feat(v0.1.0): project foundation with logging and config

2026-01-05 11:06:46 +02:00
commit 090974259e
65 changed files with 718034 additions and 0 deletions
--- a/config/models.yaml
+++ b/config/models.yaml
@@ -0,0 +1,87 @@
+# Machine Learning Model Configuration
+
+pattern_graders:
+  # Individual pattern grading models
+  base_model_type: "RandomForestClassifier"  # RandomForestClassifier, XGBoostClassifier
+  
+  random_forest:
+    n_estimators: 100
+    max_depth: 10
+    min_samples_split: 5
+    min_samples_leaf: 2
+    max_features: "sqrt"
+    random_state: 42
+    n_jobs: -1
+  
+  xgboost:
+    n_estimators: 100
+    max_depth: 6
+    learning_rate: 0.1
+    subsample: 0.8
+    colsample_bytree: 0.8
+    random_state: 42
+  
+  # Feature selection
+  feature_selection:
+    enabled: true
+    method: "mutual_info"  # mutual_info, f_test, chi2
+    top_k_features: 50
+  
+  # Training configuration
+  training:
+    cv_folds: 5
+    scoring_metric: "f1_weighted"
+    early_stopping: true
+    patience: 10
+
+setup_classifier:
+  # Meta-model for complete setup classification
+  model_type: "RandomForestClassifier"
+  
+  # Strategy types
+  strategies:
+    continuation:
+      time_window_start: "03:00"
+      time_window_end: "03:15"
+      min_pattern_count: 2
+      required_patterns: ["fvg", "order_block"]
+    
+    reversal:
+      time_window_start: "03:30"
+      time_window_end: "03:50"
+      min_pattern_count: 2
+      required_patterns: ["fvg", "liquidity"]
+
+# Model evaluation
+evaluation:
+  metrics:
+    - "accuracy"
+    - "precision"
+    - "recall"
+    - "f1_score"
+    - "roc_auc"
+  
+  min_accuracy_threshold: 0.75
+  min_precision_threshold: 0.70
+  min_recall_threshold: 0.65
+
+# Hyperparameter tuning
+tuning:
+  enabled: false
+  method: "grid_search"  # grid_search, random_search, optuna
+  n_iter: 50
+  cv_folds: 5
+  
+  grid_search:
+    param_grids:
+      random_forest:
+        n_estimators: [50, 100, 200]
+        max_depth: [5, 10, 15]
+        min_samples_split: [2, 5, 10]
+
+# Model registry
+registry:
+  track_versions: true
+  auto_promote: false  # Auto-promote best model to "latest"
+  min_improvement: 0.02  # Minimum improvement to promote (2%)
+