ML_forex_Framework: A Machine Learning Quantitative Framework for Gold High-Frequency Trading

ML_forex_Framework is a professional-grade machine learning quantitative trading framework open-sourced by developer vs227. It is specifically designed for XAUUSD (Gold) M15-level high-frequency analysis and automated execution, covering the entire workflow from data ingestion, feature engineering, integrated model training to dynamic risk management. It demonstrates an end-to-end machine learning quantitative trading pipeline, providing valuable references for quantitative trading developers.

The foreign exchange market has a daily trading volume exceeding 6 trillion US dollars. Traditional manual trading struggles to cope with price fluctuations, so quantitative trading has become a standard for institutions. Machine learning technology can automatically discover data patterns, but building a robust system requires addressing challenges such as data quality, feature engineering, and overfitting prevention.

This framework is optimized for the XAUUSD (Gold) M15 level. As a safe-haven asset, gold has characteristics such as sensitivity to macro events, high volatility, and negative correlation with the US dollar, making it an ideal target for ML applications while also placing higher demands on the model's adaptability.

The framework implements Hurst exponent and Half-Life to detect mean reversion; monitors trend consistency across M15/H1/H4 multi-timeframes to filter noise; uses ATR dynamic normalization and Z-Score drift analysis for volatility adaptation; integrates economic calendars via the Forex Factory API to adjust strategies.

It uses a hybrid of two models: LightGBM (to capture non-linear patterns) and XGBoost (for robust trend estimation); a logistic regression meta-model to weight and integrate outputs; strict time-series cross-validation to avoid look-ahead bias and overfitting.

Improved Quarter-Kelly criterion for dynamic position management; ATR-based adaptive stop-loss, take-profit, and trailing stop; ADX and time-period thresholds to filter low-liquidity and high-risk environments.

Automated incremental retraining to adapt to market evolution; a comprehensive backtesting suite that simulates real trading costs to evaluate strategy effectiveness.

The framework demonstrates the application potential of AI in the financial field. Although the core strategy is not fully open-sourced, its architecture, engineering implementation, and risk management concepts are of reference value. ML quantitative trading faces challenges such as market non-stationarity and data quality, and similar frameworks will become more important in the future.