rckrdmrd
75c4d07690
Hierarchical ML Pipeline for trading predictions:
- Level 0: Attention Models (volatility/flow classification)
- Level 1: Base Models (XGBoost per symbol/timeframe)
- Level 2: Metamodels (XGBoost Stacking + Neural Gating)
Key components:
- src/pipelines/hierarchical_pipeline.py - Main prediction pipeline
- src/models/ - All ML model classes
- src/training/ - Training utilities
- src/api/ - FastAPI endpoints
- scripts/ - Training and evaluation scripts
- config/ - YAML configurations
Note: Trained models (*.joblib, *.pt) are gitignored.
Regenerate with training scripts.
Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com>
172 lines
5.5 KiB
YAML
172 lines
5.5 KiB
YAML
# ============================================================================
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# VALIDATION OUT-OF-SAMPLE CONFIGURATION
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# ============================================================================
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# Archivo: config/validation_oos.yaml
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# Proposito: Configurar validacion out-of-sample excluyendo 2025 del training
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# Fecha: 2026-01-04
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# Creado por: ML-Specialist (NEXUS v4.0)
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# ============================================================================
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validation:
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# -------------------------------------------------------------------------
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# PERIODO DE TRAINING
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# -------------------------------------------------------------------------
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# Datos usados para entrenar los modelos
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# IMPORTANTE: 2025 esta EXCLUIDO para validacion out-of-sample
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train:
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start_date: "2023-01-01T00:00:00"
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end_date: "2024-12-31T23:59:59"
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description: "Datos historicos para entrenamiento de modelos"
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# -------------------------------------------------------------------------
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# PERIODO DE VALIDACION OUT-OF-SAMPLE
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# -------------------------------------------------------------------------
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# Datos NUNCA vistos durante el entrenamiento
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# Usados para evaluar performance real del modelo
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test_oos:
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start_date: "2025-01-01T00:00:00"
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end_date: "2025-12-31T23:59:59"
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description: "Datos del 2025 excluidos del training para validacion"
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# -------------------------------------------------------------------------
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# METODO DE EXCLUSION
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# -------------------------------------------------------------------------
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exclusion_method: "temporal" # Options: temporal, walk_forward
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# -------------------------------------------------------------------------
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# WALK-FORWARD CONFIGURATION (si exclusion_method = walk_forward)
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# -------------------------------------------------------------------------
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walk_forward:
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enabled: false
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n_splits: 5
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expanding_window: false
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test_size: 0.2
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gap: 0 # Barras de gap entre train y test (evitar look-ahead)
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min_train_size: 10000
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# ============================================================================
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# METRICAS OBJETIVO (TRADING-STRATEGIST)
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# ============================================================================
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# Umbrales minimos para aprobar el modelo
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# Referencia: PERFIL-TRADING-STRATEGIST.md
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metrics_thresholds:
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# =========================================================================
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# OBJETIVOS ML-FIRST (Actualizado 2026-01-04)
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# Target: 80% win rate, 30-100% rendimiento semanal
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# =========================================================================
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# Ratios Risk-Adjusted
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sharpe_ratio_min: 1.5
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sharpe_ratio_target: 2.5
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sortino_ratio_min: 2.0
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calmar_ratio_min: 1.5
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# Riesgo
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max_drawdown_max: 0.15 # 15% maximo drawdown (mas conservador)
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# Performance - OBJETIVO PRINCIPAL
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win_rate_min: 0.75 # 75% minimo (target 80%)
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win_rate_target: 0.80 # 80% objetivo
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profit_factor_min: 2.0 # Profit factor minimo 2.0
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profit_factor_target: 4.0 # Con 80% WR y RR 1:1 = PF 4.0
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# Rendimiento semanal
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weekly_return_min: 0.10 # 10% semanal minimo
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weekly_return_target: 0.30 # 30% semanal objetivo
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# Overfitting detection
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in_sample_vs_oos_threshold: 0.40 # Si OOS < 60% de in-sample, posible overfitting
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# ============================================================================
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# CONFIGURACION DE BACKTEST
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# ============================================================================
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backtest:
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initial_capital: 10000.0
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risk_per_trade: 0.02 # 2% por trade
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max_concurrent_trades: 1
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commission_pct: 0.001 # 0.1%
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slippage_pct: 0.0005 # 0.05%
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# Configuraciones R:R a probar
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rr_configs:
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# Configuraciones agresivas (mayor profit potencial, menor win rate)
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- name: "rr_2_1"
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sl_pips: 5.0
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tp_pips: 10.0
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target_win_rate: 0.50
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- name: "rr_3_1"
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sl_pips: 5.0
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tp_pips: 15.0
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target_win_rate: 0.40
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# Configuraciones conservadoras para 80% WR (mayor SL, menor TP)
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- name: "rr_1_2_80wr"
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sl_pips: 10.0
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tp_pips: 5.0
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target_win_rate: 0.80
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description: "Conservador 80% WR - TP pequeño, SL amplio"
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- name: "rr_1_3_80wr"
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sl_pips: 15.0
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tp_pips: 5.0
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target_win_rate: 0.85
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description: "Muy conservador 85% WR"
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# Range-based (usa predicciones de RangePredictorV2)
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- name: "range_adaptive"
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use_range_predictions: true
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tp_range_pct: 0.5 # TP al 50% del rango predicho
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sl_range_pct: 1.5 # SL al 150% del rango opuesto
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target_win_rate: 0.80
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# Filtros de entrada
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min_confidence: 0.55
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filter_by_amd: true
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favorable_amd_phases:
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- "accumulation"
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- "distribution"
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filter_by_volatility: true
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min_volatility_regime: "medium"
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# Timeout
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max_position_time_minutes: 60
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# ============================================================================
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# SIMBOLOS A EVALUAR
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# ============================================================================
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symbols:
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- symbol: "XAUUSD"
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description: "Gold vs USD"
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enabled: true
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- symbol: "EURUSD"
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description: "Euro vs USD"
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enabled: false
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- symbol: "GBPUSD"
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description: "GBP vs USD"
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enabled: false
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# ============================================================================
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# REPORTES
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# ============================================================================
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reports:
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output_dir: "reports/validation"
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formats:
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- json
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- csv
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include_equity_curve: true
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include_trade_log: true
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include_metrics_by_segment: true
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segments:
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- by_horizon
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- by_rr_config
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- by_amd_phase
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- by_volatility
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- by_direction
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