Complete System Portfolio

V4 Ensemble (Production)

• XGBoost Primary
• LightGBM Secondary
• CatBoost Secondary
• Ensemble Method Weighted Avg
• Calibration Platt Scaling

Training Configuration

• Training Data 730 days
• Validation Split 20%
• Cross-Validation 5-Fold WFO
• Label Type Symmetric
• Random Seed 42

Per-Symbol Models

• NVDA 1H Active
• MSFT 1H Active
• QQQ 1H Active
• NVDA 15M MTF
• QQQ 15M MTF

Returns & Momentum

• ret_1h 1-hour return
• ret_3h 3-hour return
• ret_6h 6-hour return
• ret_24h 24-hour return
• ret_skew_20 Return skewness
• ret_kurt_20 Return kurtosis

Volatility (ATR)

• atr_14 14-period ATR
• atr_72 72-period ATR
• atr_14_norm Normalized
• atr_72_norm Normalized
• range_pct Bar range %
• true_range True range

Oscillators (RSI)

• rsi_7 Fast RSI
• rsi_14 Standard RSI
• rsi_21 Slow RSI

Volume Analysis

• vol_ratio_10_30 Volume ratio
• vol_regime_high High volume flag
• volume_zscore_24 Z-score 24h
• volume_surge Surge detection

Smart Filter

Blocks "falling knife" and "pump" entries based on short-term momentum.

• RSI Oversold Block RSI < 20
• RSI Overbought Block RSI > 80
• Capitulation Detection 5+ down bars
• Pump Detection 5+ up bars
• Min Probability 52%

Sentiment Filter

Analyzes recent news to adjust or block signals.

• News Lookback 24 hours
• Very Bearish BLOCK
• Bearish + Long 50% size
• Bullish + Short 50% size
• Keywords Analyzed 40+

Risk Guards

Multiple layers of risk protection.

• Max Daily Loss 10%
• Max Drawdown Pause 20%
• Max Exposure 180%
• Per-Symbol Limit 60%
• Cash Reserve 2%

Execution Gates

Pre-trade validation checks.

• Market Hours Required
• Cooldown Period 30 sec
• Stale Signal Check 5 min max
• Duplicate Prevention Active
• Kill Switch Available

Position Sizing

• Method ATR-Based
• Base Risk 1% equity
• ATR Multiplier 2.5x
• Max Per Trade 40%

Stop Loss

• Initial Stop 2.5 ATR
• Trailing Stop Enabled
• Activation 1.0 ATR profit
• Trail Distance 4%

Take Profit

• Target 5.0 ATR
• Risk/Reward 1:2
• Partial Exit Optional
• EOD Close 5 min before

Bracket Orders

• Order Type OTO Bracket
• Stop Order Attached
• Limit Order Attached
• Auto-Cancel On fill

Execution

• Broker Alpaca
• Mode Paper Trading
• API Version v2
• Order Types Market + Bracket

Hosting

• Provider Oracle Cloud
• Region EU Frankfurt
• Uptime 99.9%
• Monitoring systemd + logs

Schedule

• Signal Gen Hourly
• Trading Hours 9:30-16:00 ET
• Skip Open First 5 min
• EOD Close Last 5 min

Data Sources

• Price Data Alpaca Bars
• News Alpaca News API
• Historical Yahoo Finance
• Real-time WebSocket