dcfe83bb44
Scripts: - Update ingest_ohlcv_polygon.py for improved data processing Reports: - Add attention model training reports (2x) - Add standard training reports (2x) Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com>
295 lines
8.7 KiB
Markdown
295 lines
8.7 KiB
Markdown
# Attention Score Model Training Report
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**Generated:** 2026-01-25 06:09:11
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## Overview
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The attention model learns to identify high-flow market moments using volume, volatility, and money flow indicators - WITHOUT hardcoding specific trading hours or sessions.
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## Configuration
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- **Symbols:** XAUUSD, EURUSD, BTCUSD, GBPUSD, USDJPY, AUDUSD
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- **Timeframes:** 5m, 15m
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- **Training Data Cutoff:** 2026-01-20
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- **Training Years:** 1.0
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- **Holdout Years:** 0.1
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### Model Parameters
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| Parameter | Value |
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|-----------|-------|
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| Factor Window | 200 |
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| Horizon Bars | 3 |
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| Low Flow Threshold | 1.0 |
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| High Flow Threshold | 2.0 |
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### Features Used (9 total)
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| Feature | Description |
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|---------|-------------|
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| volume_ratio | volume / rolling_median(volume, 20) |
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| volume_z | z-score of volume over 20 periods |
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| ATR | Average True Range (14 periods) |
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| ATR_ratio | ATR / rolling_median(ATR, 50) |
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| CMF | Chaikin Money Flow (20 periods) |
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| MFI | Money Flow Index (14 periods) |
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| OBV_delta | diff(OBV) / rolling_std(OBV, 20) |
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| BB_width | (BB_upper - BB_lower) / close |
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| displacement | (close - open) / ATR |
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## Training Results
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| Model | Symbol | TF | Reg MAE | Reg R2 | Clf Acc | Clf F1 | N Train | High Flow % |
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|-------|--------|-----|---------|--------|---------|--------|---------|-------------|
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| XAUUSD_5m_attention | XAUUSD | 5m | 0.8237 | 0.2248 | 58.35% | 56.10% | 52983 | 40.2% |
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| XAUUSD_15m_attention | XAUUSD | 15m | 0.8585 | 0.1183 | 54.28% | 51.34% | 17744 | 41.0% |
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| EURUSD_5m_attention | EURUSD | 5m | 0.4217 | 0.2472 | 63.32% | 57.12% | 55849 | 10.5% |
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| EURUSD_15m_attention | EURUSD | 15m | 0.5014 | 0.1783 | 61.45% | 55.96% | 18577 | 15.0% |
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| BTCUSD_5m_attention | BTCUSD | 5m | 0.5886 | 0.2960 | 62.27% | 55.79% | 79155 | 12.8% |
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| BTCUSD_15m_attention | BTCUSD | 15m | 0.6936 | 0.1764 | 60.25% | 56.22% | 26330 | 17.7% |
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| GBPUSD_5m_attention | GBPUSD | 5m | 0.5024 | 0.2676 | 59.39% | 56.40% | 55618 | 23.5% |
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| GBPUSD_15m_attention | GBPUSD | 15m | 0.5831 | 0.2139 | 59.53% | 56.19% | 18550 | 24.6% |
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| USDJPY_5m_attention | USDJPY | 5m | 0.6536 | 0.1863 | 58.56% | 56.72% | 55687 | 26.2% |
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| USDJPY_15m_attention | USDJPY | 15m | 0.7212 | 0.0821 | 53.98% | 50.89% | 18567 | 26.6% |
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| AUDUSD_5m_attention | AUDUSD | 5m | 0.3715 | -0.2385 | 77.20% | 70.93% | 55315 | 1.9% |
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| AUDUSD_15m_attention | AUDUSD | 15m | 0.4988 | -0.1155 | 69.43% | 62.51% | 18387 | 4.6% |
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## Class Distribution (Holdout Set)
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| Model | Low Flow | Medium Flow | High Flow |
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|-------|----------|-------------|-----------|
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| XAUUSD_5m_attention | 62 (0.9%) | 3890 (58.8%) | 2661 (40.2%) |
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| XAUUSD_15m_attention | 0 (0.0%) | 1312 (59.0%) | 912 (41.0%) |
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| EURUSD_5m_attention | 229 (3.3%) | 5964 (86.2%) | 727 (10.5%) |
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| EURUSD_15m_attention | 60 (2.6%) | 1908 (82.4%) | 347 (15.0%) |
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| BTCUSD_5m_attention | 113 (1.1%) | 9053 (86.1%) | 1347 (12.8%) |
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| BTCUSD_15m_attention | 287 (8.2%) | 2597 (74.1%) | 621 (17.7%) |
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| GBPUSD_5m_attention | 296 (4.3%) | 4985 (72.2%) | 1621 (23.5%) |
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| GBPUSD_15m_attention | 97 (4.2%) | 1648 (71.2%) | 568 (24.6%) |
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| USDJPY_5m_attention | 443 (6.4%) | 4661 (67.4%) | 1810 (26.2%) |
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| USDJPY_15m_attention | 63 (2.7%) | 1636 (70.7%) | 615 (26.6%) |
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| AUDUSD_5m_attention | 231 (3.3%) | 6580 (94.8%) | 130 (1.9%) |
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| AUDUSD_15m_attention | 30 (1.3%) | 2181 (94.1%) | 106 (4.6%) |
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## Feature Importance
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### XAUUSD_5m_attention
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| Rank | Feature | Combined Importance |
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|------|---------|--------------------|
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| 1 | ATR_ratio | 0.4268 |
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| 2 | ATR | 0.1115 |
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| 3 | displacement | 0.0801 |
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| 4 | BB_width | 0.0801 |
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| 5 | volume_ratio | 0.0776 |
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| 6 | CMF | 0.0637 |
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| 7 | volume_z | 0.0592 |
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| 8 | MFI | 0.0524 |
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| 9 | OBV_delta | 0.0486 |
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### XAUUSD_15m_attention
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| Rank | Feature | Combined Importance |
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|------|---------|--------------------|
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| 1 | ATR_ratio | 0.2016 |
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| 2 | volume_ratio | 0.1666 |
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| 3 | displacement | 0.1320 |
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| 4 | volume_z | 0.0976 |
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| 5 | BB_width | 0.0921 |
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| 6 | ATR | 0.0830 |
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| 7 | MFI | 0.0786 |
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| 8 | OBV_delta | 0.0763 |
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| 9 | CMF | 0.0722 |
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### EURUSD_5m_attention
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| Rank | Feature | Combined Importance |
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|------|---------|--------------------|
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| 1 | ATR | 0.3272 |
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| 2 | ATR_ratio | 0.2003 |
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| 3 | BB_width | 0.1141 |
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| 4 | volume_z | 0.0970 |
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| 5 | volume_ratio | 0.0849 |
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| 6 | CMF | 0.0468 |
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| 7 | displacement | 0.0468 |
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| 8 | MFI | 0.0438 |
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| 9 | OBV_delta | 0.0392 |
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### EURUSD_15m_attention
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| Rank | Feature | Combined Importance |
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|------|---------|--------------------|
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| 1 | ATR_ratio | 0.2958 |
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| 2 | volume_z | 0.1386 |
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| 3 | volume_ratio | 0.1346 |
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| 4 | ATR | 0.1167 |
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| 5 | BB_width | 0.0719 |
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| 6 | MFI | 0.0636 |
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| 7 | CMF | 0.0615 |
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| 8 | displacement | 0.0598 |
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| 9 | OBV_delta | 0.0574 |
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### BTCUSD_5m_attention
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| Rank | Feature | Combined Importance |
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|------|---------|--------------------|
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| 1 | ATR_ratio | 0.3239 |
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| 2 | BB_width | 0.1286 |
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| 3 | volume_ratio | 0.1037 |
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| 4 | volume_z | 0.0852 |
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| 5 | ATR | 0.0816 |
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| 6 | CMF | 0.0793 |
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| 7 | displacement | 0.0701 |
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| 8 | MFI | 0.0661 |
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| 9 | OBV_delta | 0.0616 |
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### BTCUSD_15m_attention
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| Rank | Feature | Combined Importance |
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|------|---------|--------------------|
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| 1 | ATR_ratio | 0.3038 |
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| 2 | volume_ratio | 0.1570 |
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| 3 | BB_width | 0.0998 |
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| 4 | ATR | 0.0983 |
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| 5 | volume_z | 0.0901 |
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| 6 | displacement | 0.0679 |
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| 7 | CMF | 0.0664 |
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| 8 | OBV_delta | 0.0597 |
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| 9 | MFI | 0.0569 |
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### GBPUSD_5m_attention
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| Rank | Feature | Combined Importance |
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|------|---------|--------------------|
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| 1 | ATR | 0.3587 |
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| 2 | ATR_ratio | 0.1753 |
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| 3 | volume_ratio | 0.1055 |
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| 4 | BB_width | 0.0981 |
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| 5 | volume_z | 0.0852 |
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| 6 | displacement | 0.0514 |
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| 7 | CMF | 0.0474 |
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| 8 | OBV_delta | 0.0419 |
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| 9 | MFI | 0.0365 |
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### GBPUSD_15m_attention
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| Rank | Feature | Combined Importance |
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|------|---------|--------------------|
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| 1 | ATR_ratio | 0.3105 |
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| 2 | volume_z | 0.1476 |
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| 3 | volume_ratio | 0.1287 |
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| 4 | ATR | 0.1145 |
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| 5 | BB_width | 0.0708 |
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| 6 | MFI | 0.0605 |
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| 7 | CMF | 0.0590 |
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| 8 | OBV_delta | 0.0587 |
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| 9 | displacement | 0.0499 |
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### USDJPY_5m_attention
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| Rank | Feature | Combined Importance |
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|------|---------|--------------------|
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| 1 | ATR_ratio | 0.3854 |
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| 2 | ATR | 0.1623 |
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| 3 | volume_z | 0.1100 |
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| 4 | volume_ratio | 0.0971 |
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| 5 | BB_width | 0.0901 |
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| 6 | displacement | 0.0479 |
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| 7 | OBV_delta | 0.0365 |
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| 8 | MFI | 0.0359 |
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| 9 | CMF | 0.0349 |
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### USDJPY_15m_attention
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| Rank | Feature | Combined Importance |
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|------|---------|--------------------|
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| 1 | volume_ratio | 0.2208 |
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| 2 | volume_z | 0.2110 |
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| 3 | ATR_ratio | 0.1173 |
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| 4 | BB_width | 0.0934 |
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| 5 | displacement | 0.0857 |
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| 6 | ATR | 0.0829 |
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| 7 | CMF | 0.0666 |
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| 8 | OBV_delta | 0.0638 |
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| 9 | MFI | 0.0585 |
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### AUDUSD_5m_attention
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| Rank | Feature | Combined Importance |
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| 1 | ATR | 0.2316 |
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| 2 | volume_ratio | 0.1677 |
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| 3 | ATR_ratio | 0.1320 |
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| 4 | volume_z | 0.1139 |
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| 5 | MFI | 0.0923 |
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| 6 | BB_width | 0.0796 |
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| 7 | displacement | 0.0718 |
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| 8 | CMF | 0.0717 |
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| 9 | OBV_delta | 0.0394 |
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### AUDUSD_15m_attention
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| Rank | Feature | Combined Importance |
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| 1 | volume_z | 0.1874 |
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| 2 | volume_ratio | 0.1795 |
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| 3 | BB_width | 0.1206 |
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| 4 | ATR_ratio | 0.1140 |
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| 5 | ATR | 0.0936 |
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| 6 | CMF | 0.0923 |
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| 7 | MFI | 0.0819 |
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| 8 | displacement | 0.0779 |
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| 9 | OBV_delta | 0.0529 |
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## Interpretation
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### Attention Score (Regression)
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- **< 1.0**: Low flow period - below average market movement expected
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- **1.0 - 2.0**: Medium flow period - average market conditions
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- **> 2.0**: High flow period - above average movement expected (best trading opportunities)
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### Flow Class (Classification)
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- **0 (low_flow)**: move_multiplier < 1.0
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- **1 (medium_flow)**: 1.0 <= move_multiplier < 2.0
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- **2 (high_flow)**: move_multiplier >= 2.0
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## Trading Recommendations
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1. **Filter by attention_score**: Only trade when attention_score > 1.0
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2. **Adjust position sizing**: Increase size when attention_score > 2.0
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3. **Combine with base models**: Use attention_score as feature #51 in prediction models
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4. **Time-agnostic**: The model identifies flow without hardcoded sessions
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## Usage Example
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```python
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from training.attention_trainer import AttentionModelTrainer
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# Load trained models
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trainer = AttentionModelTrainer.load('models/attention/')
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# Get attention score for new OHLCV data
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attention = trainer.get_attention_score(df_ohlcv, 'XAUUSD', '5m')
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# Filter trades
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mask_trade = attention > 1.0 # Only trade in medium/high flow
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# Or use as feature in base models
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df['attention_score'] = attention
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```
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## Files Generated
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- `models/attention/{symbol}_{timeframe}_attention/` - Model directories
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- `models/attention/trainer_metadata.joblib` - Trainer configuration
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- `models/attention/training_summary.csv` - Summary metrics
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---
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*Report generated by Attention Model Training Pipeline*
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