reorganized data files and enhance backtesting structure, monte carlo sim

backend/indicators/fvg.py

@@ -1,27 +1,65 @@
-def find_fvgs(candles):
+def find_fvgs(candles, min_gap_size=0.0, impulse_multiplier=0.0):
+    """
+    Find Fair Value Gaps in candle data.
+
+    Args:
+        candles: list of Candle objects
+        min_gap_size: minimum gap size in price units to filter noise (0 = no filter)
+        impulse_multiplier: minimum body-to-avg ratio for the middle candle (0 = no filter)
+    """
     fvgs = []
 
+    avg_body = 0
+    if impulse_multiplier > 0 and len(candles) > 20:
+        bodies = [abs(c.close - c.open) for c in candles[:20]]
+        avg_body = sum(bodies) / len(bodies)
+
     for i in range(2, len(candles)):
         c1 = candles[i - 2]
         c2 = candles[i - 1]
         c3 = candles[i]
 
-        # Bullish
+        # Impulse check on middle candle
+        if impulse_multiplier > 0 and avg_body > 0:
+            middle_body = abs(c2.close - c2.open)
+            if middle_body < avg_body * impulse_multiplier:
+                continue
+            # Update rolling average
+            avg_body = (avg_body * 19 + middle_body) / 20
+
+        # Bullish FVG
         if c1.high < c3.low:
-            fvgs.append({
-                "index": i - 1,
-                "type": "bullish",
-                "top": c3.low,
-                "bottom": c1.high
-            })
+            gap_size = c3.low - c1.high
+            if gap_size >= min_gap_size:
+                fvgs.append({
+                    "index": i - 1,
+                    "type": "bullish",
+                    "top": c3.low,
+                    "bottom": c1.high,
+                    "mitigated": False,
+                })
 
-        # bearish
+        # Bearish FVG
         elif c1.low > c3.high:
-            fvgs.append({
-                "index": i - 1,
-                "type": "bearish",
-                "top": c1.low,
-                "bottom": c3.high
-            })
+            gap_size = c1.low - c3.high
+            if gap_size >= min_gap_size:
+                fvgs.append({
+                    "index": i - 1,
+                    "type": "bearish",
+                    "top": c1.low,
+                    "bottom": c3.high,
+                    "mitigated": False,
+                })
 
-    return fvgs
+        # Mark mitigated FVGs
+        for fvg in fvgs:
+            if fvg["mitigated"]:
+                continue
+            if fvg["type"] == "bullish":
+                if c3.low <= fvg["bottom"]:
+                    fvg["mitigated"] = True
+            elif fvg["type"] == "bearish":
+                if c3.high >= fvg["top"]:
+                    fvg["mitigated"] = True
+
+    return fvgs