fix: critical improvements to trading logic and ML pipeline
main_live.py: - Switch main loop from time-based (1s) to candle-based (M15) - Add position-only checks between candles (every 10s) - Fix memory leak in signal persistence dict (cleanup stale entries) - Raise auto-retrain rollback AUC threshold from 0.52 to 0.60 src/ml_model.py: - Add 50-bar gap between train/test split to prevent temporal leakage src/smart_risk_manager.py: - Remove dangerous "Smart Hold" behavior (holding losers waiting for golden time) - Replace with proper early cut logic (loss >30% + negative momentum) src/smc_polars.py: - Fix lookahead bias in FVG detection (remove shift(-1), use confirmed bars only) - Fix lookahead bias in Swing Points (use center=False rolling window) - Fix lookahead bias in Order Blocks (validate with current bar, not future) - Enforce minimum 1:2 Risk:Reward ratio on all signals - Always use current_close as entry price (no stale FVG/OB zone prices) - Add ATR sanity check with realistic XAUUSD default ($12) Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
buckybonez
co-authored by
Claude Opus 4.6
Claude Opus 4.6
parent
c0c8c1318b
commit
5b20c70113
+87
-45
@@ -238,43 +238,93 @@ class SmartRiskManager:
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def _load_daily_state(self):
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"""Load daily state from file."""
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state_file = "data/risk_state.txt"
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try:
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if os.path.exists(state_file):
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with open(state_file, "r") as f:
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lines = f.readlines()
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saved_date = None
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for line in lines:
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if line.startswith("date:"):
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saved_date = line.split(":")[1].strip()
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# Always load total_loss (persists across days)
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if line.startswith("total_loss:"):
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self._total_loss = float(line.split(":")[1].strip())
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backup_file = "data/risk_state.bak"
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if saved_date == str(date.today()):
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# Load today's state
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for l in lines:
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if l.startswith("daily_loss:"):
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self._state.daily_loss = float(l.split(":")[1].strip())
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elif l.startswith("daily_profit:"):
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self._state.daily_profit = float(l.split(":")[1].strip())
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elif l.startswith("consecutive_losses:"):
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self._state.consecutive_losses = int(l.split(":")[1].strip())
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def load_from_file(filepath):
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"""Load state from a specific file."""
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with open(filepath, "r") as f:
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lines = f.readlines()
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saved_date = None
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for line in lines:
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if line.startswith("date:"):
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saved_date = line.split(":")[1].strip()
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# Always load total_loss (persists across days)
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if line.startswith("total_loss:"):
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self._total_loss = float(line.split(":")[1].strip())
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logger.info(f"Loaded total loss: ${self._total_loss:.2f}")
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if saved_date == str(date.today()):
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# Load today's state
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for l in lines:
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if l.startswith("daily_loss:"):
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self._state.daily_loss = float(l.split(":")[1].strip())
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elif l.startswith("daily_profit:"):
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self._state.daily_profit = float(l.split(":")[1].strip())
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elif l.startswith("consecutive_losses:"):
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self._state.consecutive_losses = int(l.split(":")[1].strip())
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logger.info(f"Loaded today's state: loss=${self._state.daily_loss:.2f}, profit=${self._state.daily_profit:.2f}")
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return True
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try:
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# Try main state file first
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if os.path.exists(state_file):
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load_from_file(state_file)
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# If main file missing/corrupt, try backup
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elif os.path.exists(backup_file):
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logger.warning("Main state file missing, loading from backup...")
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load_from_file(backup_file)
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except Exception as e:
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logger.warning(f"Could not load risk state: {e}")
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# Try backup if main file failed
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try:
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if os.path.exists(backup_file):
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load_from_file(backup_file)
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except:
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logger.error("Could not load risk state from backup either")
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def _save_daily_state(self):
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"""Save daily state to file."""
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"""Save daily state to file with atomic write (crash-safe)."""
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os.makedirs("data", exist_ok=True)
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state_file = "data/risk_state.txt"
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temp_file = "data/risk_state.tmp"
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backup_file = "data/risk_state.bak"
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try:
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with open(state_file, "w") as f:
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f.write(f"date:{date.today()}\n")
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f.write(f"daily_loss:{self._state.daily_loss}\n")
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f.write(f"daily_profit:{self._state.daily_profit}\n")
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f.write(f"consecutive_losses:{self._state.consecutive_losses}\n")
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f.write(f"total_loss:{self._total_loss}\n")
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# Write to temp file first (atomic write pattern)
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content = (
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f"date:{date.today()}\n"
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f"daily_loss:{self._state.daily_loss}\n"
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f"daily_profit:{self._state.daily_profit}\n"
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f"consecutive_losses:{self._state.consecutive_losses}\n"
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f"total_loss:{self._total_loss}\n"
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f"saved_at:{datetime.now(WIB).isoformat()}\n"
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)
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with open(temp_file, "w") as f:
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f.write(content)
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f.flush()
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os.fsync(f.fileno()) # Force write to disk
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# Backup existing file
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if os.path.exists(state_file):
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try:
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import shutil
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shutil.copy2(state_file, backup_file)
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except:
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pass
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# Atomic rename (crash-safe)
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os.replace(temp_file, state_file)
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except Exception as e:
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logger.warning(f"Could not save risk state: {e}")
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# Try to restore from backup if main file corrupted
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if os.path.exists(backup_file) and not os.path.exists(state_file):
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try:
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import shutil
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shutil.copy2(backup_file, state_file)
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except:
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pass
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def check_new_day(self):
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"""Check if it's a new day and reset state."""
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@@ -627,33 +677,25 @@ class SmartRiskManager:
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return True, ExitReason.TAKE_PROFIT, f"[WARN] Early exit ${current_profit:.2f} (reversal signal: {ml_signal} {ml_confidence:.0%})"
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# === CHECK 3: SMART HOLD FOR GOLDEN TIME (TIGHTENED v2) ===
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# Jika trade di luar golden time dan loss masih kecil, tunggu golden time
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# TAPI hanya jika momentum tidak terlalu negatif
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# FIX: REMOVED SMART HOLD MARTINGALE BEHAVIOR
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# Holding losing positions waiting for "golden time" is DANGEROUS
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# It encourages holding losers hoping they'll recover
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# PROPER RISK MANAGEMENT: Follow SL rules, don't hope for recovery
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now = datetime.now(WIB)
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current_hour = now.hour
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# Golden time adalah 19:00 - 23:00 WIB (London-NY Overlap)
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is_golden_time = 19 <= current_hour <= 23
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hours_to_golden = (19 - current_hour) if current_hour < 19 else 0
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# Smart Hold Logic: LEBIH KETAT - cek momentum dulu
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if current_profit < 0 and not is_golden_time:
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# Early cut: If loss > 30% of max and momentum negative, cut early
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if current_profit < 0:
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loss_percent_of_max = abs(current_profit) / self.max_loss_per_trade * 100
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# BARU: Jika momentum sangat negatif (< -30), JANGAN hold terlalu lama
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# Cut early if momentum is against us AND loss is significant
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if momentum < -30 and loss_percent_of_max >= 30:
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logger.info(f"[EARLY CUT] Loss ${abs(current_profit):.2f} ({loss_percent_of_max:.0f}%) + weak momentum ({momentum:.0f}) - CUTTING EARLY")
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return True, ExitReason.TREND_REVERSAL, f"[EARLY CUT] Loss ${abs(current_profit):.2f} + momentum {momentum:.0f} - cutting to preserve daily limit"
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# Jika loss < 30% dari max dan golden time dalam 3 jam DAN momentum tidak terlalu buruk, HOLD
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if loss_percent_of_max < 30 and hours_to_golden <= 3 and hours_to_golden > 0 and momentum > -50:
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logger.info(f"[SMART HOLD] Loss ${abs(current_profit):.2f} ({loss_percent_of_max:.0f}% of max), Golden time in {hours_to_golden}h - HOLDING")
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return False, None, f"SMART HOLD: Loss ${abs(current_profit):.2f} | Golden in {hours_to_golden}h | ML: {ml_signal}({ml_confidence:.0%})"
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# Jika loss < 20% dari max dan masih dalam session aktif (London), HOLD
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if loss_percent_of_max < 20 and 15 <= current_hour < 19 and momentum > -40:
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logger.info(f"[SMART HOLD] Small loss ${abs(current_profit):.2f} ({loss_percent_of_max:.0f}% of max) in London session - HOLDING")
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return False, None, f"SMART HOLD: Small loss ${abs(current_profit):.2f} | London session | ML: {ml_signal}({ml_confidence:.0%})"
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# NOTE: Smart Hold REMOVED - no more holding losers hoping for golden time
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# If SL is hit, close the trade immediately
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# === CHECK 4: TREND REVERSAL (LEBIH SENSITIF) ===
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# Close lebih cepat jika ada reversal signal - tidak perlu tunggu loss besar
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