50 lines
2.2 KiB
Markdown
50 lines
2.2 KiB
Markdown
# XAUUSD M15 — ONNX action model (buy / sell / close)
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## What it does
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- Pulls **XAUUSD** (**M15**) from **MetaTrader 5** (2008–2026 requested; actual range depends on History Center).
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- **24 features**: 13 legacy OHLC/EMA/ATR/volume + **11 RSI / session** features aligned with **frontline** strategies (crosses, velocity, RSI7/21, Asian window). See **`FRONTLINE_RSI_INTEGRATION.md`**.
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- Labels: **buy-low / sell-high** (forward window) + **close-long / close-short** (past-only). RSI enters as **inputs**, not as hard-coded label rules.
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- Trains **LSTM → softmax(5)**: `HOLD`, `BUY`, `SELL_SHORT`, `CLOSE_LONG`, `CLOSE_SHORT`.
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- Exports **`models/XAUUSD_M15_action.onnx`** + scaler + **`XAUUSD_M15_action_meta.json`** (includes `feature_columns`).
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- **EA**: **SL=0, TP=0**; **InpMaxAdverseATR**; **InpSessionHourOffset** should match training `SESSION_HOUR_OFFSET` for Asian flag.
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This is research tooling — not investment advice. Past labels do not guarantee live performance.
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## Setup
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1. MT5 installed, logged in, **XAUUSD** visible; download **M15** history (Tools → History Center or chart scroll).
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2. Python 3.10+:
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```bash
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cd ai/xauusd_m15
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pip install -r requirements.txt
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python main.py
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```
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Optional env: `XAU_SYMBOL`, `XAU_LOOKBACK` (default 64), `XAU_EPOCHS`, `XAU_BATCH`, `SESSION_HOUR_OFFSET` (Asian session hour alignment vs server time).
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3. Copy `models/XAUUSD_M15_action.onnx` to **`MQL5/Files/`** (same path as `#resource` in the EA).
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4. Open `XAUUSD_M15_ActionEA.mq5` in MetaEditor; compile.
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5. Paste two lines from training stdout into **InpFeatMinStr** and **InpFeatMaxStr** (comma-separated **24** floats each).
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## ONNX I/O
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- Input: `[1, lookback, 24]` float32, **row 0 = newest bar**.
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- Output: `[1, 5]` softmax probabilities.
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## Files
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| File | Role |
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|------|------|
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| `main.py` | Fetch, features, labels, train, ONNX + meta |
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| `features.py` | 24-dim pipeline + Wilder RSI |
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| `FRONTLINE_RSI_INTEGRATION.md` | frontline 策略 → 特征对照 |
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| `labeling.py` | `compute_action_labels` |
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| `risk_controls.py` | Adverse ATR helper for Python backtests |
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| `XAUUSD_M15_ActionEA.mq5` | Live inference + trading skeleton |
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## Tuning labels
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Edit parameters in `labeling.compute_action_labels()` (`horizon`, `k_forward_atr`, `pullback_mult`, etc.) and retrain.
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