sf-kedro

SignalFlow Universal Pipelines — Kedro-based backtesting, optimization, and validation

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Part of the SignalFlow ecosystem.

Implements Universal Pipelines Architecture — pipelines defined by purpose, not by strategy name. Flow configuration is modular and passed via parameters.

FLOW CONFIG (conf/base/flows/*.yml)
├── detector   (required) → signal generation
├── validator  (optional) → ML signal filtering
└── strategy   (optional) → entry/exit rules

UNIVERSAL PIPELINES
├── backtest   → run backtest for any flow
├── analyze    → analyze features and signals
├── train      → train validator model
├── tune       → Optuna parameter optimization
└── validate   → walk-forward validation

Installation

conda create --name sf-kedro python==3.12
conda activate sf-kedro
pip install -r requirements.txt
cp .env.example .env

Quick Start

kedro run --pipeline=backtest --params='flow_id=grid_sma'
kedro run --pipeline=analyze --params='flow_id=grid_sma'
kedro run --pipeline=tune --params='flow_id=grid_sma,n_trials=100'
kedro run --pipeline=validate --params='flow_id=grid_sma,n_folds=5'
kedro run --pipeline=train --params='flow_id=grid_sma'

Pipelines

backtest

Run backtest for any flow configuration.

Nodes: load_flow_data → run_flow_detection → run_flow_backtest → compute_metrics → save_flow_plots

==================================================
Backtest Complete: Grid SMA Crossover
--------------------------------------------------
  Initial Capital: $10,000.00
  Final Equity:    $9,662.57
  Total Return:    -3.37%
  Trades Executed: 756
  Win Rate:        34.6%
  Max Drawdown:    3.66%
==================================================

analyze

Feature exploration and signal quality analysis.

kedro run --pipeline=analyze --params='flow_id=grid_sma,level=signals'

Levels: features, signals, all

train

Train ML validator for signal filtering.

Nodes: load_training_data → prepare_features → train_validator → save_model

tune

Optuna hyperparameter optimization.

kedro run --pipeline=tune --params='flow_id=grid_sma,n_trials=100,level=strategy'

Levels: detector, strategy

validate

Walk-forward out-of-sample validation.

kedro run --pipeline=validate --params='flow_id=grid_sma,n_folds=5'

==================================================
Walk-Forward Validation: Grid SMA Crossover
--------------------------------------------------
  Valid folds:     5/5
  Avg Return:      +1.23%
  Total trades:    1250
==================================================

Flow Configuration

# conf/base/flows/grid_sma.yml
flow_id: grid_sma
flow_name: "Grid SMA Crossover"

data:
  pairs: [BTCUSDT, ETHUSDT]

detector:
  type: "example/sma_cross"
  fast_period: 60
  slow_period: 720

strategy:
  entry_rules:
    - type: "signal"
      base_position_size: 200.0
      max_positions_per_pair: 5
      entry_filters:
        - type: "price_distance_filter"
          min_distance_pct: 0.02
  exit_rules:
    - type: "tp_sl"
      take_profit_pct: 0.015
      stop_loss_pct: 0.01
  metrics:
    - type: "total_return"
    - type: "win_rate"
    - type: "sharpe_ratio"
    - type: "drawdown"
    - type: "profit_factor"

Project Structure

sf-kedro/
├── conf/base/
│   ├── parameters/          # Pipeline-specific params
│   │   ├── common.yml       # Shared defaults
│   │   ├── backtest.yml
│   │   ├── analyze.yml
│   │   ├── train.yml
│   │   ├── tune.yml
│   │   └── validate.yml
│   ├── flows/               # Flow configs
│   │   └── grid_sma.yml
│   └── catalog/             # Data catalog
├── src/sf_kedro/
│   ├── pipelines/
│   │   ├── backtest/
│   │   ├── analyze/
│   │   ├── train/
│   │   ├── tune/
│   │   └── validate/
│   └── utils/
│       ├── flow_config.py
│       ├── detection.py
│       └── telegram.py
└── data/

Integrations

Integration	Purpose
MLflow / DagsHub	Experiment tracking, model registry
Optuna	Hyperparameter optimization
Telegram	Automated notifications
Plotly	Interactive visualizations

Dependencies

signalflow-trading, signalflow-ta, signalflow-nn, Kedro, Polars, Optuna, Plotly, pyTelegramBotAPI

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License: Proprietary  ·  Part of SignalFlow