Community Scripts

# ╔══════════════════════════════════════════════════════════════╗
# ║                  STRATEGY REQUEST LOG                       ║
# ╚══════════════════════════════════════════════════════════════╝
# Generated        : 2026-05-06 02:54:13
# Model            : Gradient Boosting
# Feature Eng.     : EMA (9,21), RSI 14 + Auto-add features: ON
# Signal / Entry   : Enter when model confidence > threshold; exit on opposite signal or SL/TP
# Optimization     : Maximize risk-adjusted return
# Risk Mgmt        : Stop loss 0.5%, Take profit 1.0%
# Risk Filter      : —
# ══════════════════════════════════════════════════════════════

# ============================================================
# SECTION 0 — IMPORTS & CONSTANTS
import numpy as np
import pandas as pd

DATA_PATH = "/root/Desktop/QuantifyMe/data/ohlc/NZDUSD_15min.parquet"
START_DATE = "2025-04-24"
END_DATE   = "2026-04-24"
VALIDATION_DATE = ""
TRAIN_SPLIT = 0.7

# SECTION 1 — FEATURE ENGINEERING
def feature_engineering(df, close, open_, high, low):
    # ── EMA 9 and EMA 21 (required) ──────────────────────────────────────────
    ema_9  = close.ewm(span=9,  adjust=False).mean()
    ema_21 = close.ewm(span=21, adjust=False).mean()

    df["ema_9"]    = ema_9
    df["ema_21"]   = ema_21
    df["dm_ema_9"]  = (close - ema_9)  / ema_9
    df["dm_ema_21"] = (close - ema_21) / ema_21

    # EMA crossover signal: positive when fast > slow
    df["ema_cross"] = ema_9 - ema_21

    # Rate of change of the crossover (momentum of the cross)
    df["ema_cross_roc"] = df["ema_cross"].diff(3)

    # ── RSI 14 (required) ────────────────────────────────────────────────────
    delta  = close.diff()
    gain   = delta.clip(lower=0)
    loss   = (-delta).clip(lower=0)
    avg_gain = gain.ewm(com=13, adjust=False).mean()
    avg_loss = loss.ewm(com=13, adjust=False).mean()
    rs     = avg_gain / avg_loss.replace(0, np.nan)
    df["rsi_14"] = 100 - (100 / (1 + rs))

    # RSI normalised to [-1, 1]
    df["rsi_norm"] = (df["rsi_14"] - 50) / 50

    # RSI momentum (1-bar diff of RSI)
    df["rsi_diff"] = df["rsi_14"].diff(1)

    # RSI overbought / oversold flags (np.where, no pd.cut)
    df["rsi_ob"] = np.where(df["rsi_14"] > 70, 1, 0)
    df["rsi_os"] = np.where(df["rsi_14"] < 30, 1, 0)

    # ── ATR 14 ───────────────────────────────────────────────────────────────
    prev_close = close.shift(1)
    tr = pd.concat([
        high - low,
        (high - prev_close).abs(),
        (low  - prev_close).abs()
    ], axis=1).max(axis=1)
    atr_14 = tr.ewm(com=13, adjust=False).mean()
    df["atr_14"]  = atr_14
    df["natr_14"] = atr_14 / close  # normalised ATR

    # ── MACD-style fast/slow difference (12/26 EMA) ─────────────────────────
    ema_12 = close.ewm(span=12, adjust=False).mean()
    ema_26 = close.ewm(span=26, adjust=False).mean()
    macd_line   = ema_12 - ema_26
    macd_signal = macd_line.ewm(span=9, adjust=False).mean()
    df["macd_line"]   = macd_line / close
    df["macd_signal"] = macd_signal / close
    df["macd_hist"]   = (macd_line - macd_signal) / close

    # ── Bollinger Bands (20, 2) ───────────────────────────────────────────────
    bb_mid  = close.rolling(20).mean()
    bb_std  = close.rolling(20).std()
    bb_up   = bb_mid + 2 * bb_std
    bb_lo   = bb_mid - 2 * bb_std
    bb_bw   = (bb_up - bb_lo) / bb_mid          # bandwidth
    bb_pct  = (close - bb_lo) / (bb_up - bb_lo) # %B position
    df["bb_bandwidth"] = bb_bw
    df["bb_pct"]       = bb_pct

    # ── Stochastic %K / %D (14, 3) ───────────────────────────────────────────
    low14  = low.rolling(14).min()
    high14 = high.rolling(14).max()
    stoch_k = 100 * (close - low14) / (high14 - low14).replace(0, np.nan)
    stoch_d = stoch_k.rolling(3).mean()
    df["stoch_k"] = stoch_k
    df["stoch_d"] = stoch_d
    df["stoch_kd_diff"] = stoch_k - stoch_d

    # ── Price momentum (returns over multiple horizons) ───────────────────────
    df["ret_1"]  = close.pct_change(1)
    df["ret_3"]  = close.pct_change(3)
    df["ret_6"]  = close.pct_change(6)
    df["ret_12"] = close.pct_change(12)

    # ── Candle body & shadow ratios ───────────────────────────────────────────
    body      = (close - open_).abs()
    candle_rng = (high - low).replace(0, np.nan)
    df["body_ratio"]       = body / candle_rng
    df["upper_shadow"]     = (high - pd.concat([close, open_], axis=1).max(axis=1)) / candle_rng
    df["lower_shadow"]     = (pd.concat([close, open_], axis=1).min(axis=1) - low) / candle_rng
    df["body_direction"]   = np.sign(close - open_)

    # ── Volume proxy: volatility-based (OHLC spread) ─────────────────────────
    df["hl_spread"] = (high - low) / close

    # ── Rolling volatility (std of returns) ──────────────────────────────────
    df["vol_6"]  = df["ret_1"].rolling(6).std()
    df["vol_24"] = df["ret_1"].rolling(24).std()

    # ── Z-score of close relative to 20-bar rolling mean ─────────────────────
    roll_mean_20 = close.rolling(20).mean()
    roll_std_20  = close.rolling(20).std()
    df["zscore_20"] = (close - roll_mean_20) / roll_std_20.replace(0, np.nan)

    # ── Trend strength: R² of close over 20 bars ─────────────────────────────
    x = np.arange(20)
    x_demeaned = x - x.mean()
    ss_x = (x_demeaned ** 2).sum()

    def rolling_r2(series, window=20):
        arr = series.values
        n   = len(arr)
        out = np.full(n, np.nan)
        for i in range(window - 1, n):
            y = arr[i - window + 1: i + 1]
            if np.any(np.isnan(y)):
                continue
            y_m = y - y.mean()
            slope = np.dot(x_demeaned, y_m) / ss_x
            y_hat = slope * x_demeaned + y.mean()
            ss_res = ((y - y_hat) ** 2).sum()
            ss_tot = ((y - y.mean()) ** 2).sum()
            out[i] = 1 - ss_res / ss_tot if ss_tot > 0 else 0.0
        return out

    df["trend_r2_20"] = rolling_r2(close, 20)

    # ── SMA 50 (for trend filter reference; also used as feature) ─────────────
    sma_50 = close.rolling(50).mean()
    df["sma_50"]       = sma_50
    df["close_vs_sma50"] = (close - sma_50) / sma_50

    # ── Higher-timeframe EMA proxy (4-bar resample = 1h equivalent) ──────────
    ema_4h = close.ewm(span=4 * 21, adjust=False).mean()
    df["dm_ema_4h"] = (close - ema_4h) / ema_4h

    # ── Cross confirmation: EMA cross direction × RSI regime ─────────────────
    df["cross_x_rsi"] = np.sign(df["ema_cross"]) * df["rsi_norm"]

    # ── Fill NaN from indicator warm-up ──────────────────────────────────────
    df = df.bfill().ffill()

    return df


# SECTION 2 — STRATEGY CONFIG
def strategy_config():
    return {
        "title":            "NZD/USD EMA Cross (9/21) + RSI Gradient Boost",
        "model_type":       "GradientBoostingClassifier",
        "model_params":     {
            "n_estimators":      400,
            "max_depth":         4,
            "learning_rate":     0.04,
            "subsample":         0.75,
            "min_samples_leaf":  20,
            "max_features":      "sqrt",
            "validation_fraction": 0.1,
            "n_iter_no_change":  25,
            "tol":               1e-4,
        },
        "signal_threshold": 0.55,
        "direction":        "both",
        "stop_loss":        0.005,
        "take_profit":      0.010,
        "cooldown":         0,
        "max_positions":    1,
        "on_opposite":      "reverse",
        "session_filter":   [0, 23],
        "min_atr":          None,
        "trend_filter":     None,
        "target_horizon":   4,
        "objective":        (
            "Maximise risk-adjusted return (Sharpe) on NZD/USD 15-min data. "
            "GradientBoostingClassifier chosen for its strong out-of-box performance on "
            "tabular financial data, built-in regularisation via subsample/max_features, "
            "and early-stopping via n_iter_no_change. Depth-4 trees with 400 estimators "
            "and lr=0.04 balance bias-variance. SL=0.5% / TP=1.0% gives 1:2 R:R. "
            "4-bar horizon (~1 hour) aligns with EMA-cross momentum persistence. "
            "Threshold 0.55 filters marginal signals while preserving trade frequency."
        ),
        "notes":            (
            "Features: EMA 9/21 cross + distances, RSI 14 with OB/OS flags, MACD histogram, "
            "Bollinger %B + bandwidth, Stochastic K/D, multi-horizon returns, candle body "
            "ratios, rolling volatility, 20-bar z-score, trend R² and SMA50 distance. "
            "No session filter applied — NZD/USD has meaningful liquidity across Asian + "
            "London sessions. Reverse on opposite signal for continuous market exposure."
        ),
    }

# ╔══════════════════════════════════════════════════════════════╗
# ║                  STRATEGY REQUEST LOG                       ║
# ╚══════════════════════════════════════════════════════════════╝
# Generated        : 2026-05-06 01:16:23
# Model            : Gradient Boosting
# Feature Eng.     : RSI 14, MACD (12,26,9) + Auto-add features: ON
# Signal / Entry   : Enter when model confidence > threshold; exit on opposite signal or SL/TP
# Optimization     : Maximize risk-adjusted return
# Risk Mgmt        : Stop loss 0.5%, Take profit 1.0%
# Risk Filter      : —
# ══════════════════════════════════════════════════════════════

# ============================================================
# SECTION 0 — IMPORTS & CONSTANTS
import numpy as np
import pandas as pd

DATA_PATH = "/root/Desktop/QuantifyMe/data/ohlc/NZDUSD_15min.parquet"
START_DATE = "2025-04-24"
END_DATE   = "2026-04-24"
VALIDATION_DATE = ""
TRAIN_SPLIT = 0.7

# SECTION 1 — FEATURE ENGINEERING
def feature_engineering(df, close, open_, high, low):
    # ── RSI 14 ──────────────────────────────────────────────────────────────
    delta = close.diff()
    gain = delta.clip(lower=0)
    loss = -delta.clip(upper=0)
    avg_gain = gain.ewm(com=13, min_periods=14, adjust=False).mean()
    avg_loss = loss.ewm(com=13, min_periods=14, adjust=False).mean()
    rs = avg_gain / avg_loss.replace(0, np.nan)
    df["rsi_14"] = 100 - (100 / (1 + rs))

    # RSI derived signals
    df["rsi_overbought"] = np.where(df["rsi_14"] > 70, 1, 0)
    df["rsi_oversold"]   = np.where(df["rsi_14"] < 30, 1, 0)
    df["rsi_mid_cross"]  = np.where(df["rsi_14"] > 50, 1, -1)

    # RSI momentum (rate of change of RSI)
    df["rsi_roc"] = df["rsi_14"].diff(3)

    # ── MACD (12, 26, 9) ────────────────────────────────────────────────────
    ema_12 = close.ewm(span=12, adjust=False).mean()
    ema_26 = close.ewm(span=26, adjust=False).mean()
    macd_line   = ema_12 - ema_26
    signal_line = macd_line.ewm(span=9, adjust=False).mean()
    macd_hist   = macd_line - signal_line

    df["macd_line"]   = macd_line
    df["macd_signal"] = signal_line
    df["macd_hist"]   = macd_hist

    # MACD derived signals
    df["macd_cross"] = np.where(macd_line > signal_line, 1, -1)
    df["macd_hist_sign"]  = np.where(macd_hist > 0, 1, -1)
    df["macd_hist_accel"] = macd_hist.diff()

    # ── ATR (14) ─────────────────────────────────────────────────────────────
    tr = pd.concat([
        high - low,
        (high - close.shift(1)).abs(),
        (low  - close.shift(1)).abs()
    ], axis=1).max(axis=1)
    df["atr_14"] = tr.ewm(com=13, min_periods=14, adjust=False).mean()
    df["natr_14"] = df["atr_14"] / close

    # ── Bollinger Bands (20, 2) ──────────────────────────────────────────────
    sma_20 = close.rolling(20).mean()
    std_20 = close.rolling(20).std()
    bb_upper = sma_20 + 2 * std_20
    bb_lower = sma_20 - 2 * std_20
    df["bb_width"]    = (bb_upper - bb_lower) / sma_20
    df["bb_position"] = (close - bb_lower) / (bb_upper - bb_lower).replace(0, np.nan)
    df["bb_squeeze"]  = np.where(df["bb_width"] < df["bb_width"].rolling(50).mean(), 1, 0)

    # ── Trend / SMA filters ──────────────────────────────────────────────────
    df["sma_20"]  = sma_20
    df["sma_50"]  = close.rolling(50).mean()
    df["sma_200"] = close.rolling(200).mean()
    df["price_above_sma50"]  = np.where(close > df["sma_50"],  1, -1)
    df["price_above_sma200"] = np.where(close > df["sma_200"], 1, -1)
    df["sma50_above_sma200"] = np.where(df["sma_50"] > df["sma_200"], 1, -1)

    # ── Momentum / ROC ───────────────────────────────────────────────────────
    df["roc_4"]  = close.pct_change(4)
    df["roc_8"]  = close.pct_change(8)
    df["roc_16"] = close.pct_change(16)

    # ── Candlestick / price structure ────────────────────────────────────────
    df["body"]        = (close - open_) / close
    df["upper_wick"]  = (high - close.clip(lower=open_)) / close
    df["lower_wick"]  = (open_.clip(upper=close) - low)  / close
    df["hl_range"]    = (high - low) / close
    df["gap"]         = (open_ - close.shift(1)) / close.shift(1)

    # ── Volume-free spread proxy ─────────────────────────────────────────────
    df["spread_ratio"] = df["hl_range"] / df["atr_14"].replace(0, np.nan)

    # ── Stochastic RSI proxy ─────────────────────────────────────────────────
    rsi_min = df["rsi_14"].rolling(14).min()
    rsi_max = df["rsi_14"].rolling(14).max()
    df["stoch_rsi"] = (df["rsi_14"] - rsi_min) / (rsi_max - rsi_min).replace(0, np.nan)

    # ── Williams %R (14) ─────────────────────────────────────────────────────
    highest_high = high.rolling(14).max()
    lowest_low   = low.rolling(14).min()
    df["williams_r"] = -100 * (highest_high - close) / (highest_high - lowest_low).replace(0, np.nan)

    # ── Lagged features ──────────────────────────────────────────────────────
    for lag in [1, 2, 3, 4]:
        df[f"rsi_lag{lag}"]       = df["rsi_14"].shift(lag)
        df[f"macd_hist_lag{lag}"] = df["macd_hist"].shift(lag)
        df[f"roc4_lag{lag}"]      = df["roc_4"].shift(lag)

    # ── Fill NaN from indicator warm-up ─────────────────────────────────────
    df = df.bfill().ffill()
    return df

# SECTION 2 — STRATEGY CONFIG
def strategy_config():
    return {
        "title":            "NZD/USD MACD+RSI Gradient Boosting Risk-Adjusted",
        "model_type":       "GradientBoostingClassifier",
        "model_params":     {
            "n_estimators":     400,
            "max_depth":        4,
            "learning_rate":    0.03,
            "subsample":        0.8,
            "min_samples_leaf": 20,
            "max_features":     "sqrt",
            "validation_fraction": 0.1,
            "n_iter_no_change": 30,
            "tol":              1e-4,
            "random_state":     42,
        },
        "signal_threshold": 0.55,
        "direction":        "both",
        "stop_loss":        0.005,
        "take_profit":      0.010,
        "cooldown":         0,
        "max_positions":    1,
        "on_opposite":      "reverse",
        "session_filter":   [0, 23],
        "min_atr":          None,
        "trend_filter":     None,
        "target_horizon":   4,
        "objective": (
            "Maximize risk-adjusted return (Sharpe/Calmar) on NZD/USD 15-min data. "
            "GradientBoostingClassifier chosen for strong generalisation with tabular features, "
            "low learning rate + early stopping prevents overfitting. "
            "SL=0.5%, TP=1.0% gives 1:2 R:R ratio. Threshold=0.55 filters marginal signals."
        ),
        "notes": (
            "Core features: RSI-14, MACD(12,26,9) with histogram momentum. "
            "Supplementary: ATR, Bollinger Bands, SMA trend, Williams %R, StochRSI, "
            "candlestick structure, lagged RSI/MACD/ROC. "
            "reverse on opposite signal captures trend continuation. "
            "target_horizon=4 bars (1 hour) aligns with typical MACD/RSI signal duration."
        ),
    }

# ╔══════════════════════════════════════════════════════════════╗
# ║                  STRATEGY REQUEST LOG                       ║
# ╚══════════════════════════════════════════════════════════════╝
# Generated        : 2026-05-06 01:35:33
# Model            : Gradient Boosting
# Feature Eng.     : RSI 14, MACD (12,26,9) + Auto-add features: ON
# Signal / Entry   : Enter when model confidence > threshold; exit on opposite signal or SL/TP
# Optimization     : Maximize risk-adjusted return
# Risk Mgmt        : Stop loss 0.5%, Take profit 1.0%
# Risk Filter      : —
# ══════════════════════════════════════════════════════════════

# ============================================================
# SECTION 0 — IMPORTS & CONSTANTS
import numpy as np
import pandas as pd

DATA_PATH = "/root/Desktop/QuantifyMe/data/ohlc/NZDUSD_15min.parquet"
START_DATE = "2025-04-24"
END_DATE   = "2026-04-24"
VALIDATION_DATE = ""
TRAIN_SPLIT = 0.7

# SECTION 1 — FEATURE ENGINEERING
def feature_engineering(df, close, open_, high, low):

    # ── RSI 14 ──────────────────────────────────────────────────────────────
    delta = close.diff()
    gain  = delta.clip(lower=0)
    loss  = (-delta).clip(lower=0)
    avg_gain = gain.ewm(alpha=1/14, min_periods=14, adjust=False).mean()
    avg_loss = loss.ewm(alpha=1/14, min_periods=14, adjust=False).mean()
    rs = avg_gain / avg_loss.replace(0, np.nan)
    df["rsi_14"] = 100 - (100 / (1 + rs))

    # RSI derived signals
    df["rsi_ob"]      = np.where(df["rsi_14"] > 70, 1, 0)   # overbought flag
    df["rsi_os"]      = np.where(df["rsi_14"] < 30, 1, 0)   # oversold flag
    df["rsi_mid"]     = df["rsi_14"] - 50                    # centred
    df["rsi_slope"]   = df["rsi_14"].diff(3)                 # momentum of RSI
    df["rsi_accel"]   = df["rsi_slope"].diff(2)              # acceleration

    # RSI regime: above/below 50
    df["rsi_bull"]    = np.where(df["rsi_14"] > 50, 1, -1)

    # ── MACD (12, 26, 9) ────────────────────────────────────────────────────
    ema12 = close.ewm(span=12, adjust=False).mean()
    ema26 = close.ewm(span=26, adjust=False).mean()
    macd_line   = ema12 - ema26
    signal_line = macd_line.ewm(span=9, adjust=False).mean()
    macd_hist   = macd_line - signal_line

    df["macd_line"]   = macd_line
    df["macd_signal"] = signal_line
    df["macd_hist"]   = macd_hist

    # MACD derived
    df["macd_cross"]     = np.where(macd_line > signal_line, 1, -1)
    df["macd_hist_sign"] = np.where(macd_hist > 0, 1, -1)
    df["macd_hist_chg"]  = macd_hist.diff(1)          # histogram change
    df["macd_hist_accel"]= df["macd_hist_chg"].diff(1) # second derivative
    df["macd_zero_cross"]= np.where(macd_line > 0, 1, -1)

    # ── ATR 14 ──────────────────────────────────────────────────────────────
    tr = pd.concat([
        high - low,
        (high - close.shift(1)).abs(),
        (low  - close.shift(1)).abs()
    ], axis=1).max(axis=1)
    atr14 = tr.ewm(alpha=1/14, min_periods=14, adjust=False).mean()
    df["atr_14"]   = atr14
    df["natr_14"]  = atr14 / close          # normalised ATR
    df["atr_ratio"]= atr14 / atr14.rolling(50).mean()  # current vs recent vol

    # ── Volatility regime ───────────────────────────────────────────────────
    df["vol_high"] = np.where(df["natr_14"] > df["natr_14"].rolling(100).median(), 1, 0)

    # ── Price momentum ──────────────────────────────────────────────────────
    df["ret_1"]  = close.pct_change(1)
    df["ret_3"]  = close.pct_change(3)
    df["ret_8"]  = close.pct_change(8)
    df["ret_16"] = close.pct_change(16)

    # Scaled by ATR so the model sees normalised moves
    df["ret_1_atr"]  = df["ret_1"]  / (atr14 / close).replace(0, np.nan)
    df["ret_3_atr"]  = df["ret_3"]  / (atr14 / close).replace(0, np.nan)
    df["ret_8_atr"]  = df["ret_8"]  / (atr14 / close).replace(0, np.nan)

    # ── EMAs & trend structure ───────────────────────────────────────────────
    ema8  = close.ewm(span=8,  adjust=False).mean()
    ema21 = close.ewm(span=21, adjust=False).mean()
    ema50 = close.ewm(span=50, adjust=False).mean()
    ema100= close.ewm(span=100,adjust=False).mean()

    df["ema8_21_spread"] = (ema8 - ema21) / close
    df["ema21_50_spread"]= (ema21 - ema50) / close
    df["ema50_100_spread"]= (ema50 - ema100) / close

    df["price_vs_ema21"] = (close - ema21) / close
    df["price_vs_ema50"] = (close - ema50) / close

    df["trend_align"] = np.where(
        (ema8 > ema21) & (ema21 > ema50), 1,
        np.where((ema8 < ema21) & (ema21 < ema50), -1, 0)
    )

    # ── Bollinger Bands (20, 2) ──────────────────────────────────────────────
    bb_mid  = close.rolling(20).mean()
    bb_std  = close.rolling(20).std(ddof=0)
    bb_up   = bb_mid + 2 * bb_std
    bb_lo   = bb_mid - 2 * bb_std
    bb_bw   = (bb_up - bb_lo) / bb_mid          # bandwidth
    bb_pct  = (close - bb_lo) / (bb_up - bb_lo) # %B

    df["bb_pct"]      = bb_pct
    df["bb_bw"]       = bb_bw
    df["bb_bw_ratio"] = bb_bw / bb_bw.rolling(50).mean()  # squeeze detector
    df["bb_upper_touch"] = np.where(close >= bb_up, 1, 0)
    df["bb_lower_touch"] = np.where(close <= bb_lo, 1, 0)

    # ── Stochastic %K %D (14, 3) ────────────────────────────────────────────
    lo14   = low.rolling(14).min()
    hi14   = high.rolling(14).max()
    stoch_k = 100 * (close - lo14) / (hi14 - lo14).replace(0, np.nan)
    stoch_d = stoch_k.rolling(3).mean()

    df["stoch_k"]      = stoch_k
    df["stoch_d"]      = stoch_d
    df["stoch_kd_diff"]= stoch_k - stoch_d
    df["stoch_ob"]     = np.where(stoch_k > 80, 1, 0)
    df["stoch_os"]     = np.where(stoch_k < 20, 1, 0)

    # ── Candle structure ────────────────────────────────────────────────────
    body      = (close - open_).abs()
    candle_rng= (high - low).replace(0, np.nan)
    df["body_ratio"]   = body / candle_rng        # body vs full range
    df["upper_wick"]   = (high - pd.concat([close, open_], axis=1).max(axis=1)) / candle_rng
    df["lower_wick"]   = (pd.concat([close, open_], axis=1).min(axis=1) - low) / candle_rng
    df["candle_dir"]   = np.where(close > open_, 1, -1)
    df["candle_dir_3"] = df["candle_dir"].rolling(3).sum()  # short-term bias

    # ── Volume-less momentum oscillator (Williams %R 14) ───────────────────
    df["williams_r"] = -100 * (hi14 - close) / (hi14 - lo14).replace(0, np.nan)

    # ── RSI x MACD composite signal ─────────────────────────────────────────
    df["rsi_macd_bull"] = np.where(
        (df["rsi_14"] > 50) & (macd_hist > 0), 1,
        np.where((df["rsi_14"] < 50) & (macd_hist < 0), -1, 0)
    )

    # ── Divergence proxy: price vs RSI direction (3-bar) ────────────────────
    price_dir3 = np.sign(close.diff(3))
    rsi_dir3   = np.sign(df["rsi_14"].diff(3))
    df["rsi_div"] = np.where(price_dir3 != rsi_dir3, 1, 0)

    # ── Mean-reversion signal: distance from 50-bar mean normalised by ATR ──
    sma50 = close.rolling(50).mean()
    df["zscore_50"] = (close - sma50) / (close.rolling(50).std(ddof=0).replace(0, np.nan))

    df["mean_rev_long"]  = np.where(df["zscore_50"] < -1.5, 1, 0)
    df["mean_rev_short"] = np.where(df["zscore_50"] >  1.5, 1, 0)

    # ── Interaction features ─────────────────────────────────────────────────
    df["rsi_bb_pct"]        = df["rsi_14"] * df["bb_pct"]
    df["macd_hist_rsi_mid"] = df["macd_hist"] * df["rsi_mid"]
    df["stoch_rsi"]         = df["stoch_k"] * df["rsi_14"] / 1e4  # normalised product

    # ── Lag features (avoid lookahead) ──────────────────────────────────────
    for lag in [1, 2, 4, 8]:
        df[f"rsi_lag{lag}"]       = df["rsi_14"].shift(lag)
        df[f"macd_hist_lag{lag}"] = df["macd_hist"].shift(lag)
        df[f"ret_lag{lag}"]       = df["ret_1"].shift(lag)

    # ── Hour-of-day & day-of-week cyclic encoding ───────────────────────────
    if hasattr(df.index, "hour"):
        hour = df.index.hour
        dow  = df.index.dayofweek
        df["hour_sin"] = np.sin(2 * np.pi * hour / 24)
        df["hour_cos"] = np.cos(2 * np.pi * hour / 24)
        df["dow_sin"]  = np.sin(2 * np.pi * dow  / 5)
        df["dow_cos"]  = np.cos(2 * np.pi * dow  / 5)

    # ── Final fill ───────────────────────────────────────────────────────────
    df = df.bfill().ffill()

    return df


# SECTION 2 — STRATEGY CONFIG
def strategy_config():
    return {
        "title":            "NZD/USD RSI-MACD Gradient Boost Risk-Adjusted",
        "model_type":       "GradientBoostingClassifier",
        "model_params":     {
            "n_estimators":     600,
            "max_depth":        4,
            "learning_rate":    0.03,
            "subsample":        0.75,
            "max_features":     "sqrt",
            "min_samples_leaf": 20,
            "min_samples_split":40,
            "warm_start":       False,
        },
        "signal_threshold": 0.56,
        "direction":        "both",
        "stop_loss":        0.005,
        "take_profit":      0.010,
        "cooldown":         0,
        "max_positions":    1,
        "on_opposite":      "reverse",
        "session_filter":   [21, 21],
        "min_atr":          0.0002,
        "trend_filter":     None,
        "target_horizon":   4,
        "objective": (
            "Maximize risk-adjusted return (Sharpe/Calmar) using a deep "
            "GradientBoostingClassifier with many slow-learning trees and "
            "aggressive regularisation (min_samples_leaf=20, subsample=0.75). "
            "Feature set deliberately differs from prior RSI+BB+Stoch attempts "
            "by adding: ATR-normalised returns, z-score mean-reversion signals, "
            "RSI divergence proxy, Williams %R, candle structure ratios, cyclic "
            "time encoding, and interaction/lag features to give the model richer "
            "multi-timeframe context. SL=0.5%/TP=1% gives 1:2 RR aligned with "
            "maximising Sharpe."
        ),
        "notes": (
            "Prior PF=1.35 / ret=+18.36% used standard RSI+MACD+BB+Stoch without "
            "ATR normalisation or divergence detection. This version adds z-score "
            "mean-reversion context, candle structure, and temporal encoding to "
            "reduce false positives. session_filter=[21,21] is intentionally "
            "narrow — set to None if you want 24h coverage. min_atr=0.0002 "
            "avoids dead-market signals."
        ),
    }

# ╔══════════════════════════════════════════════════════════════╗
# ║                  STRATEGY REQUEST LOG                       ║
# ╚══════════════════════════════════════════════════════════════╝
# Generated        : 2026-05-06 02:51:04
# Model            : XGBoost
# Feature Eng.     : RSI 14, MACD (12,26,9) + Auto-add features: ON
# Signal / Entry   : Enter when model confidence > threshold; exit on opposite signal or SL/TP
# Optimization     : Maximize risk-adjusted return
# Risk Mgmt        : Stop loss 0.5%, Take profit 1.0%
# Risk Filter      : —
# ══════════════════════════════════════════════════════════════

# ============================================================
# SECTION 0 — IMPORTS & CONSTANTS
import numpy as np
import pandas as pd

DATA_PATH = "/root/Desktop/QuantifyMe/data/ohlc/NZDUSD_15min.parquet"
START_DATE = "2025-04-24"
END_DATE   = "2026-04-24"
VALIDATION_DATE = ""
TRAIN_SPLIT = 0.7

# SECTION 1 — FEATURE ENGINEERING
def feature_engineering(df, close, open_, high, low):
    # ── RSI 14 ──────────────────────────────────────────────────────────────
    period = 14
    delta = close.diff()
    gain = delta.clip(lower=0)
    loss = -delta.clip(upper=0)
    avg_gain = gain.ewm(com=period - 1, min_periods=period).mean()
    avg_loss = loss.ewm(com=period - 1, min_periods=period).mean()
    rs = avg_gain / avg_loss.replace(0, np.nan)
    df["rsi_14"] = 100 - (100 / (1 + rs))

    # RSI derived features
    df["rsi_14_norm"] = (df["rsi_14"] - 50) / 50          # centred & scaled
    df["rsi_14_ob"]   = np.where(df["rsi_14"] > 70, 1, 0) # overbought flag
    df["rsi_14_os"]   = np.where(df["rsi_14"] < 30, 1, 0) # oversold flag
    df["rsi_14_mom"]  = df["rsi_14"].diff(3)               # 3-bar momentum

    # ── MACD (12, 26, 9) ────────────────────────────────────────────────────
    ema_12 = close.ewm(span=12, adjust=False).mean()
    ema_26 = close.ewm(span=26, adjust=False).mean()
    macd_line   = ema_12 - ema_26
    signal_line = macd_line.ewm(span=9, adjust=False).mean()
    macd_hist   = macd_line - signal_line

    df["macd_line"]   = macd_line
    df["macd_signal"] = signal_line
    df["macd_hist"]   = macd_hist

    # MACD derived features
    df["macd_hist_mom"]   = macd_hist.diff(2)              # histogram momentum
    df["macd_cross_bull"] = np.where(
        (macd_line > signal_line) & (macd_line.shift(1) <= signal_line.shift(1)), 1, 0
    )
    df["macd_cross_bear"] = np.where(
        (macd_line < signal_line) & (macd_line.shift(1) >= signal_line.shift(1)), 1, 0
    )
    df["macd_zero_cross"] = np.where(
        (macd_line > 0) & (macd_line.shift(1) <= 0), 1,
        np.where((macd_line < 0) & (macd_line.shift(1) >= 0), -1, 0)
    )

    # ── Additional price-action features ────────────────────────────────────
    # ATR (14) for volatility context
    tr = pd.concat([
        high - low,
        (high - close.shift(1)).abs(),
        (low  - close.shift(1)).abs()
    ], axis=1).max(axis=1)
    atr_14 = tr.ewm(span=14, adjust=False).mean()
    df["atr_14"]  = atr_14
    df["natr_14"] = atr_14 / close                         # normalised ATR

    # Bollinger Bands (20, 2) — mean-reversion context
    sma_20  = close.rolling(20).mean()
    std_20  = close.rolling(20).std()
    bb_up   = sma_20 + 2 * std_20
    bb_lo   = sma_20 - 2 * std_20
    df["bb_pct"]   = (close - bb_lo) / (bb_up - bb_lo + 1e-12)  # 0-1 position
    df["bb_width"] = (bb_up - bb_lo) / sma_20                   # band width

    # SMA filters
    df["sma_20"]  = sma_20
    df["sma_50"]  = close.rolling(50).mean()
    df["price_vs_sma20"] = (close - sma_20) / (sma_20 + 1e-12)
    df["price_vs_sma50"] = (close - df["sma_50"]) / (df["sma_50"] + 1e-12)

    # Rate of change
    df["roc_5"]  = close.pct_change(5)
    df["roc_10"] = close.pct_change(10)
    df["roc_20"] = close.pct_change(20)

    # Candlestick body / shadow ratios
    body        = (close - open_).abs()
    candle_rng  = (high - low).replace(0, np.nan)
    df["body_ratio"]   = body / candle_rng
    df["upper_shadow"]  = (high - pd.concat([close, open_], axis=1).max(axis=1)) / candle_rng
    df["lower_shadow"]  = (pd.concat([close, open_], axis=1).min(axis=1) - low) / candle_rng
    df["bar_direction"] = np.where(close >= open_, 1, -1)

    # Volume-proxy: realised range / ATR ratio
    df["range_vs_atr"] = candle_rng / (atr_14 + 1e-12)

    # Stochastic %K (14)
    lowest_14  = low.rolling(14).min()
    highest_14 = high.rolling(14).max()
    stoch_k    = 100 * (close - lowest_14) / (highest_14 - lowest_14 + 1e-12)
    df["stoch_k"]   = stoch_k
    df["stoch_d"]   = stoch_k.rolling(3).mean()
    df["stoch_diff"] = df["stoch_k"] - df["stoch_d"]

    # RSI × MACD interaction
    df["rsi_macd_interact"] = df["rsi_14_norm"] * macd_hist

    # Lagged features (1 and 2 bars back) for key signals
    for col in ["rsi_14_norm", "macd_hist", "bb_pct", "roc_5"]:
        df[f"{col}_lag1"] = df[col].shift(1)
        df[f"{col}_lag2"] = df[col].shift(2)

    # ── Fill NaN from warm-up ────────────────────────────────────────────────
    df = df.bfill().ffill()
    return df


# SECTION 2 — STRATEGY CONFIG
def strategy_config():
    return {
        "title":            "NZD/USD MACD+RSI Momentum (XGBoost, Risk-Adj)",
        "model_type":       "XGBClassifier",
        "model_params": {
            "n_estimators":       400,
            "max_depth":          4,
            "learning_rate":      0.04,
            "subsample":          0.75,
            "colsample_bytree":   0.70,
            "min_child_weight":   3,
            "gamma":              0.15,
            "reg_alpha":          0.10,
            "reg_lambda":         1.50,
            "objective":          "binary:logistic",
            "tree_method":        "hist",
            "random_state":       42,
        },
        "signal_threshold": 0.55,
        "direction":        "both",
        "stop_loss":        0.005,
        "take_profit":      0.010,
        "cooldown":         0,
        "max_positions":    1,
        "on_opposite":      "reverse",
        "session_filter":   [0, 23],
        "min_atr":          None,
        "trend_filter":     None,
        "target_horizon":   4,
        "objective": (
            "Maximise risk-adjusted return (Sharpe/Calmar) on NZD/USD 15-min data. "
            "XGBoost chosen for its strong performance on tabular financial data. "
            "Moderate depth (4) and high regularisation (gamma, alpha, lambda) prevent "
            "overfitting on a relatively small forex dataset. Subsample + colsample_bytree "
            "add stochastic diversity. SL 0.5% / TP 1.0% gives a 1:2 R:R ratio to support "
            "positive expectancy even with a sub-60% win rate. Threshold 0.55 filters marginal "
            "signals while keeping trade frequency acceptable. Target horizon of 4 bars (1 hour) "
            "aligns with typical MACD/RSI signal resolution on 15-min charts."
        ),
        "notes": (
            "Features: RSI-14 (raw, normalised, OB/OS flags, momentum), MACD(12,26,9) "
            "(line, signal, histogram, crosses, zero-cross), Bollinger Bands %B & width, "
            "ATR/NATR, SMA20/50 price deviations, Stochastic %K/%D, ROC(5/10/20), "
            "candlestick body/shadow ratios, RSI×MACD interaction term, and lagged "
            "versions (lag1, lag2) of key signals to capture short-term persistence."
        ),
    }

# ╔══════════════════════════════════════════════════════════════╗
# ║                  STRATEGY REQUEST LOG                       ║
# ╚══════════════════════════════════════════════════════════════╝
# Generated        : 2026-05-06 01:40:19
# Model            : XGBoost
# Feature Eng.     : EMA (9,21), RSI 14 + Auto-add features: ON
# Signal / Entry   : Enter when model confidence > threshold; exit on opposite signal or SL/TP
# Optimization     : Maximize risk-adjusted return
# Risk Mgmt        : Stop loss 0.5%, Take profit 1.0%
# Risk Filter      : —
# ══════════════════════════════════════════════════════════════

# ============================================================
# SECTION 0 — IMPORTS & CONSTANTS
import numpy as np
import pandas as pd

DATA_PATH = "/root/Desktop/QuantifyMe/data/ohlc/AUDUSD_15min.parquet"
START_DATE = "2025-04-24"
END_DATE   = "2026-04-24"
VALIDATION_DATE = ""
TRAIN_SPLIT = 0.7

# SECTION 1 — FEATURE ENGINEERING
def feature_engineering(df, close, open_, high, low):
    # ── EMA 9 and EMA 21 ──────────────────────────────────────────────────
    ema_9  = close.ewm(span=9,  adjust=False).mean()
    ema_21 = close.ewm(span=21, adjust=False).mean()

    df["ema_9"]    = ema_9
    df["ema_21"]   = ema_21
    df["dm_ema_9"]  = (close - ema_9)  / ema_9
    df["dm_ema_21"] = (close - ema_21) / ema_21

    # EMA crossover signal: positive when fast > slow
    df["ema_cross"]       = ema_9 - ema_21
    df["ema_cross_prev"]  = df["ema_cross"].shift(1)
    # Binary: did a cross just occur?
    df["ema_cross_up"]    = np.where((df["ema_cross"] > 0) & (df["ema_cross_prev"] <= 0), 1, 0)
    df["ema_cross_down"]  = np.where((df["ema_cross"] < 0) & (df["ema_cross_prev"] >= 0), 1, 0)
    # Trend direction encoded as -1 / 1
    df["ema_trend"]       = np.where(ema_9 > ema_21, 1, -1)

    # ── RSI 14 ────────────────────────────────────────────────────────────
    delta  = close.diff()
    gain   = delta.clip(lower=0)
    loss   = (-delta).clip(lower=0)
    avg_gain = gain.ewm(com=13, adjust=False).mean()
    avg_loss = loss.ewm(com=13, adjust=False).mean()
    rs     = avg_gain / avg_loss.replace(0, np.nan)
    rsi_14 = 100 - (100 / (1 + rs))
    df["rsi_14"] = rsi_14

    # RSI regime flags
    df["rsi_oversold"]   = np.where(rsi_14 < 30, 1, 0)
    df["rsi_overbought"] = np.where(rsi_14 > 70, 1, 0)
    df["rsi_mid"]        = rsi_14 - 50          # centred

    # RSI momentum (1-bar change in RSI)
    df["rsi_delta"]      = rsi_14.diff(1)
    df["rsi_delta2"]     = rsi_14.diff(3)

    # ── Additional momentum / volatility features ─────────────────────────
    # ATR-like normalised true range
    prev_close = close.shift(1)
    tr = pd.concat([
        high - low,
        (high - prev_close).abs(),
        (low  - prev_close).abs()
    ], axis=1).max(axis=1)
    atr_14 = tr.ewm(span=14, adjust=False).mean()
    df["atr_14"]  = atr_14
    df["natr_14"] = atr_14 / close          # normalised ATR

    # Rate-of-change over various horizons
    for n in [4, 8, 16]:
        df[f"roc_{n}"] = close.pct_change(n)

    # Bollinger Band width and %B (using 20-period SMA)
    sma_20   = close.rolling(20).mean()
    std_20   = close.rolling(20).std()
    bb_upper = sma_20 + 2 * std_20
    bb_lower = sma_20 - 2 * std_20
    df["bb_width"] = (bb_upper - bb_lower) / sma_20
    df["bb_pct"]   = (close - bb_lower) / (bb_upper - bb_lower).replace(0, np.nan)

    # Candle body and wick features
    df["body"]        = (close - open_) / close
    df["upper_wick"]  = (high - pd.concat([close, open_], axis=1).max(axis=1)) / close
    df["lower_wick"]  = (pd.concat([close, open_], axis=1).min(axis=1) - low)  / close

    # Volume-normalised momentum proxy: price range relative to ATR
    df["range_vs_atr"] = (high - low) / atr_14.replace(0, np.nan)

    # Lagged EMA cross signal
    df["ema_cross_lag1"] = df["ema_cross"].shift(1)
    df["ema_cross_lag2"] = df["ema_cross"].shift(2)

    # Combined signal: RSI and EMA cross alignment
    df["rsi_ema_bull"] = np.where((rsi_14 > 50) & (ema_9 > ema_21), 1, 0)
    df["rsi_ema_bear"] = np.where((rsi_14 < 50) & (ema_9 < ema_21), 1, 0)

    # Hour-of-day (cyclical encoding) — no lookahead
    hour = df.index.hour
    df["hour_sin"] = np.sin(2 * np.pi * hour / 24)
    df["hour_cos"] = np.cos(2 * np.pi * hour / 24)

    # Day-of-week (cyclical encoding)
    dow = df.index.dayofweek
    df["dow_sin"] = np.sin(2 * np.pi * dow / 5)
    df["dow_cos"] = np.cos(2 * np.pi * dow / 5)

    # Fill NaN from warm-up periods
    df = df.bfill().ffill()

    return df

# SECTION 2 — STRATEGY CONFIG
def strategy_config():
    return {
        "title":            "AUD/USD EMA Cross (9/21) + RSI14 XGBoost Scalper",
        "model_type":       "XGBClassifier",
        "model_params":     {
            "n_estimators":     400,
            "max_depth":        4,
            "learning_rate":    0.04,
            "subsample":        0.8,
            "colsample_bytree": 0.75,
            "min_child_weight": 3,
            "gamma":            0.1,
            "reg_alpha":        0.05,
            "reg_lambda":       1.5,
            "objective":        "binary:logistic",
            "tree_method":      "hist",
            "random_state":     42,
        },
        "signal_threshold": 0.54,
        "direction":        "both",
        "stop_loss":        0.005,
        "take_profit":      0.010,
        "cooldown":         0,
        "max_positions":    1,
        "on_opposite":      "reverse",
        "session_filter":   [0, 23],
        "min_atr":          None,
        "trend_filter":     None,
        "target_horizon":   4,
        "objective":        (
            "Maximise risk-adjusted return on AUD/USD 15-min bars. "
            "XGBoost chosen for its ability to capture non-linear interactions between "
            "the EMA-cross regime, RSI momentum, volatility (NATR/BB width), and time-of-day. "
            "Shallow trees (max_depth=4) with strong regularisation (reg_lambda=1.5, gamma=0.1) "
            "reduce overfitting on the limited 1-year window. "
            "2:1 R:R (SL=0.5%, TP=1.0%) improves Sharpe; reverse on opposite signal captures "
            "trend momentum without missing transitions."
        ),
        "notes":            (
            "Features: EMA-9/21 cross and distances, RSI-14 with regime flags and delta, "
            "ATR-14, NATR, Bollinger Band width/%B, 4/8/16-bar ROC, candle anatomy, "
            "time cyclical encodings. Threshold 0.54 filters marginal signals to raise precision. "
            "No session filter applied — AUD/USD has meaningful moves across Asian and London sessions."
        ),
    }

# ╔══════════════════════════════════════════════════════════════╗
# ║                  STRATEGY REQUEST LOG                       ║
# ╚══════════════════════════════════════════════════════════════╝
# Generated        : 2026-05-06 02:37:57
# Model            : Gradient Boosting
# Feature Eng.     : EMA (9,21), RSI 14 + Auto-add features: ON
# Signal / Entry   : Enter when model confidence > threshold; exit on opposite signal or SL/TP
# Optimization     : Maximize risk-adjusted return
# Risk Mgmt        : Stop loss 0.5%, Take profit 1.0%
# Risk Filter      : —
# ══════════════════════════════════════════════════════════════

# ============================================================
# SECTION 0 — IMPORTS & CONSTANTS
import numpy as np
import pandas as pd

DATA_PATH = "/root/Desktop/QuantifyMe/data/ohlc/EURUSD_15min.parquet"
START_DATE = "2025-04-24"
END_DATE   = "2026-04-24"
VALIDATION_DATE = ""
TRAIN_SPLIT = 0.7

# SECTION 1 — FEATURE ENGINEERING
def feature_engineering(df, close, open_, high, low):
    # --- EMA 9 and EMA 21 (required) ---
    ema_9 = close.ewm(span=9, adjust=False).mean()
    ema_21 = close.ewm(span=21, adjust=False).mean()
    df["ema_9"] = ema_9
    df["ema_21"] = ema_21
    df["dm_ema_9"] = (close - ema_9) / ema_9
    df["dm_ema_21"] = (close - ema_21) / ema_21

    # EMA crossover signal: positive when fast > slow
    df["ema_cross"] = ema_9 - ema_21
    # Crossover direction change (sign flip)
    df["ema_cross_signal"] = np.sign(df["ema_cross"])
    df["ema_cross_prev"] = df["ema_cross_signal"].shift(1)
    df["ema_cross_flip"] = (df["ema_cross_signal"] != df["ema_cross_prev"]).astype(float)

    # --- RSI 14 (required) ---
    delta = close.diff()
    gain = delta.clip(lower=0)
    loss = -delta.clip(upper=0)
    avg_gain = gain.ewm(com=13, adjust=False).mean()
    avg_loss = loss.ewm(com=13, adjust=False).mean()
    rs = avg_gain / (avg_loss + 1e-10)
    rsi_14 = 100 - (100 / (1 + rs))
    df["rsi_14"] = rsi_14
    # RSI normalised to [-1, 1] range
    df["rsi_norm"] = (rsi_14 - 50) / 50
    # RSI overbought/oversold flags
    df["rsi_ob"] = np.where(rsi_14 > 70, 1.0, 0.0)
    df["rsi_os"] = np.where(rsi_14 < 30, 1.0, 0.0)

    # --- Additional momentum and volatility features ---

    # EMA 50 for trend context
    ema_50 = close.ewm(span=50, adjust=False).mean()
    df["ema_50"] = ema_50
    df["dm_ema_50"] = (close - ema_50) / ema_50

    # Price momentum: rate of change over multiple horizons
    df["roc_4"] = close.pct_change(4)
    df["roc_8"] = close.pct_change(8)
    df["roc_16"] = close.pct_change(16)

    # ATR (Average True Range) for volatility
    tr = pd.concat([
        high - low,
        (high - close.shift(1)).abs(),
        (low - close.shift(1)).abs()
    ], axis=1).max(axis=1)
    atr_14 = tr.ewm(span=14, adjust=False).mean()
    df["atr_14"] = atr_14
    # Normalised ATR
    df["natr_14"] = atr_14 / close

    # Bollinger Bands (20-period, 2 std)
    bb_mid = close.rolling(20).mean()
    bb_std = close.rolling(20).std()
    bb_upper = bb_mid + 2 * bb_std
    bb_lower = bb_mid - 2 * bb_std
    df["bb_pct"] = (close - bb_lower) / (bb_upper - bb_lower + 1e-10)
    df["bb_width"] = (bb_upper - bb_lower) / (bb_mid + 1e-10)
    # BB squeeze: narrow bands signal potential breakout
    df["bb_squeeze"] = np.where(df["bb_width"] < df["bb_width"].rolling(50).mean(), 1.0, 0.0)

    # MACD-like: difference between two EMAs
    ema_12 = close.ewm(span=12, adjust=False).mean()
    ema_26 = close.ewm(span=26, adjust=False).mean()
    macd_line = ema_12 - ema_26
    macd_signal = macd_line.ewm(span=9, adjust=False).mean()
    df["macd_line"] = macd_line / (close + 1e-10)
    df["macd_signal"] = macd_signal / (close + 1e-10)
    df["macd_hist"] = (macd_line - macd_signal) / (close + 1e-10)
    df["macd_cross"] = np.sign(macd_line - macd_signal)

    # Stochastic oscillator (14-period)
    lowest_low = low.rolling(14).min()
    highest_high = high.rolling(14).max()
    stoch_k = 100 * (close - lowest_low) / (highest_high - lowest_low + 1e-10)
    stoch_d = stoch_k.rolling(3).mean()
    df["stoch_k"] = stoch_k
    df["stoch_d"] = stoch_d
    df["stoch_diff"] = stoch_k - stoch_d

    # Volume of price movement (candle body and shadows)
    df["body"] = (close - open_).abs() / (atr_14 + 1e-10)
    df["upper_shadow"] = (high - pd.concat([close, open_], axis=1).max(axis=1)) / (atr_14 + 1e-10)
    df["lower_shadow"] = (pd.concat([close, open_], axis=1).min(axis=1) - low) / (atr_14 + 1e-10)
    df["candle_dir"] = np.sign(close - open_)

    # Rolling volatility (realised vol over 20 bars)
    log_ret = np.log(close / close.shift(1))
    df["realvol_20"] = log_ret.rolling(20).std()

    # Close relative to recent high/low channel (20-bar)
    roll_high_20 = high.rolling(20).max()
    roll_low_20 = low.rolling(20).min()
    df["chan_pct_20"] = (close - roll_low_20) / (roll_high_20 - roll_low_20 + 1e-10)

    # Lagged RSI and EMA cross for temporal context
    df["rsi_14_lag1"] = rsi_14.shift(1)
    df["rsi_14_lag2"] = rsi_14.shift(2)
    df["ema_cross_lag1"] = df["ema_cross"].shift(1)
    df["ema_cross_lag2"] = df["ema_cross"].shift(2)
    df["macd_hist_lag1"] = df["macd_hist"].shift(1)

    # RSI momentum: change in RSI
    df["rsi_delta_1"] = rsi_14.diff(1)
    df["rsi_delta_4"] = rsi_14.diff(4)

    # EMA9 slope (normalised)
    df["ema9_slope"] = ema_9.diff(3) / (ema_9.shift(3) + 1e-10)
    df["ema21_slope"] = ema_21.diff(3) / (ema_21.shift(3) + 1e-10)

    # Interaction: RSI * EMA cross direction
    df["rsi_ema_cross_interact"] = df["rsi_norm"] * df["ema_cross_signal"]

    # Fill NaN from indicator warm-up
    df = df.bfill().ffill()

    return df

# SECTION 2 — STRATEGY CONFIG
def strategy_config():
    return {
        "title": "EMA Cross 9/21 + RSI14 Gradient Boost Scalper",
        "model_type": "GradientBoostingClassifier",
        "model_params": {
            "n_estimators": 400,
            "max_depth": 4,
            "learning_rate": 0.04,
            "subsample": 0.8,
            "min_samples_leaf": 20,
            "min_samples_split": 40,
            "max_features": "sqrt",
            "n_iter_no_change": 30,
            "validation_fraction": 0.1,
            "tol": 1e-4,
        },
        "signal_threshold": 0.56,
        "direction": "both",
        "stop_loss": 0.005,
        "take_profit": 0.010,
        "cooldown": 0,
        "max_positions": 1,
        "on_opposite": "reverse",
        "session_filter": [7, 17],
        "min_atr": 0.0002,
        "trend_filter": "sma_50",
        "target_horizon": 4,
        "objective": (
            "Maximize risk-adjusted return (Sharpe/Calmar) using a GradientBoostingClassifier "
            "with EMA 9/21 crossover as the primary signal source and RSI 14 as confirmation. "
            "Deep feature set includes MACD, Bollinger Bands, Stochastic, ATR normalisation, "
            "candle structure, lagged features and RSI/EMA interaction terms. "
            "Gradient boosting chosen for its ability to capture non-linear interactions between "
            "trend, momentum and volatility features without overfitting when regularised via "
            "subsample, max_features, and early stopping. Threshold 0.56 filters marginal signals. "
            "Session filter [7,17] focuses on London/NY overlap for highest EUR/USD liquidity. "
            "SL 0.5% / TP 1.0% gives 1:2 risk-reward aligned with scalper momentum targets. "
            "Reverse on opposite signal to stay in sync with fast EMA crossover momentum."
        ),
        "notes": (
            "EMA 9/21 cross captures short-term momentum shifts typical of active EUR/USD sessions. "
            "RSI 14 filters entries in extreme overbought/oversold conditions. "
            "NATR min_atr filter removes flat/low-vol periods. "
            "Trend filter (SMA 50) ensures longs only above and shorts only below the medium-term trend. "
            "n_iter_no_change=30 provides early stopping to prevent overfitting on the training split. "
            "400 estimators with depth 4 and lr 0.04 balance bias-variance tradeoff for intraday data."
        ),
    }

# ╔══════════════════════════════════════════════════════════════╗
# ║                  STRATEGY REQUEST LOG                       ║
# ╚══════════════════════════════════════════════════════════════╝
# Generated        : 2026-05-06 01:52:32
# Model            : XGBoost
# Feature Eng.     : BB (20,2.0), RSI 14, Stochastic (14,3) + Auto-add features: ON
# Signal / Entry   : Enter when model confidence > threshold; exit on opposite signal or SL/TP
# Optimization     : Maximize risk-adjusted return
# Risk Mgmt        : Stop loss 0.5%, Take profit 1.0%
# Risk Filter      : —
# ══════════════════════════════════════════════════════════════

# ============================================================
# SECTION 0 — IMPORTS & CONSTANTS
import numpy as np
import pandas as pd

DATA_PATH = "/root/Desktop/QuantifyMe/data/ohlc/USDCHF_15min.parquet"
START_DATE = "2025-04-24"
END_DATE   = "2026-04-24"
VALIDATION_DATE = ""
TRAIN_SPLIT = 0.7

# SECTION 1 — FEATURE ENGINEERING
def feature_engineering(df, close, open_, high, low):
    # ── RSI 14 ──────────────────────────────────────────────────────────────
    period_rsi = 14
    delta = close.diff()
    gain = delta.clip(lower=0)
    loss = -delta.clip(upper=0)
    avg_gain = gain.ewm(com=period_rsi - 1, min_periods=period_rsi).mean()
    avg_loss = loss.ewm(com=period_rsi - 1, min_periods=period_rsi).mean()
    rs = avg_gain / avg_loss.replace(0, np.nan)
    df["rsi_14"] = 100 - (100 / (1 + rs))

    # ── Bollinger Bands (20, 2) ──────────────────────────────────────────────
    bb_period = 20
    bb_std = 2.0
    bb_mid = close.rolling(bb_period).mean()
    bb_std_val = close.rolling(bb_period).std(ddof=0)
    bb_upper = bb_mid + bb_std * bb_std_val
    bb_lower = bb_mid - bb_std * bb_std_val
    df["bb_mid"] = bb_mid
    df["bb_upper"] = bb_upper
    df["bb_lower"] = bb_lower
    df["bb_width"] = (bb_upper - bb_lower) / bb_mid
    bb_range = (bb_upper - bb_lower).replace(0, np.nan)
    df["bb_pct"] = (close - bb_lower) / bb_range

    # ── Stochastic Oscillator (K=14, D=3) ───────────────────────────────────
    stoch_k_period = 14
    stoch_d_period = 3
    lowest_low = low.rolling(stoch_k_period).min()
    highest_high = high.rolling(stoch_k_period).max()
    stoch_range = (highest_high - lowest_low).replace(0, np.nan)
    df["stoch_k"] = 100 * (close - lowest_low) / stoch_range
    df["stoch_d"] = df["stoch_k"].rolling(stoch_d_period).mean()
    df["stoch_kd_diff"] = df["stoch_k"] - df["stoch_d"]

    # ── Additional derived features ──────────────────────────────────────────

    # RSI momentum & zone flags
    df["rsi_lag1"] = df["rsi_14"].shift(1)
    df["rsi_momentum"] = df["rsi_14"] - df["rsi_lag1"]
    df["rsi_oversold"] = np.where(df["rsi_14"] < 30, 1, 0)
    df["rsi_overbought"] = np.where(df["rsi_14"] > 70, 1, 0)

    # BB squeeze: width below rolling 20-bar median of bb_width
    bb_width_median = df["bb_width"].rolling(20).median()
    df["bb_squeeze"] = np.where(df["bb_width"] < bb_width_median, 1, 0)

    # BB position zone
    df["bb_below_lower"] = np.where(close < bb_lower, 1, 0)
    df["bb_above_upper"] = np.where(close > bb_upper, 1, 0)

    # Stochastic zone flags
    df["stoch_oversold"] = np.where(df["stoch_k"] < 20, 1, 0)
    df["stoch_overbought"] = np.where(df["stoch_k"] > 80, 1, 0)

    # Price momentum (rate of change)
    df["roc_4"] = close.pct_change(4)
    df["roc_8"] = close.pct_change(8)
    df["roc_16"] = close.pct_change(16)

    # ATR (14-bar) for volatility context
    atr_period = 14
    tr = pd.concat([
        high - low,
        (high - close.shift(1)).abs(),
        (low - close.shift(1)).abs()
    ], axis=1).max(axis=1)
    df["atr_14"] = tr.ewm(com=atr_period - 1, min_periods=atr_period).mean()
    df["natr_14"] = df["atr_14"] / close

    # EMA crossover signals
    ema_fast = close.ewm(span=8, min_periods=8).mean()
    ema_slow = close.ewm(span=21, min_periods=21).mean()
    df["ema_fast"] = ema_fast
    df["ema_slow"] = ema_slow
    df["ema_cross"] = ema_fast - ema_slow
    df["ema_cross_sign"] = np.where(df["ema_cross"] > 0, 1, -1)

    # SMA 50 trend context
    df["sma_50"] = close.rolling(50).mean()
    df["close_vs_sma50"] = (close - df["sma_50"]) / df["sma_50"]

    # Candle body and direction
    df["candle_body"] = (close - open_).abs()
    df["candle_range"] = (high - low).replace(0, np.nan)
    df["body_ratio"] = df["candle_body"] / df["candle_range"]
    df["candle_dir"] = np.where(close >= open_, 1, -1)

    # Volume-proxy: range relative to rolling average range
    df["rel_range"] = (high - low) / (high - low).rolling(20).mean()

    # Lag features for RSI, stoch_k, bb_pct
    for lag in [1, 2, 3]:
        df[f"rsi_14_lag{lag}"] = df["rsi_14"].shift(lag)
        df[f"stoch_k_lag{lag}"] = df["stoch_k"].shift(lag)
        df[f"bb_pct_lag{lag}"] = df["bb_pct"].shift(lag)
        df[f"ema_cross_lag{lag}"] = df["ema_cross"].shift(lag)

    # Divergence proxy: price making new high but RSI not
    price_high_4 = close.rolling(4).max()
    rsi_high_4 = df["rsi_14"].rolling(4).max()
    df["bearish_div_proxy"] = np.where(
        (close >= price_high_4.shift(1)) & (df["rsi_14"] < rsi_high_4.shift(1)), 1, 0
    )
    price_low_4 = close.rolling(4).min()
    rsi_low_4 = df["rsi_14"].rolling(4).min()
    df["bullish_div_proxy"] = np.where(
        (close <= price_low_4.shift(1)) & (df["rsi_14"] > rsi_low_4.shift(1)), 1, 0
    )

    # Combined confluence signals
    df["long_confluence"] = np.where(
        (df["rsi_14"] < 45) & (df["stoch_k"] < 50) & (df["bb_pct"] < 0.5), 1, 0
    )
    df["short_confluence"] = np.where(
        (df["rsi_14"] > 55) & (df["stoch_k"] > 50) & (df["bb_pct"] > 0.5), 1, 0
    )

    # Fill NaN from warm-up
    df = df.bfill().ffill()
    return df


# SECTION 2 — STRATEGY CONFIG
def strategy_config():
    return {
        "title": "USD/CHF Stoch+BB+RSI Mean-Reversion (XGBoost)",
        "model_type": "XGBClassifier",
        "model_params": {
            "n_estimators": 400,
            "max_depth": 4,
            "learning_rate": 0.04,
            "subsample": 0.8,
            "colsample_bytree": 0.75,
            "min_child_weight": 5,
            "gamma": 0.1,
            "reg_alpha": 0.05,
            "reg_lambda": 1.5,
            "objective": "binary:logistic",
            "tree_method": "hist",
            "random_state": 42,
            "n_jobs": -1,
        },
        "signal_threshold": 0.55,
        "direction": "both",
        "stop_loss": 0.005,
        "take_profit": 0.01,
        "cooldown": 0,
        "max_positions": 1,
        "on_opposite": "reverse",
        "session_filter": [7, 17],
        "min_atr": None,
        "trend_filter": None,
        "target_horizon": 4,
        "objective": (
            "Maximize risk-adjusted return (Sharpe/Calmar) on USD/CHF 15-min data. "
            "Uses Stochastic (14,3), Bollinger Bands (20,2), and RSI-14 as core features "
            "with confluence signals, divergence proxies, and EMA crossover context. "
            "XGBoost chosen for its strong performance on tabular data with regularization "
            "parameters (gamma, alpha, lambda) tuned to reduce overfitting on short date "
            "ranges. SL=0.5%/TP=1.0% gives 1:2 R:R ratio. Session filter [7,17] UTC targets "
            "London/NY overlap for higher-quality moves. Signal threshold 0.55 filters noise "
            "while preserving trade frequency."
        ),
        "notes": (
            "Feature set combines mean-reversion indicators (RSI, Stochastic, BB percentile) "
            "with trend context (EMA cross, SMA50 distance) and volatility measures (ATR, "
            "BB width/squeeze). Lag features (1-3 bars) capture recent indicator momentum. "
            "Bullish/bearish divergence proxies add signal quality. Shallow trees (max_depth=4) "
            "with high n_estimators and slow learning rate reduce variance. Colsample and "
            "subsample add stochastic regularization."
        ),
    }

# ╔══════════════════════════════════════════════════════════════╗
# ║                  STRATEGY REQUEST LOG                       ║
# ╚══════════════════════════════════════════════════════════════╝
# Generated        : 2026-05-06 01:51:31
# Model            : XGBoost
# Feature Eng.     : BB (20,2.0), RSI 14, Stochastic (14,3) + Auto-add features: ON
# Signal / Entry   : Enter when model confidence > threshold; exit on opposite signal or SL/TP
# Optimization     : Maximize risk-adjusted return
# Risk Mgmt        : Stop loss 0.5%, Take profit 1.0%
# Risk Filter      : —
# ══════════════════════════════════════════════════════════════

# ============================================================
# SECTION 0 — IMPORTS & CONSTANTS
import numpy as np
import pandas as pd

DATA_PATH = "/root/Desktop/QuantifyMe/data/ohlc/AUDUSD_15min.parquet"
START_DATE = "2025-04-24"
END_DATE   = "2026-04-24"
VALIDATION_DATE = ""
TRAIN_SPLIT = 0.7

# SECTION 1 — FEATURE ENGINEERING
def feature_engineering(df, close, open_, high, low):

    # ── Bollinger Bands (20, 2) ──────────────────────────────────────────────
    bb_period = 20
    bb_std    = 2.0
    bb_mid    = close.rolling(bb_period).mean()
    bb_std_val = close.rolling(bb_period).std(ddof=0)
    bb_upper  = bb_mid + bb_std * bb_std_val
    bb_lower  = bb_mid - bb_std * bb_std_val

    df["bb_mid"]   = bb_mid
    df["bb_upper"] = bb_upper
    df["bb_lower"] = bb_lower
    df["bb_width"] = (bb_upper - bb_lower) / bb_mid
    df["bb_pct"]   = (close - bb_lower) / (bb_upper - bb_lower)

    # ── RSI (14) ─────────────────────────────────────────────────────────────
    rsi_period = 14
    delta      = close.diff()
    gain       = delta.clip(lower=0)
    loss       = -delta.clip(upper=0)
    avg_gain   = gain.ewm(com=rsi_period - 1, min_periods=rsi_period).mean()
    avg_loss   = loss.ewm(com=rsi_period - 1, min_periods=rsi_period).mean()
    rs         = avg_gain / avg_loss.replace(0, np.nan)
    df["rsi"]  = 100 - (100 / (1 + rs))

    # ── Stochastic Oscillator (K=14, D=3) ────────────────────────────────────
    stoch_k_period = 14
    stoch_d_period = 3
    lowest_low     = low.rolling(stoch_k_period).min()
    highest_high   = high.rolling(stoch_k_period).max()
    denom          = (highest_high - lowest_low).replace(0, np.nan)
    df["stoch_k"]  = 100 * (close - lowest_low) / denom
    df["stoch_d"]  = df["stoch_k"].rolling(stoch_d_period).mean()
    df["stoch_kd_diff"] = df["stoch_k"] - df["stoch_d"]

    # ── Additional derived features ──────────────────────────────────────────

    # RSI overbought / oversold zone flags
    df["rsi_ob"]   = np.where(df["rsi"] > 70, 1, 0)
    df["rsi_os"]   = np.where(df["rsi"] < 30, 1, 0)
    df["rsi_mid"]  = df["rsi"] - 50.0

    # Stochastic overbought / oversold zone flags
    df["stoch_ob"] = np.where(df["stoch_k"] > 80, 1, 0)
    df["stoch_os"] = np.where(df["stoch_k"] < 20, 1, 0)

    # BB position regime: price relative to bands
    df["price_above_bb_upper"] = np.where(close > bb_upper, 1, 0)
    df["price_below_bb_lower"] = np.where(close < bb_lower, 1, 0)
    df["price_vs_bb_mid"]      = close - bb_mid

    # ATR-based volatility (14-bar)
    atr_period = 14
    tr = pd.concat([
        high - low,
        (high - close.shift(1)).abs(),
        (low  - close.shift(1)).abs()
    ], axis=1).max(axis=1)
    df["atr14"]  = tr.ewm(com=atr_period - 1, min_periods=atr_period).mean()
    df["natr14"] = df["atr14"] / close

    # SMA trend context
    df["sma_20"]  = close.rolling(20).mean()
    df["sma_50"]  = close.rolling(50).mean()
    df["sma_200"] = close.rolling(200).mean()
    df["price_vs_sma20"]  = (close - df["sma_20"]) / df["sma_20"]
    df["price_vs_sma50"]  = (close - df["sma_50"]) / df["sma_50"]
    df["sma20_vs_sma50"]  = (df["sma_20"] - df["sma_50"]) / df["sma_50"]

    # Momentum: rate of change
    df["roc_5"]  = close.pct_change(5)
    df["roc_10"] = close.pct_change(10)
    df["roc_20"] = close.pct_change(20)

    # MACD-style (EMA 12 - EMA 26)
    ema12        = close.ewm(span=12, min_periods=12).mean()
    ema26        = close.ewm(span=26, min_periods=26).mean()
    macd_line    = ema12 - ema26
    macd_signal  = macd_line.ewm(span=9, min_periods=9).mean()
    df["macd"]        = macd_line
    df["macd_signal"] = macd_signal
    df["macd_hist"]   = macd_line - macd_signal

    # Candle body / wick ratios
    body          = (close - open_).abs()
    candle_range  = (high - low).replace(0, np.nan)
    df["body_ratio"]  = body / candle_range
    df["upper_wick"]  = (high - pd.concat([close, open_], axis=1).max(axis=1)) / candle_range
    df["lower_wick"]  = (pd.concat([close, open_], axis=1).min(axis=1) - low) / candle_range
    df["bullish_bar"]  = np.where(close > open_, 1, 0)

    # Lagged RSI / Stoch features (1 and 2 bars back)
    df["rsi_lag1"]     = df["rsi"].shift(1)
    df["rsi_lag2"]     = df["rsi"].shift(2)
    df["stoch_k_lag1"] = df["stoch_k"].shift(1)
    df["bb_pct_lag1"]  = df["bb_pct"].shift(1)

    # RSI slope
    df["rsi_slope"] = df["rsi"] - df["rsi"].shift(3)

    # Stoch K crossing D (momentum signal)
    df["stoch_cross_up"]   = np.where((df["stoch_k"] > df["stoch_d"]) &
                                       (df["stoch_k"].shift(1) <= df["stoch_d"].shift(1)), 1, 0)
    df["stoch_cross_down"] = np.where((df["stoch_k"] < df["stoch_d"]) &
                                       (df["stoch_k"].shift(1) >= df["stoch_d"].shift(1)), 1, 0)

    # Volume (if present)
    if "volume" in df.columns:
        vol_ma = df["volume"].rolling(20).mean()
        df["vol_ratio"] = df["volume"] / vol_ma.replace(0, np.nan)
    else:
        df["vol_ratio"] = 1.0

    # ── Fill NaN from warm-up ────────────────────────────────────────────────
    df = df.bfill().ffill()

    return df

# SECTION 2 — STRATEGY CONFIG
def strategy_config():
    return {
        "title":            "AUD/USD Stoch+BB+RSI Mean-Reversion XGBoost",
        "model_type":       "XGBClassifier",
        "model_params": {
            "n_estimators":       400,
            "max_depth":          4,
            "learning_rate":      0.04,
            "subsample":          0.75,
            "colsample_bytree":   0.70,
            "min_child_weight":   5,
            "gamma":              0.15,
            "reg_alpha":          0.10,
            "reg_lambda":         1.50,
            "objective":          "binary:logistic",
            "random_state":       42,
            "n_jobs":             -1,
        },
        "signal_threshold": 0.55,
        "direction":        "both",
        "stop_loss":        0.005,
        "take_profit":      0.010,
        "cooldown":         0,
        "max_positions":    1,
        "on_opposite":      "reverse",
        "session_filter":   [0, 23],
        "min_atr":          None,
        "trend_filter":     None,
        "target_horizon":   4,
        "objective": (
            "Maximize risk-adjusted return (Sharpe / Calmar). "
            "XGBoost chosen for its ability to capture non-linear interactions "
            "between Stochastic, Bollinger Bands, and RSI regimes. "
            "Shallow trees (max_depth=4) + high regularisation (reg_lambda=1.5, gamma=0.15) "
            "prevent overfitting on 15-min FX data. "
            "2:1 TP:SL ratio (1.0% / 0.5%) improves expectancy per trade. "
            "Reverse on opposite signal minimises flat time and captures regime flips."
        ),
        "notes": (
            "Features include BB width/pct, RSI(14) with overbought/oversold flags, "
            "Stochastic K/D crossovers, MACD histogram, ATR volatility, SMA trend context, "
            "candle body ratios, lagged indicators, and momentum ROC. "
            "signal_threshold=0.55 balances precision vs recall on directional calls. "
            "session_filter covers full 24h to capture Asia + London + NY sessions for AUD/USD."
        ),
    }

# ╔══════════════════════════════════════════════════════════════╗
# ║                  STRATEGY REQUEST LOG                       ║
# ╚══════════════════════════════════════════════════════════════╝
# Generated        : 2026-05-06 02:32:18
# Model            : XGBoost
# Feature Eng.     : SMA (20,50,200), BB (20,2.0), RSI 14, MACD (12,26,9), ATR 14 + Auto-add features: ON
# Signal / Entry   : Enter when model confidence > threshold; exit on opposite signal or SL/TP
# Optimization     : Maximize risk-adjusted return
# Risk Mgmt        : Stop loss 0.5%, Take profit 1.0%
# Risk Filter      : —
# ══════════════════════════════════════════════════════════════

# ============================================================
# AUDUSD 15-min XGBoost Strategy
# SMA + RSI + MACD + Bollinger Bands + ATR Feature Set
# Optimized for Risk-Adjusted Return
# ============================================================

# SECTION 0 — IMPORTS & CONSTANTS
import numpy as np
import pandas as pd

DATA_PATH = "/root/Desktop/QuantifyMe/data/ohlc/AUDUSD_15min.parquet"
START_DATE = "2025-04-24"
END_DATE   = "2026-04-24"
VALIDATION_DATE = ""
TRAIN_SPLIT = 0.7

# SECTION 1 — FEATURE ENGINEERING
def feature_engineering(df, close, open_, high, low):

    # ── SMA 20, 50, 200 + distance from close ──────────────────────────────
    for period in [20, 50, 200]:
        sma = close.rolling(period).mean()
        df[f"sma_{period}"] = sma
        df[f"dm_sma_{period}"] = (close - sma) / sma

    # ── Bollinger Bands (20, 2.0) ───────────────────────────────────────────
    bb_mid   = close.rolling(20).mean()
    bb_std   = close.rolling(20).std(ddof=0)
    bb_upper = bb_mid + 2.0 * bb_std
    bb_lower = bb_mid - 2.0 * bb_std
    df["bb_mid"]   = bb_mid
    df["bb_upper"] = bb_upper
    df["bb_lower"] = bb_lower
    df["bb_width"] = (bb_upper - bb_lower) / bb_mid
    bb_range       = bb_upper - bb_lower
    df["bb_pct"]   = (close - bb_lower) / bb_range

    # ── RSI 14 ──────────────────────────────────────────────────────────────
    delta  = close.diff()
    gain   = delta.clip(lower=0)
    loss   = (-delta).clip(lower=0)
    avg_gain = gain.ewm(com=13, min_periods=14).mean()
    avg_loss = loss.ewm(com=13, min_periods=14).mean()
    rs         = avg_gain / avg_loss.replace(0, np.nan)
    df["rsi_14"] = 100.0 - (100.0 / (1.0 + rs))

    # ── MACD (12, 26, 9) ────────────────────────────────────────────────────
    ema_12     = close.ewm(span=12, adjust=False).mean()
    ema_26     = close.ewm(span=26, adjust=False).mean()
    macd_line  = ema_12 - ema_26
    signal_line = macd_line.ewm(span=9, adjust=False).mean()
    df["macd_line"]   = macd_line
    df["macd_signal"] = signal_line
    df["macd_hist"]   = macd_line - signal_line

    # ── ATR 14 + Normalised ATR ─────────────────────────────────────────────
    prev_close = close.shift(1)
    tr = pd.concat([
        high - low,
        (high - prev_close).abs(),
        (low  - prev_close).abs()
    ], axis=1).max(axis=1)
    atr = tr.ewm(com=13, min_periods=14).mean()
    df["atr_14"] = atr
    df["natr"]   = atr / close

    # ── Price momentum / rate-of-change ────────────────────────────────────
    for n in [1, 4, 8, 16]:
        df[f"roc_{n}"] = close.pct_change(n)

    # ── Candle body & wick features ─────────────────────────────────────────
    body        = (close - open_).abs()
    candle_range = (high - low).replace(0, np.nan)
    df["body_ratio"]  = body / candle_range
    df["upper_wick"]  = (high  - pd.concat([close, open_], axis=1).max(axis=1)) / candle_range
    df["lower_wick"]  = (pd.concat([close, open_], axis=1).min(axis=1) - low)   / candle_range
    df["candle_dir"]  = np.where(close >= open_, 1.0, -1.0)

    # ── Volume (if present) ─────────────────────────────────────────────────
    if "volume" in df.columns:
        vol_ma = df["volume"].rolling(20).mean()
        df["vol_ratio"] = df["volume"] / vol_ma.replace(0, np.nan)

    # ── Lagged RSI & MACD histogram ─────────────────────────────────────────
    for lag in [1, 2, 3]:
        df[f"rsi_14_lag{lag}"]   = df["rsi_14"].shift(lag)
        df[f"macd_hist_lag{lag}"] = df["macd_hist"].shift(lag)

    # ── RSI overbought / oversold zones ─────────────────────────────────────
    df["rsi_ob"]     = np.where(df["rsi_14"] > 70, 1.0, 0.0)
    df["rsi_os"]     = np.where(df["rsi_14"] < 30, 1.0, 0.0)
    df["rsi_mid_up"] = np.where((df["rsi_14"] > 50) & (df["rsi_14"] <= 70), 1.0, 0.0)
    df["rsi_mid_dn"] = np.where((df["rsi_14"] >= 30) & (df["rsi_14"] < 50), 1.0, 0.0)

    # ── MACD cross signals ───────────────────────────────────────────────────
    df["macd_cross_up"] = np.where(
        (df["macd_line"] > df["macd_signal"]) &
        (df["macd_line"].shift(1) <= df["macd_signal"].shift(1)),
        1.0, 0.0
    )
    df["macd_cross_dn"] = np.where(
        (df["macd_line"] < df["macd_signal"]) &
        (df["macd_line"].shift(1) >= df["macd_signal"].shift(1)),
        1.0, 0.0
    )

    # ── Price position relative to SMA alignment ────────────────────────────
    df["trend_aligned_bull"] = np.where(
        (close > df["sma_20"]) & (df["sma_20"] > df["sma_50"]) & (df["sma_50"] > df["sma_200"]),
        1.0, 0.0
    )
    df["trend_aligned_bear"] = np.where(
        (close < df["sma_20"]) & (df["sma_20"] < df["sma_50"]) & (df["sma_50"] < df["sma_200"]),
        1.0, 0.0
    )

    # ── Bollinger Band squeeze (low volatility) ──────────────────────────────
    bb_width_ma = df["bb_width"].rolling(20).mean()
    df["bb_squeeze"] = np.where(df["bb_width"] < bb_width_ma, 1.0, 0.0)

    # ── Rolling close statistics ─────────────────────────────────────────────
    df["close_zscore_20"] = (close - close.rolling(20).mean()) / close.rolling(20).std(ddof=0)
    df["close_zscore_50"] = (close - close.rolling(50).mean()) / close.rolling(50).std(ddof=0)

    # ── Volatility regime ────────────────────────────────────────────────────
    natr_ma = df["natr"].rolling(20).mean()
    df["vol_regime_high"] = np.where(df["natr"] > natr_ma, 1.0, 0.0)

    # ── Fill NaN from indicator warm-up ─────────────────────────────────────
    df = df.bfill().ffill()

    return df


# SECTION 2 — STRATEGY CONFIG
def strategy_config():
    return {
        "title":            "AUD/USD XGBoost SMA+RSI+MACD+BB Momentum",
        "model_type":       "XGBClassifier",
        "model_params":     {
            "n_estimators":       500,
            "max_depth":          4,
            "learning_rate":      0.04,
            "subsample":          0.75,
            "colsample_bytree":   0.70,
            "min_child_weight":   5,
            "gamma":              0.1,
            "reg_alpha":          0.1,
            "reg_lambda":         1.5,
            "scale_pos_weight":   1.0,
            "objective":          "binary:logistic",
            "tree_method":        "hist",
            "random_state":       42,
        },
        "signal_threshold": 0.55,
        "direction":        "both",
        "stop_loss":        0.005,
        "take_profit":      0.010,
        "cooldown":         0,
        "max_positions":    1,
        "on_opposite":      "reverse",
        "session_filter":   [0, 23],
        "min_atr":          None,
        "trend_filter":     None,
        "target_horizon":   4,
        "objective":        (
            "Maximize risk-adjusted return (Sharpe/Calmar) on AUD/USD 15-min. "
            "XGBoost with depth-4 trees and conservative regularization (reg_lambda=1.5, "
            "min_child_weight=5) to reduce overfitting on FX data. "
            "2:1 RR (SL=0.5%, TP=1.0%) ensures positive expectancy with ~40%+ win rate. "
            "Subsample + colsample add stochastic diversity. 500 estimators with lr=0.04 "
            "balances bias-variance. Threshold 0.55 filters marginal signals."
        ),
        "notes":            (
            "Features: SMA(20/50/200) with distances, Bollinger Bands width+pct, RSI-14 "
            "with zone flags, MACD histogram + crosses, ATR-14 + NATR, momentum ROC(1/4/8/16), "
            "candle body/wick ratios, trend alignment flags, BB squeeze, z-scores, vol regime. "
            "Reverse on opposite signal to capture trend reversals. Session filter disabled "
            "to capture AUD/USD Asian + London + NY sessions. Target horizon = 4 bars (1 hour)."
        ),
    }

# ╔══════════════════════════════════════════════════════════════╗
# ║                  STRATEGY REQUEST LOG                       ║
# ╚══════════════════════════════════════════════════════════════╝
# Generated        : 2026-05-06 03:16:00
# Model            : Gradient Boosting
# Feature Eng.     : EMA (50,200), ATR 14 + Auto-add features: ON
# Signal / Entry   : Enter when model confidence > threshold; exit on opposite signal or SL/TP
# Optimization     : Maximize risk-adjusted return
# Risk Mgmt        : Stop loss 0.5%, Take profit 1.0%
# Risk Filter      : —
# ══════════════════════════════════════════════════════════════

# ============================================================
# SECTION 0 — IMPORTS & CONSTANTS
import numpy as np
import pandas as pd

DATA_PATH = "/root/Desktop/QuantifyMe/data/ohlc/NZDUSD_15min.parquet"
START_DATE = "2025-04-24"
END_DATE   = "2026-04-24"
VALIDATION_DATE = ""
TRAIN_SPLIT = 0.7

# SECTION 1 — FEATURE ENGINEERING
def feature_engineering(df, close, open_, high, low):
    # ── EMA 50 and EMA 200 ──────────────────────────────────────────────────
    ema_50  = close.ewm(span=50,  adjust=False).mean()
    ema_200 = close.ewm(span=200, adjust=False).mean()

    df["ema_50"]    = ema_50
    df["ema_200"]   = ema_200
    df["dm_ema_50"]  = (close - ema_50)  / ema_50
    df["dm_ema_200"] = (close - ema_200) / ema_200

    # EMA cross signal: ema_50 vs ema_200
    df["ema_cross"] = df["ema_50"] - df["ema_200"]

    # Cross direction: +1 when ema_50 > ema_200, -1 otherwise
    df["ema_cross_sign"] = np.where(df["ema_cross"] > 0, 1.0, -1.0)

    # Cross event: 1 when cross just happened (sign flip)
    prev_cross = df["ema_cross"].shift(1)
    df["ema_cross_event"] = np.where(
        (df["ema_cross"] * prev_cross) < 0, 1.0, 0.0
    )

    # ── ATR 14 ──────────────────────────────────────────────────────────────
    prev_close = close.shift(1)
    tr = pd.concat([
        high - low,
        (high - prev_close).abs(),
        (low  - prev_close).abs()
    ], axis=1).max(axis=1)

    atr = tr.ewm(span=14, adjust=False).mean()
    df["atr"]  = atr
    df["natr"] = atr / close

    # ── RSI 14 ──────────────────────────────────────────────────────────────
    delta  = close.diff()
    gain   = delta.clip(lower=0)
    loss   = (-delta).clip(lower=0)
    avg_gain = gain.ewm(span=14, adjust=False).mean()
    avg_loss = loss.ewm(span=14, adjust=False).mean()
    rs  = avg_gain / (avg_loss + 1e-10)
    rsi = 100 - (100 / (1 + rs))
    df["rsi_14"] = rsi
    df["rsi_norm"] = (rsi - 50) / 50   # centred and scaled

    # ── MACD ────────────────────────────────────────────────────────────────
    ema_12   = close.ewm(span=12, adjust=False).mean()
    ema_26   = close.ewm(span=26, adjust=False).mean()
    macd     = ema_12 - ema_26
    signal   = macd.ewm(span=9, adjust=False).mean()
    df["macd"]         = macd
    df["macd_signal"]  = signal
    df["macd_hist"]    = macd - signal
    df["macd_norm"]    = macd / close
    df["macd_hist_norm"] = (macd - signal) / close

    # ── Bollinger Bands (20, 2) ──────────────────────────────────────────────
    sma_20  = close.rolling(20).mean()
    std_20  = close.rolling(20).std()
    bb_upper = sma_20 + 2 * std_20
    bb_lower = sma_20 - 2 * std_20
    bb_width = (bb_upper - bb_lower) / (sma_20 + 1e-10)
    bb_pos   = (close - bb_lower) / (bb_upper - bb_lower + 1e-10)
    df["bb_width"] = bb_width
    df["bb_pos"]   = bb_pos

    # ── Momentum & Rate-of-Change ────────────────────────────────────────────
    df["mom_4"]  = close.pct_change(4)
    df["mom_8"]  = close.pct_change(8)
    df["mom_16"] = close.pct_change(16)

    # ── Rolling volatility (realised vol over 20 bars) ──────────────────────
    log_ret = np.log(close / close.shift(1))
    df["rvol_20"] = log_ret.rolling(20).std()

    # ── Stochastic Oscillator (14) ───────────────────────────────────────────
    low_14  = low.rolling(14).min()
    high_14 = high.rolling(14).max()
    stoch_k = 100 * (close - low_14) / (high_14 - low_14 + 1e-10)
    stoch_d = stoch_k.rolling(3).mean()
    df["stoch_k"] = stoch_k
    df["stoch_d"] = stoch_d
    df["stoch_diff"] = stoch_k - stoch_d

    # ── Candle body / range features ────────────────────────────────────────
    df["body"]       = (close - open_).abs() / (high - low + 1e-10)
    df["upper_wick"] = (high - close.clip(lower=open_)) / (high - low + 1e-10)
    df["lower_wick"] = (close.clip(upper=open_) - low)  / (high - low + 1e-10)
    df["bar_dir"]    = np.where(close > open_, 1.0, -1.0)

    # ── Price position relative to EMAs ─────────────────────────────────────
    df["close_vs_ema50_sign"]  = np.where(close > ema_50,  1.0, -1.0)
    df["close_vs_ema200_sign"] = np.where(close > ema_200, 1.0, -1.0)

    # ── Lagged features (1-bar and 2-bar lags on key signals) ───────────────
    for col in ["rsi_norm", "macd_hist_norm", "mom_4", "ema_cross", "natr", "bb_pos"]:
        df[f"{col}_lag1"] = df[col].shift(1)
        df[f"{col}_lag2"] = df[col].shift(2)

    # ── Fill NaN from warm-up ────────────────────────────────────────────────
    df = df.bfill().ffill()

    return df


# SECTION 2 — STRATEGY CONFIG
def strategy_config():
    return {
        "title":            "NZD/USD EMA Cross + ATR Gradient Boosting",
        "model_type":       "GradientBoostingClassifier",
        "model_params":     {
            "n_estimators":       400,
            "max_depth":          4,
            "learning_rate":      0.03,
            "subsample":          0.8,
            "min_samples_leaf":   20,
            "max_features":       "sqrt",
            "validation_fraction": 0.1,
            "n_iter_no_change":   30,
            "tol":                1e-4,
        },
        "signal_threshold": 0.55,
        "direction":        "both",
        "stop_loss":        0.005,
        "take_profit":      0.01,
        "cooldown":         0,
        "max_positions":    1,
        "on_opposite":      "reverse",
        "session_filter":   None,
        "min_atr":          None,
        "trend_filter":     None,
        "target_horizon":   4,
        "objective": (
            "Maximize risk-adjusted return (Sharpe / Calmar). "
            "GradientBoostingClassifier with moderate depth (4) and low learning rate (0.03) "
            "to reduce overfitting on 15-min NZD/USD. SL=0.5%, TP=1.0% gives 1:2 RR. "
            "EMA 50/200 cross is the primary trend feature; ATR normalises volatility context. "
            "Supplementary RSI, MACD, Bollinger, Stochastic and candle-body features capture "
            "momentum and mean-reversion signals. Early stopping via n_iter_no_change guards "
            "against overfit on the training partition."
        ),
        "notes": (
            "target_horizon=4 (1 hour) matches typical intraday swing on NZD/USD. "
            "reverse on opposite signal keeps the model responsive during trending regimes. "
            "No session filter applied — NZD/USD has reasonable liquidity around the clock. "
            "min_samples_leaf=20 and subsample=0.8 add regularisation without grid search."
        ),
    }

# ╔══════════════════════════════════════════════════════════════╗
# ║                  STRATEGY REQUEST LOG                       ║
# ╚══════════════════════════════════════════════════════════════╝
# Generated        : 2026-05-05 09:59:46
# Model            : XGBoost
# Feature Eng.     : SMA (20,50,200), BB (20,2.0), RSI 14, MACD (12,26,9), ATR 14 + Auto-add features: ON
# Signal / Entry   : Enter when model confidence > threshold; exit on opposite signal or SL/TP
# Optimization     : Maximize risk-adjusted return
# Risk Mgmt        : Stop loss 0.5%, Take profit 1.0%
# Risk Filter      : —
# ══════════════════════════════════════════════════════════════

# ============================================================
# SECTION 0 — IMPORTS & CONSTANTS
import numpy as np
import pandas as pd

DATA_PATH = "/root/Desktop/QuantifyMe/data/ohlc/EURUSD_15min.parquet"
START_DATE = "2025-04-23"
END_DATE   = "2026-04-23"
VALIDATION_DATE = ""
TRAIN_SPLIT = 0.7

# SECTION 1 — FEATURE ENGINEERING
def feature_engineering(df, close, open_, high, low):

    # ── SMA 20, 50, 200 + distance from close ──────────────────────────────
    for p in [20, 50, 200]:
        sma = close.rolling(p).mean()
        df[f"sma_{p}"]    = sma
        df[f"dm_sma_{p}"] = (close - sma) / sma

    # ── Bollinger Bands (20, 2.0) ───────────────────────────────────────────
    bb_mid   = close.rolling(20).mean()
    bb_std   = close.rolling(20).std(ddof=0)
    bb_upper = bb_mid + 2.0 * bb_std
    bb_lower = bb_mid - 2.0 * bb_std
    bb_range = bb_upper - bb_lower
    df["bb_mid"]   = bb_mid
    df["bb_upper"] = bb_upper
    df["bb_lower"] = bb_lower
    df["bb_width"] = bb_range / bb_mid
    df["bb_pct"]   = (close - bb_lower) / bb_range.replace(0, np.nan)

    # ── RSI 14 ──────────────────────────────────────────────────────────────
    delta = close.diff()
    gain  = delta.clip(lower=0)
    loss  = (-delta).clip(lower=0)
    avg_gain = gain.ewm(com=13, min_periods=14, adjust=False).mean()
    avg_loss = loss.ewm(com=13, min_periods=14, adjust=False).mean()
    rs  = avg_gain / avg_loss.replace(0, np.nan)
    df["rsi_14"] = 100.0 - (100.0 / (1.0 + rs))

    # ── MACD (12, 26, 9) ────────────────────────────────────────────────────
    ema12 = close.ewm(span=12, adjust=False).mean()
    ema26 = close.ewm(span=26, adjust=False).mean()
    macd_line   = ema12 - ema26
    signal_line = macd_line.ewm(span=9, adjust=False).mean()
    df["macd_line"]   = macd_line
    df["macd_signal"] = signal_line
    df["macd_hist"]   = macd_line - signal_line

    # ── ATR 14 + NATR ───────────────────────────────────────────────────────
    tr = pd.concat([
        high - low,
        (high - close.shift(1)).abs(),
        (low  - close.shift(1)).abs()
    ], axis=1).max(axis=1)
    atr = tr.ewm(com=13, min_periods=14, adjust=False).mean()
    df["atr_14"] = atr
    df["natr"]   = atr / close

    # ── Additional derived features ─────────────────────────────────────────

    # Price momentum over multiple horizons
    for lag in [1, 4, 8, 16]:
        df[f"mom_{lag}"] = close.pct_change(lag)

    # Log return
    df["log_ret_1"] = np.log(close / close.shift(1))

    # Candle body and wick ratios
    body        = (close - open_).abs()
    candle_rng  = (high - low).replace(0, np.nan)
    df["body_ratio"]      = body / candle_rng
    df["upper_wick_ratio"] = (high - pd.concat([close, open_], axis=1).max(axis=1)) / candle_rng
    df["lower_wick_ratio"] = (pd.concat([close, open_], axis=1).min(axis=1) - low) / candle_rng
    df["candle_dir"]       = np.where(close >= open_, 1.0, -1.0)

    # Volume / volatility proxy: rolling std of returns
    ret = close.pct_change()
    df["vol_8"]  = ret.rolling(8).std()
    df["vol_20"] = ret.rolling(20).std()

    # RSI-derived features
    df["rsi_dist_50"]  = df["rsi_14"] - 50.0
    df["rsi_overbought"] = np.where(df["rsi_14"] > 70, 1.0, 0.0)
    df["rsi_oversold"]   = np.where(df["rsi_14"] < 30, 1.0, 0.0)

    # MACD cross signal
    df["macd_cross"] = np.where(
        (df["macd_hist"] > 0) & (df["macd_hist"].shift(1) <= 0), 1.0,
        np.where(
            (df["macd_hist"] < 0) & (df["macd_hist"].shift(1) >= 0), -1.0,
            0.0
        )
    )

    # BB squeeze: narrow bands relative to recent average
    df["bb_squeeze"] = np.where(df["bb_width"] < df["bb_width"].rolling(50).mean(), 1.0, 0.0)

    # Price relative to SMA crossovers
    df["sma20_above_sma50"]  = np.where(df["sma_20"] > df["sma_50"],  1.0, -1.0)
    df["sma50_above_sma200"] = np.where(df["sma_50"] > df["sma_200"], 1.0, -1.0)

    # High/low channel breakout features
    df["high_20"]   = high.rolling(20).max()
    df["low_20"]    = low.rolling(20).min()
    df["chan_pos"]  = (close - df["low_20"]) / (df["high_20"] - df["low_20"]).replace(0, np.nan)

    # Lagged RSI and MACD hist
    df["rsi_14_lag1"] = df["rsi_14"].shift(1)
    df["rsi_14_lag4"] = df["rsi_14"].shift(4)
    df["macd_hist_lag1"] = df["macd_hist"].shift(1)

    # ATR trend: expanding vs contracting volatility
    df["atr_ratio"] = df["atr_14"] / df["atr_14"].rolling(50).mean()

    # Fill NaN from warm-up
    df = df.bfill().ffill()

    return df


# SECTION 2 — STRATEGY CONFIG
def strategy_config():
    return {
        "title": "EUR/USD XGBoost SMA+RSI+MACD+BB Trend Rider",
        "model_type": "XGBClassifier",
        "model_params": {
            "n_estimators":      400,
            "max_depth":         4,
            "learning_rate":     0.04,
            "subsample":         0.75,
            "colsample_bytree":  0.70,
            "min_child_weight":  5,
            "gamma":             0.2,
            "reg_alpha":         0.1,
            "reg_lambda":        1.5,
            "objective":         "binary:logistic",
            "tree_method":       "hist",
            "random_state":      42,
        },
        "signal_threshold": 0.54,
        "direction":        "both",
        "stop_loss":        0.005,
        "take_profit":      0.010,
        "cooldown":         0,
        "max_positions":    1,
        "on_opposite":      "reverse",
        "session_filter":   [6, 20],
        "min_atr":          0.0002,
        "trend_filter":     "sma_50",
        "target_horizon":   4,
        "objective": (
            "Maximize risk-adjusted return (Sharpe/Calmar) on EUR/USD 15-min data. "
            "XGBoost with moderate depth and regularisation to avoid overfitting on "
            "noisy FX data. Conservative SL/TP ratio of 1:2 improves expectancy. "
            "Session filter keeps the model active during liquid London/NY overlap. "
            "Min ATR filter avoids low-volatility noise. SMA-50 trend filter aligns "
            "trades with the prevailing medium-term trend, reducing whipsaw."
        ),
        "notes": (
            "Feature set: SMA 20/50/200 distances, BB width/pct, RSI 14, MACD histogram, "
            "ATR/NATR, multi-horizon momentum, candle structure, volatility, channel position, "
            "lagged indicators, and cross-over binary signals. "
            "Hyperparameters tuned for bias-variance balance: shallow trees (depth 4), "
            "high n_estimators with low learning rate, stochastic sampling, and L1/L2 "
            "regularisation reduce overfitting. Threshold 0.54 slightly above default to "
            "filter marginal signals while maintaining trade frequency."
        ),
    }

# ╔══════════════════════════════════════════════════════════════╗
# ║                  STRATEGY REQUEST LOG                       ║
# ╚══════════════════════════════════════════════════════════════╝
# Generated        : 2026-05-05 10:27:10
# Model            : XGBoost
# Feature Eng.     : EMA (50,200), ATR 14 + Auto-add features: ON
# Signal / Entry   : Enter when model confidence > threshold; exit on opposite signal or SL/TP
# Optimization     : Maximize risk-adjusted return
# Risk Mgmt        : Stop loss 0.5%, Take profit 1.0%
# Risk Filter      : —
# ══════════════════════════════════════════════════════════════

# ============================================================
# SECTION 0 — IMPORTS & CONSTANTS
import numpy as np
import pandas as pd

DATA_PATH = "/root/Desktop/QuantifyMe/data/ohlc/EURUSD_15min.parquet"
START_DATE = "2025-04-23"
END_DATE   = "2026-04-23"
VALIDATION_DATE = ""
TRAIN_SPLIT = 0.7

# SECTION 1 — FEATURE ENGINEERING
def feature_engineering(df, close, open_, high, low):
    # ── EMA 50 and EMA 200 ──────────────────────────────────────────────────
    ema_50  = close.ewm(span=50,  adjust=False).mean()
    ema_200 = close.ewm(span=200, adjust=False).mean()

    df["ema_50"]    = ema_50
    df["ema_200"]   = ema_200
    df["dm_ema_50"]  = (close - ema_50)  / ema_50
    df["dm_ema_200"] = (close - ema_200) / ema_200

    # EMA cross signal: positive when fast > slow
    df["ema_cross"]      = ema_50 - ema_200
    df["ema_cross_norm"] = df["ema_cross"] / ema_200

    # Cross direction change (momentum of the spread)
    df["ema_cross_delta"] = df["ema_cross"].diff(1)
    df["ema_cross_accel"] = df["ema_cross_delta"].diff(1)

    # ── ATR 14 ──────────────────────────────────────────────────────────────
    prev_close = close.shift(1)
    tr = pd.concat([
        high - low,
        (high - prev_close).abs(),
        (low  - prev_close).abs()
    ], axis=1).max(axis=1)

    atr = tr.ewm(span=14, adjust=False).mean()
    df["atr"]  = atr
    df["natr"] = atr / close

    # ── Price momentum features ─────────────────────────────────────────────
    for lag in [1, 2, 4, 8, 16]:
        df[f"ret_{lag}"] = close.pct_change(lag)

    # ── Volatility regime ───────────────────────────────────────────────────
    df["atr_ratio"]    = atr / atr.rolling(50).mean()          # ATR vs its own MA
    df["natr_ma20"]    = df["natr"].rolling(20).mean()

    # ── RSI 14 ──────────────────────────────────────────────────────────────
    delta  = close.diff(1)
    gain   = delta.clip(lower=0)
    loss   = (-delta).clip(lower=0)
    avg_g  = gain.ewm(span=14, adjust=False).mean()
    avg_l  = loss.ewm(span=14, adjust=False).mean()
    rs     = avg_g / avg_l.replace(0, np.nan)
    df["rsi_14"] = 100 - (100 / (1 + rs))
    df["rsi_delta"] = df["rsi_14"].diff(1)

    # ── MACD (12/26/9) ──────────────────────────────────────────────────────
    ema_12   = close.ewm(span=12, adjust=False).mean()
    ema_26   = close.ewm(span=26, adjust=False).mean()
    macd     = ema_12 - ema_26
    signal   = macd.ewm(span=9, adjust=False).mean()
    df["macd"]          = macd
    df["macd_signal"]   = signal
    df["macd_hist"]     = macd - signal
    df["macd_hist_delta"] = df["macd_hist"].diff(1)

    # ── Bollinger Bands (20, 2σ) ─────────────────────────────────────────────
    bb_mid  = close.rolling(20).mean()
    bb_std  = close.rolling(20).std()
    bb_up   = bb_mid + 2 * bb_std
    bb_lo   = bb_mid - 2 * bb_std
    df["bb_pos"]   = (close - bb_lo) / (bb_up - bb_lo).replace(0, np.nan)
    df["bb_width"] = (bb_up - bb_lo) / bb_mid

    # ── Stochastic %K / %D (14, 3) ──────────────────────────────────────────
    low14  = low.rolling(14).min()
    high14 = high.rolling(14).max()
    stoch_k = 100 * (close - low14) / (high14 - low14).replace(0, np.nan)
    stoch_d = stoch_k.rolling(3).mean()
    df["stoch_k"] = stoch_k
    df["stoch_d"] = stoch_d
    df["stoch_kd"] = stoch_k - stoch_d

    # ── Volume / body / wick features ───────────────────────────────────────
    body    = (close - open_).abs()
    candle  = (high - low).replace(0, np.nan)
    df["body_ratio"]  = body / candle
    df["upper_wick"]  = (high - pd.concat([close, open_], axis=1).max(axis=1)) / candle
    df["lower_wick"]  = (pd.concat([close, open_], axis=1).min(axis=1) - low) / candle
    df["bull_candle"]  = np.where(close > open_, 1, 0)

    # ── Rolling z-score of close vs SMA 50 ──────────────────────────────────
    sma_50       = close.rolling(50).mean()
    sma_50_std   = close.rolling(50).std()
    df["zscore_50"] = (close - sma_50) / sma_50_std.replace(0, np.nan)

    # ── High/Low breakout flags ──────────────────────────────────────────────
    df["high_20_break"] = np.where(close > high.rolling(20).max().shift(1), 1, 0)
    df["low_20_break"]  = np.where(close < low.rolling(20).min().shift(1),  1, 0)

    # ── Time-of-day features (cyclical encoding) ─────────────────────────────
    if hasattr(df.index, 'hour'):
        hour = df.index.hour + df.index.minute / 60.0
        df["hour_sin"] = np.sin(2 * np.pi * hour / 24.0)
        df["hour_cos"] = np.cos(2 * np.pi * hour / 24.0)

    # ── Fill NaN from indicator warm-up ─────────────────────────────────────
    df = df.bfill().ffill()

    return df


# SECTION 2 — STRATEGY CONFIG
def strategy_config():
    return {
        "title":            "EMA Cross 50/200 + ATR Momentum (XGBoost)",
        "model_type":       "XGBClassifier",
        "model_params": {
            "n_estimators":       400,
            "max_depth":          4,
            "learning_rate":      0.04,
            "subsample":          0.75,
            "colsample_bytree":   0.70,
            "min_child_weight":   3,
            "gamma":              0.15,
            "reg_alpha":          0.10,
            "reg_lambda":         1.50,
            "objective":          "binary:logistic",
            "random_state":       42,
            "n_jobs":             -1,
        },
        "signal_threshold": 0.55,
        "direction":        "both",
        "stop_loss":        0.005,
        "take_profit":      0.010,
        "cooldown":         0,
        "max_positions":    1,
        "on_opposite":      "reverse",
        "session_filter":   [6, 20],
        "min_atr":          0.0002,
        "trend_filter":     "sma_50",
        "target_horizon":   4,
        "objective": (
            "Maximize risk-adjusted return (Sharpe/Calmar) on EUR/USD 15-min data. "
            "EMA 50/200 cross provides the primary trend regime filter. "
            "ATR 14 gates entries by volatility (min_atr avoids dead-market noise). "
            "XGBoost chosen for its ability to capture non-linear feature interactions. "
            "Conservative depth=4 and regularisation (alpha/lambda) prevent overfitting "
            "on the relatively short 1-year window. 2:1 reward/risk (SL=0.5%, TP=1.0%) "
            "ensures positive expectancy even at modest hit-rates. Session filter 06-20 UTC "
            "keeps the strategy in liquid London/NY hours only."
        ),
        "notes": (
            "Feature set combines trend (EMA cross, z-score), momentum (RSI, MACD, returns), "
            "volatility (ATR ratio, BB width), and price structure (body/wick ratios, "
            "stochastic). Cyclical hour encoding captures intraday seasonality without "
            "introducing lookahead. bfill().ffill() handles EMA warm-up NaNs gracefully."
        ),
    }

# ╔══════════════════════════════════════════════════════════════╗
# ║                  STRATEGY REQUEST LOG                       ║
# ╚══════════════════════════════════════════════════════════════╝
# Generated        : 2026-05-06 02:24:20
# Model            : Gradient Boosting
# Feature Eng.     : BB (20,2.0), RSI 14, Stochastic (14,3) + Auto-add features: ON
# Signal / Entry   : Enter when model confidence > threshold; exit on opposite signal or SL/TP
# Optimization     : Maximize risk-adjusted return
# Risk Mgmt        : Stop loss 0.5%, Take profit 1.0%
# Risk Filter      : —
# ══════════════════════════════════════════════════════════════

# ============================================================
# SECTION 0 — IMPORTS & CONSTANTS
import numpy as np
import pandas as pd

DATA_PATH = "/root/Desktop/QuantifyMe/data/ohlc/AUDUSD_15min.parquet"
START_DATE = "2025-04-24"
END_DATE   = "2026-04-24"
VALIDATION_DATE = ""
TRAIN_SPLIT = 0.7

# SECTION 1 — FEATURE ENGINEERING
def feature_engineering(df, close, open_, high, low):
    # ── Bollinger Bands (20, 2) ──────────────────────────────────────────────
    bb_period = 20
    bb_std    = 2.0
    bb_mid    = close.rolling(bb_period).mean()
    bb_std_   = close.rolling(bb_period).std(ddof=1)
    bb_upper  = bb_mid + bb_std * bb_std_
    bb_lower  = bb_mid - bb_std * bb_std_
    df["bb_mid"]   = bb_mid
    df["bb_upper"] = bb_upper
    df["bb_lower"] = bb_lower
    df["bb_width"] = (bb_upper - bb_lower) / bb_mid
    df["bb_pct"]   = (close - bb_lower) / (bb_upper - bb_lower)

    # ── RSI (14) ─────────────────────────────────────────────────────────────
    rsi_period = 14
    delta      = close.diff()
    gain       = delta.clip(lower=0)
    loss       = -delta.clip(upper=0)
    avg_gain   = gain.ewm(com=rsi_period - 1, min_periods=rsi_period).mean()
    avg_loss   = loss.ewm(com=rsi_period - 1, min_periods=rsi_period).mean()
    rs         = avg_gain / avg_loss.replace(0, np.nan)
    df["rsi"]  = 100.0 - (100.0 / (1.0 + rs))

    # ── Stochastic Oscillator (K=14, D=3) ────────────────────────────────────
    stoch_k = 14
    stoch_d = 3
    low_min  = low.rolling(stoch_k).min()
    high_max = high.rolling(stoch_k).max()
    k_raw    = 100.0 * (close - low_min) / (high_max - low_min).replace(0, np.nan)
    df["stoch_k"] = k_raw
    df["stoch_d"] = k_raw.rolling(stoch_d).mean()

    # ── ATR (14) ─────────────────────────────────────────────────────────────
    atr_period = 14
    prev_close = close.shift(1)
    tr         = pd.concat([
        high - low,
        (high - prev_close).abs(),
        (low  - prev_close).abs()
    ], axis=1).max(axis=1)
    df["atr"]  = tr.ewm(com=atr_period - 1, min_periods=atr_period).mean()
    df["natr"] = df["atr"] / close

    # ── Trend / Momentum features ─────────────────────────────────────────────
    df["sma_20"]  = close.rolling(20).mean()
    df["sma_50"]  = close.rolling(50).mean()
    df["sma_100"] = close.rolling(100).mean()

    df["price_vs_sma20"]  = (close - df["sma_20"])  / df["sma_20"]
    df["price_vs_sma50"]  = (close - df["sma_50"])  / df["sma_50"]
    df["price_vs_sma100"] = (close - df["sma_100"]) / df["sma_100"]
    df["sma20_vs_sma50"]  = (df["sma_20"] - df["sma_50"]) / df["sma_50"]

    # ── MACD (12, 26, 9) ─────────────────────────────────────────────────────
    ema12        = close.ewm(span=12, min_periods=12).mean()
    ema26        = close.ewm(span=26, min_periods=26).mean()
    macd_line    = ema12 - ema26
    macd_signal  = macd_line.ewm(span=9, min_periods=9).mean()
    df["macd"]         = macd_line
    df["macd_signal"]  = macd_signal
    df["macd_hist"]    = macd_line - macd_signal

    # ── Rate-of-Change features ───────────────────────────────────────────────
    for p in [4, 8, 16]:
        df[f"roc_{p}"] = close.pct_change(p)

    # ── Volatility regime ────────────────────────────────────────────────────
    df["vol_8"]  = close.pct_change().rolling(8).std()
    df["vol_20"] = close.pct_change().rolling(20).std()
    df["vol_ratio"] = df["vol_8"] / df["vol_20"].replace(0, np.nan)

    # ── Candle body / shadow features ────────────────────────────────────────
    df["body"]        = (close - open_).abs()
    df["upper_shadow"] = high - pd.concat([close, open_], axis=1).max(axis=1)
    df["lower_shadow"] = pd.concat([close, open_], axis=1).min(axis=1) - low
    df["body_ratio"]  = df["body"] / (high - low).replace(0, np.nan)

    # ── RSI-derived features ──────────────────────────────────────────────────
    df["rsi_above_50"] = np.where(df["rsi"] > 50, 1, 0)
    df["rsi_overbought"] = np.where(df["rsi"] > 70, 1, 0)
    df["rsi_oversold"]   = np.where(df["rsi"] < 30, 1, 0)
    df["rsi_lag1"] = df["rsi"].shift(1)
    df["rsi_lag4"] = df["rsi"].shift(4)

    # ── Stochastic-derived features ───────────────────────────────────────────
    df["stoch_cross_up"]   = np.where((df["stoch_k"] > df["stoch_d"]) &
                                      (df["stoch_k"].shift(1) <= df["stoch_d"].shift(1)), 1, 0)
    df["stoch_cross_down"] = np.where((df["stoch_k"] < df["stoch_d"]) &
                                      (df["stoch_k"].shift(1) >= df["stoch_d"].shift(1)), 1, 0)
    df["stoch_oversold"]   = np.where(df["stoch_k"] < 20, 1, 0)
    df["stoch_overbought"] = np.where(df["stoch_k"] > 80, 1, 0)

    # ── BB-derived features ───────────────────────────────────────────────────
    df["bb_squeeze"] = np.where(df["bb_width"] < df["bb_width"].rolling(50).quantile(0.20), 1, 0)
    df["above_bb_upper"] = np.where(close > bb_upper, 1, 0)
    df["below_bb_lower"] = np.where(close < bb_lower, 1, 0)
    df["bb_pct_lag1"]    = df["bb_pct"].shift(1)
    df["bb_pct_lag4"]    = df["bb_pct"].shift(4)

    # ── Session hour (UTC) ────────────────────────────────────────────────────
    df["hour_utc"] = df.index.hour if hasattr(df.index, "hour") else 0

    # ── Fill NaN from indicator warm-up ──────────────────────────────────────
    df = df.bfill().ffill()
    return df

# SECTION 2 — STRATEGY CONFIG
def strategy_config():
    return {
        "title":            "AUD/USD Stochastic BB Mean-Reversion (GBM)",
        "model_type":       "GradientBoostingClassifier",
        "model_params":     {
            "n_estimators":      400,
            "max_depth":         4,
            "learning_rate":     0.04,
            "subsample":         0.80,
            "min_samples_leaf":  20,
            "max_features":      "sqrt",
            "n_iter_no_change":  30,
            "validation_fraction": 0.10,
            "tol":               1e-4,
        },
        "signal_threshold": 0.55,
        "direction":        "both",
        "stop_loss":        0.005,
        "take_profit":      0.010,
        "cooldown":         0,
        "max_positions":    1,
        "on_opposite":      "reverse",
        "session_filter":   None,
        "min_atr":          None,
        "trend_filter":     None,
        "target_horizon":   4,
        "objective": (
            "Maximize risk-adjusted return (Sharpe/Calmar) on AUD/USD 15-min. "
            "GradientBoostingClassifier with moderate depth and learning rate chosen "
            "to balance bias-variance. 2:1 reward-to-risk (SL=0.5%, TP=1.0%). "
            "Stochastic crossovers, BB mean-reversion, and RSI regime signals "
            "form the core feature set; MACD, volatility, and candle features add "
            "context. Early stopping (n_iter_no_change=30) prevents overfitting."
        ),
        "notes": (
            "Features: Bollinger Bands (20,2) width/pct, RSI(14) with lag/regime flags, "
            "Stochastic(14,3) K/D with crossover detection, ATR/NATR volatility, MACD "
            "histogram, short/medium SMAs, ROC(4/8/16), volatility ratio, candle body "
            "ratios, and UTC session hour. No session or trend filter to allow full "
            "mean-reversion opportunities across all sessions."
        ),
    }

# ╔══════════════════════════════════════════════════════════════╗
# ║                  STRATEGY REQUEST LOG                       ║
# ╚══════════════════════════════════════════════════════════════╝
# Generated        : 2026-05-06 01:27:43
# Model            : XGBoost
# Feature Eng.     : SMA (20,50,200) + Auto-add features: ON
# Signal / Entry   : Enter when model confidence > threshold; exit on opposite signal or SL/TP
# Optimization     : Maximize risk-adjusted return
# Risk Mgmt        : Stop loss 0.5%, Take profit 1.0%
# Risk Filter      : —
# ══════════════════════════════════════════════════════════════

# ============================================================
# SECTION 0 — IMPORTS & CONSTANTS
import numpy as np
import pandas as pd

DATA_PATH = "/root/Desktop/QuantifyMe/data/ohlc/GBPUSD_15min.parquet"
START_DATE = "2025-04-24"
END_DATE   = "2026-04-24"
VALIDATION_DATE = ""
TRAIN_SPLIT = 0.7

# SECTION 1 — FEATURE ENGINEERING
def feature_engineering(df, close, open_, high, low):
    # ── Required SMAs and distance metrics ──────────────────────────────────
    for p in [20, 50, 200]:
        sma = close.rolling(p).mean()
        df[f"sma_{p}"] = sma
        df[f"dm_sma_{p}"] = (close - sma) / sma

    # ── SMA slope (momentum of the moving average itself) ───────────────────
    for p in [20, 50]:
        sma = close.rolling(p).mean()
        df[f"sma_{p}_slope"] = sma.diff(5) / sma.shift(5)

    # ── SMA cross signals ────────────────────────────────────────────────────
    sma20 = close.rolling(20).mean()
    sma50 = close.rolling(50).mean()
    sma200 = close.rolling(200).mean()
    df["sma20_50_cross"] = (sma20 - sma50) / sma50
    df["sma50_200_cross"] = (sma50 - sma200) / sma200
    df["sma20_200_cross"] = (sma20 - sma200) / sma200

    # ── Price momentum over multiple horizons ────────────────────────────────
    for lag in [1, 3, 6, 12, 24, 48]:
        df[f"ret_{lag}"] = close.pct_change(lag)

    # ── Volatility: rolling standard deviation of returns ───────────────────
    ret1 = close.pct_change(1)
    for w in [10, 20, 40]:
        df[f"vol_{w}"] = ret1.rolling(w).std()

    # ── ATR (Average True Range, normalised) ─────────────────────────────────
    tr = pd.concat([
        high - low,
        (high - close.shift(1)).abs(),
        (low  - close.shift(1)).abs()
    ], axis=1).max(axis=1)
    for w in [14, 28]:
        atr = tr.ewm(span=w, adjust=False).mean()
        df[f"natr_{w}"] = atr / close

    # ── Bollinger Bands (20-period, 2σ) ──────────────────────────────────────
    bb_mid  = close.rolling(20).mean()
    bb_std  = close.rolling(20).std()
    bb_up   = bb_mid + 2 * bb_std
    bb_lo   = bb_mid - 2 * bb_std
    bb_width = (bb_up - bb_lo) / bb_mid
    df["bb_pct_b"]  = (close - bb_lo) / (bb_up - bb_lo + 1e-12)
    df["bb_width"]  = bb_width
    df["bb_squeeze"]= np.where(bb_width < bb_width.rolling(50).mean(), 1.0, 0.0)

    # ── Keltner Channel (for squeeze confirmation) ───────────────────────────
    kc_mid  = close.ewm(span=20, adjust=False).mean()
    kc_atr  = tr.ewm(span=20, adjust=False).mean()
    kc_up   = kc_mid + 1.5 * kc_atr
    kc_lo   = kc_mid - 1.5 * kc_atr
    df["kc_pct"] = (close - kc_lo) / (kc_up - kc_lo + 1e-12)

    # ── RSI (Wilder) ─────────────────────────────────────────────────────────
    def wilder_rsi(src, period):
        delta = src.diff(1)
        gain  = delta.clip(lower=0)
        loss  = (-delta).clip(lower=0)
        avg_g = gain.ewm(alpha=1/period, adjust=False).mean()
        avg_l = loss.ewm(alpha=1/period, adjust=False).mean()
        rs    = avg_g / (avg_l + 1e-12)
        return 100 - 100 / (1 + rs)

    rsi14 = wilder_rsi(close, 14)
    rsi6  = wilder_rsi(close, 6)
    rsi28 = wilder_rsi(close, 28)
    df["rsi14"] = rsi14 / 100.0
    df["rsi6"]  = rsi6  / 100.0
    df["rsi28"] = rsi28 / 100.0
    df["rsi14_slope"] = rsi14.diff(3) / 100.0

    # RSI divergence proxy: price new high/low but RSI doesn't confirm
    price_high_12 = close.rolling(12).max()
    price_low_12  = close.rolling(12).min()
    rsi_high_12   = rsi14.rolling(12).max()
    rsi_low_12    = rsi14.rolling(12).min()
    df["rsi_bear_div"] = np.where(
        (close >= price_high_12 * 0.999) & (rsi14 < rsi_high_12 * 0.97), 1.0, 0.0)
    df["rsi_bull_div"] = np.where(
        (close <= price_low_12  * 1.001) & (rsi14 > rsi_low_12  * 1.03), 1.0, 0.0)

    # ── MACD ─────────────────────────────────────────────────────────────────
    ema12  = close.ewm(span=12, adjust=False).mean()
    ema26  = close.ewm(span=26, adjust=False).mean()
    macd   = ema12 - ema26
    signal = macd.ewm(span=9, adjust=False).mean()
    hist   = macd - signal
    df["macd_norm"]    = macd   / close
    df["macd_sig_norm"]= signal / close
    df["macd_hist_norm"]= hist  / close
    df["macd_hist_slope"] = hist.diff(2) / close

    # ── Stochastic Oscillator ─────────────────────────────────────────────────
    for k_period in [14, 5]:
        lo_k = low.rolling(k_period).min()
        hi_k = high.rolling(k_period).max()
        stoch_k = (close - lo_k) / (hi_k - lo_k + 1e-12) * 100
        stoch_d = stoch_k.rolling(3).mean()
        df[f"stoch_k_{k_period}"] = stoch_k / 100.0
        df[f"stoch_d_{k_period}"] = stoch_d / 100.0
        df[f"stoch_kd_{k_period}"] = (stoch_k - stoch_d) / 100.0

    # ── Williams %R ───────────────────────────────────────────────────────────
    hi14 = high.rolling(14).max()
    lo14 = low.rolling(14).min()
    df["williams_r"] = (hi14 - close) / (hi14 - lo14 + 1e-12)

    # ── CCI (Commodity Channel Index) ────────────────────────────────────────
    tp = (high + low + close) / 3.0
    tp_sma = tp.rolling(20).mean()
    tp_mad  = tp.rolling(20).apply(lambda x: np.mean(np.abs(x - x.mean())), raw=True)
    df["cci"] = (tp - tp_sma) / (0.015 * tp_mad + 1e-12) / 100.0

    # ── Volume-like proxy: candle body and wick ratios ────────────────────────
    candle_range = (high - low).replace(0, np.nan)
    df["body_ratio"]  = (close - open_).abs() / candle_range
    df["upper_wick"]  = (high - pd.concat([close, open_], axis=1).max(axis=1)) / candle_range
    df["lower_wick"]  = (pd.concat([close, open_], axis=1).min(axis=1) - low) / candle_range
    df["bull_candle"]  = np.where(close > open_, 1.0, 0.0)

    # ── Mean reversion signal: z-score of close vs SMA20 ────────────────────
    df["zscore_20"] = (close - sma20) / (close.rolling(20).std() + 1e-12)
    df["zscore_50"] = (close - sma50) / (close.rolling(50).std() + 1e-12)

    # ── Trend strength: ADX proxy ─────────────────────────────────────────────
    plus_dm  = (high.diff(1)).clip(lower=0)
    minus_dm = (-low.diff(1)).clip(lower=0)
    overlap  = pd.concat([plus_dm, minus_dm], axis=1).min(axis=1)
    plus_dm  = plus_dm - overlap
    minus_dm = minus_dm - overlap
    atr14 = tr.ewm(span=14, adjust=False).mean()
    plus_di  = 100 * plus_dm.ewm(span=14, adjust=False).mean()  / (atr14 + 1e-12)
    minus_di = 100 * minus_dm.ewm(span=14, adjust=False).mean() / (atr14 + 1e-12)
    dx = (plus_di - minus_di).abs() / (plus_di + minus_di + 1e-12) * 100
    adx = dx.ewm(span=14, adjust=False).mean()
    df["adx"]      = adx / 100.0
    df["plus_di"]  = plus_di / 100.0
    df["minus_di"] = minus_di / 100.0
    df["di_diff"]  = (plus_di - minus_di) / 100.0

    # ── Regime detection: above/below long-term SMA ──────────────────────────
    df["bull_regime"]  = np.where(close > sma200, 1.0, 0.0)
    df["mid_regime"]   = np.where(close > sma50,  1.0, 0.0)

    # ── Lag features (auto-regressive) ───────────────────────────────────────
    for col, lags in [("rsi14", [1, 2, 4]), ("macd_hist_norm", [1, 2]), ("bb_pct_b", [1, 2])]:
        for lag in lags:
            df[f"{col}_lag{lag}"] = df[col].shift(lag)

    # ── Time-of-day features ─────────────────────────────────────────────────
    if hasattr(df.index, "hour"):
        df["hour_sin"] = np.sin(2 * np.pi * df.index.hour / 24.0)
        df["hour_cos"] = np.cos(2 * np.pi * df.index.hour / 24.0)
        df["dow_sin"]  = np.sin(2 * np.pi * df.index.dayofweek / 5.0)
        df["dow_cos"]  = np.cos(2 * np.pi * df.index.dayofweek / 5.0)

    # ── Fill NaN from warm-up ────────────────────────────────────────────────
    df = df.bfill().ffill()
    return df


# SECTION 2 — STRATEGY CONFIG
def strategy_config():
    return {
        "title":            "GBP/USD SMA Trend + Multi-Indicator XGBoost Classifier",
        "model_type":       "XGBClassifier",
        "model_params": {
            "n_estimators":     600,
            "max_depth":        4,
            "learning_rate":    0.03,
            "subsample":        0.75,
            "colsample_bytree": 0.70,
            "min_child_weight": 5,
            "gamma":            0.10,
            "reg_alpha":        0.10,
            "reg_lambda":       1.50,
            "objective":        "binary:logistic",
            "tree_method":      "hist",
            "random_state":     42,
            "n_jobs":           -1,
        },
        "signal_threshold": 0.56,
        "direction":        "both",
        "stop_loss":        0.005,
        "take_profit":      0.010,
        "cooldown":         0,
        "max_positions":    1,
        "on_opposite":      "reverse",
        "session_filter":   [6, 18],
        "min_atr":          0.0003,
        "trend_filter":     "sma_50",
        "target_horizon":   4,
        "objective": (
            "Maximize risk-adjusted return on GBP/USD 15-min bars. "
            "Strategy combines required SMA (20/50/200) distance and cross features "
            "with ADX trend strength, RSI divergence, Bollinger squeeze, Keltner, "
            "MACD histogram slope, Stochastic, CCI, Williams %R, and candle-structure "
            "ratios. XGBoost with strong regularisation and subsampling prevents "
            "overfitting on the relatively short 1-year window. "
            "Session filter 06-18 UTC keeps execution in liquid London/NY hours; "
            "0.5% SL and 1.0% TP yield 1:2 R:R; sma_50 trend filter aligns trades "
            "with intermediate momentum to improve win rate and Sharpe."
        ),
        "notes": (
            "Differs from prior RSI/MACD/BB/Stoch attempts by: (1) foregrounding "
            "SMA cross and distance features as primary trend signals; (2) adding "
            "ADX-based regime and DI differential; (3) including RSI divergence "
            "proxy flags; (4) z-score mean-reversion features; (5) candle body/wick "
            "structure ratios as micro-structure proxies; (6) time-of-day cyclical "
            "encoding; (7) heavier regularisation (gamma, alpha, lambda) and higher "
            "min_child_weight to reduce variance on the thin dataset."
        ),
    }

# ╔══════════════════════════════════════════════════════════════╗
# ║                  STRATEGY REQUEST LOG                       ║
# ╚══════════════════════════════════════════════════════════════╝
# Generated        : 2026-05-06 01:47:56
# Model            : Gradient Boosting
# Feature Eng.     : SMA (20,50,200) + Auto-add features: ON
# Signal / Entry   : Enter when model confidence > threshold; exit on opposite signal or SL/TP
# Optimization     : Maximize risk-adjusted return
# Risk Mgmt        : Stop loss 0.5%, Take profit 1.0%
# Risk Filter      : —
# ══════════════════════════════════════════════════════════════

# ============================================================
# SECTION 0 — IMPORTS & CONSTANTS
import numpy as np
import pandas as pd

DATA_PATH = "/root/Desktop/QuantifyMe/data/ohlc/GBPUSD_15min.parquet"
START_DATE = "2025-04-24"
END_DATE   = "2026-04-24"
VALIDATION_DATE = ""
TRAIN_SPLIT = 0.7

# SECTION 1 — FEATURE ENGINEERING
def feature_engineering(df, close, open_, high, low):
    # ── SMA features (required) ──────────────────────────────────────────────
    for period in [20, 50, 200]:
        sma = close.rolling(period).mean()
        df[f"sma_{period}"] = sma
        df[f"dm_sma_{period}"] = (close - sma) / sma

    # ── SMA crossover signals ────────────────────────────────────────────────
    sma_20 = close.rolling(20).mean()
    sma_50 = close.rolling(50).mean()
    sma_200 = close.rolling(200).mean()

    df["sma_20_50_cross"] = np.where(sma_20 > sma_50, 1.0, -1.0)
    df["sma_20_200_cross"] = np.where(sma_20 > sma_200, 1.0, -1.0)
    df["sma_50_200_cross"] = np.where(sma_50 > sma_200, 1.0, -1.0)

    # ── Price momentum features ──────────────────────────────────────────────
    for lag in [1, 2, 4, 8, 16]:
        df[f"ret_{lag}"] = close.pct_change(lag)

    # ── Volatility: rolling std of returns ──────────────────────────────────
    ret_1 = close.pct_change(1)
    for window in [8, 20, 50]:
        df[f"vol_{window}"] = ret_1.rolling(window).std()

    # ── ATR (Average True Range) ─────────────────────────────────────────────
    tr = pd.concat([
        high - low,
        (high - close.shift(1)).abs(),
        (low  - close.shift(1)).abs()
    ], axis=1).max(axis=1)

    for atr_period in [14, 50]:
        atr = tr.rolling(atr_period).mean()
        df[f"atr_{atr_period}"] = atr
        df[f"natr_{atr_period}"] = atr / close

    # ── RSI ──────────────────────────────────────────────────────────────────
    for rsi_period in [14, 28]:
        delta = close.diff()
        gain  = delta.clip(lower=0).rolling(rsi_period).mean()
        loss  = (-delta.clip(upper=0)).rolling(rsi_period).mean()
        rs    = gain / (loss + 1e-10)
        df[f"rsi_{rsi_period}"] = 100 - (100 / (1 + rs))

    # ── MACD ─────────────────────────────────────────────────────────────────
    ema_12 = close.ewm(span=12, adjust=False).mean()
    ema_26 = close.ewm(span=26, adjust=False).mean()
    macd_line   = ema_12 - ema_26
    signal_line = macd_line.ewm(span=9, adjust=False).mean()
    df["macd"]           = macd_line
    df["macd_signal"]    = signal_line
    df["macd_hist"]      = macd_line - signal_line
    df["macd_hist_norm"] = (macd_line - signal_line) / (close + 1e-10)

    # ── Bollinger Bands ───────────────────────────────────────────────────────
    for bb_period in [20, 50]:
        bb_mid  = close.rolling(bb_period).mean()
        bb_std  = close.rolling(bb_period).std()
        bb_upper = bb_mid + 2.0 * bb_std
        bb_lower = bb_mid - 2.0 * bb_std
        bb_width = (bb_upper - bb_lower) / (bb_mid + 1e-10)
        bb_pos   = (close - bb_lower) / (bb_upper - bb_lower + 1e-10)
        df[f"bb_width_{bb_period}"] = bb_width
        df[f"bb_pos_{bb_period}"]   = bb_pos

    # ── Stochastic Oscillator ────────────────────────────────────────────────
    for stoch_period in [14, 28]:
        lowest_low   = low.rolling(stoch_period).min()
        highest_high = high.rolling(stoch_period).max()
        stoch_k = (close - lowest_low) / (highest_high - lowest_low + 1e-10) * 100
        stoch_d = stoch_k.rolling(3).mean()
        df[f"stoch_k_{stoch_period}"] = stoch_k
        df[f"stoch_d_{stoch_period}"] = stoch_d

    # ── Rate of Change (ROC) ──────────────────────────────────────────────────
    for roc_period in [5, 10, 20]:
        df[f"roc_{roc_period}"] = close.pct_change(roc_period)

    # ── Candle body and shadow features ──────────────────────────────────────
    body        = (close - open_).abs()
    candle_range = (high - low).abs()
    df["body_ratio"]       = body / (candle_range + 1e-10)
    df["upper_shadow"]     = (high - pd.concat([close, open_], axis=1).max(axis=1)) / (candle_range + 1e-10)
    df["lower_shadow"]     = (pd.concat([close, open_], axis=1).min(axis=1) - low) / (candle_range + 1e-10)
    df["bullish_candle"]   = np.where(close > open_, 1.0, -1.0)

    # ── Volume-proxy: candle range as volatility proxy ────────────────────────
    df["range_norm"] = candle_range / (close + 1e-10)
    df["range_ma_ratio"] = candle_range / (candle_range.rolling(20).mean() + 1e-10)

    # ── Lag features for return predictors ───────────────────────────────────
    for col_lag in ["rsi_14", "macd_hist", "bb_pos_20"]:
        for lag in [1, 2, 3]:
            df[f"{col_lag}_lag{lag}"] = df[col_lag].shift(lag)

    # ── Distance of close from recent high/low ────────────────────────────────
    for lookback in [10, 20, 50]:
        roll_high = high.rolling(lookback).max()
        roll_low  = low.rolling(lookback).min()
        df[f"dist_high_{lookback}"] = (close - roll_high) / (roll_high + 1e-10)
        df[f"dist_low_{lookback}"]  = (close - roll_low)  / (roll_low  + 1e-10)

    # ── Trend strength: ADX proxy ─────────────────────────────────────────────
    adx_period = 14
    tr_adx  = tr.copy()
    plus_dm  = pd.Series(np.where((high.diff() > 0) & (high.diff() > -low.diff()), high.diff(), 0.0), index=close.index)
    minus_dm = pd.Series(np.where((-low.diff() > 0) & (-low.diff() > high.diff()), -low.diff(), 0.0), index=close.index)
    atr_adx  = tr_adx.rolling(adx_period).mean()
    plus_di  = 100 * plus_dm.rolling(adx_period).mean()  / (atr_adx + 1e-10)
    minus_di = 100 * minus_dm.rolling(adx_period).mean() / (atr_adx + 1e-10)
    dx       = (100 * (plus_di - minus_di).abs() / (plus_di + minus_di + 1e-10))
    df["adx"]       = dx.rolling(adx_period).mean()
    df["plus_di"]   = plus_di
    df["minus_di"]  = minus_di

    # ── Fill NaN from indicator warm-up ──────────────────────────────────────
    df = df.bfill().ffill()

    return df


# SECTION 2 — STRATEGY CONFIG
def strategy_config():
    return {
        "title":            "GBP/USD SMA Trend Gradient Boosting Risk-Adj",
        "model_type":       "GradientBoostingClassifier",
        "model_params":     {
            "n_estimators":     400,
            "max_depth":        4,
            "learning_rate":    0.04,
            "subsample":        0.75,
            "min_samples_leaf": 20,
            "max_features":     "sqrt",
            "n_iter_no_change": 30,
            "validation_fraction": 0.1,
            "tol":              1e-4,
            "random_state":     42,
        },
        "signal_threshold": 0.57,
        "direction":        "both",
        "stop_loss":        0.005,
        "take_profit":      0.010,
        "cooldown":         0,
        "max_positions":    1,
        "on_opposite":      "reverse",
        "session_filter":   [6, 18],
        "min_atr":          0.0002,
        "trend_filter":     "sma_50",
        "target_horizon":   4,
        "objective": (
            "Maximize risk-adjusted return (Sharpe/Calmar) on GBP/USD 15-min data. "
            "GradientBoostingClassifier chosen for its strong bias-variance tradeoff "
            "on medium-sized tabular datasets without needing GPU. "
            "Hyperparameters: moderate depth=4 prevents overfitting, learning_rate=0.04 "
            "with 400 estimators balances convergence vs generalisation, subsample=0.75 "
            "adds stochasticity to reduce variance, min_samples_leaf=20 enforces statistical "
            "significance at each leaf. Early stopping via n_iter_no_change guards against "
            "overfit on the training fold. Signal threshold 0.57 filters marginal signals "
            "to improve precision. SL=0.5%, TP=1.0% gives 1:2 RR. Session filter 6-18 UTC "
            "covers London+NY overlap — highest GBP/USD liquidity and tighter spreads. "
            "sma_50 trend filter ensures we only trade in the direction of medium-term trend, "
            "reducing whipsaw losses. target_horizon=4 bars (1 hour) gives the model enough "
            "time for moves to develop while staying relevant for intraday trading."
        ),
        "notes": (
            "Features: SMA 20/50/200 with distance metrics (core requirement), RSI 14/28, "
            "MACD, Bollinger Bands 20/50, Stochastic 14/28, ATR 14/50, NATR, ROC, ADX, "
            "candle body/shadow ratios, lagged RSI/MACD/BB features, distance from rolling "
            "high/low, SMA crossover signals, multi-lag return features. "
            "All features are backward-looking only (no lookahead bias). "
            "on_opposite=reverse for fast trend-following entries without missing reversals."
        ),
    }