harwinder
8ed6454ea5
Strip EUR/USD, GBP/USD, USD/JPY pairs and strategies from entire codebase. Add 3 new scored indicators (ROC, Keltner/TTM Squeeze, ADX slope) and enable MACD-as-pillar + divergence detection for early trend entry. Introduce "transitioning" regime (ADX < 25, slope > 3.0) to catch trend births before ADX confirms. Gold-specific composite weights per regime. Tune TP multipliers: quality-tiered scaling (A+/A get 1.5-2.0x ATR via XAU ATR method, B/C use swing-level targeting). Backtest: +24R total, 65% WR, PF 1.12 over 365 days. Add momentum-confirmed exhaustion block: hard-reject trades when 2+ static exhaustion signals fire AND ROC/MACD confirm fading momentum. Prevents late trend entries without killing strong trend trades. Telegram: simplify buttons to timeframe-only labels, add "Scan All TFs" multi-timeframe summary, add /scan command, fix BB/KC level breach keys, fix price formatting (.2f for gold), fix deprecated asyncio call, fix "1 pairs" grammar and 60s/30s dashboard refresh mismatch. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
114 lines
5.7 KiB
Markdown
114 lines
5.7 KiB
Markdown
# ForexBot2
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XAU/USD signal intelligence platform. Analyzes gold across multiple timeframes using 9 technical indicators with regime-adaptive weights, news sentiment, and economic calendar data. Delivers signals via Telegram with full trade setups (entry, SL, TP).
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## Architecture
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```
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Twelve Data REST API + WebSocket
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data_provider.py (fetch, cache, validate OHLCV; rate-limited 55 calls/min)
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engine.py (9 indicators per timeframe → composite score)
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signal_aggregator.py (MTF agreement + news + final signal + trade setup)
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+-----+--------+
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telegram_bot.py main.py
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(Telegram alerts, (CLI single-pair
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auto-scanner, analysis)
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WS monitor,
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live dashboard)
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```
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## Core Files
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| File | Purpose |
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|------|---------|
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| `config.py` | All configuration dataclasses, XAU/USD pair definition, strategy config |
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| `data_provider.py` | Twelve Data SDK wrapper with in-memory cache and rate limiting |
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| `engine.py` | `TechnicalEngine` — computes EMA, RSI, BB, ADX, ATR, MACD, ROC, Keltner, divergences, candlestick patterns, swing S/R |
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| `signal_aggregator.py` | `SignalAggregator` — MTF analysis, news integration, diminishing penalty cap, trade setup generation |
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| `news_engine.py` | Economic calendar (Forex Factory JSON) + RSS sentiment (keyword-based) |
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| `telegram_bot.py` | Async Telegram bot with auto-scanner (M5/M15/H1/H4), WebSocket price monitor, live dashboard |
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| `main.py` | CLI entry point for XAU/USD analysis |
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| `test_all.py` | Comprehensive QA suite (~137 tests, no live API needed) |
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## Key Concepts
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**Signal Pipeline:** OHLCV → indicators → regime classification → regime-weighted composite score → MTF agreement check → news/event adjustment → diminishing penalty cap → final signal (STRONG_BUY/BUY/NEUTRAL/SELL/STRONG_SELL) → quality grade (A+/A/B/C/D/F) → trade setup if grade C+.
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**Regime-Adaptive Weights:** Market classified as `trending_up`, `trending_down`, `ranging`, or `transitioning` via ADX + EMA + ADX slope. Gold-specific weights per regime:
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- **Trending:** MACD (2.0), EMA (2.0), Divergence (2.0), Keltner (1.5), ROC (1.5)
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- **Ranging:** Divergence (2.5), Keltner (2.0), RSI (1.5), BB (1.5), MACD (1.5)
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- **Transitioning:** Keltner (2.5), MACD (2.5), ROC (2.0), Divergence (2.0), EMA (1.5)
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**Transitioning Regime:** ADX < 25 but ADX slope > 3.0 = trend emerging. Catches trend birth 5-10 bars before ADX crosses 25. Boosts quality grade for early entries.
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**Diminishing Penalty Cap:** Penalties sorted by magnitude, applied with exponential decay (1st at 100%, 2nd at 50%, 3rd at 25%). Hard cap at 30% total. Replaces old additive stacking that could gut 30-50% confidence.
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**Indicators (9 scored):** EMA Trend, RSI, Bollinger Bands, MACD, ADX, Keltner Channels (TTM Squeeze), ROC (Rate of Change), Divergence, Candlestick Patterns.
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**Trade Setup:** SL = nearest swing low/high ± 1×ATR buffer (min 1.5×ATR). TP = nearest swing level if RR≥1.2, else calculated from ATR. Minimum RR 0.5:1.
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## How to Run
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```bash
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# CLI (XAU/USD analysis)
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python main.py # H1 default
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python main.py --timeframe M15 --detail --json
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# Telegram bot (auto-scanner)
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TELEGRAM_TOKEN=<token> TELEGRAM_CHAT_ID=<id> python telegram_bot.py
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# Tests
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python test_all.py
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# Backtest
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python backtest/gpu_backtest.py --pair XAUUSD --days 365
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```
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## Environment Variables
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| Variable | Purpose | Default |
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|----------|---------|---------|
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| `TWELVE_DATA_API_KEY` | Market data API key | Hardcoded fallback in config |
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| `TELEGRAM_TOKEN` | Telegram bot token | Hardcoded fallback |
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| `TELEGRAM_CHAT_ID` | Auto-scan chat ID (enables boot auto-scan) | Hardcoded fallback |
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## Dependencies
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`numpy`, `pandas`, `requests`, `twelvedata`, `python-telegram-bot`, `websockets` — see `requirements.txt`.
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## Data Provider
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- **Source:** Twelve Data REST API via `twelvedata` SDK
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- **Rate limit:** 55 credits/min (Grow plan), enforced by sliding-window throttle
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- **Cache:** In-memory dict, TTL = candle duration of the timeframe
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- **Validation:** Drops NaN rows, forward-fills gaps (limit 3), fixes OHLC inconsistencies, removes outliers (>10σ), strips future timestamps, deduplicates
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- **WebSocket:** XAU/USD only
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## Telegram Bot
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- **Auto-scan:** M5 (data-only, no alerts), M15, H1, H4 at candle boundaries + 10s buffer
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- **Manual scan:** Buttons for M15/H1/H4 individual scans + "Scan All TFs" multi-timeframe summary
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- **WebSocket:** Streams live ticks for XAU/USD; triggers immediate M15 scan on key level breach (swing S/R, BB, KC, EMA200) with 5-min cooldown
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- **Live dashboard:** Edit-in-place message, 30s refresh, shows XAU/USD across timeframes
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- **Commands:** `/start`, `/scan`, `/autoscan`, `/status`, `/cache`, `/clearcache`, `/help`
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## Backtesting
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The `backtest/` directory contains `gpu_backtest.py` — a GPU-accelerated backtester (CuPy with NumPy fallback) that replays historical OHLCV through the real SignalAggregator. Pre-computes all indicator series including ROC, Keltner, ADX slope for 100x+ speedup. Uses parquet caching for data persistence.
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## Code Conventions
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- Python 3.12, type hints on public methods
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- Dataclasses for all config and output structures
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- `SignalStrength` enum (-2 to +2) is the universal signal currency
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- Indicators stored as `Dict[str, IndicatorSignal]` in `TechnicalAnalysis`
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- Key levels stored as `Dict[str, float]` — prefixed `swing_high_`, `swing_low_`, `ema_`, `bb_`, `kc_`, `atr`
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- Private indicator data attached as `result._rsi_series`, `result._macd_histogram`, `result._adx_slope`, `result._kc_squeeze` (underscore prefix, skipped by composite scorer)
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- Blocking signal computation runs in `ThreadPoolExecutor(max_workers=4)` to avoid blocking the async Telegram event loop
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- Shared `ForexDataProvider` instance across all scans for cache reuse
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