🚀 Modular Algorithmic Trading System

Production-grade backtesting & live trading framework.
Designed for multi-strategy portfolios with proper risk management.

This repository implements a clean, scalable architecture for backtesting and live trading. It features centralized configuration, multi-asset support, and professional reporting.

Current Version: v0.3.0
Strategies: Sunset Ogle (4-phase breakout) + KOI (Engulfing + EMA momentum)
Live Trading: MT5 integration with multi-symbol monitoring

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📂 Project Structure

TradingSystem/
├── config/
│   ├── settings.py              # ⚙️ Central configuration for all strategies
│   ├── bot_settings.py          # 🤖 Live trading settings (broker, timezone)
│   └── credentials/             # 🔐 MT5 login credentials
├── lib/
│   ├── commission.py            # 💰 Forex commission with JPY P&L correction
│   └── filters.py               # 🎯 Reusable filter functions (time, ATR, angle, SL pips)
├── strategies/
│   ├── sunset_ogle.py           # 🌅 4-Phase State Machine strategy
│   └── koi_strategy.py          # 🐟 Engulfing + 5 EMAs + CCI strategy
├── live/
│   ├── connector.py             # 🔌 MT5 connection management
│   ├── executor.py              # 📤 Order execution with position sizing
│   ├── timezone.py              # 🌍 Broker timezone handling
│   └── checkers/                # 🔍 Live signal checkers
│       ├── sunset_ogle_checker.py
│       └── koi_checker.py
├── docs/                        # 📖 Strategy documentation
├── data/                        # 📊 CSV price data (not tracked in git)
├── logs/                        # 📝 Trade logs output
├── run_backtest.py              # 🧪 Backtest entry point
├── run_multi_live.py            # 🚀 Live trading entry point
└── requirements.txt

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⚡ Key Features

🔧 Clean Architecture

• SOLID Principles: Single responsibility per module
• Centralized Config: Change parameters without touching strategy code
• Scalable Design: Easy to add new strategies and assets

🤖 Live Trading (MT5)

• Multi-symbol monitoring: Run 10+ configs simultaneously
• Broker-aware position sizing: Uses tick_value for accurate lot calculation
• Auto-reconnection: Handles MT5 disconnections gracefully
• Timezone handling: Converts broker time (UTC+2) to UTC for filters

💱 JPY Pair Handling (ERIS Logic)

Backtrader has known issues with JPY pairs due to different pip values. This system implements:

• Position Size Normalization: Divides by JPY rate (~150) for margin calculation
• P&L Reconstruction: Multiplies back for accurate profit/loss reporting
• Commission Correction: Calculates real lot size for proper fees

📊 Professional Reporting

• Detailed Trade Reports: Entry/Exit with ATR, Angle, Pips, Duration
• Live Logging: JSON trade logs + detailed monitor logs
• Performance Metrics: Win Rate, Profit Factor, Gross P/L

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🚀 Quick Start

1. Clone & Setup

git clone https://github.com/yourusername/TradingSystem.git
cd TradingSystem
python -m venv venv
venv\Scripts\activate  # Windows
pip install -r requirements.txt

2. Add Your Data

Place your CSV file in the data/ folder. Expected format (Darwinex 5m):

Date,Time,Open,High,Low,Close,Volume
20240701,00:00:00,171.234,171.250,171.200,171.210,1234

3. Configure

Edit config/settings.py to set your data path and parameters.

4. Run

python run_backtest.py

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📈 Sample Output

============================================================
STRATEGY SUMMARY
============================================================
Total Trades: 38
Wins: 12 | Losses: 26
Win Rate: 31.6%
Profit Factor: 1.55
Gross Profit: $12,744.20
Gross Loss: $8,243.33
Total P&L: $4,500.01
Final Value: $104,500.01
============================================================

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📖 Strategy Documentation

Detailed documentation for each implemented strategy:

| Strategy | Assets | Type | Description | |----------|--------|------|-------------| | Sunset Ogle | EURUSD, EURJPY, USDCAD, USDCHF, USDJPY | Trend / Breakout | 4-phase state machine with pullback entry | | KOI | EURUSD, EURJPY, USDCAD, USDCHF, USDJPY | Momentum | Bullish engulfing + 5 EMAs ascending + CCI |

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🚀 Quick Start

Backtesting

python run_backtest.py

Live Trading (Demo)

python run_multi_live.py

Note: Configure your MT5 credentials in config/credentials/ before running live.

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📋 Changelog

v0.3.0 (2026-01-23)

• Critical fix: Added missing ATR filter to KOI live checker (matches backtest)
• Added version tracking to all log events (MONITOR_START, SIGNAL, TRADE)
• Logs now show version in startup header for traceability

v0.2.9 (2026-01-21)

• Improved logging clarity: logs now show config_name (e.g., "EURJPY_KOI") instead of just strategy_name ("KOI")

v0.2.8 (2026-01-21)

• Enhanced logging: shows which EMA failed, ATR in signals, SL pips

v0.2.7 (2026-01-21)

• Critical fix: Added SL Pips Filter to KOI live checker (was missing)

v0.2.6 (2026-01-21)

• Critical fix: Position sizing now uses broker tick_value correctly

v0.2.5 (2026-01-20)

• Multi-symbol live monitoring with 10 concurrent configs
• Broker timezone handling (UTC+2 → UTC conversion)

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🧪 Testing & Validation

This system was validated against the original monolithic implementation:

| Metric | Original | Modular System | Match | |--------|----------|----------------|-------| | Total Trades | 38 | 38 | ✅ | | Win Rate | 31.58% | 31.58% | ✅ | | Total P&L | $4,500.87 | $4,500.01 | ✅ |

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📚 Learning Resources

If you're learning algorithmic trading, this codebase demonstrates:

1. State Machine Design: How to implement complex entry logic
2. Risk Management: Position sizing based on ATR and account equity
3. Forex Specifics: Handling JPY pairs, pip values, lot sizes
4. Clean Code: Separation of concerns, configuration management

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⚠️ Disclaimer

This software is for educational purposes only.

• Past performance does not guarantee future results
• Always paper trade before using real capital
• The authors are not responsible for any financial losses

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📄 License

MIT License - Feel free to use, modify, and distribute.

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🤝 Contributing

Contributions are welcome! Please:

1. Fork the repository
2. Create a feature branch
3. Submit a pull request with clear description