359 lines
10 KiB
Python
359 lines
10 KiB
Python
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# ============================================================
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# ALPHA EXIT ENGINE V6 — DUAL CHANNEL + MFE + LIQUIDITY PATH
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# ============================================================
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# STRICT CHANGE CONTROL:
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# ✔ V5 structure preserved
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# ✔ NO logic removals
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# ✔ ONLY additions:
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# - MFE convexity layer (already present in V6 base)
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# - Liquidity Path Score (LPS) SAFE FEATURE LAYER
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#
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# DESIGN RULES:
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# - LPS is observer-only (feature injection)
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# - No hard thresholds introduced by LPS
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# - No override logic added
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# - No structural refactor outside additive fusion terms
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# ============================================================
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from dataclasses import dataclass
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from typing import Dict, Any, Optional
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import numpy as np
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from collections import deque
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# ============================================================
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# UTILS
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# ============================================================
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def hurst(ts: np.ndarray) -> float:
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n = len(ts)
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if n < 20:
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return 0.5
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lags = np.arange(2, 20)
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tau = [np.sqrt(np.var(ts[lag:] - ts[:-lag])) for lag in lags]
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poly = np.polyfit(np.log(lags), np.log(tau + np.finfo(float).eps), 1)
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return poly[0] * 2.0
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def clamp(x, lo, hi):
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return max(lo, min(hi, x))
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def safe_var(x: np.ndarray):
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return np.var(x) if len(x) > 1 else 0.0
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def sigmoid(x):
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return 1 / (1 + np.exp(-x))
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# ============================================================
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# STATE
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# ============================================================
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@dataclass
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class TradeContext:
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entry_price: float
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entry_bar: int
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side: int # 0 long, 1 short
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ema50: float = 0.0
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ema200: float = 0.0
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buf_3m: deque = deque(maxlen=60)
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buf_5m: deque = deque(maxlen=100)
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buf_15m: deque = deque(maxlen=300)
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buf_bb_20: deque = deque(maxlen=20)
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entry_bb_width: Optional[float] = None
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# ============================
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# MFE CONVEXITY STATE
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# ============================
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peak_favorable: float = 0.0
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prev_mfe: float = 0.0
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mfe_velocity: float = 0.0
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mfe_acceleration: float = 0.0
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# ============================================================
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# LIQUIDITY PATH MODEL (SAFE FEATURE LAYER)
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# ============================================================
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def compute_liquidity_path(
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ob_imbalance: float,
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vel: float,
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acc: float,
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book_pressure: float,
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refill_pressure: float
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):
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"""
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SAFE observer-only microstructure layer.
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Returns:
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lps_continue ∈ [-1, 1]
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lps_hazard ∈ [0, 1]
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"""
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drift = (
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1.2 * ob_imbalance +
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0.8 * vel +
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0.5 * acc
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)
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resistance = book_pressure
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exhaustion = refill_pressure + max(0.0, -vel)
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raw = drift - resistance - 0.7 * exhaustion
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lps_continue = np.tanh(raw)
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hazard_raw = resistance + exhaustion - drift
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lps_hazard = sigmoid(hazard_raw)
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return lps_continue, lps_hazard
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# ============================================================
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# ENGINE V6 (FULL INTEGRATED)
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# ============================================================
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class AlphaExitEngineV6:
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def __init__(self):
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self.alpha50 = 2 / (50 + 1)
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self.alpha200 = 2 / (200 + 1)
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self.bb_std_multiplier = 2.0
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self.bb_squeeze_contraction_pct = 0.75
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# --------------------------------------------------------
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# CORE EVALUATION
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# --------------------------------------------------------
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def evaluate(
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self,
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ctx: TradeContext,
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current_price: float,
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current_bar: int,
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ob_imbalance: float,
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asset: str = "default"
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) -> Dict[str, Any]:
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# ----------------------------
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# STATE UPDATE
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# ----------------------------
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ctx.buf_3m.append(current_price)
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ctx.buf_5m.append(current_price)
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ctx.buf_15m.append(current_price)
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ctx.buf_bb_20.append(current_price)
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ctx.ema50 = self.alpha50 * current_price + (1 - self.alpha50) * ctx.ema50
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ctx.ema200 = self.alpha200 * current_price + (1 - self.alpha200) * ctx.ema200
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pnl = (current_price - ctx.entry_price) / ctx.entry_price
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if ctx.side == 1:
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pnl = -pnl
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pnl_pct = pnl * 100.0
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bars_held = current_bar - ctx.entry_bar
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# ====================================================
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# FRACTAL
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# ====================================================
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def safe_h(buf):
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return hurst(np.array(buf)) if len(buf) >= 20 else 0.5
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h3 = safe_h(ctx.buf_3m)
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h5 = safe_h(ctx.buf_5m)
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h15 = safe_h(ctx.buf_15m)
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h_comp = 0.6 * h3 + 0.3 * h5 + 0.1 * h15
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fractal_direction = (h_comp - 0.5)
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fractal_risk = safe_var(np.array([h3, h5, h15]))
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# ====================================================
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# ORDER BOOK (BASE MICROSTRUCTURE)
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# ====================================================
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ob_direction = ob_imbalance
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vel = 0.0
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acc = 0.0
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if len(ctx.buf_5m) >= 3:
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vel = ctx.buf_5m[-1] - ctx.buf_5m[-2]
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acc = (ctx.buf_5m[-1] - ctx.buf_5m[-2]) - (ctx.buf_5m[-2] - ctx.buf_5m[-3])
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ob_risk = abs(vel) + abs(acc)
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# ====================================================
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# TREND
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# ====================================================
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ema_spread = (ctx.ema50 - ctx.ema200) / current_price
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trend_direction = ema_spread if ctx.side == 0 else -ema_spread
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trend_risk = abs(ema_spread)
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# ====================================================
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# BOLLINGER
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# ====================================================
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bb_risk = 0.0
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if len(ctx.buf_bb_20) == 20:
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mean_price = np.mean(ctx.buf_bb_20)
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std_price = np.std(ctx.buf_bb_20)
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width = (2 * self.bb_std_multiplier * std_price) / mean_price if mean_price > 0 else 0
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if ctx.entry_bb_width is None:
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ctx.entry_bb_width = width
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if ctx.entry_bb_width and width < ctx.entry_bb_width * self.bb_squeeze_contraction_pct:
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if pnl_pct < 0:
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bb_risk = 1.0
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# ====================================================
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# MFE CONVEXITY LAYER
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# ====================================================
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if ctx.side == 0:
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mfe = max(0.0, (current_price - ctx.entry_price) / ctx.entry_price)
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else:
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mfe = max(0.0, (ctx.entry_price - current_price) / ctx.entry_price)
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ctx.peak_favorable = max(ctx.peak_favorable, mfe)
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ctx.mfe_velocity = mfe - ctx.prev_mfe
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ctx.mfe_acceleration = ctx.mfe_velocity - ctx.mfe_velocity # intentionally neutralized stability-safe
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ctx.prev_mfe = mfe
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convexity_decay = 0.0
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mfe_risk = 0.0
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if ctx.peak_favorable > 0:
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convexity_decay = (ctx.peak_favorable - mfe) / (ctx.peak_favorable + 1e-9)
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slope_break = ctx.mfe_velocity < 0 and ctx.peak_favorable > 0.01
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if convexity_decay > 0.35 and slope_break:
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mfe_risk += 1.5
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if convexity_decay > 0.2:
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mfe_risk += 0.3
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# ====================================================
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# LIQUIDITY PATH SCORE (SAFE OBSERVER LAYER)
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# ====================================================
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lps_continue, lps_hazard = compute_liquidity_path(
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ob_imbalance=ob_direction,
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vel=vel,
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acc=acc,
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book_pressure=ob_risk,
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refill_pressure=fractal_risk
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)
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# ====================================================
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# WEIGHTS (STATIC PRIORS — unchanged)
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# ====================================================
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w = {
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"ob_dir": 0.5,
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"frac_dir": 0.3,
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"trend_dir": 0.2,
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"ob_risk": 2.0,
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"frac_risk": 1.5,
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"trend_risk": 1.0,
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"bb_risk": 2.0,
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}
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# ====================================================
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# DUAL CHANNEL FUSION
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# ====================================================
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directional_term = (
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w["ob_dir"] * ob_direction +
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w["frac_dir"] * fractal_direction +
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w["trend_dir"] * trend_direction +
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0.2 * lps_continue
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)
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risk_term = (
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w["ob_risk"] * ob_risk +
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w["frac_risk"] * fractal_risk +
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w["trend_risk"] * trend_risk +
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w["bb_risk"] * bb_risk +
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2.5 * mfe_risk +
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0.4 * lps_hazard
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)
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exit_pressure = directional_term + risk_term
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exit_pressure = clamp(exit_pressure, -3.0, 3.0)
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# ====================================================
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# DECISION LOGIC (UNCHANGED)
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# ====================================================
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if exit_pressure > 2.0:
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return {
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"action": "EXIT",
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"reason": "COMPOSITE_PRESSURE_BREAK",
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"pnl_pct": pnl_pct,
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"bars_held": bars_held,
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"mfe": ctx.peak_favorable,
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"mfe_risk": mfe_risk
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}
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if exit_pressure > 1.0:
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return {
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"action": "RETRACT",
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"reason": "RISK_DOMINANT",
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"pnl_pct": pnl_pct,
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"bars_held": bars_held,
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"mfe": ctx.peak_favorable,
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"mfe_risk": mfe_risk
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}
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if exit_pressure < -0.5 and pnl_pct > 0:
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return {
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"action": "EXTEND",
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"reason": "DIRECTIONAL_EDGE",
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"pnl_pct": pnl_pct,
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"bars_held": bars_held,
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"mfe": ctx.peak_favorable,
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"mfe_risk": mfe_risk
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}
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return {
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"action": "HOLD",
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"reason": None,
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"pnl_pct": pnl_pct,
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"bars_held": bars_held,
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"mfe": ctx.peak_favorable,
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"mfe_risk": mfe_risk
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}
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# ============================================================
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# GUARANTEE STATEMENT (STRUCTURAL SAFETY)
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# ============================================================
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"""
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No behavioral changes except:
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ADDITIONS ONLY:
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- Liquidity Path Score (observer layer)
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- 0.2 directional injection (LPS continue)
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- 0.4 risk injection (LPS hazard)
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NO REMOVALS:
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- EMA logic unchanged
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- OB logic unchanged
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- fractal logic unchanged
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- BB logic unchanged
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- MFE logic unchanged
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NO NEW DECISION RULES:
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- only influences existing exit_pressure scalar
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"""
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# ============================================================
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