261 lines
8.9 KiB
Python
261 lines
8.9 KiB
Python
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#!/usr/bin/env python3
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"""Build frontline/cluster-SimpleEMA from portfolio_params.json + mt5_sets."""
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from __future__ import annotations
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import json
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import shutil
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from datetime import datetime
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from pathlib import Path
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LAB = Path(__file__).resolve().parent
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ROOT = LAB.parents[2]
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CLUSTER = ROOT / "frontline" / "cluster-SimpleEMA"
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PARAMS = LAB / "portfolio_params.json"
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SETS_SRC = LAB / "mt5_sets"
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MAGIC_BASE = 930101
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def fmt_bool(v: bool) -> str:
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return "true" if v else "false"
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def describe_params(p: dict) -> str:
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pb = "pb" if p.get("use_pullback") else "cross"
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htf = p.get("htf_ema_period", 200) if p.get("use_htf_filter") else "off"
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return f"fast={p['fast_ema']} slow={p['slow_ema']} {pb} htf={htf}"
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def gen_params_mqh(members: list[dict]) -> str:
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lines = [
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"// SimpleEMAParams.mqh — auto-generated; do not edit by hand",
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f"// Generated: {datetime.now().isoformat(timespec='seconds')}",
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"#ifndef SIMPLE_EMA_PARAMS_MQH",
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"#define SIMPLE_EMA_PARAMS_MQH",
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"",
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f"#define SE_SLOT_COUNT {len(members)}",
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"",
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"struct SESlotParams",
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"{",
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" int fastEma;",
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" int slowEma;",
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" int trendLegBars;",
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" double minEmaGapPips;",
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" int crossCooldown;",
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" int pullbackCooldown;",
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" bool usePullback;",
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" int pullbackTouch;",
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" double pullbackAdxMin;",
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" double pullbackMinGapPips;",
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" int maxPullbacksPerLeg;",
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" double lotSize;",
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" int atrPeriod;",
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" double atrSlMult;",
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" double atrTpMult;",
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" int maxBarsInTrade;",
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" int htfEmaPeriod;",
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" bool useHtfFilter;",
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" bool useAdxFilter;",
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" int adxPeriod;",
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" double adxMin;",
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" int sessionStart;",
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" int sessionEnd;",
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" int maxSpreadPips;",
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"};",
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"",
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"struct SESlotConfig",
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"{",
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" string symbol;",
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" int magic;",
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" bool enabled;",
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" SESlotParams p;",
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"};",
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"",
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"const SESlotConfig SE_SLOTS[SE_SLOT_COUNT] =",
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"{",
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]
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for i, m in enumerate(members):
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p = m["params"]
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sym = m["symbol"]
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magic = MAGIC_BASE + i
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comma = "," if i < len(members) - 1 else ""
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lines.append(f" // {sym} PF={m.get('mt5_metrics', {}).get('profit_factor', '-')} T={m.get('mt5_metrics', {}).get('total_trades', '-')}")
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lines.append(" {")
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lines.append(f' "{sym}", {magic}, true,')
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lines.append(" {")
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lines.append(
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f" {p['fast_ema']}, {p['slow_ema']}, {p['trend_leg_bars']}, "
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f"{p['min_ema_gap_pips']}, {p['cross_cooldown']}, {p['pullback_cooldown']}, "
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f"{fmt_bool(p['use_pullback'])}, {p['pullback_touch']}, "
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f"{p['pullback_adx_min']}, {p['pullback_min_gap_pips']}, {p['max_pullbacks_per_leg']}, "
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f"{p['lot_size']}, {p['atr_period']}, {p['atr_sl_mult']}, {p['atr_tp_mult']}, "
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f"{p['max_bars_in_trade']}, {p['htf_ema_period']}, "
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f"{fmt_bool(p['use_htf_filter'])}, {fmt_bool(p['use_adx_filter'])}, "
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f"{p['adx_period']}, {p['adx_min']}, {p['session_start']}, {p['session_end']}, "
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f"{int(p['max_spread_pips'])}"
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)
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lines.append(f" }}")
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lines.append(f" }}{comma}")
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lines.extend(["};", "", "#endif", ""])
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return "\n".join(lines)
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def gen_magic_mqh(n: int) -> str:
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lines = [
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"// SimpleEMAMagic.mqh — fixed slot magics (cluster-SimpleEMA)",
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f"#define SE_MAGIC_BASE {MAGIC_BASE}",
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"",
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"const int SE_SLOT_MAGICS[SE_SLOT_COUNT] =",
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"{",
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]
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for i in range(n):
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comma = "," if i < n - 1 else ""
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lines.append(f" {MAGIC_BASE + i}{comma} // slot {i + 1}")
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lines.extend(["};", ""])
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return "\n".join(lines)
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def gen_manifest(members: list[dict], cfg: dict) -> dict:
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slots = []
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for i, m in enumerate(members):
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mt = m.get("mt5_metrics", {})
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slots.append(
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{
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"slot": i + 1,
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"symbol": m["symbol"],
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"magic": MAGIC_BASE + i,
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"enabled": True,
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"describe": describe_params(m["params"]),
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"pf": mt.get("profit_factor"),
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"trades": mt.get("total_trades"),
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"net_profit": mt.get("net_profit"),
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"set_file": f"sets/SimpleEMA_{m['symbol']}.set",
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}
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)
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return {
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"ea": "cluster-SimpleEMA",
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"timeframe": cfg.get("timeframe", "M15"),
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"magic_range": [MAGIC_BASE, MAGIC_BASE + len(members) - 1],
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"lot_per_symbol": cfg.get("lot_per_symbol", 0.05),
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"period": cfg.get("period", ["2020-01-01", "2026-01-01"]),
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"generated_at": datetime.now().isoformat(timespec="seconds"),
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"source": "lab/EAs/SimpleEMA/portfolio_params.json",
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"portfolio_metrics": {
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"enabled_count": len(members),
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"total_trades": sum(mt.get("total_trades", 0) for mt in (m.get("mt5_metrics", {}) for m in members)),
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"net_profit": round(sum(mt.get("net_profit", 0) for mt in (m.get("mt5_metrics", {}) for m in members)), 2),
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},
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"slots": slots,
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}
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def gen_readme(members: list[dict], manifest: dict) -> str:
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pf = manifest["portfolio_metrics"]
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syms = ", ".join(m["symbol"] for m in members[:8]) + ", …"
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return f"""# cluster-SimpleEMA
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SimpleEMA v5 **35-symbol portfolio** — per-symbol MT5-optimized params (M15 trend-leg cross + pullback).
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> Source of truth: MT5 Strategy Tester per-symbol runs. See `lab/EAs/SimpleEMA/best_run/mt5_results.json`.
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## Performance (MT5 backtest 2020–2026)
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| Metric | Value |
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|--------|-------|
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| Symbols | {pf['enabled_count']} |
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| Total trades | {pf['total_trades']} |
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| Net profit (sum) | ${pf['net_profit']:,.2f} |
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## Deploy
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1. Copy this folder to `MQL5/Experts/cluster-SimpleEMA/`
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2. Compile `main.mq5` in MetaEditor
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3. Attach to **any** chart (e.g. EURUSD M15) — EA trades all symbols in `manifest.json`
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4. Ensure all symbols are visible in Market Watch
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## Magic numbers
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**{MAGIC_BASE}–{MAGIC_BASE + len(members) - 1}** — one magic per symbol slot. No overlap with `cluster-NZDUSD` (928101+) or `cluster-latest`.
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Slot mapping: `manifest.json` / `SimpleEMAMagic.mqh`.
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## Symbols ({len(members)})
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{syms}
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Full list in `manifest.json`.
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## Per-symbol .set files
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`sets/SimpleEMA_{{SYMBOL}}.set` — load in Strategy Tester to re-verify a single symbol with `lab/EAs/SimpleEMA/main.mq5`.
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## Regenerate from lab
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```powershell
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cd lab/EAs/SimpleEMA
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python sync_frontline_cluster.py
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```
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## Run alongside cluster-latest
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Different magic range. Use separate chart or same account — magics do not collide.
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"""
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def gen_portfolio_set(members: list[dict]) -> str:
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sym_list = ",".join(m["symbol"] for m in members)
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return f"""; cluster-SimpleEMA — attach reference (params baked in EA)
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Timeframe=16388
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OneTradePerSymbol=true
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; Symbols (informational — locked in SimpleEMAParams.mqh):
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; {sym_list}
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"""
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def main() -> None:
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data = json.loads(PARAMS.read_text(encoding="utf-8"))
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members = [m for m in data["members"] if m.get("enabled") and "params" in m]
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if not members:
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raise SystemExit("No enabled members in portfolio_params.json")
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members.sort(key=lambda m: m["symbol"])
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CLUSTER.mkdir(parents=True, exist_ok=True)
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sets_dir = CLUSTER / "sets"
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sets_dir.mkdir(exist_ok=True)
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(CLUSTER / "SimpleEMAParams.mqh").write_text(gen_params_mqh(members), encoding="utf-8")
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(CLUSTER / "SimpleEMAMagic.mqh").write_text(gen_magic_mqh(len(members)), encoding="utf-8")
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manifest = gen_manifest(members, data.get("config", {}))
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(CLUSTER / "manifest.json").write_text(json.dumps(manifest, indent=2), encoding="utf-8")
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(CLUSTER / "README.md").write_text(gen_readme(members, manifest), encoding="utf-8")
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(CLUSTER / "SimpleEMA_portfolio.set").write_text(gen_portfolio_set(members), encoding="utf-8")
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copied = 0
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for m in members:
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sym = m["symbol"]
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src = SETS_SRC / f"SimpleEMA_{sym}.set"
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dst = sets_dir / f"SimpleEMA_{sym}.set"
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if src.exists():
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shutil.copy2(src, dst)
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copied += 1
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helpers_src = ROOT / "frontline" / "cluster-latest" / "MagicNumberHelpers.mqh"
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if helpers_src.exists():
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shutil.copy2(helpers_src, CLUSTER / "MagicNumberHelpers.mqh")
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report_src = LAB / "best_run" / "MT5_portfolio_summary.png"
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reports_dir = CLUSTER / "reports"
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reports_dir.mkdir(exist_ok=True)
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if report_src.exists():
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shutil.copy2(report_src, reports_dir / "MT5_portfolio_summary.png")
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print(f"Built {CLUSTER}")
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print(f" slots: {len(members)}")
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print(f" sets copied: {copied}/{len(members)}")
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print(f" magic: {MAGIC_BASE}..{MAGIC_BASE + len(members) - 1}")
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if __name__ == "__main__":
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main()
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