Remove deprecated training scripts and Systemd service files

- Deleted `install_cron.sh`, `setup_schedule.sh`, and `train_daily.sh` as part of the transition to a new scheduling mechanism.
- Removed associated Systemd service and timer files for daily model training.
- Updated `live_regime_strategy.py` and `main.py` to reflect changes in model training and scheduling logic.
- Adjusted `regime_strategy.py` to align with new target calculation methods and updated optimal parameters.
- Enhanced `regime_detection.py` to incorporate path-dependent labeling for target calculations.

install_cron.sh

@@ -1,29 +0,0 @@
-#!/bin/bash
-# Install cron job for daily model training
-# Runs daily at 00:30
-
-PROJECT_DIR="/home/tamaya/Documents/Work/TCP/lowkey_backtest_live"
-SCRIPT_PATH="$PROJECT_DIR/train_daily.sh"
-LOG_PATH="$PROJECT_DIR/logs/training.log"
-
-# Check if script exists
-if [ ! -f "$SCRIPT_PATH" ]; then
-    echo "Error: $SCRIPT_PATH not found!"
-    exit 1
-fi
-
-# Make executable
-chmod +x "$SCRIPT_PATH"
-
-# Prepare cron entry
-# 30 0 * * * = 00:30 daily
-CRON_CMD="30 0 * * * $SCRIPT_PATH >> $LOG_PATH 2>&1"
-
-# Check if job already exists
-(crontab -l 2>/dev/null | grep -F "$SCRIPT_PATH") && echo "Cron job already exists." && exit 0
-
-# Add to crontab
-(crontab -l 2>/dev/null; echo "$CRON_CMD") | crontab -
-
-echo "Cron job installed successfully:"
-echo "$CRON_CMD"

live_trading/live_regime_strategy.py

@@ -6,6 +6,7 @@ Uses a pre-trained ML model or trains on historical data.
 """
 import logging
 import pickle
+import time
 from pathlib import Path
 from typing import Optional
 
@@ -39,8 +40,9 @@ class LiveRegimeStrategy:
         self.paths = path_config
         self.model: Optional[RandomForestClassifier] = None
         self.feature_cols: Optional[list] = None
-        self.horizon: int = 102  # Default horizon
+        self.horizon: int = 54  # Default horizon
         self._last_model_load_time: float = 0.0
+        self._last_train_time: float = 0.0
         self._load_or_train_model()
     
     def reload_model_if_changed(self) -> None:
@@ -72,6 +74,13 @@ class LiveRegimeStrategy:
                         logger.info(f"Loaded model from {self.paths.model_path} (horizon={self.horizon})")
                     else:
                         logger.info(f"Loaded model from {self.paths.model_path} (default horizon={self.horizon})")
+                    
+                    # Load timestamp if available
+                    if 'timestamp' in saved:
+                        self._last_train_time = saved['timestamp']
+                    else:
+                        self._last_train_time = self._last_model_load_time
+                        
                     return
             except Exception as e:
                 logger.warning(f"Could not load model: {e}")
@@ -88,12 +97,20 @@ class LiveRegimeStrategy:
                 pickle.dump({
                     'model': self.model,
                     'feature_cols': self.feature_cols,
-                    'metrics': {'horizon': self.horizon}  # Save horizon
+                    'metrics': {'horizon': self.horizon},  # Save horizon
+                    'timestamp': time.time()
                 }, f)
             logger.info(f"Saved model to {self.paths.model_path}")
         except Exception as e:
             logger.error(f"Could not save model: {e}")
     
+    def check_retrain(self, features: pd.DataFrame) -> None:
+        """Check if model needs retraining (older than 24h)."""
+        if time.time() - self._last_train_time > 24 * 3600:
+             logger.info("Model is older than 24h. Retraining...")
+             self.train_model(features)
+             self._last_train_time = time.time()
+    
     def train_model(self, features: pd.DataFrame) -> None:
         """
         Train the Random Forest model on historical data.
@@ -106,18 +123,61 @@ class LiveRegimeStrategy:
         z_thresh = self.config.z_entry_threshold
         horizon = self.horizon
         profit_target = 0.005  # 0.5% profit threshold
+        stop_loss_pct = self.config.stop_loss_pct
         
-        # Define targets
-        future_min = features['spread'].rolling(window=horizon).min().shift(-horizon)
-        future_max = features['spread'].rolling(window=horizon).max().shift(-horizon)
+        # Calculate targets path-dependently
+        spread = features['spread'].values
+        z_score = features['z_score'].values
+        n = len(spread)
         
-        target_short = features['spread'] * (1 - profit_target)
-        target_long = features['spread'] * (1 + profit_target)
+        targets = np.zeros(n, dtype=int)
         
-        success_short = (features['z_score'] > z_thresh) & (future_min < target_short)
-        success_long = (features['z_score'] < -z_thresh) & (future_max > target_long)
+        candidates = np.where((z_score > z_thresh) | (z_score < -z_thresh))[0]
         
-        targets = np.select([success_short, success_long], [1, 1], default=0)
+        for i in candidates:
+            if i + horizon >= n:
+                continue
+                
+            entry_price = spread[i]
+            future_prices = spread[i+1 : i+1+horizon]
+            
+            if z_score[i] > z_thresh: # Short
+                target_price = entry_price * (1 - profit_target)
+                stop_price = entry_price * (1 + stop_loss_pct)
+                
+                hit_tp = future_prices <= target_price
+                hit_sl = future_prices >= stop_price
+                
+                if not np.any(hit_tp):
+                    targets[i] = 0
+                elif not np.any(hit_sl):
+                    targets[i] = 1
+                else:
+                    first_tp_idx = np.argmax(hit_tp)
+                    first_sl_idx = np.argmax(hit_sl)
+                    if first_tp_idx < first_sl_idx:
+                        targets[i] = 1
+                    else:
+                        targets[i] = 0
+            
+            else: # Long
+                target_price = entry_price * (1 + profit_target)
+                stop_price = entry_price * (1 - stop_loss_pct)
+                
+                hit_tp = future_prices >= target_price
+                hit_sl = future_prices <= stop_price
+                
+                if not np.any(hit_tp):
+                    targets[i] = 0
+                elif not np.any(hit_sl):
+                    targets[i] = 1
+                else:
+                    first_tp_idx = np.argmax(hit_tp)
+                    first_sl_idx = np.argmax(hit_sl)
+                    if first_tp_idx < first_sl_idx:
+                        targets[i] = 1
+                    else:
+                        targets[i] = 0
         
         # Exclude non-feature columns
         exclude = ['spread', 'btc_close', 'eth_close', 'eth_volume']
@@ -127,8 +187,10 @@ class LiveRegimeStrategy:
         X = features[self.feature_cols].fillna(0)
         X = X.replace([np.inf, -np.inf], 0)
         
-        # Remove rows with invalid targets
-        valid_mask = ~np.isnan(targets) & future_min.notna().values & future_max.notna().values
+        # Use rows where we had enough data to look ahead
+        valid_mask = np.zeros(n, dtype=bool)
+        valid_mask[:n-horizon] = True
+        
         X_clean = X[valid_mask]
         y_clean = targets[valid_mask]
         
@@ -152,7 +214,8 @@ class LiveRegimeStrategy:
     def generate_signal(
         self,
         features: pd.DataFrame,
-        current_funding: dict
+        current_funding: dict,
+        position_side: Optional[str] = None
     ) -> dict:
         """
         Generate trading signal from latest features.
@@ -160,10 +223,14 @@ class LiveRegimeStrategy:
         Args:
             features: DataFrame with calculated features
             current_funding: Dictionary with funding rate data
+            position_side: Current position side ('long', 'short', or None)
             
         Returns:
             Signal dictionary with action, side, confidence, etc.
         """
+        # Check if retraining is needed
+        self.check_retrain(features)
+
         if self.model is None:
             # Train model if not available
             if len(features) >= 200:
@@ -233,12 +300,17 @@ class LiveRegimeStrategy:
                 signal['action'] = 'hold'
                 signal['reason'] = f'funding_filter_blocked_short (funding={btc_funding:.4f})'
         
-        # Check for exit conditions (mean reversion complete)
-        if signal['action'] == 'hold':
-            # Z-score crossed back through 0
-            if abs(z_score) < 0.3:
+        # Check for exit conditions (Overshoot Logic)
+        if signal['action'] == 'hold' and position_side:
+             # Overshoot Logic
+             # If Long, exit if Z > 0.5 (Reverted past 0 to +0.5)
+             if position_side == 'long' and z_score > 0.5:
                   signal['action'] = 'check_exit'
-                signal['reason'] = f'z_score_reverted_to_mean ({z_score:.2f})'
+                  signal['reason'] = f'overshoot_exit_long (z={z_score:.2f} > 0.5)'
+             # If Short, exit if Z < -0.5 (Reverted past 0 to -0.5)
+             elif position_side == 'short' and z_score < -0.5:
+                  signal['action'] = 'check_exit'
+                  signal['reason'] = f'overshoot_exit_short (z={z_score:.2f} < -0.5)'
         
         logger.info(
             f"Signal: {signal['action']} {signal['side'] or ''} "

live_trading/main.py

@@ -206,11 +206,16 @@ class LiveTradingBot:
             # 3. Sync with exchange positions
             self.position_manager.sync_with_exchange()
             
+            # Get current position side for signal generation
+            symbol = self.trading_config.eth_symbol
+            position = self.position_manager.get_position_for_symbol(symbol)
+            position_side = position.side if position else None
+            
             # 4. Get current funding rates
             funding = self.data_feed.get_current_funding_rates()
             
             # 5. Generate trading signal
-            sig = self.strategy.generate_signal(features, funding)
+            sig = self.strategy.generate_signal(features, funding, position_side=position_side)
             
             # 6. Update shared state with strategy info
             self._update_strategy_state(sig, funding)

research/regime_detection.py

@@ -32,6 +32,7 @@ logger = get_logger(__name__)
 # Configuration
 TRAIN_RATIO = 0.7  # 70% train, 30% test
 PROFIT_THRESHOLD = 0.005  # 0.5% profit target
+STOP_LOSS_PCT = 0.06  # 6% stop loss
 Z_WINDOW = 24
 FEE_RATE = 0.001  # 0.1% round-trip fee
 DEFAULT_DAYS = 90  # Default lookback period in days
@@ -139,26 +140,74 @@ def calculate_features(df_btc, df_eth, cq_df=None):
 
 
 def calculate_targets(features, horizon):
-    """Calculate target labels for a given horizon."""
-    spread = features['spread']
-    z_score = features['z_score']
+    """
+    Calculate target labels for a given horizon.
     
-    # For Short (Z > 1): Did spread drop below target?
-    future_min = spread.rolling(window=horizon).min().shift(-horizon)
-    target_short = spread * (1 - PROFIT_THRESHOLD)
-    success_short = (z_score > 1.0) & (future_min < target_short)
+    Uses path-dependent labeling: Success is hitting Profit Target BEFORE Stop Loss.
+    """
+    spread = features['spread'].values
+    z_score = features['z_score'].values
+    n = len(spread)
     
-    # For Long (Z < -1): Did spread rise above target?
-    future_max = spread.rolling(window=horizon).max().shift(-horizon)
-    target_long = spread * (1 + PROFIT_THRESHOLD)
-    success_long = (z_score < -1.0) & (future_max > target_long)
-    
-    targets = np.select([success_short, success_long], [1, 1], default=0)
+    targets = np.zeros(n, dtype=int)
     
     # Create valid mask (rows with complete future data)
-    valid_mask = future_min.notna() & future_max.notna()
+    valid_mask = np.zeros(n, dtype=bool)
+    valid_mask[:n-horizon] = True
     
-    return targets, valid_mask, future_min, future_max
+    # Only iterate relevant rows for efficiency
+    candidates = np.where((z_score > 1.0) | (z_score < -1.0))[0]
+    
+    for i in candidates:
+        if i + horizon >= n:
+            continue
+            
+        entry_price = spread[i]
+        future_prices = spread[i+1 : i+1+horizon]
+        
+        if z_score[i] > 1.0: # Short
+            target_price = entry_price * (1 - PROFIT_THRESHOLD)
+            stop_price = entry_price * (1 + STOP_LOSS_PCT)
+            
+            # Identify first hit indices
+            hit_tp = future_prices <= target_price
+            hit_sl = future_prices >= stop_price
+            
+            if not np.any(hit_tp):
+                targets[i] = 0 # Target never hit
+            elif not np.any(hit_sl):
+                targets[i] = 1 # Target hit, SL never hit
+            else:
+                first_tp_idx = np.argmax(hit_tp)
+                first_sl_idx = np.argmax(hit_sl)
+                
+                # Success if TP hit before SL
+                if first_tp_idx < first_sl_idx:
+                    targets[i] = 1
+                else:
+                    targets[i] = 0
+                    
+        else: # Long
+            target_price = entry_price * (1 + PROFIT_THRESHOLD)
+            stop_price = entry_price * (1 - STOP_LOSS_PCT)
+            
+            hit_tp = future_prices >= target_price
+            hit_sl = future_prices <= stop_price
+            
+            if not np.any(hit_tp):
+                targets[i] = 0
+            elif not np.any(hit_sl):
+                targets[i] = 1
+            else:
+                first_tp_idx = np.argmax(hit_tp)
+                first_sl_idx = np.argmax(hit_sl)
+                
+                if first_tp_idx < first_sl_idx:
+                    targets[i] = 1
+                else:
+                    targets[i] = 0
+    
+    return targets, pd.Series(valid_mask, index=features.index), None, None
 
 
 def calculate_mae(features, predictions, test_idx, horizon):
@@ -197,7 +246,7 @@ def calculate_mae(features, predictions, test_idx, horizon):
 def calculate_net_profit(features, predictions, test_idx, horizon):
     """
     Calculate estimated net profit including fees.
-    Enforces 'one trade at a time' to avoid inflating returns with overlapping signals.
+    Enforces 'one trade at a time' and simulates SL/TP exits.
     """
     test_features = features.loc[test_idx]
     spread = test_features['spread']
@@ -209,6 +258,9 @@ def calculate_net_profit(features, predictions, test_idx, horizon):
     # Track when we are free to trade again
     next_trade_idx = 0
     
+    # Pre-calculate indices for speed
+    all_indices = features.index
+    
     for i, (idx, pred) in enumerate(zip(test_idx, predictions)):
         # Skip if we are still in a trade
         if i < next_trade_idx:
@@ -221,29 +273,76 @@ def calculate_net_profit(features, predictions, test_idx, horizon):
         z = z_score.loc[idx]
         
         # Get future spread values
-        future_idx = features.index.get_loc(idx)
-        future_end = min(future_idx + horizon, len(features))
-        future_spreads = features['spread'].iloc[future_idx:future_end]
+        current_loc = features.index.get_loc(idx)
+        future_end_loc = min(current_loc + horizon, len(features))
+        future_spreads = features['spread'].iloc[current_loc+1 : future_end_loc]
         
-        if len(future_spreads) < 2:
+        if len(future_spreads) < 1:
             continue
         
-        # Calculate PnL based on direction
-        if z > 1.0:  # Short trade - profit if spread drops
-            exit_spread = future_spreads.iloc[-1]  # Exit at horizon
-            pnl = (entry_spread - exit_spread) / entry_spread
-        else:  # Long trade - profit if spread rises
-            exit_spread = future_spreads.iloc[-1]
-            pnl = (exit_spread - entry_spread) / entry_spread
+        pnl = 0.0
+        trade_duration = len(future_spreads)
+        
+        if z > 1.0:  # Short trade
+            tp_price = entry_spread * (1 - PROFIT_THRESHOLD)
+            sl_price = entry_spread * (1 + STOP_LOSS_PCT)
+            
+            hit_tp = future_spreads <= tp_price
+            hit_sl = future_spreads >= sl_price
+            
+            # Check what happened first
+            first_tp = np.argmax(hit_tp.values) if hit_tp.any() else 99999
+            first_sl = np.argmax(hit_sl.values) if hit_sl.any() else 99999
+            
+            if first_sl < first_tp and first_sl < 99999:
+                # Stopped out
+                exit_price = future_spreads.iloc[first_sl] # Approx SL price
+                # Use exact SL price for realistic simulation? Or close
+                # Let's use the close price of the bar where it crossed
+                pnl = (entry_spread - exit_price) / entry_spread
+                trade_duration = first_sl + 1
+            elif first_tp < first_sl and first_tp < 99999:
+                # Take profit
+                exit_price = future_spreads.iloc[first_tp]
+                pnl = (entry_spread - exit_price) / entry_spread
+                trade_duration = first_tp + 1
+            else:
+                # Held to horizon
+                exit_price = future_spreads.iloc[-1]
+                pnl = (entry_spread - exit_price) / entry_spread
+                
+        else:  # Long trade
+            tp_price = entry_spread * (1 + PROFIT_THRESHOLD)
+            sl_price = entry_spread * (1 - STOP_LOSS_PCT)
+            
+            hit_tp = future_spreads >= tp_price
+            hit_sl = future_spreads <= sl_price
+            
+            first_tp = np.argmax(hit_tp.values) if hit_tp.any() else 99999
+            first_sl = np.argmax(hit_sl.values) if hit_sl.any() else 99999
+            
+            if first_sl < first_tp and first_sl < 99999:
+                # Stopped out
+                exit_price = future_spreads.iloc[first_sl]
+                pnl = (exit_price - entry_spread) / entry_spread
+                trade_duration = first_sl + 1
+            elif first_tp < first_sl and first_tp < 99999:
+                # Take profit
+                exit_price = future_spreads.iloc[first_tp]
+                pnl = (exit_price - entry_spread) / entry_spread
+                trade_duration = first_tp + 1
+            else:
+                # Held to horizon
+                exit_price = future_spreads.iloc[-1]
+                pnl = (exit_price - entry_spread) / entry_spread
         
         # Subtract fees
         net_pnl = pnl - FEE_RATE
         total_pnl += net_pnl
         n_trades += 1
         
-        # Set next available trade index (simple non-overlapping logic)
-        # We assume we hold for 'horizon' bars
-        next_trade_idx = i + horizon
+        # Set next available trade index
+        next_trade_idx = i + trade_duration
     
     return total_pnl, n_trades
 
@@ -321,7 +420,7 @@ def test_horizons(features, horizons):
     
     print("\n" + "=" * 80)
     print("WALK-FORWARD HORIZON OPTIMIZATION")
-    print(f"Train Ratio: {TRAIN_RATIO*100:.0f}% | Profit Target: {PROFIT_THRESHOLD*100:.1f}% | Fee Rate: {FEE_RATE*100:.2f}%")
+    print(f"Train Ratio: {TRAIN_RATIO*100:.0f}% | Profit Target: {PROFIT_THRESHOLD*100:.1f}% | Stop Loss: {STOP_LOSS_PCT*100:.1f}% | Fee Rate: {FEE_RATE*100:.2f}%")
     print("=" * 80)
     
     for h in horizons:

setup_schedule.sh

@@ -1,16 +0,0 @@
-#!/bin/bash
-# Setup script for Systemd Timer (Daily Training)
-
-SERVICE_FILE="tasks/lowkey-training.service"
-TIMER_FILE="tasks/lowkey-training.timer"
-SYSTEMD_DIR="/etc/systemd/system"
-
-echo "To install the daily training schedule, please run the following commands:"
-echo ""
-echo "sudo cp $SERVICE_FILE $SYSTEMD_DIR/"
-echo "sudo cp $TIMER_FILE $SYSTEMD_DIR/"
-echo "sudo systemctl daemon-reload"
-echo "sudo systemctl enable --now lowkey-training.timer"
-echo ""
-echo "To check the status:"
-echo "systemctl list-timers --all | grep lowkey"

strategies/regime_strategy.py

@@ -30,7 +30,7 @@ class RegimeReversionStrategy(BaseStrategy):
     
     # Optimal parameters from walk-forward research (2025-10 to 2025-12)
     # Research: research/horizon_optimization_results.csv
-    OPTIMAL_HORIZON = 102        # 4.25 days - best Net PnL (+232%)
+    OPTIMAL_HORIZON = 54         # Updated from 102h based on corrected labeling
     OPTIMAL_Z_WINDOW = 24        # 24h rolling window for spread Z-score
     OPTIMAL_TRAIN_RATIO = 0.7    # 70% train / 30% test split
     OPTIMAL_PROFIT_TARGET = 0.005  # 0.5% profit threshold for target definition
@@ -321,21 +321,64 @@ class RegimeReversionStrategy(BaseStrategy):
             train_features: DataFrame containing features for training period only
         """
         threshold = self.profit_target
+        stop_loss_pct = self.stop_loss
         horizon = self.horizon
         z_thresh = self.z_entry_threshold
         
-        # Define targets using ONLY training data
-        # For Short Spread (Z > threshold): Did spread drop below target within horizon?
-        future_min = train_features['spread'].rolling(window=horizon).min().shift(-horizon)
-        target_short = train_features['spread'] * (1 - threshold)
-        success_short = (train_features['z_score'] > z_thresh) & (future_min < target_short)
+        # Calculate targets path-dependently (checking SL before TP)
+        spread = train_features['spread'].values
+        z_score = train_features['z_score'].values
+        n = len(spread)
         
-        # For Long Spread (Z < -threshold): Did spread rise above target within horizon?
-        future_max = train_features['spread'].rolling(window=horizon).max().shift(-horizon)
-        target_long = train_features['spread'] * (1 + threshold)
-        success_long = (train_features['z_score'] < -z_thresh) & (future_max > target_long)
+        targets = np.zeros(n, dtype=int)
         
-        targets = np.select([success_short, success_long], [1, 1], default=0)
+        # Only iterate relevant rows for efficiency
+        candidates = np.where((z_score > z_thresh) | (z_score < -z_thresh))[0]
+        
+        for i in candidates:
+            if i + horizon >= n:
+                continue
+                
+            entry_price = spread[i]
+            future_prices = spread[i+1 : i+1+horizon]
+            
+            if z_score[i] > z_thresh: # Short
+                target_price = entry_price * (1 - threshold)
+                stop_price = entry_price * (1 + stop_loss_pct)
+                
+                hit_tp = future_prices <= target_price
+                hit_sl = future_prices >= stop_price
+                
+                if not np.any(hit_tp):
+                    targets[i] = 0
+                elif not np.any(hit_sl):
+                    targets[i] = 1
+                else:
+                    first_tp_idx = np.argmax(hit_tp)
+                    first_sl_idx = np.argmax(hit_sl)
+                    if first_tp_idx < first_sl_idx:
+                        targets[i] = 1
+                    else:
+                        targets[i] = 0
+                        
+            else: # Long
+                target_price = entry_price * (1 + threshold)
+                stop_price = entry_price * (1 - stop_loss_pct)
+                
+                hit_tp = future_prices >= target_price
+                hit_sl = future_prices <= stop_price
+                
+                if not np.any(hit_tp):
+                    targets[i] = 0
+                elif not np.any(hit_sl):
+                    targets[i] = 1
+                else:
+                    first_tp_idx = np.argmax(hit_tp)
+                    first_sl_idx = np.argmax(hit_sl)
+                    if first_tp_idx < first_sl_idx:
+                        targets[i] = 1
+                    else:
+                        targets[i] = 0
         
         # Build model
         model = RandomForestClassifier(
@@ -351,10 +394,9 @@ class RegimeReversionStrategy(BaseStrategy):
         X_train = train_features[cols].fillna(0)
         X_train = X_train.replace([np.inf, -np.inf], 0)
         
-        # Remove rows with NaN targets (from rolling window at end of training period)
-        valid_mask = ~np.isnan(targets) & ~np.isinf(targets)
-        # Also check for rows where future data doesn't exist (shift created NaNs)
-        valid_mask = valid_mask & (future_min.notna().values) & (future_max.notna().values)
+        # Use rows where we had enough data to look ahead
+        valid_mask = np.zeros(n, dtype=bool)
+        valid_mask[:n-horizon] = True
         
         X_train_clean = X_train[valid_mask]
         targets_clean = targets[valid_mask]

tasks/lowkey-training.service

@@ -1,15 +0,0 @@
-[Unit]
-Description=Lowkey Backtest Daily Model Training
-After=network.target
-
-[Service]
-Type=oneshot
-WorkingDirectory=/home/tamaya/Documents/Work/TCP/lowkey_backtest_live
-ExecStart=/home/tamaya/Documents/Work/TCP/lowkey_backtest_live/train_daily.sh
-User=tamaya
-Group=tamaya
-StandardOutput=append:/home/tamaya/Documents/Work/TCP/lowkey_backtest_live/logs/training.log
-StandardError=append:/home/tamaya/Documents/Work/TCP/lowkey_backtest_live/logs/training.log
-
-[Install]
-WantedBy=multi-user.target

tasks/lowkey-training.timer

@@ -1,10 +0,0 @@
-[Unit]
-Description=Run Lowkey Backtest Training Daily
-
-[Timer]
-OnCalendar=*-*-* 00:30:00
-Persistent=true
-Unit=lowkey-training.service
-
-[Install]
-WantedBy=timers.target

train_daily.sh

@@ -1,50 +0,0 @@
-#!/bin/bash
-# Daily ML Model Training Script
-# 
-# Downloads fresh data and retrains the regime detection model.
-# Can be run manually or scheduled via cron.
-#
-# Usage:
-#   ./train_daily.sh           # Full workflow
-#   ./train_daily.sh --skip-research  # Skip research validation
-
-set -e  # Exit on error
-
-SCRIPT_DIR="$(cd "$(dirname "${BASH_SOURCE[0]}")" && pwd)"
-cd "$SCRIPT_DIR"
-
-LOG_DIR="logs"
-mkdir -p "$LOG_DIR"
-
-TIMESTAMP=$(date +"%Y-%m-%d %H:%M:%S")
-echo "[$TIMESTAMP] Starting daily training..."
-
-# 1. Download fresh data
-echo "Downloading BTC-USDT 1h data..."
-uv run python main.py download -p BTC-USDT -t 1h
-
-echo "Downloading ETH-USDT 1h data..."
-uv run python main.py download -p ETH-USDT -t 1h
-
-# 2. Research optimization (find best horizon)
-echo "Running research optimization..."
-uv run python research/regime_detection.py --output-horizon data/optimal_horizon.txt
-
-# 3. Read best horizon
-if [[ -f "data/optimal_horizon.txt" ]]; then
-    BEST_HORIZON=$(cat data/optimal_horizon.txt)
-    echo "Found optimal horizon: ${BEST_HORIZON} bars"
-else
-    BEST_HORIZON=102
-    echo "Warning: Could not find optimal horizon file. Using default: ${BEST_HORIZON}"
-fi
-
-# 4. Train model
-echo "Training ML model with horizon ${BEST_HORIZON}..."
-uv run python train_model.py --horizon "$BEST_HORIZON"
-
-# 5. Cleanup
-rm -f data/optimal_horizon.txt
-
-TIMESTAMP=$(date +"%Y-%m-%d %H:%M:%S")
-echo "[$TIMESTAMP] Daily training complete."

train_model.py

@@ -1,451 +0,0 @@
-"""
-ML Model Training Script.
-
-Trains the regime detection Random Forest model on historical data.
-Can be run manually or scheduled via cron for daily retraining.
-
-Usage:
-    uv run python train_model.py [options]
-
-Options:
-    --days DAYS        Number of days of historical data to use (default: 90)
-    --pair PAIR        Trading pair for context (default: BTC-USDT)
-    --timeframe TF     Timeframe (default: 1h)
-    --output PATH      Output model path (default: data/regime_model.pkl)
-    --train-ratio R    Train/test split ratio (default: 0.7)
-    --dry-run          Run without saving model
-"""
-import argparse
-import pickle
-import sys
-from datetime import datetime, timedelta
-from pathlib import Path
-
-import numpy as np
-import pandas as pd
-import ta
-from sklearn.ensemble import RandomForestClassifier
-from sklearn.metrics import classification_report, f1_score
-
-from engine.data_manager import DataManager
-from engine.market import MarketType
-from engine.logging_config import get_logger
-
-logger = get_logger(__name__)
-
-# Default configuration (from research optimization)
-DEFAULT_HORIZON = 102         # 4.25 days - optimal from research
-DEFAULT_Z_WINDOW = 24         # 24h rolling window
-DEFAULT_PROFIT_TARGET = 0.005 # 0.5% profit threshold
-DEFAULT_Z_THRESHOLD = 1.0     # Z-score entry threshold
-DEFAULT_TRAIN_RATIO = 0.7     # 70% train / 30% test
-FEE_RATE = 0.001              # 0.1% round-trip fee
-
-
-def parse_args():
-    """Parse command line arguments."""
-    parser = argparse.ArgumentParser(
-        description="Train the regime detection ML model"
-    )
-    parser.add_argument(
-        "--days",
-        type=int,
-        default=90,
-        help="Number of days of historical data to use (default: 90)"
-    )
-    parser.add_argument(
-        "--pair",
-        type=str,
-        default="BTC-USDT",
-        help="Base pair for context data (default: BTC-USDT)"
-    )
-    parser.add_argument(
-        "--spread-pair",
-        type=str,
-        default="ETH-USDT",
-        help="Spread pair to trade (default: ETH-USDT)"
-    )
-    parser.add_argument(
-        "--timeframe",
-        type=str,
-        default="1h",
-        help="Timeframe (default: 1h)"
-    )
-    parser.add_argument(
-        "--market",
-        type=str,
-        choices=["spot", "perpetual"],
-        default="perpetual",
-        help="Market type (default: perpetual)"
-    )
-    parser.add_argument(
-        "--output",
-        type=str,
-        default="data/regime_model.pkl",
-        help="Output model path (default: data/regime_model.pkl)"
-    )
-    parser.add_argument(
-        "--train-ratio",
-        type=float,
-        default=DEFAULT_TRAIN_RATIO,
-        help="Train/test split ratio (default: 0.7)"
-    )
-    parser.add_argument(
-        "--horizon",
-        type=int,
-        default=DEFAULT_HORIZON,
-        help="Prediction horizon in bars (default: 102)"
-    )
-    parser.add_argument(
-        "--dry-run",
-        action="store_true",
-        help="Run without saving model"
-    )
-    parser.add_argument(
-        "--download",
-        action="store_true",
-        help="Download latest data before training"
-    )
-    return parser.parse_args()
-
-
-def download_data(dm: DataManager, pair: str, timeframe: str, market_type: MarketType):
-    """Download latest data for a pair."""
-    logger.info(f"Downloading latest data for {pair}...")
-    try:
-        dm.download_data("okx", pair, timeframe, market_type)
-        logger.info(f"Downloaded {pair} data")
-    except Exception as e:
-        logger.error(f"Failed to download {pair}: {e}")
-        raise
-
-
-def load_data(
-    dm: DataManager,
-    base_pair: str,
-    spread_pair: str,
-    timeframe: str,
-    market_type: MarketType,
-    days: int
-) -> tuple[pd.DataFrame, pd.DataFrame]:
-    """Load and align historical data for both pairs."""
-    df_base = dm.load_data("okx", base_pair, timeframe, market_type)
-    df_spread = dm.load_data("okx", spread_pair, timeframe, market_type)
-    
-    # Filter to last N days
-    end_date = pd.Timestamp.now(tz="UTC")
-    start_date = end_date - timedelta(days=days)
-    
-    df_base = df_base[(df_base.index >= start_date) & (df_base.index <= end_date)]
-    df_spread = df_spread[(df_spread.index >= start_date) & (df_spread.index <= end_date)]
-    
-    # Align indices
-    common = df_base.index.intersection(df_spread.index)
-    df_base = df_base.loc[common]
-    df_spread = df_spread.loc[common]
-    
-    logger.info(
-        f"Loaded {len(common)} bars from {common.min()} to {common.max()}"
-    )
-    return df_base, df_spread
-
-
-def load_cryptoquant_data() -> pd.DataFrame | None:
-    """Load CryptoQuant on-chain data if available."""
-    try:
-        cq_path = Path("data/cq_training_data.csv")
-        if not cq_path.exists():
-            logger.info("CryptoQuant data not found, skipping on-chain features")
-            return None
-        
-        cq_df = pd.read_csv(cq_path, index_col='timestamp', parse_dates=True)
-        if cq_df.index.tz is None:
-            cq_df.index = cq_df.index.tz_localize('UTC')
-        logger.info(f"Loaded CryptoQuant data: {len(cq_df)} rows")
-        return cq_df
-    except Exception as e:
-        logger.warning(f"Could not load CryptoQuant data: {e}")
-        return None
-
-
-def calculate_features(
-    df_base: pd.DataFrame,
-    df_spread: pd.DataFrame,
-    cq_df: pd.DataFrame | None = None,
-    z_window: int = DEFAULT_Z_WINDOW
-) -> pd.DataFrame:
-    """Calculate all features for the model."""
-    spread = df_spread['close'] / df_base['close']
-    
-    # Z-Score
-    rolling_mean = spread.rolling(window=z_window).mean()
-    rolling_std = spread.rolling(window=z_window).std()
-    z_score = (spread - rolling_mean) / rolling_std
-    
-    # Technicals
-    spread_rsi = ta.momentum.RSIIndicator(spread, window=14).rsi()
-    spread_roc = spread.pct_change(periods=5) * 100
-    spread_change_1h = spread.pct_change(periods=1)
-    
-    # Volume
-    vol_ratio = df_spread['volume'] / df_base['volume']
-    vol_ratio_ma = vol_ratio.rolling(window=12).mean()
-    
-    # Volatility
-    ret_base = df_base['close'].pct_change()
-    ret_spread = df_spread['close'].pct_change()
-    vol_base = ret_base.rolling(window=z_window).std()
-    vol_spread = ret_spread.rolling(window=z_window).std()
-    vol_spread_ratio = vol_spread / vol_base
-    
-    features = pd.DataFrame(index=spread.index)
-    features['spread'] = spread
-    features['z_score'] = z_score
-    features['spread_rsi'] = spread_rsi
-    features['spread_roc'] = spread_roc
-    features['spread_change_1h'] = spread_change_1h
-    features['vol_ratio'] = vol_ratio
-    features['vol_ratio_rel'] = vol_ratio / vol_ratio_ma
-    features['vol_diff_ratio'] = vol_spread_ratio
-    
-    # Add CQ features if available
-    if cq_df is not None:
-        cq_aligned = cq_df.reindex(features.index, method='ffill')
-        if 'btc_funding' in cq_aligned.columns and 'eth_funding' in cq_aligned.columns:
-            cq_aligned['funding_diff'] = (
-                cq_aligned['eth_funding'] - cq_aligned['btc_funding']
-            )
-        if 'btc_inflow' in cq_aligned.columns and 'eth_inflow' in cq_aligned.columns:
-            cq_aligned['inflow_ratio'] = (
-                cq_aligned['eth_inflow'] / (cq_aligned['btc_inflow'] + 1)
-            )
-        features = features.join(cq_aligned)
-    
-    return features.dropna()
-
-
-def calculate_targets(
-    features: pd.DataFrame,
-    horizon: int,
-    profit_target: float = DEFAULT_PROFIT_TARGET,
-    z_threshold: float = DEFAULT_Z_THRESHOLD
-) -> tuple[np.ndarray, pd.Series]:
-    """Calculate target labels for training."""
-    spread = features['spread']
-    z_score = features['z_score']
-    
-    # For Short (Z > threshold): Did spread drop below target?
-    future_min = spread.rolling(window=horizon).min().shift(-horizon)
-    target_short = spread * (1 - profit_target)
-    success_short = (z_score > z_threshold) & (future_min < target_short)
-    
-    # For Long (Z < -threshold): Did spread rise above target?
-    future_max = spread.rolling(window=horizon).max().shift(-horizon)
-    target_long = spread * (1 + profit_target)
-    success_long = (z_score < -z_threshold) & (future_max > target_long)
-    
-    targets = np.select([success_short, success_long], [1, 1], default=0)
-    
-    # Create valid mask (rows with complete future data)
-    valid_mask = future_min.notna() & future_max.notna()
-    
-    return targets, valid_mask
-
-
-def train_model(
-    features: pd.DataFrame,
-    train_ratio: float = DEFAULT_TRAIN_RATIO,
-    horizon: int = DEFAULT_HORIZON
-) -> tuple[RandomForestClassifier, list[str], dict]:
-    """
-    Train Random Forest model with walk-forward split.
-    
-    Args:
-        features: DataFrame with calculated features
-        train_ratio: Fraction of data to use for training
-        horizon: Prediction horizon in bars
-        
-    Returns:
-        Tuple of (trained model, feature columns, metrics dict)
-    """
-    # Calculate targets
-    targets, valid_mask = calculate_targets(features, horizon)
-    
-    # Walk-forward split
-    n_samples = len(features)
-    train_size = int(n_samples * train_ratio)
-    
-    train_features = features.iloc[:train_size]
-    test_features = features.iloc[train_size:]
-    
-    train_targets = targets[:train_size]
-    test_targets = targets[train_size:]
-    
-    train_valid = valid_mask.iloc[:train_size]
-    test_valid = valid_mask.iloc[train_size:]
-    
-    # Prepare training data
-    exclude = ['spread']
-    feature_cols = [c for c in features.columns if c not in exclude]
-    
-    X_train = train_features[feature_cols].fillna(0).replace([np.inf, -np.inf], 0)
-    X_train_valid = X_train[train_valid]
-    y_train_valid = train_targets[train_valid]
-    
-    if len(X_train_valid) < 100:
-        raise ValueError(
-            f"Not enough training data: {len(X_train_valid)} samples (need >= 100)"
-        )
-    
-    logger.info(f"Training on {len(X_train_valid)} samples...")
-    
-    # Train model
-    model = RandomForestClassifier(
-        n_estimators=300,
-        max_depth=5,
-        min_samples_leaf=30,
-        class_weight={0: 1, 1: 3},
-        random_state=42
-    )
-    model.fit(X_train_valid, y_train_valid)
-    
-    # Evaluate on test set
-    X_test = test_features[feature_cols].fillna(0).replace([np.inf, -np.inf], 0)
-    predictions = model.predict(X_test)
-    
-    # Only evaluate on valid test rows
-    test_valid_mask = test_valid.values
-    y_test_valid = test_targets[test_valid_mask]
-    pred_valid = predictions[test_valid_mask]
-    
-    # Calculate metrics
-    f1 = f1_score(y_test_valid, pred_valid, zero_division=0)
-    
-    metrics = {
-        'train_samples': len(X_train_valid),
-        'test_samples': len(X_test),
-        'f1_score': f1,
-        'train_end': train_features.index[-1].isoformat(),
-        'test_start': test_features.index[0].isoformat(),
-        'horizon': horizon,
-        'feature_cols': feature_cols,
-    }
-    
-    logger.info(f"Model trained. F1 Score: {f1:.3f}")
-    logger.info(
-        f"Train period: {train_features.index[0]} to {train_features.index[-1]}"
-    )
-    logger.info(
-        f"Test period: {test_features.index[0]} to {test_features.index[-1]}"
-    )
-    
-    return model, feature_cols, metrics
-
-
-def save_model(
-    model: RandomForestClassifier,
-    feature_cols: list[str],
-    metrics: dict,
-    output_path: str,
-    versioned: bool = True
-):
-    """
-    Save trained model to file.
-    
-    Args:
-        model: Trained model
-        feature_cols: List of feature column names
-        metrics: Training metrics
-        output_path: Output file path
-        versioned: If True, also save a timestamped version
-    """
-    output = Path(output_path)
-    output.parent.mkdir(parents=True, exist_ok=True)
-    
-    data = {
-        'model': model,
-        'feature_cols': feature_cols,
-        'metrics': metrics,
-        'trained_at': datetime.now().isoformat(),
-    }
-    
-    # Save main model file
-    with open(output, 'wb') as f:
-        pickle.dump(data, f)
-    logger.info(f"Saved model to {output}")
-    
-    # Save versioned copy
-    if versioned:
-        timestamp = datetime.now().strftime("%Y%m%d_%H%M%S")
-        versioned_path = output.parent / f"regime_model_{timestamp}.pkl"
-        with open(versioned_path, 'wb') as f:
-            pickle.dump(data, f)
-        logger.info(f"Saved versioned model to {versioned_path}")
-
-
-def main():
-    """Main training function."""
-    args = parse_args()
-    
-    market_type = MarketType.PERPETUAL if args.market == "perpetual" else MarketType.SPOT
-    dm = DataManager()
-    
-    # Download latest data if requested
-    if args.download:
-        download_data(dm, args.pair, args.timeframe, market_type)
-        download_data(dm, args.spread_pair, args.timeframe, market_type)
-    
-    # Load data
-    try:
-        df_base, df_spread = load_data(
-            dm, args.pair, args.spread_pair, args.timeframe, market_type, args.days
-        )
-    except Exception as e:
-        logger.error(f"Failed to load data: {e}")
-        logger.info("Try running with --download flag to fetch latest data")
-        sys.exit(1)
-    
-    # Load on-chain data
-    cq_df = load_cryptoquant_data()
-    
-    # Calculate features
-    features = calculate_features(df_base, df_spread, cq_df)
-    logger.info(
-        f"Calculated {len(features)} feature rows with {len(features.columns)} columns"
-    )
-    
-    if len(features) < 200:
-        logger.error(f"Not enough data: {len(features)} rows (need >= 200)")
-        sys.exit(1)
-    
-    # Train model
-    try:
-        model, feature_cols, metrics = train_model(
-            features, args.train_ratio, args.horizon
-        )
-    except ValueError as e:
-        logger.error(f"Training failed: {e}")
-        sys.exit(1)
-    
-    # Print metrics summary
-    print("\n" + "=" * 60)
-    print("TRAINING COMPLETE")
-    print("=" * 60)
-    print(f"Train samples:  {metrics['train_samples']}")
-    print(f"Test samples:   {metrics['test_samples']}")
-    print(f"F1 Score:       {metrics['f1_score']:.3f}")
-    print(f"Horizon:        {metrics['horizon']} bars")
-    print(f"Features:       {len(feature_cols)}")
-    print("=" * 60)
-    
-    # Save model
-    if not args.dry_run:
-        save_model(model, feature_cols, metrics, args.output)
-    else:
-        logger.info("Dry run - model not saved")
-    
-    return 0
-
-
-if __name__ == "__main__":
-    sys.exit(main())