rckrdmrd
c1b5081208
ML Engine Updates: - Updated BTCUSD with Polygon API data (2024-2025): 215,699 new records - Re-trained all ML models: Attention (R²: 0.223), Base, Metamodel (87.3% confidence) - Backtest results: +176.71R profit with aggressive_filter strategy Documentation Consolidation: - Created docs/99-analisis/_MAP.md index with 13 new analysis documents - Consolidated inventories: removed duplicates from orchestration/inventarios/ - Updated ML_INVENTORY.yml with BTCUSD metrics and training results - Added execution reports: FASE11-BTCUSD, correction issues, alignment validation Architecture & Integration: - Updated all module documentation with NEXUS v3.4 frontmatter - Fixed _MAP.md indexes across all folders - Updated orchestration plans and traces Files: 229 changed, 5064 insertions(+), 1872 deletions(-) 🤖 Generated with [Claude Code](https://claude.com/claude-code) Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com>
595 lines
16 KiB
YAML
595 lines
16 KiB
YAML
# STRATEGIES_INVENTORY.yml - Inventario de Estrategias de Trading
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# Trading Platform Trading Platform
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# Última actualización: 2025-12-05
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metadata:
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version: "1.0.0"
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last_updated: "2025-12-05"
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description: "Catálogo de estrategias para predicción de rangos y entradas óptimas"
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objective: "Encontrar entradas R:R 3:1 (80% win) y 2:1 (90% win)"
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# ============================================
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# OBJETIVO PRINCIPAL
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# ============================================
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objectives:
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primary:
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description: "Predecir máximos y mínimos en horizontes cortos"
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horizons:
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- name: "15min"
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candles_5m: 3
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candles_15m: 1
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- name: "60min"
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candles_5m: 12
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candles_15m: 4
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targets:
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- rr_ratio: 3.0
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win_rate_target: 0.80
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profit_factor_target: 4.0
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expectancy: 2.2 # R per trade
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- rr_ratio: 2.0
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win_rate_target: 0.90
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profit_factor_target: 6.0
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expectancy: 1.7 # R per trade
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# ============================================
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# ESTRATEGIAS BASE
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# ============================================
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strategies:
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# --- SMART MONEY CONCEPTS ---
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smart_money:
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- id: "STR-SMC-001"
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name: "AMD_Phases"
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category: "structure"
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description: "Wyckoff Accumulation-Markup-Distribution phases"
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priority: "P0"
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signals:
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- "accumulation_to_markup" # BUY
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- "distribution_to_markdown" # SELL
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- "spring_detected" # Strong BUY
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- "upthrust_detected" # Strong SELL
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features_required:
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- "volume_profile"
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- "price_structure"
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- "range_analysis"
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win_rate_historical: 0.72
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best_for: "Range prediction after accumulation/distribution"
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status: "active"
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- id: "STR-SMC-002"
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name: "OrderBlocks"
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category: "structure"
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description: "Institutional order block detection"
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priority: "P0"
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signals:
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- "bullish_ob_test"
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- "bearish_ob_test"
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- "ob_break"
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features_required:
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- "impulse_detection"
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- "volume_imbalance"
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win_rate_historical: 0.68
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best_for: "Predicting support/resistance levels"
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status: "active"
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- id: "STR-SMC-003"
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name: "FairValueGaps"
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category: "structure"
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description: "Fair Value Gap detection and fill prediction"
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priority: "P1"
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signals:
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- "bullish_fvg_created"
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- "bearish_fvg_created"
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- "fvg_fill_expected"
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features_required:
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- "gap_detection"
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- "efficiency_analysis"
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win_rate_historical: 0.70
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fill_probability: 0.70
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best_for: "Predicting retracement targets"
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status: "active"
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- id: "STR-SMC-004"
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name: "LiquiditySweep"
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category: "structure"
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description: "Liquidity sweep detection for reversal prediction"
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priority: "P0"
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signals:
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- "buy_side_sweep" # Probable reversal DOWN
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- "sell_side_sweep" # Probable reversal UP
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- "liquidity_grab"
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features_required:
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- "equal_highs_lows"
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- "swing_points"
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- "stop_clusters"
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win_rate_historical: 0.75
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best_for: "Predicting exact max/min levels"
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status: "active"
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- id: "STR-SMC-005"
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name: "MarketStructureShift"
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category: "structure"
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description: "Market structure break detection"
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priority: "P1"
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signals:
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- "bullish_mss"
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- "bearish_mss"
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- "choch" # Change of Character
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features_required:
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- "swing_analysis"
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- "structure_tracking"
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win_rate_historical: 0.65
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best_for: "Trend reversal confirmation"
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status: "active"
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# --- VOLATILITY STRATEGIES ---
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volatility:
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- id: "STR-VOL-001"
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name: "VCP_Pattern"
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category: "volatility"
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description: "Volatility Contraction Pattern (Minervini)"
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priority: "P1"
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signals:
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- "vcp_forming"
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- "vcp_breakout"
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features_required:
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- "range_contraction"
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- "volume_dry_up"
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win_rate_historical: 0.65
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best_for: "Predicting explosive moves after squeeze"
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status: "active"
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- id: "STR-VOL-002"
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name: "BollingerSqueeze"
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category: "volatility"
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description: "Bollinger inside Keltner squeeze"
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priority: "P1"
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signals:
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- "squeeze_on"
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- "squeeze_release_bullish"
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- "squeeze_release_bearish"
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features_required:
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- "bb_width"
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- "kc_width"
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- "momentum"
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win_rate_historical: 0.62
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best_for: "Timing breakouts after low volatility"
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status: "active"
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- id: "STR-VOL-003"
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name: "ATR_Expansion"
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category: "volatility"
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description: "ATR expansion/contraction for range prediction"
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priority: "P2"
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signals:
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- "volatility_expanding"
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- "volatility_contracting"
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features_required:
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- "atr_ratio"
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- "historical_volatility"
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win_rate_historical: 0.60
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best_for: "Adjusting position size and TP/SL"
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status: "planned"
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# --- MOMENTUM STRATEGIES ---
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momentum:
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- id: "STR-MOM-001"
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name: "RSI_Divergence"
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category: "momentum"
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description: "RSI divergence for reversal prediction"
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priority: "P1"
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signals:
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- "bullish_divergence"
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- "bearish_divergence"
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- "hidden_divergence"
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features_required:
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- "rsi_14"
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- "swing_points"
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- "divergence_detection"
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win_rate_historical: 0.68
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best_for: "Predicting reversals at extremes"
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status: "active"
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- id: "STR-MOM-002"
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name: "MACD_Histogram"
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category: "momentum"
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description: "MACD histogram momentum shifts"
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priority: "P2"
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signals:
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- "histogram_reversal"
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- "zero_line_cross"
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- "momentum_divergence"
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features_required:
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- "macd_components"
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- "histogram_slope"
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win_rate_historical: 0.58
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best_for: "Confirming trend continuation/reversal"
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status: "active"
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- id: "STR-MOM-003"
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name: "Stochastic_Extreme"
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category: "momentum"
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description: "Stochastic at oversold/overbought with confirmation"
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priority: "P2"
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signals:
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- "oversold_reversal"
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- "overbought_reversal"
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features_required:
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- "stoch_k"
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- "stoch_d"
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- "price_confirmation"
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win_rate_historical: 0.55
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best_for: "Timing entries at extremes"
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status: "planned"
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# --- TREND FOLLOWING ---
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trend:
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- id: "STR-TRD-001"
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name: "EMA_Stack"
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category: "trend"
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description: "EMA 8/21/50 alignment for trend confirmation"
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priority: "P2"
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signals:
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- "bullish_stack"
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- "bearish_stack"
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- "stack_break"
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features_required:
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- "ema_8"
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- "ema_21"
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- "ema_50"
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win_rate_historical: 0.60
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best_for: "Filtering trades with trend"
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status: "active"
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- id: "STR-TRD-002"
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name: "SuperTrend"
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category: "trend"
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description: "SuperTrend indicator for trend direction"
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priority: "P2"
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signals:
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- "supertrend_bullish"
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- "supertrend_bearish"
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- "supertrend_flip"
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features_required:
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- "atr_10"
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- "supertrend_value"
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win_rate_historical: 0.58
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best_for: "Trend direction filter"
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status: "planned"
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# --- MULTI-TIMEFRAME ---
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multi_tf:
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- id: "STR-MTF-001"
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name: "TripleScreen"
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category: "multi_timeframe"
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description: "Elder Triple Screen adaptation"
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priority: "P1"
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signals:
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- "aligned_bullish"
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- "aligned_bearish"
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timeframes:
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- "1h" # Trend
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- "15m" # Signal
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- "5m" # Entry
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features_required:
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- "higher_tf_trend"
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- "signal_tf_oscillator"
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- "entry_tf_trigger"
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win_rate_historical: 0.70
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best_for: "High probability entries with confluence"
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status: "active"
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- id: "STR-MTF-002"
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name: "HTF_Confluence"
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category: "multi_timeframe"
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description: "Higher timeframe level confluence"
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priority: "P1"
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signals:
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- "htf_support_confluence"
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- "htf_resistance_confluence"
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features_required:
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- "daily_levels"
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- "4h_levels"
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- "1h_levels"
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win_rate_historical: 0.72
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best_for: "Identifying strong S/R zones"
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status: "active"
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# ============================================
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# ENSEMBLE CONFIGURATIONS
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# ============================================
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ensembles:
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- id: "ENS-001"
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name: "RangePredictionEnsemble"
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description: "Main ensemble for high/low prediction"
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components:
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ml_models:
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- model_id: "ML-RANGE-001"
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weight: 0.30
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- model_id: "ML-VOL-001"
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weight: 0.15
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- model_id: "ML-DIR-001"
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weight: 0.15
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strategies:
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- strategy_id: "STR-SMC-001" # AMD
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weight: 0.15
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- strategy_id: "STR-SMC-004" # Liquidity
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weight: 0.10
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- strategy_id: "STR-SMC-002" # OrderBlocks
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weight: 0.10
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- strategy_id: "STR-MTF-001" # TripleScreen
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weight: 0.05
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dynamic_weights: true
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weight_adjustment_rules:
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- condition: "amd_phase_clear"
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adjustment: "increase_amd_weight"
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- condition: "near_order_block"
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adjustment: "increase_ob_weight"
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- condition: "high_volatility"
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adjustment: "increase_ml_weight"
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- id: "ENS-002"
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name: "EntrySignalEnsemble"
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description: "Ensemble for optimal entry timing"
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components:
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strategies:
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- strategy_id: "STR-SMC-003" # FVG
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weight: 0.25
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- strategy_id: "STR-MOM-001" # RSI Div
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weight: 0.25
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- strategy_id: "STR-VOL-001" # VCP
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weight: 0.20
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- strategy_id: "STR-MTF-002" # HTF Confluence
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weight: 0.30
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trigger_threshold: 0.70
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# ============================================
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# ML MODELS FOR RANGE PREDICTION
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# ============================================
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ml_models:
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- id: "ML-RANGE-001"
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name: "XGBoostRangePredictor"
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type: "regression"
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framework: "XGBoost"
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description: "Predicts delta_high and delta_low"
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inputs:
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features: 45
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lookback: 50
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outputs:
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- "delta_high_15m"
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- "delta_low_15m"
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- "delta_high_60m"
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- "delta_low_60m"
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metrics_target:
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mae: "< 0.5%"
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accuracy_direction: "> 75%"
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training:
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frequency: "daily"
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min_samples: 10000
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validation: "walk_forward"
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status: "planned"
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- id: "ML-VOL-001"
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name: "LSTMVolatilityPredictor"
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type: "regression"
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framework: "PyTorch"
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description: "Predicts expected volatility for range sizing"
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inputs:
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features: 25
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sequence_length: 20
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outputs:
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- "expected_volatility_15m"
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- "expected_volatility_60m"
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metrics_target:
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mae: "< 0.3%"
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status: "planned"
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- id: "ML-DIR-001"
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name: "DirectionClassifier"
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type: "classification"
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framework: "XGBoost"
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description: "Classifies probable direction (which extreme hit first)"
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inputs:
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features: 35
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outputs:
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- "direction" # 1=bullish, -1=bearish, 0=neutral
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- "confidence"
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metrics_target:
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accuracy: "> 70%"
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precision: "> 68%"
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status: "planned"
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- id: "ML-ENTRY-001"
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name: "OptimalEntryClassifier"
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type: "classification"
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framework: "XGBoost"
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description: "Classifies if current moment is optimal for entry"
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inputs:
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features: 50
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includes: "all_strategy_signals"
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outputs:
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- "entry_quality" # 0-1
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- "recommended_rr" # 2 or 3
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metrics_target:
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precision: "> 85%"
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status: "planned"
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# ============================================
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# FEATURES CATALOG
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# ============================================
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features:
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volatility:
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- name: "atr_5"
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importance: "critical"
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- name: "atr_14"
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importance: "critical"
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- name: "atr_ratio"
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importance: "critical"
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- name: "bb_width"
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importance: "high"
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- name: "bb_squeeze"
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importance: "high"
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- name: "range_5"
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importance: "medium"
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- name: "range_20"
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importance: "medium"
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structure:
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- name: "dist_to_support"
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importance: "critical"
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- name: "dist_to_resistance"
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importance: "critical"
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- name: "in_range"
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importance: "high"
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- name: "range_position"
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importance: "high"
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- name: "swing_high_dist"
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importance: "medium"
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- name: "swing_low_dist"
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importance: "medium"
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trend:
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- name: "trend_adx"
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importance: "critical"
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- name: "trend_direction"
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importance: "high"
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- name: "ema_slope_20"
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importance: "medium"
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- name: "price_vs_ema_20"
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importance: "high"
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- name: "price_vs_ema_50"
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importance: "medium"
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- name: "higher_tf_trend"
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importance: "critical"
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momentum:
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- name: "rsi_14"
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importance: "high"
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- name: "rsi_divergence"
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importance: "critical"
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- name: "macd_histogram"
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importance: "medium"
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- name: "macd_divergence"
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importance: "critical"
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- name: "momentum_10"
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importance: "medium"
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volume:
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- name: "volume_ratio"
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importance: "critical"
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- name: "volume_trend"
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importance: "medium"
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- name: "obv_slope"
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importance: "medium"
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- name: "vwap_dist"
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importance: "high"
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smc: # Smart Money Concepts
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- name: "amd_phase"
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importance: "critical"
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- name: "accumulation_score"
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importance: "critical"
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- name: "distribution_score"
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importance: "critical"
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- name: "spring_detected"
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importance: "critical"
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- name: "upthrust_detected"
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importance: "critical"
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- name: "order_block_dist"
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importance: "high"
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- name: "fvg_nearby"
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importance: "high"
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- name: "liquidity_above"
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importance: "critical"
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- name: "liquidity_below"
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importance: "critical"
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# ============================================
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# BACKTESTING REQUIREMENTS
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# ============================================
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backtesting:
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minimum_requirements:
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data_history: "2 years"
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min_trades: 1000
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walk_forward_windows: 10
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out_of_sample_ratio: 0.3
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validation_metrics:
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- name: "win_rate"
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threshold_3_1: 0.80
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threshold_2_1: 0.90
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- name: "profit_factor"
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threshold_3_1: 4.0
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threshold_2_1: 6.0
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- name: "max_drawdown"
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threshold: 0.15
|
|
- name: "sharpe_ratio"
|
|
threshold: 2.0
|
|
- name: "calmar_ratio"
|
|
threshold: 3.0
|
|
|
|
execution_assumptions:
|
|
slippage: "0.05%"
|
|
commission: "0.1%"
|
|
fill_rate: 0.95
|
|
|
|
# ============================================
|
|
# INTEGRATION
|
|
# ============================================
|
|
integration:
|
|
ml_engine:
|
|
prediction_endpoint: "/api/v1/predict/range"
|
|
batch_endpoint: "/api/v1/predict/range/batch"
|
|
cache_ttl: 30 # seconds
|
|
|
|
llm_agent:
|
|
tools:
|
|
- "get_range_prediction"
|
|
- "get_entry_signal"
|
|
- "explain_strategy"
|
|
- "backtest_strategy"
|
|
|
|
frontend:
|
|
visualizations:
|
|
- "predicted_range_overlay"
|
|
- "entry_zone_highlight"
|
|
- "strategy_signals_panel"
|
|
|
|
# ============================================
|
|
# ROADMAP
|
|
# ============================================
|
|
roadmap:
|
|
phase_1:
|
|
name: "Core Range Prediction"
|
|
items:
|
|
- "Implement XGBoostRangePredictor"
|
|
- "Implement AMD Phase Detection"
|
|
- "Implement Liquidity Sweep Detection"
|
|
- "Basic backtesting"
|
|
target: "Sprint 9-10"
|
|
|
|
phase_2:
|
|
name: "Strategy Ensemble"
|
|
items:
|
|
- "Implement remaining SMC strategies"
|
|
- "Build RangePredictionEnsemble"
|
|
- "Walk-forward validation"
|
|
target: "Sprint 11"
|
|
|
|
phase_3:
|
|
name: "Optimization"
|
|
items:
|
|
- "Dynamic weight adjustment"
|
|
- "Add LSTM volatility model"
|
|
- "Entry timing optimization"
|
|
target: "Sprint 12"
|
|
|
|
phase_4:
|
|
name: "Production"
|
|
items:
|
|
- "Paper trading validation"
|
|
- "Integration with LLM Agent"
|
|
- "Dashboard and monitoring"
|
|
target: "Sprint 13"
|