ForexGrand Strategy Modelling Core

ForexGrand Strategy Modelling Core is a Python package for building forex strategy modelling workflows. It includes utilities for loading market data from Cloudflare R2, preparing TFRecord datasets, training models, evaluating model quality, and packaging trained models for deployment.

The distribution name is fg-strategy-modelling-core; the Python import package is forexgrand_core.

Features

• Cloudflare R2-backed storage access through the S3-compatible API.
• A runtime configuration helper so users do not have to manually export environment variables.
• Data loading and local caching for symbol market data.
• Dataset generation utilities for train, evaluation, and test workflows.
• Training pipelines for neural-network, KNN, XGBoost, and no-train target models.
• Model evaluation, performance checks, and model publishing helpers.
• Extensible preprocessing classes for custom feature pipelines.

Installation

Install from PyPI:

pip install fg-strategy-modelling-core

Install from source for development:

git clone https://github.com/forexgrand/fg-strategy-modelling-core.git
cd fg-strategy-modelling-core
pip install -e ".[dev]"

Command Line Interface

Installing the package provides an fg_core command with data workflow subcommands:

fg_core download_data EURUSD forex --bucket forexgrand-data --source mt5
fg_core generate_train_data EURUSD forex --sequence-length 2800 --stride 100
fg_core preprocess_data prices.parquet preprocess.py --output data/processed.pkl.gz

preprocess.py must define preprocess_fn(dataframe). The input can be CSV, Parquet, or a pickle file, and the preprocessing result is saved as a gzip-compressed pickle. Each command prints a JSON object containing its output path and summary information. Storage credentials and other runtime settings use the same environment variables as the Python API.

Configure Cloudflare R2

The package currently supports Cloudflare R2 storage. Configure it at the start of your script with configure_r2:

from forexgrand_core import configure_r2

settings = configure_r2(
    account_id="your-cloudflare-account-id",
    access_key_id="your-r2-access-key-id",
    secret_access_key="your-r2-secret-access-key",
    bucket_name="forexgrand-data",
    train_bucket_name="forexgrand-train",
    eval_bucket_name="forexgrand-eval",
    test_bucket_name="forexgrand-test",
    model_upload_bucket="forexgrand-models",
)

You can pass endpoint="https://<account-id>.r2.cloudflarestorage.com" instead of account_id if you already have the full endpoint.

configure_r2 sets these environment variables for the current Python process and returns a fresh Settings object:

Variable	Purpose
S3_STORAGE_OPTION	Always set to cloudflare
S3_ENDPOINT	Cloudflare R2 S3 API endpoint
S3_ACCESS_KEY	R2 access key ID
S3_SECRET_KEY	R2 secret access key
S3_REGION_NAME	R2 region, defaults to auto
S3_BUCKET_NAME	Main data bucket
TRAIN_BUCKET_NAME	Training dataset bucket
EVAL_BUCKET_NAME	Evaluation dataset bucket
TEST_BUCKET_NAME	Test dataset bucket
MODEL_UPLOAD_BUCKET	Trained model upload bucket

If bucket-specific names are omitted, bucket_name is reused for all buckets.

Load Market Data

from forexgrand_core import configure_r2
from forexgrand_core.data_manager import DataManager

configure_r2(
    account_id="your-cloudflare-account-id",
    access_key_id="your-r2-access-key-id",
    secret_access_key="your-r2-secret-access-key",
    bucket_name="forexgrand-data",
)

manager = DataManager(base_bucket_name="forexgrand-data")
df, properties = manager.load_data(
    symbol_pair="EURUSD",
    instrument_group="forex",
)

Generate Training Data

import tensorflow as tf
from forexgrand_core import configure_r2
from forexgrand_core.pipeline.no_train_trainer import NoTrainTrainer
from forexgrand_core.pipeline.preprocessing.base_preprocessor import PreprocessBase
from forexgrand_core.schemas import SymbolIn, TimeBasedTarget


class Preprocess(PreprocessBase):
    def preprocess(self, data, training=False):
        return {"direction": tf.zeros(tf.shape(data["close"])[0], dtype=tf.int64)}

    def features_metadata(self):
        return {"direction": tf.io.FixedLenFeature([], tf.int64)}

configure_r2(
    account_id="your-cloudflare-account-id",
    access_key_id="your-r2-access-key-id",
    secret_access_key="your-r2-secret-access-key",
    bucket_name="forexgrand-data",
)

trainer = NoTrainTrainer(
    symbols=[SymbolIn(symbol="EURUSD", group="forex")],
    sequence_length=2800,
    preprocessor_class=Preprocess,
    target_model_type=TimeBasedTarget(stop_minutes=60, mode="prices"),
    run_performance_test=False,
    hot_reload_data=False,
    upload_models=True,
    target_percentile=99,
    use_dataframe_format=False,
)
results = trainer.run()

For data generation APIs, pass source explicitly when the data is not under the DATA_SOURCE environment value:

data_gen.load_single_data(..., source="metaquotes")
data_gen.load_data(..., source="metaquotes")

Backtest A Strategy

Backtesting currently uses the Python API only. The CLI backtest command is temporarily unavailable. Pass an instance of SignalsBase to run_backtest; its signals(batch) method returns one direction per input window: 0 for buy, 1 for sell, or 2 for no trade.

from forexgrand_core.backtesting import run_backtest

result = run_backtest(
    strategy=my_strategy,
    bucket_name="forexgrand-test",
    source="dukascopy",
    symbol_pair="EURUSD",
    instrument_group="forex",
    sequence_length=60,
    stride=5,
    start_index=0,
    end_index=-1,
    return_in_points=True,
    sl_calculation={"mode": "fixed", "sl_points": 100, "tp_points": 150},
)
print(result.positions)
print(result.positions_total, result.buy_count, result.sell_count)

sl_calculation supports exactly these mode-specific keys (omitted keys use the shown defaults):

• {"mode": "fixed", "sl_points": 100, "tp_points": 100}
• {"mode": "range", "range": 60, "sl_ratio": 1.0, "tp_ratio": 1.0}
• {"mode": "atr", "sl_multiplier": 3.0, "tp_multiplier": 3.0, "atr_period": 14}

Unknown keys or unsupported modes raise ValueError. Entry prices default to the bid-based convention; use entry_price_type="ask" or "mid" when needed. Use start_index and end_index to limit the test data; end_index is an exclusive endpoint, and -1 (the default) runs through the final bar. Every position is closed by tp, sl, a tiebreak, or eod, and the result contains profit_equity, dd_equity, and unsupported_signal_count. Set return_in_points=True to divide position profits, drawdowns, and both equity curves by the symbol point size. The CLI accepts the same options; pass --sl-calculation as a JSON object and use --return-in-points for point-valued output. Add --output result.pkl.gz to save the complete result dataclass.

Validate Configuration

Configuration is not validated on package import, so import forexgrand_core works before credentials are available. Validate explicitly when you want a clear setup error:

from forexgrand_core.env_validator import validate_environment_on_import

validate_environment_on_import()

Build And Publish To PyPI

Install build tools:

python -m pip install --upgrade build twine

Build the source distribution and wheel:

python -m build

Check the package:

python -m twine check dist/*

Upload to TestPyPI first:

python -m twine upload --repository testpypi dist/*

Upload to PyPI:

python -m twine upload dist/*

Development

Run tests:

pytest

Build locally:

python -m build

Check imports:

import forexgrand_core
from forexgrand_core import configure_r2, Settings

License

MIT