training

NN/models/cnn_model_pytorch.py

@@ -11,6 +11,7 @@ import logging
 import numpy as np
 import matplotlib.pyplot as plt
 from datetime import datetime
+import math
 
 import torch
 import torch.nn as nn
@@ -24,79 +25,84 @@ logger = logging.getLogger(__name__)
 class CNNPyTorch(nn.Module):
     """PyTorch CNN model for time series analysis"""
     
-    def __init__(self, input_shape, output_size=5):
+    def __init__(self, input_shape, output_size=3):
         """
-        Initialize the enhanced CNN model.
+        Initialize the CNN model.
         
         Args:
             input_shape (tuple): Shape of input data (window_size, features)
-            output_size (int): Always 5 for our trading signals
+            output_size (int): Size of the output (3 for BUY/HOLD/SELL)
         """
         super(CNNPyTorch, self).__init__()
         
         window_size, num_features = input_shape
-        kernel_size = 5
+        kernel_size = min(5, window_size)  # Ensure kernel size doesn't exceed window size
         dropout_rate = 0.3
         
-        # Enhanced CNN Architecture
+        # Calculate initial channel size based on number of features
+        initial_channels = max(32, num_features * 2)  # Scale channels with features
+        
+        # CNN Architecture
         self.conv_layers = nn.Sequential(
             # Block 1
-            nn.Conv1d(num_features, 64, kernel_size, padding='same'),
-            nn.BatchNorm1d(64),
+            nn.Conv1d(num_features, initial_channels, kernel_size, padding='same'),
+            nn.BatchNorm1d(initial_channels),
             nn.ReLU(),
+            nn.Dropout(dropout_rate),
             
             # Block 2  
-            nn.Conv1d(64, 128, kernel_size, padding='same'),
-            nn.BatchNorm1d(128),
+            nn.Conv1d(initial_channels, initial_channels * 2, kernel_size, padding='same'),
+            nn.BatchNorm1d(initial_channels * 2),
             nn.ReLU(),
             nn.MaxPool1d(2),
+            nn.Dropout(dropout_rate),
             
             # Block 3
-            nn.Conv1d(128, 256, kernel_size, padding='same'),
-            nn.BatchNorm1d(256),
+            nn.Conv1d(initial_channels * 2, initial_channels * 4, kernel_size, padding='same'),
+            nn.BatchNorm1d(initial_channels * 4),
             nn.ReLU(),
+            nn.Dropout(dropout_rate),
             
             # Block 4
-            nn.Conv1d(256, 512, kernel_size, padding='same'),
-            nn.BatchNorm1d(512),
+            nn.Conv1d(initial_channels * 4, initial_channels * 8, kernel_size, padding='same'),
+            nn.BatchNorm1d(initial_channels * 8),
             nn.ReLU(),
-            nn.MaxPool1d(2)
+            nn.MaxPool1d(2),
+            nn.Dropout(dropout_rate)
         )
         
         # Calculate flattened size after conv and pooling
-        conv_output_size = 512 * (window_size // 4)
+        conv_output_size = (initial_channels * 8) * (window_size // 4)
+        
+        # Dense layers with scaled sizes
+        dense_size = min(2048, conv_output_size)  # Cap dense layer size
         
-        # Enhanced dense layers
         self.dense_block = nn.Sequential(
             nn.Flatten(),
-            nn.Linear(conv_output_size, 512),
-            nn.BatchNorm1d(512),
+            nn.Linear(conv_output_size, dense_size),
+            nn.BatchNorm1d(dense_size),
             nn.ReLU(),
             nn.Dropout(dropout_rate),
             
-            nn.Linear(512, 256),
-            nn.BatchNorm1d(256),
+            nn.Linear(dense_size, dense_size // 2),
+            nn.BatchNorm1d(dense_size // 2),
             nn.ReLU(),
             nn.Dropout(dropout_rate),
             
-            nn.Linear(256, 128),
-            nn.BatchNorm1d(128),
+            nn.Linear(dense_size // 2, dense_size // 4),
+            nn.BatchNorm1d(dense_size // 4),
             nn.ReLU(),
+            nn.Dropout(dropout_rate),
             
-            nn.Linear(128, output_size)
+            nn.Linear(dense_size // 4, output_size)
         )
         
-        # Activation based on output size
-        if output_size == 1:
-            self.activation = nn.Sigmoid()  # Binary classification or regression
-        elif output_size > 1:
-            self.activation = nn.Softmax(dim=1)  # Multi-class classification
-        else:
-            self.activation = nn.Identity()  # No activation
+        # Activation for output
+        self.activation = nn.Softmax(dim=1)
     
     def forward(self, x):
         """
-        Forward pass through enhanced network.
+        Forward pass through the network.
         
         Args:
             x: Input tensor of shape [batch_size, window_size, features]
@@ -107,14 +113,16 @@ class CNNPyTorch(nn.Module):
         # Transpose for conv1d: [batch, features, window]
         x_t = x.transpose(1, 2)
         
-        # Process through all CNN layers
+        # Process through CNN layers
         conv_out = self.conv_layers(x_t)
         
         # Process through dense layers
-        output = self.dense_block(conv_out)
+        dense_out = self.dense_block(conv_out)
         
-        return self.activation(output)
-
+        # Apply activation
+        output = self.activation(dense_out)
+        
+        return output
 
 class CNNModelPyTorch:
     """
@@ -124,14 +132,14 @@ class CNNModelPyTorch:
     predictions with the CNN model.
     """
     
-    def __init__(self, window_size, num_features, output_size=5, timeframes=None):
+    def __init__(self, window_size, num_features, output_size=3, timeframes=None):
         """
         Initialize the CNN model.
         
         Args:
             window_size (int): Size of the input window
             num_features (int): Number of features in the input data
-            output_size (int): Size of the output (1 for regression, 3 for classification)
+            output_size (int): Size of the output (default: 3 for BUY/HOLD/SELL)
             timeframes (list): List of timeframes used (for logging)
         """
         # Action tracking
@@ -171,27 +179,23 @@ class CNNModelPyTorch:
             output_size=self.output_size
         ).to(self.device)
         
-        # Initialize optimizer
+        # Initialize optimizer with learning rate schedule
         self.optimizer = optim.Adam(self.model.parameters(), lr=0.001)
+        self.scheduler = optim.lr_scheduler.ReduceLROnPlateau(
+            self.optimizer, mode='max', factor=0.5, patience=10, verbose=True
+        )
         
-        # Initialize loss function based on output size
-        if self.output_size == 1:
-            self.criterion = nn.BCELoss()  # Binary classification
-        elif self.output_size > 1:
-            self.criterion = nn.CrossEntropyLoss()  # Multi-class classification
-        else:
-            self.criterion = nn.MSELoss()  # Regression
+        # Initialize loss function with class weights
+        class_weights = torch.tensor([1.0, 0.5, 1.0]).to(self.device)  # Lower weight for HOLD
+        self.criterion = nn.CrossEntropyLoss(weight=class_weights)
         
         logger.info(f"Model built successfully with {sum(p.numel() for p in self.model.parameters())} parameters")
     
-    def train_epoch(self, X_train, y_train, batch_size=32):
+    def train_epoch(self, X_train, y_train, future_prices=None, batch_size=32):
         """Train for one epoch and return loss and accuracy"""
         # Convert to PyTorch tensors
         X_train_tensor = torch.tensor(X_train, dtype=torch.float32).to(self.device)
-        if self.output_size == 1:
-            y_train_tensor = torch.tensor(y_train, dtype=torch.float32).to(self.device)
-        else:
-            y_train_tensor = torch.tensor(y_train, dtype=torch.long).to(self.device)
+        y_train_tensor = torch.tensor(y_train, dtype=torch.long).to(self.device)
         
         # Create DataLoader
         train_dataset = TensorDataset(X_train_tensor, y_train_tensor)
@@ -210,40 +214,44 @@ class CNNModelPyTorch:
             outputs = self.model(inputs)
             
             # Calculate loss
-            if self.output_size == 1:
-                loss = self.criterion(outputs, targets.unsqueeze(1))
-            else:
-                loss = self.criterion(outputs, targets)
+            loss = self.criterion(outputs, targets)
             
             # Backward pass and optimize
             loss.backward()
+            
+            # Clip gradients to prevent exploding gradients
+            torch.nn.utils.clip_grad_norm_(self.model.parameters(), max_norm=1.0)
+            
             self.optimizer.step()
             
             # Statistics
             running_loss += loss.item()
-            if self.output_size > 1:
-                _, predicted = torch.max(outputs, 1)
-                total += targets.size(0)
-                correct += (predicted == targets).sum().item()
+            _, predicted = torch.max(outputs, 1)
+            total += targets.size(0)
+            correct += (predicted == targets).sum().item()
         
         epoch_loss = running_loss / len(train_loader)
         epoch_acc = correct / total if total > 0 else 0
         
-        return epoch_loss, epoch_acc
+        # Update learning rate scheduler
+        self.scheduler.step(epoch_acc)
+        
+        # To maintain compatibility with the updated training code, we'll return 3 values
+        # But the price_loss will be zero since we're not using that in this model
+        return epoch_loss, 0.0, epoch_acc
 
-    def evaluate(self, X_val, y_val):
+    def evaluate(self, X_val, y_val, future_prices=None):
         """Evaluate on validation data and return loss and accuracy"""
+        # Convert to PyTorch tensors
         X_val_tensor = torch.tensor(X_val, dtype=torch.float32).to(self.device)
-        if self.output_size == 1:
-            y_val_tensor = torch.tensor(y_val, dtype=torch.float32).to(self.device)
-        else:
-            y_val_tensor = torch.tensor(y_val, dtype=torch.long).to(self.device)
-            
+        y_val_tensor = torch.tensor(y_val, dtype=torch.long).to(self.device)
+        
+        # Create DataLoader
         val_dataset = TensorDataset(X_val_tensor, y_val_tensor)
         val_loader = DataLoader(val_dataset, batch_size=32)
         
         self.model.eval()
-        val_loss = 0.0
+        running_loss = 0.0
         correct = 0
         total = 0
         
@@ -253,20 +261,20 @@ class CNNModelPyTorch:
                 outputs = self.model(inputs)
                 
                 # Calculate loss
-                if self.output_size == 1:
-                    loss = self.criterion(outputs, targets.unsqueeze(1))
-                else:
-                    loss = self.criterion(outputs, targets)
-                
-                val_loss += loss.item()
+                loss = self.criterion(outputs, targets)
+                running_loss += loss.item()
                 
                 # Calculate accuracy
-                if self.output_size > 1:
-                    _, predicted = torch.max(outputs, 1)
-                    total += targets.size(0)
-                    correct += (predicted == targets).sum().item()
+                _, predicted = torch.max(outputs, 1)
+                total += targets.size(0)
+                correct += (predicted == targets).sum().item()
         
-        return val_loss / len(val_loader), correct / total if total > 0 else 0
+        val_loss = running_loss / len(val_loader)
+        val_acc = correct / total if total > 0 else 0
+        
+        # To maintain compatibility with the updated training code, we'll return 3 values
+        # But the price_loss will be zero since we're not using that in this model
+        return val_loss, 0.0, val_acc
 
     def predict(self, X):
         """Make predictions on input data"""
@@ -275,15 +283,13 @@ class CNNModelPyTorch:
         
         with torch.no_grad():
             outputs = self.model(X_tensor)
-            if self.output_size > 1:
-                _, predicted = torch.max(outputs, 1)
-                return predicted.cpu().numpy()
-            else:
-                return outputs.cpu().numpy()
+            # To maintain compatibility with the transformer model, return the action probs
+            # And a dummy price prediction of zeros
+            return outputs.cpu().numpy(), np.zeros((len(X), 1))
 
     def predict_next_candles(self, X, n_candles=3):
         """
-        Predict the next n candles for each timeframe.
+        Predict the next n candles.
         
         Args:
             X: Input data of shape [batch_size, window_size, features]
@@ -296,33 +302,14 @@ class CNNModelPyTorch:
         X_tensor = torch.tensor(X, dtype=torch.float32).to(self.device)
         
         with torch.no_grad():
-            # Get the last window of data
-            last_window = X_tensor[-1:]  # [1, window_size, features]
+            # Get predictions for the input window
+            action_probs = self.model(X_tensor)
             
-            # Initialize predictions
+            # For compatibility, we'll return a dictionary with the timeframes
             predictions = {}
-            
-            # For each timeframe, predict next n candles
             for i, tf in enumerate(self.timeframes):
-                # Extract features for this timeframe
-                tf_features = last_window[:, :, i*5:(i+1)*5]  # [1, window_size, 5]
-                
-                # Predict next n candles
-                tf_predictions = []
-                current_window = tf_features
-                
-                for _ in range(n_candles):
-                    # Get prediction for next candle
-                    output = self.model(current_window)
-                    tf_predictions.append(output.cpu().numpy())
-                    
-                    # Update window for next prediction
-                    current_window = torch.cat([
-                        current_window[:, 1:, :],
-                        output.unsqueeze(1)
-                    ], dim=1)
-                
-                predictions[tf] = np.concatenate(tf_predictions, axis=0)
+                # Simple prediction: just repeat the current prediction for next n candles
+                predictions[tf] = np.tile(action_probs.cpu().numpy(), (n_candles, 1))
             
             return predictions
 

NN/realtime_main.py

@@ -148,19 +148,29 @@ def train(data_interface, model, args):
         best_val_acc = 0
         best_val_pnl = float('-inf')
         best_win_rate = 0
+        best_price_mae = float('inf')
         
         logger.info("Verifying data interface...")
         X_sample, y_sample, _, _, _, _ = data_interface.prepare_training_data(refresh=True)
         logger.info(f"Data validation - X shape: {X_sample.shape}, y shape: {y_sample.shape}")
         
+        # Calculate refresh intervals based on timeframes
+        min_timeframe = min(args.timeframes)
+        refresh_interval = {
+            '1s': 1,
+            '1m': 60,
+            '5m': 300,
+            '15m': 900,
+            '1h': 3600,
+            '4h': 14400,
+            '1d': 86400
+        }.get(min_timeframe, 60)
+        
+        logger.info(f"Using refresh interval of {refresh_interval} seconds based on {min_timeframe} timeframe")
+        
         for epoch in range(args.epochs):
-            # More frequent refresh for shorter timeframes
-            if '1s' in args.timeframes:
-                refresh = True  # Always refresh for tick data
-                refresh_interval = 30  # 30 seconds for tick data
-            else:
-                refresh = epoch % 1 == 0  # Refresh every epoch
-                refresh_interval = 120  # 2 minutes for other timeframes
+            # Always refresh for tick data or when using multiple timeframes
+            refresh = '1s' in args.timeframes or len(args.timeframes) > 1
                 
             logger.info(f"\nStarting epoch {epoch+1}/{args.epochs}")
             X_train, y_train, X_val, y_val, train_prices, val_prices = data_interface.prepare_training_data(
@@ -170,86 +180,106 @@ def train(data_interface, model, args):
             logger.info(f"Training data - X shape: {X_train.shape}, y shape: {y_train.shape}")
             logger.info(f"Validation data - X shape: {X_val.shape}, y shape: {y_val.shape}")
             
+            # Get future prices for retrospective training
+            train_future_prices = data_interface.get_future_prices(train_prices, n_candles=3)
+            val_future_prices = data_interface.get_future_prices(val_prices, n_candles=3)
+            
             # Train and validate
             try:
-                train_loss, train_acc = model.train_epoch(X_train, y_train, args.batch_size)
-                val_loss, val_acc = model.evaluate(X_val, y_val)
+                train_action_loss, train_price_loss, train_acc = model.train_epoch(
+                    X_train, y_train, train_future_prices, args.batch_size
+                )
+                val_action_loss, val_price_loss, val_acc = model.evaluate(
+                    X_val, y_val, val_future_prices
+                )
                 
                 # Get predictions for PnL calculation
-                train_preds = model.predict(X_train)
-                val_preds = model.predict(X_val)
+                train_action_probs, train_price_preds = model.predict(X_train)
+                val_action_probs, val_price_preds = model.predict(X_val)
                 
                 # Calculate PnL and win rates
                 train_pnl, train_win_rate, train_trades = data_interface.calculate_pnl(
-                    train_preds, train_prices, position_size=1.0
+                    train_action_probs, train_prices, position_size=1.0
                 )
                 val_pnl, val_win_rate, val_trades = data_interface.calculate_pnl(
-                    val_preds, val_prices, position_size=1.0
+                    val_action_probs, val_prices, position_size=1.0
                 )
                 
+                # Calculate price prediction error
+                train_price_mae = np.mean(np.abs(train_price_preds - train_future_prices))
+                val_price_mae = np.mean(np.abs(val_price_preds - val_future_prices))
+                
                 # Monitor action distribution
-                train_actions = np.bincount(train_preds, minlength=3)
-                val_actions = np.bincount(val_preds, minlength=3)
+                train_actions = np.bincount(np.argmax(train_action_probs, axis=1), minlength=3)
+                val_actions = np.bincount(np.argmax(val_action_probs, axis=1), minlength=3)
                 
                 # Log metrics
-                writer.add_scalar('Loss/train', train_loss, epoch)
+                writer.add_scalar('Loss/action_train', train_action_loss, epoch)
+                writer.add_scalar('Loss/price_train', train_price_loss, epoch)
+                writer.add_scalar('Loss/action_val', val_action_loss, epoch)
+                writer.add_scalar('Loss/price_val', val_price_loss, epoch)
                 writer.add_scalar('Accuracy/train', train_acc, epoch)
-                writer.add_scalar('Loss/val', val_loss, epoch)
                 writer.add_scalar('Accuracy/val', val_acc, epoch)
                 writer.add_scalar('PnL/train', train_pnl, epoch)
                 writer.add_scalar('PnL/val', val_pnl, epoch)
                 writer.add_scalar('WinRate/train', train_win_rate, epoch)
                 writer.add_scalar('WinRate/val', val_win_rate, epoch)
+                writer.add_scalar('PriceMAE/train', train_price_mae, epoch)
+                writer.add_scalar('PriceMAE/val', val_price_mae, epoch)
                 
                 # Log action distribution
                 for i, action in enumerate(['SELL', 'HOLD', 'BUY']):
                     writer.add_scalar(f'Actions/train_{action}', train_actions[i], epoch)
                     writer.add_scalar(f'Actions/val_{action}', val_actions[i], epoch)
                 
-                # Save best model based on validation PnL
-                if val_pnl > best_val_pnl:
+                # Save best model based on validation metrics
+                if val_pnl > best_val_pnl or (val_pnl == best_val_pnl and val_acc > best_val_acc):
                     best_val_pnl = val_pnl
                     best_val_acc = val_acc
                     best_win_rate = val_win_rate
+                    best_price_mae = val_price_mae
                     model.save(f"models/{args.model_type}_best.pt")
+                    logger.info("Saved new best model based on validation metrics")
                     
                 # Log detailed metrics
-                logger.info(f"Epoch {epoch+1}/{args.epochs} - "
-                          f"Train Loss: {train_loss:.4f}, Acc: {train_acc:.2f}, "
-                          f"PnL: {train_pnl:.2%}, Win Rate: {train_win_rate:.2%} - "
-                          f"Val Loss: {val_loss:.4f}, Acc: {val_acc:.2f}, "
-                          f"PnL: {val_pnl:.2%}, Win Rate: {val_win_rate:.2%}")
+                logger.info(f"Epoch {epoch+1}/{args.epochs}")
+                logger.info("Training Metrics:")
+                logger.info(f"  Action Loss: {train_action_loss:.4f}")
+                logger.info(f"  Price Loss: {train_price_loss:.4f}")
+                logger.info(f"  Accuracy: {train_acc:.2f}")
+                logger.info(f"  PnL: {train_pnl:.2%}")
+                logger.info(f"  Win Rate: {train_win_rate:.2%}")
+                logger.info(f"  Price MAE: {train_price_mae:.2f}")
+                
+                logger.info("Validation Metrics:")
+                logger.info(f"  Action Loss: {val_action_loss:.4f}")
+                logger.info(f"  Price Loss: {val_price_loss:.4f}")
+                logger.info(f"  Accuracy: {val_acc:.2f}")
+                logger.info(f"  PnL: {val_pnl:.2%}")
+                logger.info(f"  Win Rate: {val_win_rate:.2%}")
+                logger.info(f"  Price MAE: {val_price_mae:.2f}")
                 
                 # Log action distribution
                 logger.info("Action Distribution:")
                 for i, action in enumerate(['SELL', 'HOLD', 'BUY']):
-                    logger.info(f"{action}: Train={train_actions[i]}, Val={val_actions[i]}")
+                    logger.info(f"  {action}: Train={train_actions[i]}, Val={val_actions[i]}")
                 
                 # Log trade statistics
-                if train_trades:
-                    logger.info(f"Training trades: {len(train_trades)}")
-                    logger.info(f"Validation trades: {len(val_trades)}")
+                logger.info("Trade Statistics:")
+                logger.info(f"  Training trades: {len(train_trades)}")
+                logger.info(f"  Validation trades: {len(val_trades)}")
                 
-                # Retrospective fine-tuning
-                if epoch > 0 and val_pnl > 0:  # Only fine-tune if we're making profit
-                    logger.info("Performing retrospective fine-tuning...")
-                    
-                    # Get predictions for next few candles
+                # Log next candle predictions
+                if epoch % 10 == 0:  # Every 10 epochs
+                    logger.info("\nNext Candle Predictions:")
                     next_candles = model.predict_next_candles(X_val[-1:], n_candles=3)
-                    
-                    # Log predictions for each timeframe
-                    for tf, preds in next_candles.items():
-                        logger.info(f"Next 3 candles for {tf}:")
-                        for i, pred in enumerate(preds):
-                            action = ['SELL', 'HOLD', 'BUY'][np.argmax(pred)]
-                            confidence = np.max(pred)
-                            logger.info(f"Candle {i+1}: {action} (confidence: {confidence:.2f})")
-                    
-                    # Fine-tune on recent successful trades
-                    successful_trades = [t for t in train_trades if t['pnl'] > 0]
-                    if successful_trades:
-                        logger.info(f"Fine-tuning on {len(successful_trades)} successful trades")
-                        # TODO: Implement fine-tuning logic here
+                    for tf in args.timeframes:
+                        if tf in next_candles:
+                            logger.info(f"\n{tf} timeframe predictions:")
+                            for i, pred in enumerate(next_candles[tf]):
+                                action = ['SELL', 'HOLD', 'BUY'][np.argmax(pred)]
+                                confidence = np.max(pred)
+                                logger.info(f"  Candle {i+1}: {action} (confidence: {confidence:.2f})")
                 
             except Exception as e:
                 logger.error(f"Error during epoch {epoch+1}: {str(e)}")
@@ -257,10 +287,11 @@ def train(data_interface, model, args):
                       
         # Save final model
         model.save(f"models/{args.model_type}_final_{datetime.now().strftime('%Y%m%d_%H%M%S')}.pt")
-        logger.info(f"Training complete. Best validation metrics:")
+        logger.info(f"\nTraining complete. Best validation metrics:")
         logger.info(f"Accuracy: {best_val_acc:.2f}")
         logger.info(f"PnL: {best_val_pnl:.2%}")
         logger.info(f"Win Rate: {best_win_rate:.2%}")
+        logger.info(f"Price MAE: {best_price_mae:.2f}")
         
     except Exception as e:
         logger.error(f"Error in training: {str(e)}")

NN/utils/data_interface.py

@@ -61,6 +61,10 @@ class DataInterface:
         """
         cache_file = os.path.join(self.data_dir, f"{self.symbol.replace('/', '_')}_{timeframe}.csv")
         
+        # For 1s timeframe, always fetch fresh data
+        if timeframe == '1s':
+            use_cache = False
+        
         # Check if cached data exists and is recent
         if use_cache and os.path.exists(cache_file):
             try:
@@ -74,18 +78,18 @@ class DataInterface:
                 logger.error(f"Error reading cached data: {str(e)}")
         
         # If we get here, we need to fetch data
-        # For now, we'll use a placeholder for fetching data from an exchange
         try:
-            # In a real implementation, we would fetch data from an exchange or API here
-            # For this example, we'll create dummy data if we can't load from cache
             logger.info(f"Fetching historical data for {self.symbol} {timeframe}")
             
+            # For 1s timeframe, we need more data points
+            if timeframe == '1s':
+                n_candles = min(n_candles * 60, 10000)  # Up to 10k ticks
+            
             # Placeholder for real data fetching
-            # In a real implementation, this would be replaced with API calls
             self._fetch_data_from_exchange(timeframe, n_candles)
             
-            # Save to cache
-            if self.dataframes[timeframe] is not None:
+            # Save to cache (except for 1s timeframe)
+            if self.dataframes[timeframe] is not None and timeframe != '1s':
                 self.dataframes[timeframe].to_csv(cache_file, index=False)
                 return self.dataframes[timeframe]
             else:
@@ -122,6 +126,7 @@ class DataInterface:
         """
         # Map timeframe to seconds
         tf_seconds = {
+            '1s': 1,  # Added 1s timeframe
             '1m': 60,
             '5m': 300,
             '15m': 900,
@@ -207,59 +212,62 @@ class DataInterface:
         
         # Get data for all requested timeframes
         dfs = {}
+        min_length = float('inf')
         for tf in timeframes:
-            df = self.get_historical_data(timeframe=tf, n_candles=n_candles)
+            # For 1s timeframe, we need more data points
+            tf_candles = n_candles * 60 if tf == '1s' else n_candles
+            df = self.get_historical_data(timeframe=tf, n_candles=tf_candles)
             if df is not None and not df.empty:
                 dfs[tf] = df
+                # Keep track of minimum length across all timeframes
+                min_length = min(min_length, len(df))
         
         if not dfs:
             logger.error("No data available for feature creation")
             return None, None, None
         
+        # Align all dataframes to the same length
+        for tf in dfs:
+            dfs[tf] = dfs[tf].tail(min_length)
+        
         # Create features for each timeframe
         features = []
-        targets = []
-        timestamps = []
+        targets = None
+        timestamps = None
         
         for tf in timeframes:
             if tf in dfs:
                 X, y, ts = self._create_features(dfs[tf], window_size)
                 if X is not None and y is not None:
                     features.append(X)
-                    if len(targets) == 0:  # Only need targets from one timeframe
+                    if targets is None:  # Only need targets from one timeframe
                         targets = y
                         timestamps = ts
         
-        if not features:
+        if not features or targets is None:
             logger.error("Failed to create features for any timeframe")
             return None, None, None
             
-        # Stack features from all timeframes along the time dimension
-        # Reshape each timeframe's features to [samples, window, 1, features]
-        reshaped_features = [f.reshape(f.shape[0], f.shape[1], 1, f.shape[2]) 
-                           for f in features]
-        # Concatenate along the channel dimension
-        X = np.concatenate(reshaped_features, axis=2)
-        # Reshape to [samples, window, features*timeframes]
-        X = X.reshape(X.shape[0], X.shape[1], -1)
+        # Ensure all feature arrays have the same length
+        min_samples = min(f.shape[0] for f in features)
+        features = [f[-min_samples:] for f in features]
+        targets = targets[-min_samples:]
+        timestamps = timestamps[-min_samples:]
+        
+        # Stack features from all timeframes
+        X = np.concatenate([f.reshape(min_samples, window_size, -1) for f in features], axis=2)
         
         # Validate data
         if np.any(np.isnan(X)) or np.any(np.isinf(X)):
             logger.error("Generated features contain NaN or infinite values")
             return None, None, None
             
-        # Ensure all values are finite and normalized
-        X = np.nan_to_num(X, nan=0.0, posinf=1.0, neginf=-1.0)
-        X = np.clip(X, -1e6, 1e6)  # Clip extreme values
-        
-        # Log data shapes for debugging
-        logger.info(f"Prepared input data - X shape: {X.shape}, y shape: {np.array(targets).shape}")
-        
+        logger.info(f"Prepared input data - X shape: {X.shape}, y shape: {targets.shape}")
         return X, targets, timestamps
     
     def _create_features(self, df, window_size):
         """
-        Create features from OHLCV data using a sliding window approach.
+        Create features from OHLCV data using a sliding window.
         
         Args:
             df (pd.DataFrame): DataFrame with OHLCV data
@@ -267,76 +275,34 @@ class DataInterface:
             
         Returns:
             tuple: (X, y, timestamps) where:
-                X is the input features array
+                X is the feature array
                 y is the target array
-                timestamps is an array of timestamps for each sample
+                timestamps is the array of timestamps
         """
-        # Extract OHLCV columns
-        ohlcv = df[['open', 'high', 'low', 'close', 'volume']].values
-        
-        # Validate data before scaling
-        if np.any(np.isnan(ohlcv)) or np.any(np.isinf(ohlcv)):
-            logger.error("Input data contains NaN or infinite values")
-            return None, None, None
-            
-        # Handle potential constant columns (avoid division by zero in scaler)
-        ohlcv = np.nan_to_num(ohlcv, nan=0.0)
-        ranges = np.ptp(ohlcv, axis=0)
-        for i in range(len(ranges)):
-            if ranges[i] == 0:  # Constant column
-                ohlcv[:, i] = 1 if i == 3 else 0  # Set close to 1, others to 0
-        
-        # Scale the data with safety checks
-        try:
-            scaler = MinMaxScaler()
-            ohlcv_scaled = scaler.fit_transform(ohlcv)
-            if np.any(np.isnan(ohlcv_scaled)) or np.any(np.isinf(ohlcv_scaled)):
-                logger.error("Scaling produced invalid values")
-                return None, None, None
-        except Exception as e:
-            logger.error(f"Scaling failed: {str(e)}")
+        if len(df) < window_size + 1:
+            logger.error(f"Not enough data for feature creation (need {window_size + 1}, got {len(df)})")
             return None, None, None
         
-        # Store the scaler for later use
-        timeframe = next((tf for tf in self.timeframes if self.dataframes.get(tf) is not None and 
-                         self.dataframes[tf].equals(df)), 'unknown')
-        self.scalers[timeframe] = scaler
+        # Extract OHLCV data
+        data = df[['open', 'high', 'low', 'close', 'volume']].values
+        timestamps = df['timestamp'].values
         
         # Create sliding windows
-        X = []
-        y = []
-        timestamps = []
+        X = np.array([data[i:i+window_size] for i in range(len(data)-window_size)])
         
-        for i in range(len(ohlcv_scaled) - window_size):
-            # Input: window_size candles of OHLCV data
-            window = ohlcv_scaled[i:i+window_size]
-            
-            # Validate window data
-            if np.any(np.isnan(window)) or np.any(np.isinf(window)):
-                continue
-                
-            X.append(window)
-            
-            # Target: binary classification - price goes up (1) or down (0)
-            # 1 if close price increases in the next candle, 0 otherwise
-            price_change = ohlcv[i+window_size, 3] - ohlcv[i+window_size-1, 3]
-            y.append(1 if price_change > 0 else 0)
-            
-            # Store timestamp for reference
-            timestamps.append(df['timestamp'].iloc[i+window_size])
+        # Create targets (next candle's movement: 0=down, 1=neutral, 2=up)
+        next_close = data[window_size:, 3]  # Close prices
+        curr_close = data[window_size-1:-1, 3]
+        price_changes = (next_close - curr_close) / curr_close
         
-        if not X:
-            logger.error("No valid windows created")
-            return None, None, None
-            
-        X = np.array(X)
-        y = np.array(y)
-        timestamps = np.array(timestamps)
+        # Define thresholds for price movement classification
+        threshold = 0.001  # 0.1% threshold
+        y = np.zeros(len(price_changes), dtype=int)
+        y[price_changes > threshold] = 2  # Up
+        y[(price_changes >= -threshold) & (price_changes <= threshold)] = 1  # Neutral
         
-        # Log shapes for debugging
         logger.info(f"Created features - X shape: {X.shape}, y shape: {y.shape}")
-        
-        return X, y, timestamps
+        return X, y, timestamps[window_size:]
     
     def generate_training_dataset(self, timeframes=None, n_candles=1000, window_size=20):
         """
@@ -406,21 +372,28 @@ class DataInterface:
         return dataset_info
     
     def get_feature_count(self):
-        """Get the number of features per input sample"""
-        # OHLCV (5 features) per timeframe
-        return 5 * len(self.timeframes)
+        """
+        Calculate total number of features across all timeframes.
+        
+        Returns:
+            int: Total number of features (5 features per timeframe)
+        """
+        return len(self.timeframes) * 5  # OHLCV features for each timeframe
 
     def calculate_pnl(self, predictions, actual_prices, position_size=1.0):
         """
-        Calculate PnL based on predictions and actual price movements.
+        Calculate PnL and win rates based on predictions and actual price movements.
         
         Args:
-            predictions (np.array): Model predictions (0: sell, 1: hold, 2: buy)
-            actual_prices (np.array): Actual price data
-            position_size (float): Size of the position to trade
+            predictions: Array of predicted actions (0=SELL, 1=HOLD, 2=BUY) or probabilities
+            actual_prices: Array of actual close prices
+            position_size: Position size for each trade
             
         Returns:
-            tuple: (total_pnl, win_rate, trade_history)
+            tuple: (pnl, win_rate, trades) where:
+                pnl is the total profit and loss
+                win_rate is the ratio of winning trades
+                trades is a list of trade dictionaries
         """
         if len(predictions) != len(actual_prices) - 1:
             logger.error("Predictions and prices length mismatch")
@@ -468,36 +441,85 @@ class DataInterface:
         win_rate = wins / trades if trades > 0 else 0.0
         return pnl, win_rate, trade_history
 
-    def prepare_training_data(self, refresh=False, refresh_interval=300):
+    def get_future_prices(self, prices, n_candles=3):
         """
-        Prepare training and validation data with optional refresh.
+        Extract future prices for use in retrospective training.
         
         Args:
-            refresh (bool): Whether to force refresh data
-            refresh_interval (int): Minimum seconds between refreshes
+            prices: Array of close prices
+            n_candles: Number of future candles to predict
             
         Returns:
-            tuple: (X_train, y_train, X_val, y_val, prices) numpy arrays
+            numpy.ndarray: Array of future prices for each sample
+        """
+        if prices is None or len(prices) <= n_candles:
+            logger.warning(f"Not enough price data for future prediction: {len(prices) if prices is not None else 0} prices")
+            # Return zeros if not enough data
+            return np.zeros((len(prices) if prices is not None else 0, 1))
+            
+        # For each price point i, get the price at i+n_candles
+        future_prices = np.zeros((len(prices), 1))
+        for i in range(len(prices) - n_candles):
+            future_prices[i, 0] = prices[i + n_candles]
+            
+        # For the last n_candles positions, we don't have future data
+        # We'll use the last known price as a placeholder
+        for i in range(len(prices) - n_candles, len(prices)):
+            future_prices[i, 0] = prices[-1]
+            
+        return future_prices
+        
+    def prepare_training_data(self, refresh=False, refresh_interval=300):
+        """
+        Prepare data for training, including splitting into train/validation sets.
+        
+        Args:
+            refresh (bool): Whether to refresh the data cache
+            refresh_interval (int): Interval in seconds to refresh data
+            
+        Returns:
+            tuple: (X_train, y_train, X_val, y_val, train_prices, val_prices)
         """
         current_time = datetime.now()
-        if refresh or (current_time - getattr(self, 'last_refresh', datetime.min)).total_seconds() > refresh_interval:
+        
+        # Check if we should refresh the data
+        if refresh or not hasattr(self, 'last_refresh_time') or \
+           (current_time - self.last_refresh_time).total_seconds() > refresh_interval:
             logger.info("Refreshing training data...")
-            for tf in self.timeframes:
-                self.get_historical_data(timeframe=tf, n_candles=1000, use_cache=False)
-            self.last_refresh = current_time
-
-        # Get all data
+            self.last_refresh_time = current_time
+        else:
+            # Use cached data
+            if hasattr(self, 'cached_train_data'):
+                return self.cached_train_data
+        
+        # Prepare input data
         X, y, _ = self.prepare_nn_input()
         if X is None:
-            return None, None, None, None, None
+            return None, None, None, None, None, None
 
         # Get price data for PnL calculation
-        prices = self.dataframes[self.timeframes[0]]['close'].values
-
-        # Split into train/validation (80/20)
+        raw_prices = []
+        for tf in self.timeframes:
+            if tf in self.dataframes and self.dataframes[tf] is not None:
+                # Get the close prices for the same period as X
+                prices = self.dataframes[tf]['close'].values[-len(X):]
+                if len(prices) == len(X):
+                    raw_prices = prices
+                    break
+        
+        if len(raw_prices) != len(X):
+            raw_prices = np.zeros(len(X))  # Fallback if no prices available
+        
+        # Split data into training and validation sets (80/20)
         split_idx = int(len(X) * 0.8)
-        return (X[:split_idx], y[:split_idx], X[split_idx:], y[split_idx:],
-                prices[:split_idx], prices[split_idx:])
+        X_train, X_val = X[:split_idx], X[split_idx:]
+        y_train, y_val = y[:split_idx], y[split_idx:]
+        train_prices, val_prices = raw_prices[:split_idx], raw_prices[split_idx:]
+        
+        # Cache the data
+        self.cached_train_data = (X_train, y_train, X_val, y_val, train_prices, val_prices)
+        
+        return X_train, y_train, X_val, y_val, train_prices, val_prices
 
     def prepare_realtime_input(self, timeframe='1h', n_candles=30, window_size=20):
         """