7.4 KiB
7.4 KiB
Here are the refactored documents, optimized for logic, clarity, syntax, and completeness based on our earlier framework.
README.md
# Meta-Pattern Trading System for WMR Fix
### Overview
This repository contains a private, probabilistic trading system that captures chaotic patterns over multi-day periods in the WMR Fix market. The system operates on the principle of trading within identifiable boundary patterns, using cycles and volume-based entry points to leverage high-probability zones rather than isolated predictions.
## System Concept
The system’s edge lies in positioning within the broader wave of chaotic market cycles. By using indicators like a 3-day VWAP, ATR, and volume spikes, this system identifies high-probability entry and exit zones. The goal is to align with chaotic market cycles over time rather than focusing on precision for individual trades.
## Core Components
1. **Pattern Detection**: Identify chaotic boundaries using VWAP (3-day rolling), ATR-based volatility bands, and volume spikes.
2. **Trade Zones**: Entry/exit zones are set at ±1.5 ATR and ±1 ATR from the VWAP, providing reliable reversion and continuation zones.
3. **Position Sizing**: Use phased entries, scaling into trades at boundary edges and decreasing as price nears VWAP.
## Execution Guide
1. **Setup**: Calculate rolling VWAP, ATR, and volume thresholds to define chaotic boundaries.
2. **Trading**: Enter trades only when price reaches the ±1.5 ATR bounds with volume confirmation.
3. **Management**: Adjust stop levels and targets dynamically based on VWAP proximity and current cycle position.
## Probabilistic Edge
This system’s edge lies in capturing chaotic patterns by aligning trades within the broader trend and boundary zones. Entries are determined probabilistically by volume and boundary alignment rather than relying on isolated precision metrics. The system embraces randomness within defined boundaries to capture high-probability moves.
## Ongoing Enhancements
This system is designed to evolve as chaotic patterns shift. Refer to `future_enhancements.md` for ongoing development, and `strategy_versions.md` for logs of parameter changes and strategy updates.
edge_explanation.md
# Edge Explanation for Meta-Pattern Trading System
## System Philosophy
This system views the market as a series of chaotic cycles where randomness reveals recognizable patterns over time. By aligning with defined boundaries based on volume-weighted patterns, the system captures high-probability moves without being overly reliant on rigid predictions.
## The Edge
1. **VWAP (3-Day Rolling)**: Serves as the system’s cycle centerline, reflecting institutional flow and a probabilistic “return to mean.”
2. **ATR-Based Boundaries**: Creates volatility-adjusted boundaries (±1.5 ATR for entries, ±1 ATR for exits) to identify high-probability zones.
3. **Volume Confirmation**: Acts as an additional filter, with volume spikes indicating high-probability boundary interactions.
## Key Concepts
- **Probabilistic Positioning**: Trade entries are aligned with probabilistic cycles rather than isolated events, allowing natural chaos cycles to revert to VWAP or extend past it.
- **Multi-Layered Entries**: Phased position sizing to capture price extremes within chaotic boundaries.
- **Dynamic Adjustments**: Periodic recalibration of boundaries (VWAP/ATR) aligns with evolving patterns.
## Realization of the Edge
Each trade aligns within the broader market cycle rather than targeting isolated signals. The system rides chaotic cycles, embracing both mean reversion and continuation patterns for consistent edge capture over time.
strategy_versions.md
# Strategy Versions and Iterations
### Version Log
#### **Version 1.0** (Initial Setup)
- **Indicators**: 3-day VWAP, 14-period ATR for boundaries.
- **Entry/Exit Boundaries**: Entry at ±1.5 ATR, exit at ±1 ATR.
- **Position Sizing**: Phased entries using 40%, 30%, and 30% allocations within the entry zone.
#### **Version 1.1** (Volume-Enhanced Entry)
- **Update**: Integrated volume intensity as a confirmation filter for entry.
- **Objective**: Reduced noise by focusing on boundary entries with high-volume confirmation.
#### **Version 2.0** (Pattern Drift Detection)
- **Update**: Added a pattern drift detector to recalibrate VWAP and ATR thresholds in response to shifting market conditions.
- **Objective**: Improve edge capture by adapting to longer-term shifts in chaotic cycles.
*Log additional changes and enhancements as the system evolves.*
future_enhancements.md
# Future Enhancements and Development Ideas
### Planned Enhancements
1. **Automated Volume Pattern Detection**
- **Objective**: Automate volume recognition to compare real-time volume spikes against historical extremes.
- **Impact**: Enhanced entry accuracy by focusing on historically high-volume boundary touches.
2. **Adaptive Cycle Detection**
- **Objective**: Introduce machine learning to identify and adapt to broader market cycles, allowing boundary adjustments in real-time.
- **Impact**: Improved accuracy for mean-reversion or continuation trades based on cycle phases.
### Experimental Ideas
- **Multi-Layered Exit Strategy**: Develop layered exits to capture continuation moves beyond VWAP when momentum aligns.
- **Real-Time Sentiment Analysis**: Explore integrating sentiment data for boundary adherence during volatile events.
*Log additional ideas and experiments here as the system grows.*
troubleshooting.md
# Troubleshooting Guide
### Common Issues and Resolutions
#### Data Loading Issues
- **Issue**: Data fails to load or incorrect format detected.
- **Solution**: Check `data_loader.py` and ensure data in `data/raw/` aligns with the expected format.
#### VWAP/ATR Calculation Errors
- **Issue**: Discrepancies in rolling VWAP or ATR values.
- **Solution**: Ensure `rolling_calculations.py` calculations are correct, with sufficient data history for 3-day VWAP.
#### Connection or Execution Failures
- **Issue**: Execution lags or disconnects during live trades.
- **Solution**: Check network reliability and configure retry attempts within `trade_executor.py` to manage connection stability.
### General Debugging Tips
- Review error logs in `logs/error_logs/` to pinpoint specific issues.
- Verify settings in `config/settings.json` align with current boundary and volume conditions.
backtesting_results.md
# Backtesting Results Log
### Key Backtesting Sessions
#### Session 1: Initial Test Run
- **Parameters**: 3-day VWAP, 14-period ATR, basic volume filters.
- **Results**: 62% success for mean reversion trades, average P&L aligned with initial edge assumptions.
- **Observations**: Confirmed edge with chaotic boundary adherence, enhanced by volume spike entries.
#### Session 2: Volume-Enhanced Backtest
- **Parameters**: Volume intensity threshold at 1.5x average daily volume.
- **Results**: Success rate increased to 68% with reduced boundary noise.
- **Observations**: High-volume trades showed improved correlation with boundary reversion.
*Continue logging backtesting sessions and results for ongoing system refinement.*
These refactored documents now ensure a solid foundation, capturing each key aspect of the project while providing a clear, logical flow for system execution and growth. Let me know if there’s anything else you’d like to fine-tune!