Add negative_ratio parameter to generate_dataset_vectorized() that
samples HOLD candles as label=0 negatives alongside signal candles.
This increases training data from ~535 to ~3,200 samples when enabled.
- Split valid_rows into base_valid (shared) and sig_valid (signal-only)
- Add 'source' column ("signal" vs "hold_negative") for traceability
- HOLD samples get label=0 and random 50/50 side assignment
- Default negative_ratio=0 preserves backward compatibility
- Fix incorrect column count assertion in existing test
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Introduced CLAUDE.md to provide comprehensive guidance on the CoinTrader project, including architecture, common commands, testing, and deployment details. Added settings.json to enable the superpowers plugin for Claude. This enhances the project's documentation and configuration management.
ADX < 25 now returns HOLD in get_signal(), preventing entries during
trendless (sideways) markets. NaN ADX values fall through to existing
weighted signal logic. Also syncs the vectorized dataset builder with
the same ADX filter to keep training data consistent.
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Add ADX (Average Directional Index) with period 14 to calculate_all()
for sideways market filtering. Includes test verifying the adx column
exists and contains non-negative values.
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
- Added a new entry to the training log with detailed metrics for a LightGBM model, including AUC, precision, recall, and tuned parameters.
- Enhanced the MLFilter class to include a guard clause that prevents execution if the filter is disabled, improving robustness.
- Introduced a comprehensive architecture document detailing the CoinTrader system, including an overview, core layer architecture, MLOps pipeline, and key operational scenarios.
- Updated README to reference the new architecture document and added a configuration option to disable the ML filter.
- Enhanced the ML filter to allow for complete signal acceptance when the NO_ML_FILTER environment variable is set.
- Updated the README to clarify the listenKey auto-renewal mechanism, including the use of `stream.recv()` for message reception.
- Added information on immediate reconnection upon detecting internal error payloads to prevent zombie connections.
- Introduced User Data Stream to detect TP/SL executions in real-time.
- Added a new class `UserDataStream` for managing the stream and handling events.
- Updated `bot.py` to initialize and run the User Data Stream in parallel with the candle stream.
- Enhanced `notifier.py` to send detailed Discord notifications including estimated vs actual PnL.
- Added methods in `exchange.py` for managing listenKey lifecycle (create, keepalive, delete).
- Refactored PnL recording and notification logic to streamline handling of position closures.
Made-with: Cursor
- __init__에 _entry_price, _entry_quantity 상태 변수 추가 (None 초기화)
- _open_position()에서 current_trade_side 저장 직후 진입가/수량 저장
- _calc_estimated_pnl() 헬퍼: LONG/SHORT 방향별 예상 PnL 계산
- _on_position_closed() 콜백: UDS 청산 감지 시 PnL 기록·알림·상태 초기화
Made-with: Cursor
- Updated timestamp and elapsed seconds in models/active_lgbm_params.json.
- Adjusted baseline AUC and fold AUCs to reflect new model performance.
- Added a new entry in models/training_log.json with detailed metrics from the latest training run, including tuned parameters and model path.
Made-with: Cursor
- tune_hyperparams.py: 탐색 완료 후 Best AUC > Baseline AUC 이면
models/active_lgbm_params.json 자동 갱신
- tune_hyperparams.py: 베이스라인을 active 파일 기준으로 측정
(active 없으면 코드 내 기본값 사용)
- train_model.py: _load_lgbm_params()에 active 파일 자동 탐색 추가
우선순위: --tuned-params > active_lgbm_params.json > 하드코딩 기본값
- models/active_lgbm_params.json: 현재 best 파라미터로 초기화
- .gitignore: tune_results_*.json 제외, active 파일은 git 추적 유지
Made-with: Cursor
- scripts/tune_hyperparams.py: Optuna + Walk-Forward 5폴드 AUC 목적 함수
- 데이터셋 1회 캐싱으로 모든 trial 공유 (속도 최적화)
- num_leaves <= 2^max_depth - 1 제약 강제 (소규모 데이터 과적합 방지)
- MedianPruner로 저성능 trial 조기 종료
- 결과: 콘솔 리포트 + models/tune_results_YYYYMMDD_HHMMSS.json
- requirements.txt: optuna>=3.6.0 추가
- README.md: 하이퍼파라미터 자동 튜닝 사용법 섹션 추가
- docs/plans/: 설계 문서 및 구현 플랜 추가
Made-with: Cursor
- Added `--upsert` flag to `fetch_history.py` for merging new data into existing parquet files.
- Implemented `upsert_parquet()` function to update existing rows with new values where `oi_change` and `funding_rate` are 0.0, while appending new rows.
- Created tests in `tests/test_fetch_history.py` to validate upsert behavior.
- Updated `.gitignore` to include `.cursor/` directory.
Made-with: Cursor
바이낸스 OI 히스토리 API가 최근 30일치만 제공하는 제약을 우회하기 위해
upsert_parquet() 함수를 추가. 매일 실행 시 기존 parquet의 oi_change/funding_rate가
0.0인 구간만 신규 값으로 덮어써 점진적으로 과거 데이터를 채워나감.
--no-upsert 플래그로 기존 덮어쓰기 동작 유지 가능.
Made-with: Cursor
- _fetch_market_microstructure: oi_val > 0 체크 후에만 _calc_oi_change 호출하여
API 실패(None/Exception) 시 0.0으로 폴백하고 _prev_oi 상태 오염 방지
- README: ML 피처 수 오기재 수정 (25개 → 23개)
- tests: _calc_oi_change 첫 캔들 및 API 실패 시 상태 보존 유닛 테스트 추가
Made-with: Cursor
- Add asyncio import to bot.py
- Add _prev_oi state for OI change rate calculation
- Add _fetch_market_microstructure() for concurrent OI/funding rate fetch with exception fallback
- Add _calc_oi_change() for relative OI change calculation
- Always call build_features() before ML filter check in process_candle()
- Pass oi_change/funding_rate kwargs to build_features() in both process_candle() and _close_and_reenter()
- Update _close_and_reenter() signature to accept oi_change/funding_rate params
Made-with: Cursor
- Changed python-binance version requirement from 1.0.19 to >=1.0.28 for better compatibility and features.
- Modified exception handling in the cancel_all_orders method to catch all exceptions instead of just BinanceAPIException, enhancing robustness.
- Updated the cancel_all_orders method to also cancel all Algo open orders in addition to regular open orders.
- Added error handling to log warnings if the cancellation of Algo orders fails.
- Introduced support for Algo Order API, allowing automatic sending of STOP_MARKET and TAKE_PROFIT_MARKET orders.
- Updated README.md to include new features related to Algo Order API and real-time handling of ML features.
- Enhanced ML feature processing to fill missing OI and funding rate values with zeros for consistency in training data.
- Added new training log entries for the lgbm model with updated metrics.
- Updated README.md to reflect new features including dynamic margin ratio, model hot-reload, and multi-symbol streaming.
- Modified bot logic to ensure raw signals are passed to the `_close_and_reenter` method, even when the ML filter is loaded.
- Introduced a new script `run_tests.sh` for streamlined test execution.
- Improved test coverage for signal processing and re-entry logic, ensuring correct behavior under various conditions.
- Added `_close_and_reenter` method to handle immediate re-entry after closing a position when a reverse signal is detected, contingent on passing the ML filter.
- Updated `process_candle` to call `_close_and_reenter` instead of `_close_position` for reverse signals.
- Enhanced test coverage for the new functionality, ensuring correct behavior under various conditions, including ML filter checks and position limits.
- Added new training log entries for lgbm backend with AUC, precision, and recall metrics.
- Enhanced deploy_model.sh to manage ONNX and lgbm model files based on the selected backend.
- Adjusted output shape in mlx_filter.py for ONNX export to support dynamic batch sizes.
