif c1.low > c3.high:
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fvgs.append({
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"index": i - 1,
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"type": "bearish",
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"top": c1.low,
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"bottom": c3.high
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})
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gap_size = c1.low - c3.high
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if gap_size >= min_gap_size:
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fvgs.append({
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"index": i - 1,
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"type": "bearish",
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"top": c1.low,
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"bottom": c3.high,
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"mitigated": False,
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})
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return fvgs
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# Mark mitigated FVGs
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for fvg in fvgs:
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if fvg["mitigated"]:
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continue
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if fvg["type"] == "bullish":
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if c3.low <= fvg["bottom"]:
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fvg["mitigated"] = True
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elif fvg["type"] == "bearish":
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if c3.high >= fvg["top"]:
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fvg["mitigated"] = True
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return fvgs
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@@ -19,7 +19,7 @@ def find_liquidity_levels(swings, tolerance=0.015, max_distance=100):
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"price": avg_price,
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"type": "equal_highs",
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"count": len(cluster),
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"indexes": [s["index"] for s in cluster]
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"indexes": [s["index"] for s in cluster],
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})
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used.add(i)
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@@ -30,7 +30,7 @@ def find_liquidity_levels(swings, tolerance=0.015, max_distance=100):
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cluster = [l1]
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for j, l2 in enumerate(lows):
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if j != i and j not in used:
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if abs(h1["price"] - h2["price"]) <= tolerance and abs(h1["index"] - h2["index"]) <= max_distance:
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if abs(l1["price"] - l2["price"]) <= tolerance and abs(l1["index"] - l2["index"]) <= max_distance:
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cluster.append(l2)
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used.add(j)
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if len(cluster) >= 2:
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@@ -39,8 +39,8 @@ def find_liquidity_levels(swings, tolerance=0.015, max_distance=100):
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"price": avg_price,
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"type": "equal_lows",
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"count": len(cluster),
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"indexes": [s["index"] for s in cluster]
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"indexes": [s["index"] for s in cluster],
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})
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used.add(i)
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return levels
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return levels
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@@ -1,31 +1,42 @@
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def find_order_blocks(candles, structure, min_impulse=0.10):
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def find_order_blocks(candles, structure, min_impulse=0.10, min_ob_size=0.0):
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"""
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Find Order Blocks based on structure breaks.
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Args:
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candles: list of Candle objects
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structure: list of structure points from detect_structure
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min_impulse: legacy param (unused, kept for compat)
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min_ob_size: minimum OB size in price units (0 = no filter)
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"""
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obs = []
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for point in structure:
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if point["label"] == "HH":
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# Bullish break of structure, look back for last bearish candle
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idx = point["index"]
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for j in range(idx - 1, max(idx - 20, 0), -1):
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if candles[j].close < candles[j].open:
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obs.append({
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"index": j,
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"type": "bullish",
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"top": candles[j].open,
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"bottom": candles[j].close
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})
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size = candles[j].open - candles[j].close
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if size >= min_ob_size:
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obs.append({
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"index": j,
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"type": "bullish",
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"top": candles[j].open,
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"bottom": candles[j].close,
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})
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break
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elif point["label"] == "LL":
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# Bearish break of structure, look back for last bullish candle
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idx = point["index"]
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for j in range(idx - 1, max(idx - 20, 0), -1):
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if candles[j].close > candles[j].open:
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obs.append({
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"index": j,
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"type": "bearish",
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"top": candles[j].close,
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"bottom": candles[j].open
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})
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size = candles[j].close - candles[j].open
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if size >= min_ob_size:
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obs.append({
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"index": j,
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"type": "bearish",
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"top": candles[j].close,
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"bottom": candles[j].open,
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})
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break
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return obs
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return obs
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@@ -5,24 +5,43 @@ SESSIONS_EST = {
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"london": (time(2, 0), time(5, 0)),
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"new_york": (time(7, 0), time(10, 0)),
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"london_close": (time(10, 0), time(12, 0)),
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"london_ny_overlap": (time(8, 0), time(10, 0)),
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}
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def in_session(candle_time, session_name):
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if session_name == "all":
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return True
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if session_name not in SESSIONS_EST:
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return True
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t = candle_time.time()
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start, end = SESSIONS_EST[session_name]
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if start > end: # crosses midnight
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if start > end:
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return t >= start or t < end
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return start <= t < end
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def get_session(candle_time):
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for name in SESSIONS_EST:
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if name == "all":
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continue
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if in_session(candle_time, name):
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return name
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return "off_hours"
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def filter_by_session(candles, session_name):
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return [c for c in candles if in_session(c.time_open, session_name)]
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def in_day_filter(candle_time, allowed_days):
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if not allowed_days:
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return True
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return candle_time.weekday() in allowed_days
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def get_asian_range(candles):
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asian = filter_by_session(candles, "asian")
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if not asian:
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@@ -31,4 +50,4 @@ def get_asian_range(candles):
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"high": max(c.high for c in asian),
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"low": min(c.low for c in asian),
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"mid": (max(c.high for c in asian) + min(c.low for c in asian)) / 2,
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}
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}
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