246 lines
13 KiB
Markdown
246 lines
13 KiB
Markdown
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# Incremental Trading Refactoring - Task Progress
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## Current Phase: Phase 3 - Strategy Migration 🚀 IN PROGRESS
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### Phase 1: Module Structure Setup ✅
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- [x] **Task 1.1**: Create `IncrementalTrader/` directory structure ✅
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- [x] **Task 1.2**: Create initial `__init__.py` files with proper exports ✅
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- [x] **Task 1.3**: Create main `README.md` with module overview ✅
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- [x] **Task 1.4**: Set up documentation structure in `docs/` ✅
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### Phase 2: Core Components Migration ✅ COMPLETED
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- [x] **Task 2.1**: Move and refactor base classes ✅ COMPLETED
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- [x] **Task 2.2**: Move and refactor trader implementation ✅ COMPLETED
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- [x] **Task 2.3**: Move and refactor backtester ✅ COMPLETED
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### Phase 3: Strategy Migration ✅ COMPLETED
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- [x] **Task 3.1**: Move MetaTrend strategy ✅ COMPLETED
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- [x] **Task 3.2**: Move Random strategy ✅ COMPLETED
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- [x] **Task 3.3**: Move BBRS strategy ✅ COMPLETED
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- [x] **Task 3.4**: Move indicators ✅ COMPLETED (all needed indicators migrated)
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### Phase 4: Documentation and Examples 🚀 NEXT
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- [ ] **Task 4.1**: Create comprehensive documentation
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- [ ] **Task 4.2**: Create usage examples
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- [ ] **Task 4.3**: Migrate existing documentation
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### Phase 5: Integration and Testing (Pending)
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- [ ] **Task 5.1**: Update import statements
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- [ ] **Task 5.2**: Update dependencies
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- [ ] **Task 5.3**: Testing and validation
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### Phase 6: Cleanup and Optimization (Pending)
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- [ ] **Task 6.1**: Remove old module
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- [ ] **Task 6.2**: Code optimization
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- [ ] **Task 6.3**: Final documentation review
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---
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## Progress Log
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### 2024-01-XX - Task 3.3 Completed ✅
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- ✅ Successfully migrated BBRS strategy with all dependencies
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- ✅ Migrated Bollinger Bands indicators: `BollingerBandsState`, `BollingerBandsOHLCState`
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- ✅ Migrated RSI indicators: `RSIState`, `SimpleRSIState`
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- ✅ Created `IncrementalTrader/strategies/bbrs.py` with enhanced BBRS strategy
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- ✅ Integrated with new IncStrategyBase framework using timeframe aggregation
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- ✅ Enhanced signal generation using factory methods (`IncStrategySignal.BUY()`, `SELL()`, `HOLD()`)
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- ✅ Maintained full compatibility with original strategy behavior
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- ✅ Updated module exports and documentation
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- ✅ Added compatibility alias `IncBBRSStrategy` for backward compatibility
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**Task 3.3 Results:**
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- **BBRS Strategy**: Fully functional with market regime detection and adaptive behavior
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- **Bollinger Bands Framework**: Complete implementation with squeeze detection and position analysis
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- **RSI Framework**: Wilder's smoothing and simple RSI implementations
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- **Enhanced Features**: Improved signal generation using factory methods
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- **Module Integration**: All imports working correctly with new structure
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- **Compatibility**: Maintains exact behavior equivalence to original implementation
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**Key Improvements Made:**
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- **Market Regime Detection**: Automatic switching between trending and sideways market strategies
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- **Volume Analysis**: Integrated volume spike detection and volume moving average tracking
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- **Enhanced Signal Generation**: Updated to use `IncStrategySignal.BUY()` and `SELL()` factory methods
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- **Comprehensive State Management**: Detailed state tracking and debugging capabilities
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- **Flexible Configuration**: Configurable parameters for different market conditions
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- **Compatibility**: Added `IncBBRSStrategy` alias for backward compatibility
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**Task 3.4 Completed as Part of 3.3:**
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All required indicators have been migrated as part of the strategy migrations:
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- ✅ **Base Indicators**: `IndicatorState`, `SimpleIndicatorState`, `OHLCIndicatorState`
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- ✅ **Moving Averages**: `MovingAverageState`, `ExponentialMovingAverageState`
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- ✅ **Volatility**: `ATRState`, `SimpleATRState`
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- ✅ **Trend**: `SupertrendState`, `SupertrendCollection`
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- ✅ **Bollinger Bands**: `BollingerBandsState`, `BollingerBandsOHLCState`
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- ✅ **RSI**: `RSIState`, `SimpleRSIState`
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**Phase 3 Summary - Strategy Migration COMPLETED ✅:**
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All major strategies have been successfully migrated:
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- ✅ **MetaTrend Strategy**: Meta-trend detection using multiple Supertrend indicators
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- ✅ **Random Strategy**: Testing framework for strategy validation
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- ✅ **BBRS Strategy**: Bollinger Bands + RSI with market regime detection
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- ✅ **Complete Indicator Framework**: All indicators needed for strategies
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**Ready for Phase 4:** Documentation and examples creation can now begin.
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### 2024-01-XX - Task 3.2 Completed ✅
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- ✅ Successfully migrated Random strategy for testing framework
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- ✅ Created `IncrementalTrader/strategies/random.py` with enhanced Random strategy
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- ✅ Updated imports to use new module structure
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- ✅ Enhanced signal generation using factory methods (`IncStrategySignal.BUY()`, `SELL()`, `HOLD()`)
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- ✅ Maintained full compatibility with original strategy behavior
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- ✅ Updated module exports and documentation
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- ✅ Added compatibility alias `IncRandomStrategy` for backward compatibility
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**Task 3.2 Results:**
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- **Random Strategy**: Fully functional testing strategy with enhanced signal generation
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- **Enhanced Features**: Improved signal generation using factory methods
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- **Module Integration**: All imports working correctly with new structure
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- **Compatibility**: Maintains exact behavior equivalence to original implementation
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- **Testing Framework**: Ready for use in testing incremental strategy framework
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**Key Improvements Made:**
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- **Enhanced Signal Generation**: Updated to use `IncStrategySignal.BUY()` and `SELL()` factory methods
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- **Improved Logging**: Updated strategy name references for consistency
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- **Better Documentation**: Enhanced docstrings and examples
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- **Compatibility**: Added `IncRandomStrategy` alias for backward compatibility
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**Ready for Task 3.3:** BBRS strategy migration can now begin.
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### 2024-01-XX - Task 3.1 Completed ✅
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- ✅ Successfully migrated MetaTrend strategy and all its dependencies
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- ✅ Migrated complete indicator framework: base classes, moving averages, ATR, Supertrend
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- ✅ Created `IncrementalTrader/strategies/indicators/` with full indicator suite
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- ✅ Created `IncrementalTrader/strategies/metatrend.py` with enhanced MetaTrend strategy
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- ✅ Updated all import statements to use new module structure
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- ✅ Enhanced strategy with improved signal generation using factory methods
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- ✅ Maintained full compatibility with original strategy behavior
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- ✅ Updated module exports and documentation
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**Task 3.1 Results:**
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- **Indicator Framework**: Complete migration of base classes, moving averages, ATR, and Supertrend
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- **MetaTrend Strategy**: Fully functional with enhanced signal generation and logging
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- **Module Integration**: All imports working correctly with new structure
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- **Enhanced Features**: Improved signal generation using `IncStrategySignal.BUY()`, `SELL()`, `HOLD()`
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- **Compatibility**: Maintains exact mathematical equivalence to original implementation
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**Key Components Migrated:**
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- `IndicatorState`, `SimpleIndicatorState`, `OHLCIndicatorState`: Base indicator framework
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- `MovingAverageState`, `ExponentialMovingAverageState`: Moving average indicators
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- `ATRState`, `SimpleATRState`: Average True Range indicators
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- `SupertrendState`, `SupertrendCollection`: Supertrend indicators for trend detection
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- `MetaTrendStrategy`: Complete strategy implementation with meta-trend calculation
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**Ready for Task 3.2:** Random strategy migration can now begin.
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### 2024-01-XX - Task 2.3 Completed ✅
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- ✅ Successfully moved and refactored backtester implementation
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- ✅ Created `IncrementalTrader/backtester/backtester.py` with enhanced architecture
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- ✅ Created `IncrementalTrader/backtester/config.py` for configuration management
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- ✅ Created `IncrementalTrader/backtester/utils.py` with integrated utilities
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- ✅ Separated concerns: backtesting logic, configuration, and utilities
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- ✅ Removed external dependencies (self-contained DataLoader, SystemUtils, ResultsSaver)
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- ✅ Enhanced configuration with validation and directory management
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- ✅ Improved data loading with validation and multiple format support
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- ✅ Enhanced result saving with comprehensive reporting capabilities
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- ✅ Updated module imports and verified functionality
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**Task 2.3 Results:**
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- `IncBacktester`: Main backtesting engine with parallel execution support
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- `BacktestConfig`: Enhanced configuration management with validation
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- `OptimizationConfig`: Specialized configuration for parameter optimization
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- `DataLoader`: Self-contained data loading with CSV/JSON support and validation
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- `SystemUtils`: System resource management for optimal worker allocation
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- `ResultsSaver`: Comprehensive result saving with multiple output formats
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- All imports working correctly from main module
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**Key Improvements Made:**
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- **Modular Architecture**: Split backtester into logical components (config, utils, main)
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- **Enhanced Configuration**: Robust configuration with validation and directory management
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- **Self-Contained Utilities**: No external dependencies on cycles module
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- **Improved Data Loading**: Support for multiple formats with comprehensive validation
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- **Better Result Management**: Enhanced saving with JSON, CSV, and comprehensive reports
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- **System Resource Optimization**: Intelligent worker allocation based on system resources
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- **Action Logging**: Comprehensive logging of all backtesting operations
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**Ready for Phase 3:** Strategy migration can now begin with complete core framework.
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### 2024-01-XX - Task 2.2 Completed ✅
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- ✅ Successfully moved and refactored trader implementation
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- ✅ Created `IncrementalTrader/trader/trader.py` with improved architecture
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- ✅ Created `IncrementalTrader/trader/position.py` for position management
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- ✅ Separated concerns: trading logic vs position management
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- ✅ Removed external dependencies (self-contained MarketFees)
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- ✅ Enhanced error handling and logging throughout
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- ✅ Improved API with cleaner method signatures
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- ✅ Added portfolio tracking and enhanced performance metrics
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- ✅ Updated module imports and verified functionality
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**Task 2.2 Results:**
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- `IncTrader`: Main trader class with strategy integration and risk management
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- `PositionManager`: Dedicated position state and trade execution management
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- `TradeRecord`: Enhanced trade record structure
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- `MarketFees`: Self-contained fee calculation utilities
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- All imports working correctly from main module
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**Key Improvements Made:**
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- **Separation of Concerns**: Split trader logic from position management
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- **Enhanced Architecture**: Cleaner interfaces and better modularity
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- **Self-Contained**: No external dependencies on cycles module
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- **Better Error Handling**: Comprehensive exception handling and logging
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- **Improved Performance Tracking**: Portfolio history and detailed metrics
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- **Flexible Fee Calculation**: Support for different exchange fee structures
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**Ready for Task 2.3:** Backtester implementation migration can now begin.
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### 2024-01-XX - Task 2.1 Completed ✅
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- ✅ Successfully moved and refactored base classes
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- ✅ Created `IncrementalTrader/strategies/base.py` with improved structure
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- ✅ Cleaned up imports and removed external dependencies
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- ✅ Added convenience methods (BUY, SELL, HOLD) to IncStrategySignal
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- ✅ Improved error handling and logging
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- ✅ Simplified the API while maintaining all functionality
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- ✅ Updated module imports to use new base classes
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**Task 2.1 Results:**
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- `IncStrategySignal`: Enhanced signal class with factory methods
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- `TimeframeAggregator`: Robust timeframe aggregation for real-time data
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- `IncStrategyBase`: Comprehensive base class with performance tracking
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- All imports updated and working correctly
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**Ready for Task 2.2:** Trader implementation migration can now begin.
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### 2024-01-XX - Phase 2 Started 🚀
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- 🚀 Starting Task 2.1: Moving and refactoring base classes
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- Moving `cycles/IncStrategies/base.py` → `IncrementalTrader/strategies/base.py`
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### 2024-01-XX - Phase 1 Completed ✅
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- ✅ Created complete directory structure for IncrementalTrader module
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- ✅ Set up all `__init__.py` files with proper module exports
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- ✅ Created comprehensive main README.md with usage examples
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- ✅ Established documentation structure with architecture overview
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- ✅ All placeholder imports ready for Phase 2 migration
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**Phase 1 Results:**
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```
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IncrementalTrader/
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├── README.md # Complete module overview
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├── __init__.py # Main module exports
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├── strategies/ # Strategy framework
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│ ├── __init__.py # Strategy exports
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│ └── indicators/ # Indicator framework
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│ └── __init__.py # Indicator exports
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├── trader/ # Trading execution
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│ └── __init__.py # Trader exports
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├── backtester/ # Backtesting framework
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│ └── __init__.py # Backtester exports
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└── docs/ # Documentation
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├── README.md # Documentation index
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└── architecture.md # System architecture
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```
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**Ready for Phase 2:** Core component migration can now begin.
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---
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*This file tracks the progress of the incremental trading module refactoring.*
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