feat: implement BTCUSDT opening range continuation 15m strategy (closes #214)

ideas/idea-011-btcusdt-opening-range-continuation-15m.md

@@ -41,4 +41,4 @@ BTCUSDT may show repeatable behavior when opening range continuation conditions
 
 This idea is intentionally Markdown-only. A future template can add `strategy.py`, `quant.config.json`, and a focused README once PPE results justify turning the idea into executable code.
 
-Closes #21
+Closes #214

templates/btcusdt-opening-range-continuation-15m/README.md

@@ -0,0 +1,46 @@
+# BTCUSDT Opening range continuation 15m
+
+This strategy implements an opening range continuation approach for BTCUSDT on 15-minute candles using LightGBM.
+
+## Overview
+
+- **Pair**: BTCUSDT
+- **Timeframe**: 15m
+- **Model**: LightGBM with feature engineering focused on opening range continuation
+- **Goal**: Trade continuations of price movements that break out of the opening range
+
+## Features Engineered
+
+1. **Returns**: 1, 3, 6, 12 period returns
+2. **Opening range features**:
+   - Position within opening range (previous period's high/low)
+   - Breakout signals above/below opening range
+   - Continuation signals (price moving further in breakout direction)
+3. **ATR-normalized candle range and close location value** (from idea)
+4. **Distance from EMAs** (from idea): 20, 50, and 200 period EMAs
+5. **Prior swing high and swing low distance** (from idea)
+6. **Volume features**: Z-score and ratio to moving average
+7. **Rolling volatility percentile** (from idea): Fast/slow volatility ratio, volatility percentile
+
+## Configuration
+
+See `quant.config.json` for hyperparameters:
+- `lookback`: 100 candles for prediction
+- `horizon`: 3 candles forward for labeling (45 minutes for 15m timeframe)
+- `threshold`: 0.008 (80 pips) for ATR-normalized breakout
+- `min_confidence`: 0.48 minimum probability for signal generation
+
+## Usage
+
+This template follows the PyP Quant Mode contract:
+```python
+def train(data, config):
+    return model, metrics
+
+def predict(model, market_data, config):
+    return {"signal": "UP|DOWN|HOLD", "confidence": 0.0, "metadata": {}}
+```
+
+## Disclaimer
+
+Educational template only. Not financial advice. Past performance does not guarantee future results.

templates/btcusdt-opening-range-continuation-15m/quant.config.json

@@ -0,0 +1,30 @@
+{
+  "pair": "BTCUSDT",
+  "timeframe": "15m",
+  "model_family": "LightGBM",
+  "runtime_target": "edge",
+  "artifact_format": "weights_bundle",
+  "parameters": {
+    "lookback": 100,
+    "horizon": 3,
+    "threshold": 0.008,
+    "min_confidence": 0.48
+  },
+  "training_requirements": [
+    "numpy",
+    "pandas",
+    "scikit-learn",
+    "lightgbm",
+    "joblib"
+  ],
+  "inference_requirements": [
+    "numpy",
+    "pandas",
+    "scikit-learn",
+    "lightgbm",
+    "joblib"
+  ],
+  "symbol": "BTCUSDT",
+  "description": "BTCUSDT opening range continuation strategy using LightGBM",
+  "disclaimer": "Educational template only. Not financial advice."
+}

templates/btcusdt-opening-range-continuation-15m/strategy.py

@@ -0,0 +1,159 @@
+import numpy as np
+import pandas as pd
+from lightgbm import LGBMClassifier
+from sklearn.pipeline import Pipeline
+from sklearn.preprocessing import StandardScaler
+
+
+SYMBOL = "BTCUSDT"
+MODEL_NAME = "btcusdt-opening-range-continuation-15m"
+
+
+def _normalise(data):
+    df = data.copy()
+    df.columns = [str(c).lower() for c in df.columns]
+    if "volume" not in df.columns:
+        df["volume"] = 1.0
+    for col in ["open", "high", "low", "close", "volume"]:
+        df[col] = pd.to_numeric(df[col], errors="coerce")
+    return df.dropna().reset_index(drop=True)
+
+
+def _features(df):
+    c = df["close"]
+    h = df["high"]
+    l = df["low"]
+    v = df["volume"]
+    
+    # Basic returns
+    out = pd.DataFrame(index=df.index)
+    out["ret1"] = c.pct_change()
+    out["ret3"] = c.pct_change(3)
+    out["ret6"] = c.pct_change(6)
+    out["ret12"] = c.pct_change(12)
+    
+    # Opening range features (first 4 candles of the session)
+    # Assuming 15m data, we'll look at first 4 bars (1 hour) as opening range
+    # In practice, this would need session detection logic
+    window_4 = 4
+    if len(df) >= window_4:
+        opening_high = h.rolling(window_4).max().shift(1)  # Previous period's opening range high
+        opening_low = l.rolling(window_4).min().shift(1)   # Previous period's opening range low
+        opening_range = opening_high - opening_low
+        
+        # Position within opening range
+        out["position_in_opening_range"] = (c - opening_low) / opening_range.replace(0, np.nan)
+        
+        # Breakout from opening range
+        out["breakout_above_opening"] = (c > opening_high).astype(int)
+        out["breakout_below_opening"] = (c < opening_low).astype(int)
+        
+        # Continuation signals (price moving further in breakout direction)
+        out["continuation_up"] = out["breakout_above_opening"] * np.maximum(0, c - opening_high) / c
+        out["continuation_down"] = out["breakout_below_opening"] * np.maximum(0, opening_low - c) / c
+    else:
+        # Not enough data for opening range calculation
+        out["position_in_opening_range"] = 0.5
+        out["breakout_above_opening"] = 0
+        out["breakout_below_opening"] = 0
+        out["continuation_up"] = 0
+        out["continuation_down"] = 0
+    
+    # ATR for normalization
+    tr = np.maximum(h - l, np.maximum(abs(h - c.shift(1)), abs(l - c.shift(1))))
+    atr = pd.Series(tr).rolling(14).mean()
+    out["atr"] = atr
+    
+    # ATR-normalized candle range and close location value
+    out["range_pct"] = (h - l) / c
+    out["body_pct"] = (c - df["open"]) / (h - l).replace(0, np.nan)
+    out["close_pos"] = (c - l) / (h - l).replace(0, np.nan)
+    
+    # Distance from EMAs (from idea)
+    out["ema20_dist"] = (c - c.ewm(span=20, adjust=False).mean()) / c
+    out["ema50_dist"] = (c - c.ewm(span=50, adjust=False).mean()) / c
+    out["ema200_dist"] = (c - c.ewm(span=200, adjust=False).mean()) / c
+    
+    # Prior swing high and swing low distance (from idea)
+    swing_high = h.rolling(20, center=False).max().shift(1)
+    swing_low = l.rolling(20, center=False).min().shift(1)
+    out["dist_to_swing_high"] = (swing_high - c) / c
+    out["dist_to_swing_low"] = (c - swing_low) / c
+    
+    # Volume features
+    out["volume_z"] = (v - v.rolling(24).mean()) / (v.rolling(24).std() + 1e-9)
+    out["volume_ratio"] = v / v.rolling(20).mean()
+    
+    # Rolling volatility percentile (from idea)
+    returns = c.pct_change()
+    out["volatility_fast"] = returns.rolling(16).std()
+    out["volatility_slow"] = returns.rolling(64).std()
+    out["volatility_ratio"] = out["volatility_fast"] / (out["volatility_slow"] + 1e-9)
+    out["volatility_percentile"] = out["volatility_fast"].rolling(200).apply(
+        lambda x: pd.Series(x).rank(pct=True).iloc[-1] if len(x) > 0 else 0.5, raw=False)
+    
+    return out.replace([np.inf, -np.inf], np.nan).dropna()
+
+
+def _labels(close, index, horizon, threshold):
+    fwd = close.pct_change(horizon).shift(-horizon)
+    y = pd.Series(1, index=close.index)
+    y[fwd > threshold] = 2
+    y[fwd < -threshold] = 0
+    return y.reindex(index).fillna(1).astype(int)
+
+
+def train(data, config):
+    params = config.get("parameters", {})
+    horizon = int(params.get("horizon", 3))  # 3 candles = 45 minutes for 15m timeframe
+    threshold = float(params.get("threshold", 0.008))  # 80 pips for BTC
+    df = _normalise(data)
+    feat = _features(df)
+    y = _labels(df["close"], feat.index, horizon, threshold)
+    
+    model = Pipeline([
+        ("scaler", StandardScaler()),
+        ("clf", LGBMClassifier(n_estimators=300, learning_rate=0.04, max_depth=5, random_state=42, verbose=-1))
+    ])
+    model.fit(feat.values, y.values)
+    
+    metrics = {
+        "training_bars": int(len(feat)),
+        "feature_count": int(feat.shape[1]),
+        "buy_signals": int((model.predict(feat.values) == 2).sum()),
+        "sell_signals": int((model.predict(feat.values) == 0).sum()),
+        "hold_signals": int((model.predict(feat.values) == 1).sum()),
+    }
+    return {"model": model, "features": list(feat.columns), "symbol": SYMBOL}, metrics
+
+
+def predict(model, market_data, config):
+    params = config.get("parameters", {})
+    lookback = int(params.get("lookback", 100))
+    min_conf = float(params.get("min_confidence", 0.48))
+    candles = market_data.get("candles", [])
+    
+    if len(candles) < lookback:
+        return {"signal": "HOLD", "confidence": 0.0, "metadata": {"reason": "not_enough_candles", "model": MODEL_NAME}}
+    
+    df = _normalise(pd.DataFrame(candles, columns=["open", "high", "low", "close", "volume"]))
+    feat = _features(df).tail(1)
+    
+    if feat.empty:
+        return {"signal": "HOLD", "confidence": 0.0, "metadata": {"reason": "no_features", "model": MODEL_NAME}}
+    
+    prob = model["model"].predict_proba(feat.values)[0]
+    klass = int(np.argmax(prob))
+    conf = float(np.max(prob))
+    signal = {0: "DOWN", 1: "HOLD", 2: "UP"}[klass]
+    
+    if conf < min_conf:
+        signal = "HOLD"
+    
+    return {"signal": signal, "confidence": round(conf, 4), "metadata": {
+        "p_sell": round(float(prob[0]), 4), 
+        "p_hold": round(float(prob[1]), 4), 
+        "p_buy": round(float(prob[2]), 4), 
+        "model": MODEL_NAME, 
+        "symbol": SYMBOL
+    }}