> ## Documentation Index
> Fetch the complete documentation index at: https://docs.novosky.app/llms.txt
> Use this file to discover all available pages before exploring further.

# Roadmap

> Quarterly milestones, feature pipeline, and version history for NOVOSKY.

## Current state — Phase 17.3

| Dimension            | Value                                                                                                 |
| -------------------- | ----------------------------------------------------------------------------------------------------- |
| Signal model         | 62 features · RF+XGB+LGB · 3-class · M15 · Optuna-tuned · recency-weighted                            |
| OOS (37d)            | WR **71.7%** · PF **5.46** · MaxDD **4.5%** · Sharpe **59.54** · Return **+195.7%** · Score **54.47** |
| OOS (224d)           | WR 57.4% · PF 2.21 · MaxDD 50.2% (long-range reference)                                               |
| Position model       | 71 features · ATR-aware labels · exit\_threshold=0.80                                                 |
| Training cutoff      | 2026-05-06 · Hugging Face Hub tag `v20260506`                                                         |
| Infrastructure       | ONNX inference · Hugging Face Hub · Supabase sync                                                     |
| Incremental training | Warmstart enabled by default (LGB+XGB continuation, RF tree-append)                                   |

***

## Q2 2026 (Apr – Jun) — Production hardening + quick wins

Items ordered by implementation impact and dependency.

| Priority | Phase | Item                                                                                    |
| -------- | ----- | --------------------------------------------------------------------------------------- |
| Done     | 15    | Broker-agnostic refactor — dynamic MT5 API, `backtest.py`, `sweep.py`                   |
| Critical | 15    | VM cron — `weekly_optimize.py` (Sunday 02:00 UTC)                                       |
| Critical | 15    | Broker safety audit — `python scripts/check_broker_limits.py`                           |
| Done     | 16    | RF double-weighting fix — removed `class_weight='balanced'` from constructors           |
| Done     | 16    | TP corrected 0.8→1.2×ATR — R:R now 1.2, breakeven WR=45.5%                              |
| Done     | 16    | Label/live alignment — labels now use atr\_tp\_mult=1.2, atr\_sl\_mult=1.0              |
| Done     | 16    | Risk model — Kelly log-utility label function + sequence augmentation (\~5,000 samples) |
| High     | 16    | Enable `max_daily_loss` guard — already built, set to 15 USD in config                  |
| Done     | 16    | Equity curve filter — 10-trade rolling drawdown pause                                   |
| Done     | 16    | Walk-forward OOS gate — 3 OOS folds, WR/PF gate in `weekly_optimize.py`                 |
| Done     | 16    | Enable Kelly lot sizing — half-Kelly (0.5 fraction) enabled; MaxDD 16.1%→7.5%           |
| Done     | 21    | `ml_sltp` — validated OOS; disabled (degraded Score); re-evaluate with more live data   |
| Done     | 21    | Trailing stop + `min_bars_held` sweep — both tested; trailing disabled, bars4 optimal   |
| Done     | 18    | Calibrated probability outputs — isotonic calibration live for all 3 signal models      |
| Medium   | 16    | Multi-account MVP — `--account` flag, per-account `state_{account}.json`                |

## Q3 2026 (Jul – Sep) — Feature expansion + model architecture

| Priority | Phase | Item                                                                                     |
| -------- | ----- | ---------------------------------------------------------------------------------------- |
| High     | 17    | `funding_rate` + `oi_change` features (Binance REST) — retrain + OOS gate                |
| High     | 17    | `volatility_regime` + `w1_ema_bias` / `w1_rsi_norm` — OHLCV-derived, no external API     |
| High     | 17    | OHLCV data redundancy — yfinance + OKX REST as gap-fill sources                          |
| High     | 18    | Stacked meta-learner — replace majority-vote; strict OOS gate: Score ≥ current + 1.0     |
| High     | 21    | M1 intra-candle features for position model — 5 features, requires retrain               |
| High     | 21    | Catastrophic SL / position-as-primary-exit — gated on 21.1/21.2 + EXIT precision ≥ 87%   |
| Medium   | 18    | Regime-switching model — trending vs ranging via ADX; gated on ≥ 20k samples per segment |
| Done     | 19    | API failover — `SAFE_PAUSE` after 3 consecutive failures                                 |
| Done     | 19    | Graceful shutdown — finish-cycle exit instead of hard `sys.exit(0)`                      |
| Medium   | 19    | Config hot-reload — poll `config.json` mtime per cycle                                   |

## Q4 2026 (Oct – Dec) — Multi-asset expansion

| Priority | Phase | Item                                                                              |
| -------- | ----- | --------------------------------------------------------------------------------- |
| High     | 19    | Live Streamlit dashboard — equity curve + open positions from Supabase            |
| High     | 18    | XAUUSD model — separate model stack, gold-specific ATR scaling, OOS PF > 2.0 gate |
| Medium   | 16    | Multi-account fully wired — at least 2 brokers running simultaneously             |

## Q1 2027 (Jan – Mar) — Multi-asset live + revenue

| Priority | Phase | Item                                                                                |
| -------- | ----- | ----------------------------------------------------------------------------------- |
| High     | 18    | EURUSD model — pip-based P\&L, tighter spreads, forex news calendar                 |
| High     | 18    | Multi-instrument live trading (BTCUSD + XAUUSD simultaneously)                      |
| Medium   | 17    | `fear_greed_index` — daily sentiment (96 identical M15 values; monitor SHAP weight) |
| Medium   | 19    | Per-instrument dashboards and Telegram alerts                                       |

***

## Milestones

### M1 — Full production hardening (target: May 2026)

Goal: zero-touch live operation with monitoring, alerts, and auto-maintenance.

* Score >= 15.0 (achieved: 21.34 in Phase 15, Phase 16 OOS WR=65.8% PF=3.03, Phase 17.2 weekly Score=35.13, Phase 17.3 weekly Score=**18.48**)
* Position model live with conservative thresholds
* [ ] Weekly auto-retrain cron running on trading VM (code done — VM wiring pending)
* [ ] PM2 performance monitor running every 4h (code done — VM wiring pending)
* [x] Telegram bot commands operational
* [ ] Broker safety audit completed (docs done — live run pending)
* [ ] `max_daily_loss` guard enabled (config change only)
* [x] Equity curve filter implemented and live
* [x] Walk-forward OOS gate wired into `weekly_optimize.py`
* [x] Weekly Score review cadence: Score \< 10 → retrain, Score \< 6 → pause

**Pass criteria:** Bot runs 7d without manual intervention; Telegram alert fires on simulated degradation.

### M2 — Dynamic SL/TP + position model upgrades (target: Jun 2026)

Goal: confidence-aware exits that outperform the current static 1:0.8 RR.

* [x] Calibrated probability outputs live (isotonic calibration on all 3 signal models)
* [x] `ml_sltp` validated OOS — result: disabled (best combo Score=0.29 vs baseline 0.30; re-evaluate with more live data)
* [x] Trailing stop validated OOS — result: disabled (Score≈0.19; conflicts with partial-close breakeven SL)
* [x] `min_bars_held` sweep completed — optimal reverted to 4 bars post clean retrain (Score=0.66)
* [x] Kelly lot sizing enabled and compared OOS — half-Kelly (0.5) kept; MaxDD 16.1%→7.5%

**Pass criteria:** OOS Score ≥ 22.0 — **not yet met** (ml\_sltp and trailing stop degraded OOS; re-evaluate after M3 feature upgrade).

### M3 — Signal intelligence upgrade (target: Aug 2026)

Goal: measurably better OOS accuracy through new features and a better combiner.

* [ ] `funding_rate` + `oi_change` features retrained and swept
* [ ] `volatility_regime` + W1 features retrained and swept
* [ ] Stacked meta-learner deployed (OOS Score ≥ current + 1.0)
* [ ] Walk-forward: 3+ OOS folds, all WR > 55%, PF > 1.8
* [ ] M1 intra-candle features for position model retrained and swept

**Pass criteria:** OOS Score ≥ 22.0 on 37d window; position model EXIT precision ≥ 86%.

### M4 — Multi-asset live (target: Q4 2026 – Q1 2027)

Goal: second live trading instrument + multi-account operation.

* [ ] XAUUSD model validated (OOS PF > 2.0) and live
* [ ] EURUSD model in development (Q1 2027 target)
* [ ] Regime-switching model deployed (if OOS gates pass)
* [ ] Multi-account trading operational (at least 2 broker accounts)

**Pass criteria:** XAUUSD running live alongside BTCUSD; multi-account stable for 30d.

***

## What was removed and why

The following items were in earlier roadmap drafts and have been removed.

| Item                                   | Reason                                                                                                                                            |
| -------------------------------------- | ------------------------------------------------------------------------------------------------------------------------------------------------- |
| Optuna 150 trials + MedianPruner       | `MedianPruner` already active in both tune files. Trials are a `--trials` flag — use `--trials 100` for architecture changes. Not a phase item.   |
| Online/incremental weekly updates      | Already built. Warmstart mode enabled by default in `ml/train.py` and `ml/ensemble_trainer.py`.                                                   |
| Confidence-based lot tiers (60/70/80%) | Kelly already does this continuously and mathematically. Discrete tiers are a cruder approximation.                                               |
| Ensemble weighting by recency          | Walk-forward already handles recency more robustly. Recency weighting adds a tuneable parameter with overfit risk.                                |
| `corr_spy_20` / `corr_dxy_20`          | BTC–SPY/DXY correlation at M15 changes regimes frequently. Would overfit to the 2020–2026 macro correlation period.                               |
| `liq_distance_buy/sell` (Coinglass)    | Historical liquidation data is non-standardized, exchange-dependent, and not reliably reproducible for backtesting. High lookahead risk.          |
| `dom_sin` / `dom_cos`                  | No statistically meaningful monthly seasonality in BTC M15 data. Weak signal, overfit risk.                                                       |
| Synthetic OFI                          | Without level-2 order book data, any OFI proxy is a linear combination of OHLCV features the model already has. Redundant.                        |
| `h4_macd_hist` / `d1_macd_hist`        | `h4_macd_dir` already in feature set. Histogram adds a fine-grained continuous variable over a direction signal — marginal gain, overfit surface. |
| Options skew (Deribit 25D RR)          | Sparse historical data, evolving market structure, unclear relationship to M15 BTCUSD direction. Very high overfit risk.                          |
| Grafana + InfluxDB                     | Supabase already handles storage and sync. Adding a second metrics pipeline is premature complexity for the current scale.                        |
| TradingView as OHLCV source            | ToS violation risk; scrapers break silently. Use official REST APIs only (yfinance, OKX, Binance).                                                |

***

## Score formula

All retrains and config sweeps are ranked by:

```text theme={null}
Score = WR x PF / sqrt(MaxDD)
```

| Score     | Interpretation                                                                                                                                                     |
| --------- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------ |
| \< 6.0    | Pause live trading — manual review required                                                                                                                        |
| 6.0–10.0  | Operational but below target — trigger retrain                                                                                                                     |
| 10.0–15.0 | Production-grade                                                                                                                                                   |
| > 15.0    | Excellent — Phase 15: **21.34** (37d OOS); Phase 16w: **46.80** (WR=62.8%); Phase 17.2w: **35.13** (WR=67.6%, PF=2.83); Phase 17.3w: **54.47** (WR=71.7%, PF=5.46) |

***

## Version history

| Phase | Date       | Key change                                                                                       | OOS Score                                |
| ----- | ---------- | ------------------------------------------------------------------------------------------------ | ---------------------------------------- |
| 1–4   | 2025       | Initial ML model, SHAP, ATR labeling                                                             | —                                        |
| 5–8   | 2025       | Phase 8 position model, Kelly sizing                                                             | —                                        |
| 9–11  | 2026-04-11 | M15 timeframe, 53 features, MTF ladder                                                           | \~4.5                                    |
| 12    | 2026-04-11 | ADX filter, spread fix, OOS contamination fix                                                    | \~5.1                                    |
| 13    | 2026-04-12 | 55 features, news\_surprise/bars\_since\_news, Optuna retune                                     | \~3.5                                    |
| 14    | 2026-04-13 | Config sweep, TP=0.8xATR, risk=2%, conf=0.60                                                     | 15.49                                    |
| 15    | 2026-04-15 | Position model ATR-aware retrain, threshold sweep                                                | **21.34**                                |
| 16    | 2026-04-24 | RF double-weighting fix, TP 0.8→1.2×ATR, label/live alignment, Kelly risk model                  | WR=65.8% PF=3.03                         |
| 16w   | 2026-04-24 | Weekly optimize: Profile 4 Growth, risk=3.0%, cb=7                                               | Score=**46.80** WR=62.8% Return=+1154.6% |
| 17.2  | 2026-04-29 | Phase 17 features (volatility\_regime, w1\_ema\_bias, w1\_rsi\_norm), weekly optimize, conf=0.65 | Score=35.13 WR=67.6% PF=2.83             |
| 17.3  | 2026-05-08 | Single-source training (revert multi-source), 365d recency decay weights, fresh retrain          | Score=**54.47** WR=71.7% PF=5.46         |
| 21    | planned    | ml\_sltp, trailing stop, M1 features, primary-exit mode                                          | TBD                                      |
| 17    | planned    | funding\_rate, OI (remaining Phase 17 items)                                                     | TBD                                      |
| 18    | planned    | Meta-learner, calibration, regime model, XAUUSD                                                  | TBD                                      |

***

<Note>
  Active task list with checkboxes → [TODO](/project/todo). Archived phases 1–12 → `ARCHIVE.md` in the repository root.
</Note>