74 lines
4.6 KiB
Markdown
74 lines
4.6 KiB
Markdown
# Algo Forge
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**Full refactor of SniperGold SMC Pro+** — 3-engine architecture + hybrid ML.
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## SOURCE ATTRIBUTION (MANDATORY)
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- This project is a **total refactor** (new architecture), **not a direct copy**.
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- Source inspiration & display:
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- **SniperGold SMC Pro+** — `https://www.mql5.com/en/code/75466`
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- Copyright: **Waseem Shahrukh**
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- Attribution is stated in the header of every file, this README, and the "Algo Forge" publication.
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## Baseline (old project — reference, do not delete)
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| Component | Status |
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| `SniperGold_SMC_ProPlus_v4_4.mq5` | Calibrated 2-head ML; test AUC LONG **0.6270** / SHORT **0.6207** |
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| `SniperGold_SMC_ProPlus_v4_5.mq5` | MTF structure + index cache (0 errors / 0 warnings) |
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| `SniperGold_ML.mqh` | MLP 19→12→2 + Platt calibration (not reused in AlgoForge) |
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## Target Architecture (3 Engines + ML)
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| Engine | Function | Status |
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| **Engine 1** | MTF bar collector + reusable index cache (closed-bar lock, chart-TF independent) | ✅ Complete (Phase 1, 2026-08-21) |
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| **Engine 2** | 4 independent signal agents N/C/E/P (dynamic-weight fuzzy) + separate aggregator | ✅ Complete (Phase 2, 2026-08-21) |
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| **Engine 3** | Display like the original 75466 code (reads Engine 1–2 output only) | ✅ Complete (Phase 3, 2026-08-21) |
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| **ML** | LSTM + Regime-Switching (MSM/GARCH) in front of LSTM, ~20-year sample, separate engine; walk-forward + bootstrap CI + multi-seed; deploy only if it beats the baseline | ❌ **No-Go (Phase 4)**: 2-layer LSTM + regime LOST to the baseline (dAUC −0.0196/−0.0134); baseline MLP 0.627/0.621 REMAINS deployed |
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Agent timeframe parameters: **HARDCODED** `AF_E2_TF_S1..S4` = **H4/M30/M15/M3** (N/C/E/P) — manual inputs `InpHtfS1..S4` **removed**; `InpDispTF` (Engine 3, default = chart) remains an input.
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Official old-project documents: `Shared Projects\SniperGold_ML\REFACTOR_ALGOFORGE.md`.
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## Folder Structure (code)
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```
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MQL5\
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├── Include\AlgoForge\
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│ ├── AF_Attribution.mqh # attribution header (MANDATORY, first include)
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│ ├── AF_Defines.mqh # Engine 1–3 constants & result codes
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│ ├── AF_Engine1_MTFData.mqh # Engine 1: class AFEngine1MTF + AFBar
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│ ├── AF_Engine2_Agents.mqh # Engine 2: 4 agents N/C/E/P + fuzzy
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│ ├── AF_Engine2_Aggregator.mqh # Engine 2: aggregator + facade AFEngine2Signals
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│ ├── AF_Engine2_Display.mqh # Engine 2: AFDisplayData builder (display context)
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│ └── AF_Engine3_Render.mqh # Engine 3: pure renderer (draws only)
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├── Experts\
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│ ├── AlgoForge_Engine1_UnitTest.mq5 # Engine 1 unit test (Strategy Tester)
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│ ├── AlgoForge_Engine2_UnitTest.mq5 # Engine 2 unit test (Strategy Tester)
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│ ├── AlgoForge_Engine3_UnitTest.mq5 # Engine 3 unit test (Strategy Tester)
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│ └── AlgoForge_Backtest_Baseline.mq5 # baseline MLP backtest (mode 0 = CSV prob/AUC,
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│ # mode 1 = trade net-of-spread; internal features,
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│ # data source Engine 1; NOT iCustom)
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├── Indicators\AlgoForge\
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│ └── AF_Engine3_Display.mq5 # Engine 3: display indicator (chart)
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└── Profiles\Tester\
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├── AlgoForge_Engine1_UnitTest.XAUUSD.M15.*.ini
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├── AlgoForge_Engine2_UnitTest.XAUUSD.M15.*.ini
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├── AlgoForge_Engine3_UnitTest.XAUUSD.M15.*.ini
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└── AlgoForge_Backtest_Baseline.XAUUSD.M15.*.ini
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```
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Project documentation: `Shared Projects\AlgoForge\` (README, DESIGN, PROGRESS).
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## Session Status
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| Date | Phase | Result |
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| 2026-08-21 | 0–1 | Project structure + attribution; Engine 1 complete; compile 0/0; unit tests PASS=115070 FAIL=0 (20 days) & PASS=8870 FAIL=0 (verification) |
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| 2026-08-21 | 2 | Engine 2 complete (4 agents N/C/E/P + fuzzy + aggregator); compile 0/0; unit tests PASS=21534 FAIL=0 (20 days) & PASS=9942 FAIL=0 (10-day verbose) |
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| 2026-08-21 | 3 | Engine 3 complete (structure/zone/signal/dashboard display, reads Engine 1–2 output only); compile 0/0; unit test **PASS=21528 FAIL=0** (20 days) |
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| 2026-08-21 | 4 | Hybrid ML 2-layer LSTM + regime: **GATE No-Go** (dAUC LONG −0.0196 / SHORT −0.0134 vs 0.627/0.621; negative CI; 0/5 seeds); baseline MLP REMAINS deployed |
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| 2026-08-21 | 5 | Verification & publication: compile 0/0 + Engine 1–3 unit-test regression (PASS 115070/21534/21528, FAIL=0); honest net-of-spread baseline backtest (CSV/AUC: LONG 0.5305 / SHORT 0.5487 on the XAUUSD feed; 308 trades, PF 1.32) |
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Details: see `PROGRESS.md` and `REFACTOR_ALGOFORGE.md` §10–13, §19–21.
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