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Refocus on USD/JPY and add walk-forward backtester with regime filter

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- Strip multi-pair plumbing; drop synthetic-data fallback
- Add BacktestConfig + walk-forward replay through the live signal pipeline
- Add metrics module (PF, Sharpe, Sortino, max DD, trade journal)
- Add parallel grid optimizer with disk parquet cache
- Add H4 ADX regime gate (--regime-filter, --regime-min-adx) — cuts chop
  losses ~84% in 2023 H1 while preserving trend edge

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
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Harwinder
2026-05-07 17:15:41 -04:00
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USAGE.md
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# ForexBot2 — Usage Guide
# ForexBot2 — USD/JPY Signal Intelligence
A focused USD/JPY signal generator + walk-forward backtester. Live signals
and backtests run through the **same** technical engine, so what you measure
in a backtest is exactly what you'd execute live.
## Setup
@@ -6,159 +10,160 @@
pip install -r requirements.txt
```
Set your Twelve Data API key (or it falls back to the key in `config.py`):
API key (optional — a default key is in `config.py`):
```bash
export TWELVE_DATA_API_KEY=your_key_here # Linux/Mac
set TWELVE_DATA_API_KEY=your_key_here # Windows CMD
$env:TWELVE_DATA_API_KEY="your_key_here" # PowerShell
export TWELVE_DATA_API_KEY=your_key_here # Linux/Mac
$env:TWELVE_DATA_API_KEY="your_key_here" # PowerShell
```
---
## Basic Syntax
```
python main.py [OPTIONS]
```
---
## Options
| Option | Default | Description |
|---|---|---|
| `--pairs PAIR [PAIR ...]` | all major pairs | Specific pairs to analyze |
| `--timeframe TF` | `H1` | Primary timeframe: `M5 M15 M30 H1 H4 D1` |
| `--all` | off | Add EUR/GBP, EUR/JPY, GBP/JPY and other cross pairs |
| `--detail` | off | Full indicator breakdown per pair |
| `--top N` | all | Show only the top N signals by strength |
| `--min-grade GRADE` | `F` (show all) | Filter by minimum quality grade: `A+ A B C D F` |
| `--json` | off | Output results as JSON instead of the terminal UI |
| `--watch` | off | Continuous monitoring — refreshes every 5 minutes |
| `--verbose` / `-v` | off | Enable debug logging |
---
## Common Examples
### Analyze all major Forex pairs (default)
```bash
python main.py
```
Analyzes EUR/USD, GBP/USD, USD/JPY, USD/CHF, AUD/USD, USD/CAD, NZD/USD on H1.
---
### Analyze Gold (XAU/USD)
```bash
python main.py --pairs XAUUSD
```
Pass the symbol without the slash. The engine converts it to Twelve Data format automatically.
---
### Gold on the 4-hour chart with full detail
```bash
python main.py --pairs XAUUSD --timeframe H4 --detail
```
---
### Multiple pairs at once
```bash
python main.py --pairs XAUUSD EURUSD GBPUSD
```
---
### Only show high-conviction signals (Grade B or above)
```bash
python main.py --min-grade B
```
---
### Top 3 signals across all pairs including crosses
```bash
python main.py --all --top 3
```
---
### Continuous monitoring — updates every 5 minutes
```bash
python main.py --watch
```
Add `--pairs XAUUSD` to watch a single instrument, or `--all` for everything.
## Live Signal
```bash
python main.py --pairs XAUUSD --watch --detail
python main.py # H1, summary view
python main.py --detail # Full indicator breakdown
python main.py --timeframe H4 --detail # H4 instead of H1
python main.py --json # JSON output (for piping)
```
---
| Option | Default | Description |
|---------------|---------|--------------------------------------------|
| `--timeframe` | `H1` | `M5 M15 M30 H1 H4 D1` |
| `--detail` | off | Indicator breakdown, key levels, reasons |
| `--json` | off | Machine-readable output |
| `--verbose` | off | Debug logging |
### JSON output (for piping or logging)
```bash
python main.py --pairs XAUUSD --json
python main.py --all --json > signals.json
```
---
## Signal Grades
| Grade | Meaning |
|---|---|
| A+ | Strongest — all timeframes aligned, high confidence |
| A | Strong signal, minor divergence |
| B | Good setup, watch for confirmation |
| C | Weak — for reference only |
| D/F | Noise — best ignored |
---
## Supported Symbols
Pass any symbol without slashes. Examples:
| You type | Pair |
|---|---|
| `XAUUSD` | Gold vs USD |
| `EURUSD` | Euro vs USD |
| `GBPUSD` | British Pound vs USD |
| `USDJPY` | USD vs Japanese Yen |
| `GBPJPY` | GBP vs Japanese Yen |
| `USDCAD` | USD vs Canadian Dollar |
| `AUDUSD` | Australian Dollar vs USD |
Any pair supported by Twelve Data can be used.
---
## Output Explained
### Output
```
EUR/USD │ Price: 1.08423 │ Regime: trending_up │ Vol: normal
USD/JPY │ Price: 149.230 │ Regime: trending_up │ Vol: normal
SIGNAL: STRONG BUY │ Score: +62.4 │ Grade: A │ Confidence: 74%
Action: Strong buy signal with multi-timeframe alignment...
SIGNAL: BUY │ Score: +28.4 │ Grade: B │ Confidence: 62%
Action: BUY — Decent setup, wait for confirmation
Multi-Timeframe: ✓ ALIGNED
M15: BUY (+28.1)
H1: STRONG BUY (+62.4)
H4: BUY (+41.0)
M15: BUY (+18.2)
H1: BUY (+28.4)
H4: STRONG BUY (+45.1)
Trade Setup:
Direction: BUY
Entry: 1.08423
Stop Loss: 1.08150 (27.3 pips)
Take Profit 1: 1.08970 (54.7 pips)
Take Profit 2: 1.09517
Entry: 149.230
Stop Loss: 148.960 (27.0 pips)
Take Profit 1: 149.770 (54.0 pips)
Take Profit 2: 150.040
Risk:Reward: 1:2.0
```
- **Score** — ranges from -100 (strong sell) to +100 (strong buy)
- **Grade** — summary quality of the signal setup
- **Regime** — `trending_up`, `trending_down`, or `ranging`
- **Trade Setup** — auto-calculated entry, SL, and TP based on ATR
---
## Backtest (Walk-Forward)
The backtester replays USD/JPY history bar-by-bar through the live signal
pipeline. No lookahead, no parallel implementation — what passes in
backtest passes live.
```bash
python main.py --backtest # Full available history
python main.py --backtest --bars 2000 # Last 2000 H1 bars
python main.py --backtest --start 2024-01-01 --end 2024-12-31
python main.py --backtest --timeframe H4 # Backtest on H4
python main.py --backtest --min-grade A # Only A/A+ entries
python main.py --backtest --journal # Last 10 trades printed
python main.py --backtest --journal-csv trades.csv # Full journal to CSV
python main.py --backtest --regime-filter # Skip choppy/ranging bars
python main.py --backtest --regime-filter --regime-min-adx 35
```
### Regime filter
The engine is a confluence-based trend-follower — it makes money in trending
regimes and loses in chop. `--regime-filter` gates entries on H4 ADX:
signals only fire when ADX ≥ `--regime-min-adx` (default 30). Sweet spot is
ADX 30–35; tighter cuts trades faster than it improves quality.
### Execution model
| Aspect | Behavior |
|--------------------|-------------------------------------------------------------------|
| Entry | Next bar's open (no current-bar lookahead) |
| Stop Loss | 1.5 × ATR from entry (configurable) |
| Take Profit | RR × stop distance (default 1:2) |
| Same-bar SL & TP | Conservative: SL fills first |
| Spread cost | Half-spread on entry + half-spread on exit (full round-trip) |
| Slippage | 0.5 pips per fill (entry + exit) |
| Position size | 1% of current equity risked per trade |
| Concurrency | One open position at a time |
| News in backtest | Disabled — RSS/calendar can't be replayed without lookahead |
### Output
```
Backtest Summary — USD/JPY
─────────────────────────────────────────────────
Trades: 87 (52W / 35L)
Win Rate: 59.8%
Profit Factor: 1.84
Expectancy: +12.4 pips/trade (+12.42 per trade)
Initial Balance: $10,000.00
Final Balance: $11,084.00
Total Return: +10.84%
CAGR: +18.92%
Max Drawdown: -4.21%
Sharpe Ratio: 1.42
Sortino Ratio: 2.18
Avg Duration: 14.3 bars
Win Streak: 7 | Loss Streak: 4
─────────────────────────────────────────────────
```
---
## Parameter Optimization (parallel)
```bash
python main.py --backtest --optimize
```
Runs a 3×3×3 grid (27 combos) over `atr_sl_multiplier`, `default_rr_ratio`,
and `min_score` (signal-score threshold). Combos run in parallel across all
CPU cores via `multiprocessing.Pool`. Twelve Data is hit once — workers
share an on-disk parquet cache (`.cache/usdjpy_<tf>.parquet`).
Output ranks combos by total return:
```
Top 10 Parameter Combinations (by total return):
# Return% PF WinR Trades MaxDD% Sharpe Params
──────────────────────────────────────────────────────────────────────
1 +14.21% 2.10 62.5% 64 -3.84 1.78 atr_sl_multiplier=1.5, default_rr_ratio=2.5, min_score=25.0
2 +11.93% 1.92 58.7% 71 -4.11 1.55 atr_sl_multiplier=1.0, default_rr_ratio=2.0, min_score=15.0
...
```
Customize the grid in `config.py → BacktestConfig.param_grid`.
---
## Files
| File | Role |
|-----------------------|---------------------------------------------------|
| `main.py` | CLI entry point (live + backtest + optimize) |
| `config.py` | All parameters in one place |
| `data_provider.py` | Twelve Data fetcher + parquet cache |
| `engine.py` | Technical indicators (8 + divergence + patterns) |
| `signal_aggregator.py`| Multi-TF aggregation, grading, trade setup |
| `news_engine.py` | RSS sentiment + economic calendar (live only) |
| `backtest.py` | Walk-forward replay + parallel optimizer |
| `metrics.py` | Win rate, PF, Sharpe, max DD, trade journal |
---
## Disclaimer
For educational and research use. Past performance does not guarantee
future results. Always use proper risk management.