Update app.py

app.py

@@ -29,6 +29,7 @@ RR_GRID = [1.0, 1.25, 1.5, 2.0, 2.5, 3.0, 4.0]
 CLASSES = [-1, 0, 1]
 SIDE_MODES = ["Long + Short", "Sadece Long", "Sadece Short"]
 IND_MODES = ["Kapalı", "Onay filtresi (KNN + ST/UT)", "Sadece indikatör"]
+VP_MODES = ["Kapalı", "Onay filtresi (POC / Value Area)", "KNN özelliği + onay filtresi"]
 
 _CACHE = {}
 CACHE_TTL = 600  # saniye; Yahoo'yu gereksiz yere tekrar çağırmamak için
@@ -66,7 +67,7 @@ def calc_rsi(s, n=14):
     return 100 - 100/(1+rs)
 
 
-def make_features(df):
+def make_features(df, vp=None):
     c, v = df.Close, df.Volume
     x = pd.DataFrame(index=df.index)
     for n in [1, 2, 3, 5, 10, 20, 50]:
@@ -89,6 +90,10 @@ def make_features(df):
     x["dist_hi_20"] = c/df.High.rolling(20).max()-1
     x["dist_lo_20"] = c/df.Low.rolling(20).min()-1
     x["bb_z20"] = (c-c.rolling(20).mean())/c.rolling(20).std().replace(0, np.nan)
+    if vp is not None:  # Volume Profile özellikleri (ileriye bakmaz)
+        x["vp_poc_gap"] = c/vp["poc"]-1
+        x["vp_va_pos"] = (c-vp["val"])/(vp["vah"]-vp["val"]).replace(0, np.nan)
+        x["vp_va_width"] = (vp["vah"]-vp["val"])/c
     return x.replace([np.inf, -np.inf], np.nan), atr
 
 
@@ -139,6 +144,78 @@ def ut_bot(df, key=1.0, period=10):
     return pos, stop
 
 
+def _profile(h, l, v, bins):
+    """Bar hacmini high-low aralığına, kutularla örtüştüğü oranda dağıtır (VPVR mantığı)."""
+    lo, hi = float(np.min(l)), float(np.max(h))
+    if not (np.isfinite(lo) and np.isfinite(hi)) or hi <= lo:
+        return None
+    v = np.where(np.isfinite(v) & (v > 0), v, 0.0)
+    if v.sum() <= 0:          # hacim verisi yok (ör. forex) -> zaman bazlı profil
+        v = np.ones_like(v)
+    edges = np.linspace(lo, hi, bins+1)
+    step = (hi-lo)/bins
+    rng = np.maximum(h-l, 1e-12)
+    ov = np.clip(np.minimum(h[:, None], edges[None, 1:]) - np.maximum(l[:, None], edges[None, :-1]), 0, None)
+    frac = ov/rng[:, None]
+    zr = (h-l) <= 1e-12
+    if zr.any():
+        frac[zr] = 0.0
+        frac[zr, np.clip(((h[zr]-lo)/step).astype(int), 0, bins-1)] = 1.0
+    return edges, (frac*v[:, None]).sum(axis=0)
+
+
+def _value_area(edges, prof, va_pct):
+    pi = int(np.argmax(prof))
+    lo_i = hi_i = pi
+    acc, target = float(prof[pi]), va_pct*float(prof.sum())
+    nb = len(prof)
+    while acc < target and (lo_i > 0 or hi_i < nb-1):
+        up = prof[hi_i+1] if hi_i < nb-1 else -1.0
+        dn = prof[lo_i-1] if lo_i > 0 else -1.0
+        if up >= dn:
+            hi_i += 1
+            acc += up
+        else:
+            lo_i -= 1
+            acc += dn
+    return float((edges[pi]+edges[pi+1])/2), float(edges[lo_i]), float(edges[hi_i+1])
+
+
+def volume_profile(df, window=60, bins=24, va_pct=0.70):
+    """Kayan Volume Profile: her mum için son `window` mumdan POC / VAL / VAH.
+    Yalnızca o muma kadar olan veri kullanılır (ileriye bakma yok)."""
+    h, l, v = (df[c].to_numpy(float) for c in ("High", "Low", "Volume"))
+    n = len(h)
+    out = np.full((n, 3), np.nan)
+    for i in range(window-1, n):
+        sl = slice(i-window+1, i+1)
+        p = _profile(h[sl], l[sl], v[sl], bins)
+        if p is None:
+            continue
+        out[i] = _value_area(p[0], p[1], va_pct)
+    return pd.DataFrame(out, index=df.index, columns=["poc", "val", "vah"])
+
+
+def latest_profile(df, window, bins, va_pct):
+    w = df.tail(int(window))
+    p = _profile(w.High.to_numpy(float), w.Low.to_numpy(float), w.Volume.to_numpy(float), int(bins))
+    if p is None:
+        return None
+    poc, val, vah = _value_area(p[0], p[1], va_pct)
+    return p[0], p[1], poc, val, vah
+
+
+def vp_signal(df, atr, vp, ext_atr):
+    """+1: long onaylı (kapanış POC üstünde ve VAH'ın ext_atr*ATR'den fazla üstünde değil),
+    -1: short onaylı (POC altında ve VAL'ın ext_atr*ATR'den fazla altında değil), 0: onay yok."""
+    c, a = df.Close.to_numpy(float), atr.to_numpy(float)
+    poc, val, vah = (vp[k].to_numpy(float) for k in ("poc", "val", "vah"))
+    with np.errstate(invalid="ignore"):
+        ok_l = (c > poc) & ((c-vah) <= ext_atr*a)
+        ok_s = (c < poc) & ((val-c) <= ext_atr*a)
+    return np.where(ok_l, 1, np.where(ok_s, -1, 0)).astype(int)
+
+
 def regime_labels(features, ref_vol):
     # Volatilite kantilleri yalnızca geliştirme dönemi verisinden alınır (sızıntı yok).
     q1, q2 = ref_vol.dropna().quantile([0.33, 0.67])
@@ -340,21 +417,44 @@ TRADE_COLS = ["entry_date", "exit_date", "side", "entry_price", "exit_reason",
 
 
 # ---------------------------------------------------------------- grafikler
-def price_figure(df, ticker, trades_df, trade_ok, stop, target, ind=None):
+def price_figure(df, ticker, trades_df, trade_ok, stop, target, ind=None, vp=None, vp_prof=None):
     w = df.tail(150)
-    fig = go.Figure([go.Candlestick(x=w.index, open=w.Open, high=w.High, low=w.Low,
-                                    close=w.Close, name=ticker)])
+    sub = vp is not None and vp_prof is not None
+    if sub:
+        fig = make_subplots(rows=1, cols=2, shared_yaxes=True,
+                            column_widths=[0.86, 0.14], horizontal_spacing=0.005)
+    else:
+        fig = go.Figure()
+    kw = dict(row=1, col=1) if sub else {}
+    fig.add_trace(go.Candlestick(x=w.index, open=w.Open, high=w.High, low=w.Low,
+                                 close=w.Close, name=ticker), **kw)
     for n, col in [(20, "#f59e0b"), (50, "#3b82f6")]:
         ema = df.Close.ewm(span=n, adjust=False).mean().tail(150)
         fig.add_trace(go.Scatter(x=w.index, y=ema, mode="lines", name=f"EMA{n}",
-                                 line=dict(width=1.2, color=col)))
+                                 line=dict(width=1.2, color=col)), **kw)
     if ind is not None:
         st_line, st_dir, ut_stop = (np.asarray(a)[-150:] for a in ind)
         for d, col, nm in [(1, "#16a34a", "Supertrend ↑"), (-1, "#dc2626", "Supertrend ↓")]:
             fig.add_trace(go.Scatter(x=w.index, y=np.where(st_dir == d, st_line, np.nan),
-                                     mode="lines", name=nm, line=dict(width=1.5, color=col)))
+                                     mode="lines", name=nm, line=dict(width=1.5, color=col)), **kw)
         fig.add_trace(go.Scatter(x=w.index, y=ut_stop, mode="lines", name="UT trailing stop",
-                                 line=dict(width=1, dash="dot", color="#9333ea")))
+                                 line=dict(width=1, dash="dot", color="#9333ea")), **kw)
+    if sub:
+        vw = vp.tail(150)
+        for k, col, dash, nm in [("poc", "#f59e0b", "solid", "POC"),
+                                 ("vah", "#64748b", "dash", "VAH"),
+                                 ("val", "#64748b", "dash", "VAL")]:
+            fig.add_trace(go.Scatter(x=w.index, y=vw[k], mode="lines", name=nm,
+                                     line=dict(width=1.4, color=col, dash=dash)), **kw)
+        edges, prof, poc, val, vah = vp_prof
+        mid = (edges[:-1]+edges[1:])/2
+        colors = ["#f59e0b" if edges[k] <= poc <= edges[k+1]
+                  else ("#60a5fa" if val <= mid[k] <= vah else "#cbd5e1")
+                  for k in range(len(mid))]
+        fig.add_trace(go.Bar(x=prof, y=mid, orientation="h", width=(edges[1]-edges[0])*0.95,
+                             marker_color=colors, name="Volume Profile", showlegend=False,
+                             hoverinfo="skip"), row=1, col=2)
+        fig.update_xaxes(showticklabels=False, row=1, col=2)
     if len(trades_df):
         t = trades_df[trades_df.entry_date.isin(w.index)]
         for side, sym, nm in [("LONG", "triangle-up", "OOS long"),
@@ -366,11 +466,12 @@ def price_figure(df, ticker, trades_df, trade_ok, stop, target, ind=None):
                     marker=dict(symbol=sym, size=9,
                                 color=["#16a34a" if r > 0 else "#dc2626" for r in s.R],
                                 line=dict(width=1, color="white")),
-                    text=[f"R={r:.2f} · {why}" for r, why in zip(s.R, s.exit_reason)]))
+                    text=[f"R={r:.2f} · {why}" for r, why in zip(s.R, s.exit_reason)]), **kw)
     if trade_ok:
-        fig.add_hline(y=stop, line_dash="dash", line_color="#dc2626", annotation_text="SL")
-        fig.add_hline(y=target, line_dash="dash", line_color="#16a34a", annotation_text="TP")
-    fig.update_layout(title=f"{ticker} Günlük — son 150 mum (üçgenler: OOS sinyalleri)",
+        fig.add_hline(y=stop, line_dash="dash", line_color="#dc2626", annotation_text="SL", **kw)
+        fig.add_hline(y=target, line_dash="dash", line_color="#16a34a", annotation_text="TP", **kw)
+    fig.update_layout(title=f"{ticker} Günlük — son 150 mum (üçgenler: OOS sinyalleri)"
+                            + (" + Volume Profile" if sub else ""),
                       height=560, xaxis_rangeslider_visible=False)
     return fig
 
@@ -434,7 +535,8 @@ def mc_figure(mc):
 def run_engine(ticker, period, horizon, side_mode, equity, min_risk, max_risk,
                max_leverage, fee, slip, train_window,
                p_min, p_gap, flat_max, agree_min, bacc_min, min_trades,
-               skip_overlap, whole_units, ind_mode, st_period, st_mult, ut_key, ut_period):
+               skip_overlap, whole_units, ind_mode, st_period, st_mult, ut_key, ut_period,
+               vp_mode, vp_window, vp_bins, vp_va, vp_ext):
     try:
         ticker = str(ticker).strip().upper()
         h = int(horizon)
@@ -449,7 +551,15 @@ def run_engine(ticker, period, horizon, side_mode, equity, min_risk, max_risk,
         if len(df) < 450:
             raise ValueError("En az 450 günlük mum gerekli.")
         df = df.iloc[:-1].copy()  # tamamlanmamış güncel mumu çıkar
-        X_all, atr_all = make_features(df)
+        vp_on = vp_mode != VP_MODES[0]
+        vp_feat = vp_mode == VP_MODES[2]
+        vp_win, vp_nb, vp_vap = int(vp_window), int(vp_bins), float(vp_va)
+        vp = volume_profile(df, vp_win, vp_nb, vp_vap)
+        X_all, atr_all = make_features(df, vp if vp_feat else None)
+        vp_arr = vp_signal(df, atr_all, vp, float(vp_ext))
+        vp_names = {1: "LONG onaylı", -1: "SHORT onaylı", 0: "onay yok"}
+        vp_no_vol = float(df.Volume.tail(vp_win).sum()) <= 0
+        lp = latest_profile(df, vp_win, vp_nb, vp_vap)
         y_all, _ = make_target(df, atr_all, h)
 
         valid = X_all.notna().all(axis=1) & y_all.notna()
@@ -519,11 +629,12 @@ def run_engine(ticker, period, horizon, side_mode, equity, min_risk, max_risk,
         params, top, regime_used = {}, [], "—"
 
         def opt_pos(s_):
+            f_ = list(dev_pos)
             if ind_only or ind_confirm:
-                f_ = [i for i in dev_pos if ind_arr[i] == s_]
-                if len(f_) >= 35:
-                    return f_
-            return dev_pos
+                f_ = [i for i in f_ if ind_arr[i] == s_]
+            if vp_on:
+                f_ = [i for i in f_ if vp_arr[i] == s_]
+            return f_ if len(f_) >= 35 else dev_pos
         for s in (1, -1):
             if allow[s]:
                 sl_s, rr_s, top_s, used_s = optimize_barriers(
@@ -552,6 +663,8 @@ def run_engine(ticker, period, horizon, side_mode, equity, min_risk, max_risk,
                 continue
             if ind_confirm and ind_arr[i] != pred:
                 continue
+            if vp_on and vp_arr[i] != pred:
+                continue
             if skip_overlap and i <= busy:
                 continue
             sl_p, rr_p = params[pred]
@@ -614,6 +727,9 @@ def run_engine(ticker, period, horizon, side_mode, equity, min_risk, max_risk,
             checks.insert(1, ind_check)
         elif ind_confirm:
             checks.insert(1, ind_check)
+        if vp_on:
+            checks.insert(1, ("Volume Profile (POC/VA konumu)", vp_names[int(vp_arr[-1])],
+                              "yönle aynı", int(vp_arr[-1]) == side))
         trade_ok = all(c[3] for c in checks)
         if trade_ok:
             signal = "LONG" if side == 1 else "SHORT"
@@ -652,6 +768,20 @@ def run_engine(ticker, period, horizon, side_mode, equity, min_risk, max_risk,
             (f"Supertrend ({int(st_period)}, {float(st_mult):g})", dname[int(st_dir[-1])], fmt_p(float(st_line[-1]))),
             (f"UT Bot ({float(ut_key):g}, {int(ut_period)})", dname[int(ut_pos[-1])], fmt_p(float(ut_stop[-1]))),
             ("Bileşik (ikisi aynı yönde)", dname[ind_now], "—")])
+        if lp is not None:
+            _, _, poc_n, val_n, vah_n = lp
+            pos_txt = ("VA üstünde" if entry > vah_n else "VA altında" if entry < val_n
+                       else "VA içinde · POC üstü" if entry > poc_n else "VA içinde · POC altı")
+            vp_md = md_table(["Seviye", "Fiyat"], [
+                ("VAH (Value Area üst)", fmt_p(vah_n)), ("POC (en yüksek hacim)", fmt_p(poc_n)),
+                ("VAL (Value Area alt)", fmt_p(val_n)), ("Son kapanış", f"{fmt_p(entry)} — {pos_txt}"),
+                ("VP yön onayı", vp_names[int(vp_arr[-1])])])
+        else:
+            vp_md = "_Profil hesaplanamadı._"
+        vp_note = (f"Pencere {vp_win} mum · {vp_nb} kutu · Value Area %{vp_vap*100:.0f} · "
+                   f"uzama sınırı {float(vp_ext):g} ATR."
+                   + (" Hacim verisi yok → zaman bazlı profil kullanıldı." if vp_no_vol else "")
+                   + (" Mod Kapalı: yalnızca bilgi amaçlı." if not vp_on else ""))
         k_text = " | ".join(f"K={k}: {s:.3f}" for s, k in sorted(k_scores, reverse=True)) or "—"
         overlap_note = ("tek pozisyon (çakışma yok)" if skip_overlap
                         else "çakışan sinyaller bağımsız işlem sayıldı")
@@ -676,6 +806,11 @@ def run_engine(ticker, period, horizon, side_mode, equity, min_risk, max_risk,
 ## İndikatörler — mod: {ind_mode}
 {ind_md}
 
+## Volume Profile — mod: {vp_mode}
+{vp_md}
+
+{vp_note}
+
 ## TP / SL ({'LONG' if side == 1 else 'SHORT'} için optimize)
 | Parametre | Değer |
 |---|---:|
@@ -724,7 +859,8 @@ TP/SL optimizasyon rejimi: {regime_used}. Yeterli rejim örneği yoksa tüm geli
             trades_df.to_csv(csv_path, index=False)
 
         price_fig = price_figure(df, ticker, trades_df, trade_ok, stop, target,
-                                 ind=(st_line, st_dir, ut_stop))
+                                 ind=(st_line, st_dir, ut_stop),
+                                 vp=vp if vp_on else None, vp_prof=lp)
         eq_fig = equity_figure(curve, dds) if len(R) else None
         pf_fig = pf_gauge(stats["pf"], stats["n"]) if stats else None
         mc_fig = mc_figure(mc) if mc else None
@@ -740,7 +876,7 @@ TP/SL optimizasyon rejimi: {regime_used}. Yeterli rejim örneği yoksa tüm geli
             "seri korelasyonunu ve rejim değişimini tam modellemez. Pozisyon hesabı spot miktar "
             "varsayar; CFD lot sözleşmesi, spread, funding, swap, komisyon, minimum lot, marjin ve "
             "broker fiyatı farklı olabilir. Gap ve kayma kaybı planlanan riskin üstüne çıkarabilir. "
-            "Supertrend ve UT Bot, TradingView formüllerinin Python portudur; ATR başlangıcı ve veri kaynağı yüzünden TV değerlerinden küçük sapmalar olabilir. Canlı hesap öncesi paper trading ve broker bazlı doğrulama zorunludur."
+            "Supertrend ve UT Bot, TradingView formüllerinin Python portudur; ATR başlangıcı ve veri kaynağı yüzünden TV değerlerinden küçük sapmalar olabilir. Volume Profile, günlük OHLCV'den (her mumun hacmi high–low aralığına eşit dağıtılarak) yaklaşık hesaplanır; TradingView VPVR'nin alt-zaman dilimi verisiyle birebir aynı olmaz. Canlı hesap öncesi paper trading ve broker bazlı doğrulama zorunludur."
         )
         return (report, prob_figure(p_down, p_flat, p_up), price_fig, eq_fig, pf_fig, mc_fig,
                 top_df, csv_path, disclaimer)
@@ -766,6 +902,7 @@ with gr.Blocks(title=APP_TITLE, theme=gr.themes.Soft()) as demo:
             horizon = gr.Dropdown([3, 5, 10], value=5, label="Tahmin ufku (gün)")
             side_mode = gr.Radio(SIDE_MODES, value="Long + Short", label="İzin verilen yön")
             ind_mode = gr.Radio(IND_MODES, value="Kapalı", label="İndikatör modu (Supertrend + UT Bot)")
+            vp_mode = gr.Radio(VP_MODES, value="Kapalı", label="Volume Profile modu")
             train_window = gr.Slider(300, 1500, value=900, step=50, label="Maksimum eğitim penceresi")
         with gr.Column():
             equity = gr.Number(value=10000, label="Hesap büyüklüğü (USD)")
@@ -788,6 +925,11 @@ with gr.Blocks(title=APP_TITLE, theme=gr.themes.Soft()) as demo:
             st_mult = gr.Slider(1.0, 6.0, value=3.0, step=0.1, label="Supertrend çarpanı")
             ut_key = gr.Slider(0.5, 4.0, value=1.0, step=0.1, label="UT Bot key value")
             ut_period = gr.Slider(5, 30, value=10, step=1, label="UT Bot ATR periyodu")
+        with gr.Row():
+            vp_window = gr.Slider(20, 250, value=60, step=5, label="Volume Profile penceresi (mum)")
+            vp_bins = gr.Slider(12, 60, value=24, step=2, label="Fiyat kutusu sayısı")
+            vp_va = gr.Slider(0.50, 0.90, value=0.70, step=0.05, label="Value Area oranı")
+            vp_ext = gr.Slider(0.5, 4.0, value=1.5, step=0.1, label="Maks. uzama (ATR) — kovalamayı engeller")
         with gr.Row():
             skip_overlap = gr.Checkbox(value=False, label="Açık pozisyon varken yeni sinyali atla (tek pozisyon)")
             whole_units = gr.Checkbox(value=False, label="Miktarı tam sayıya yuvarla (hisse)")
@@ -815,7 +957,8 @@ with gr.Blocks(title=APP_TITLE, theme=gr.themes.Soft()) as demo:
         inputs=[ticker, period, horizon, side_mode, equity, min_risk, max_risk,
                 max_leverage, fee, slip, train_window,
                 p_min, p_gap, flat_max, agree_min, bacc_min, min_trades,
-                skip_overlap, whole_units, ind_mode, st_period, st_mult, ut_key, ut_period],
+                skip_overlap, whole_units, ind_mode, st_period, st_mult, ut_key, ut_period,
+                vp_mode, vp_window, vp_bins, vp_va, vp_ext],
         outputs=[output, prob_plot, chart, equity_plot, pf_plot, mc_plot, optimization,
                  csv_file, disclaimer],
     )