Signal Analyzer

Trade Geometry Diagnostic Engine - A Python library for analyzing the post-entry behavior of trading signals.

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Table of Contents

• What is Trade Geometry?
• The Core Concept
• Installation
• Quick Start
• API Reference
• Component Architecture
• Section Details
• Interpreting Results
• Advanced Usage
• Examples

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Example Visualizations

Here's what you get from running the analyzer on a real trading strategy:

Trade Geometry	TP/SL Probability
Risk/Reward Frontiers	Time Sequencing

Analysis run on EURGBP hourly data (3,500+ trades). See Section Details for all visualizations.

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What is Trade Geometry?

Trade geometry refers to the path-dependent behavior of trades after entry. Instead of just looking at final P&L, we analyze:

• MFE (Max Favorable Excursion): Best achievable profit within a time horizon
• MAE (Max Adverse Excursion): Worst drawdown experienced
• Time sequencing: When did profit vs pain occur?
• Path dependencies: Can the trade hit TP before SL?

Why This Matters

Traditional backtesting shows you if a signal works. Trade geometry shows you:

• HOW it works (profit-first vs pain-first)
• WHERE to place stops and targets (based on empirical paths)
• WHEN to exit (time-based vs price-based)
• WHAT risk management suits the signal (trailing vs fixed)

This is NOT

• A signal generator or optimizer
• A backtesting engine
• A portfolio management tool

This IS

• A diagnostic tool for analyzing signal behavior
• An empirical guide for exit rule design
• A path-dependent risk analysis framework

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The Core Concept

The Problem

You have a trading signal that fires entry triggers. You need to answer:

1. What stop-loss size is realistic?
2. What take-profit targets are achievable?
3. Should I use trailing stops or fixed stops?
4. Does the signal need "room to breathe" or does profit come quickly?
5. Are there different trade archetypes within my signal?

The Solution

For each entry signal, we:

1. Extract the forward price path over horizon H
2. Compute MFE/MAE along the path
3. Record timing: when did MFE/MAE occur?
4. Analyze the 2D distribution (MFE, MAE)
5. Derive actionable insights for exits

The Process Flow

Signal → Entry Events → Trade Paths → Geometry Analysis → Exit Rules
  ↓          ↓              ↓               ↓                 ↓
 ±1        indices      MFE/MAE/t     Distributions     TP/SL/Time

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Installation

Using Poetry (Recommended)

git clone git@github.com:alihaskar/signal_analyzer.git
cd signal_analyzer
poetry install

Using pip

git clone git@github.com:alihaskar/signal_analyzer.git
cd signal_analyzer
pip install -e .

Requirements

• Python 3.12+
• numpy >= 2.2.3
• pandas >= 2.2.3
• matplotlib >= 3.10.0
• scipy >= 1.15.1
• scikit-learn >= 1.6.1

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Quick Start

Minimal Example

import pandas as pd
from signal_analyzer import analyze, AnalysisConfig

# Your OHLC data with signals
df = pd.DataFrame({
    'Open': [...],
    'High': [...],
    'Low': [...],
    'Close': [...],
    'sig': [1, -1, 0, 1, ...],  # +1=long, -1=short, 0=neutral
})

# Configure analysis
config = AnalysisConfig(
    H=20,                        # 20-bar forward horizon
    sections=['A', 'B', 'C', 'D'],  # Run these sections
    store_paths=True,            # Required for Section D
)

# Run analysis
result = analyze(df, sig_col='sig', config=config)

# Access results
print(result.section_a['long']['metrics'])
print(result.section_d['long']['best_zones'][:5])

# Show plots
import matplotlib.pyplot as plt
plt.show()

With ATR Normalization

# Add ATR column to your data
df['atr'] = calculate_atr(df)  # Your ATR calculation

config = AnalysisConfig(
    H=20,
    sections=['A', 'B', 'C', 'D', 'E'],  # Include Section E
    vol_col='atr',                       # Enable vol normalization
    store_paths=True,
)

result = analyze(df, sig_col='sig', config=config)

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API Reference

Main Functions

analyze(ohlc, sig_col, config)

Main entry point for trade geometry analysis.

Parameters:

• ohlc (pd.DataFrame): OHLC data with signal column
• sig_col (str): Name of signal column (default: 'sig')
• config (AnalysisConfig): Configuration object
• open_col, high_col, low_col (str): Column names (default: 'Open', 'High', 'Low')
• sig_mode (str): 'transitions' or 'levels' (default: 'transitions')

Returns:

• AnalysisResult: Container with all analysis results and plots

Example:

result = analyze(
    df, 
    sig_col='my_signal',
    config=AnalysisConfig(H=10),
    open_col='open',  # lowercase
    high_col='high',
    low_col='close'
)

AnalysisConfig

Configuration for analysis run.

Parameters:

Parameter	Type	Default	Description
H	int	10	Forward horizon in bars
sections	list[str]	['A','B','C','D','E','F']	Sections to run
trim_method	str|None	'iqr'	Outlier removal: 'iqr', 'percentile', None
trim_k	float	1.5	IQR multiplier (3.0 = very permissive)
risk_q	float	0.9	Quantile for risk frontier
opp_q	float	0.8	Quantile for opportunity frontier
tp_grid	np.ndarray|None	None	TP grid (auto-generated if None)
sl_grid	np.ndarray|None	None	SL grid (auto-generated if None)
store_paths	bool	True	Store full paths (required for Section D)
vol_col	str|None	None	Volatility column name (for Section E)
n_regimes	int	3	Number of volatility regimes
n_clusters	int|None	None	Number of clusters (auto-select if None)

Example:

config = AnalysisConfig(
    H=30,                    # 30-bar horizon
    sections=['A', 'D'],     # Only geometry and TP/SL
    trim_k=3.0,              # More permissive outlier removal
    store_paths=True,
    vol_col='atr_14',        # Use 14-period ATR
)

AnalysisResult

Container for all analysis outputs.

Attributes:

• config (AnalysisConfig): Configuration used
• long_trades (TradeSet): Long trade geometry
• short_trades (TradeSet): Short trade geometry
• section_a (dict): Geometry overview results
• section_b (dict): Frontier analysis results
• section_c (dict): Ordering analysis results
• section_d (dict): TP/SL feasibility results
• section_e (dict): Vol normalization results
• section_f (dict): Cluster analysis results
• plots (dict): All generated matplotlib figures

Example:

# Access metrics
long_metrics = result.section_a['long']['metrics']
print(f"Win rate: {long_metrics['win_rate']*100:.1f}%")

# Access best TP/SL zones
best_zones = result.section_d['long']['best_zones']
print(f"Best TP/SL: {best_zones[0]['tp']:.2f}% / {best_zones[0]['sl']:.2f}%")

# Show specific plot
result.plots['scatter'].show()

TradeSet

Container for trade geometry data.

Attributes:

• side (str): 'long' or 'short'
• n_trades (int): Number of trades
• entry_idx (np.ndarray): Entry bar indices
• entry_price (np.ndarray): Entry prices
• mfe (np.ndarray): Max Favorable Excursion (%)
• mae (np.ndarray): Max Adverse Excursion (%)
• t_mfe (np.ndarray): Bars to reach MFE
• t_mae (np.ndarray): Bars to reach MAE
• vol_at_entry (np.ndarray): Volatility at entry (optional)
• mfe_path (np.ndarray): Full MFE paths (optional, shape: n_trades × H)
• mae_path (np.ndarray): Full MAE paths (optional, shape: n_trades × H)

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Component Architecture

Directory Structure

signal_analyzer/
├── core/                    # Core functionality
│   ├── events.py           # Signal → Entry events
│   ├── trades.py           # TradeSet & path computation
│   └── utils.py            # Statistical helpers
├── analysis/               # Analysis modules (one per section)
│   ├── geometry.py         # Section A: Geometry overview
│   ├── frontiers.py        # Section B: Risk/reward frontiers
│   ├── ordering.py         # Section C: Time sequencing
│   ├── feasibility.py      # Section D: TP/SL feasibility
│   ├── volnorm.py          # Section E: Vol normalization
│   └── clusters.py         # Section F: Trade archetypes
├── plotting/               # Visualization (mirrors analysis/)
│   ├── scatter.py
│   ├── frontiers.py
│   ├── heatmaps.py
│   ├── volnorm.py
│   └── clusters.py
├── report/                 # Text summaries
│   └── summaries.py
└── analyzer.py             # Main orchestrator

Data Flow

1. Signal Detection (events.py)
   Input:  DataFrame with signal column
   Output: Entry/exit event indices
   
2. Path Extraction (trades.py)
   Input:  OHLC + entry indices + horizon H
   Output: TradeSet with MFE/MAE/timing
   
3. Analysis (analysis/*.py)
   Input:  TradeSet
   Output: Metrics, distributions, probabilities
   
4. Visualization (plotting/*.py)
   Input:  TradeSet + analysis results
   Output: Matplotlib figures
   
5. Reporting (report/*.py)
   Input:  Metrics
   Output: Textual findings

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Section Details

Section A: Geometry Overview

What it does: Visualizes the 2D distribution of MFE vs MAE.

Key Outputs:

• Scatter plots (raw + trimmed)
• Marginal distributions (histograms + KDE)
• Summary metrics

Questions Answered:

• What is the overall shape of outcomes?
• Is there asymmetry suggesting an edge?
• Are there obvious data quality issues?
• Is the signal "tight-stop friendly"?

API:

from signal_analyzer.analysis.geometry import geometry_metrics, marginals

metrics = geometry_metrics(trades)
# Returns: median_mfe, median_mae, win_rate, tail stats, correlation

marg = marginals(trades, bins=50, use_kde=True)
# Returns: histogram bins/counts and KDE for MFE and MAE

Interpretation:

• Dense cluster near (0, 0): Weak follow-through, consider filtering
• Right tail in MFE: Edge from subset of winners
• Large negative MAE tail: Survival risk, need wide stops
• Wedge shape: Good asymmetry (winners bigger than losers)

Example Output:

Scatter plot showing the 2D distribution of trade outcomes. Each point is one trade.

Marginal distributions reveal the shape of MFE and MAE separately.

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Section B: Frontiers

What it does: Analyzes risk/reward boundaries and diminishing returns (knee points).

Key Outputs:

• Risk-constrained frontier: Max upside for given DD cap
• Opportunity-constrained frontier: DD required for target
• Knee points: Optimal stop sizing

Questions Answered:

• Where do we get diminishing returns on risk?
• What DD is realistic for a given profit target?
• What is the "sweet spot" for stop sizing?

API:

from signal_analyzer.analysis.frontiers import compute_frontiers

frontiers = compute_frontiers(
    trades, 
    dd_grid=None,      # Auto-generate
    risk_q=0.9,        # 90th percentile MFE
    opp_q=0.8          # 80th percentile DD
)

knee_dd, knee_mfe = frontiers['risk_constrained']['knee']
print(f"Optimal stop: {knee_dd:.2f}%")

Interpretation:

• Knee point: Where more risk doesn't buy much more upside
• Steep initial slope: Good risk/reward at small DD levels
• Flat tail: No benefit to wider stops beyond knee
• Use knee for stop sizing: Empirically optimal DD tolerance

Example Output:

Frontiers show optimal risk/reward boundaries. Red stars indicate knee points (sweet spots for stop sizing).

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Section C: Ordering

What it does: Time-sequencing analysis (profit-first vs pain-first).

Key Outputs:

• MFE-first vs MAE-first classification
• Ordering proportions
• Trailing suitability metrics
• "Needs room" analysis

Questions Answered:

• Does profit usually come before pain, or vice versa?
• Should I use trailing stops?
• Does the signal need "room to breathe"?

API:

from signal_analyzer.analysis.ordering import (
    ordering_proportions,
    trailing_suitability,
    needs_room
)

props = ordering_proportions(trades)
# Returns: {'mfe_first': 0.6, 'mae_first': 0.35, 'tie': 0.05}

trailing = trailing_suitability(trades)
# Returns: suitability rate for trailing stops

needs = needs_room(trades, mfe_threshold=1.0)
# Returns: success rate of MAE-first trades

Interpretation:

• >60% MFE-first: Use trailing stops, profit comes quickly
• >60% MAE-first: Use wide fixed stops, signal needs room
• 50/50 split: Use time-based exits or hybrid approach
• Low MAE-first success rate: Many losers get stopped out early

Example Output:

Green = profit before pain (trailing-stop friendly), Red = pain before profit (needs room).

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Section D: TP/SL Feasibility

What it does: Probabilistic analysis of hitting targets vs stops (path-dependent).

Key Outputs:

• P(TP before SL) heatmaps
• Expected value maps
• Best TP/SL zones (ranked by EV)

Questions Answered:

• Is my TP=1%, SL=0.5% realistic or fantasy?
• What TP/SL combinations have positive EV?
• Where are the robust (stable) zones?

API:

from signal_analyzer.analysis.feasibility import hit_matrix, ev_proxy, find_best_zones

# Compute hit probabilities
hit_data = hit_matrix(
    trades,
    tp_grid=np.linspace(0.1, 5, 25),
    sl_grid=np.linspace(0.1, 5, 25)
)
prob = hit_data['prob_matrix']  # Shape: (n_tp, n_sl)

# Compute expected values
ev_data = ev_proxy(hit_data, slippage=0.05, commission=0.02)

# Find best zones
best = find_best_zones(ev_data, top_n=5)
print(f"Best TP/SL: {best[0]['tp']:.2f}% / {best[0]['sl']:.2f}%")
print(f"Expected Value: {best[0]['ev']:.2f}%")

Interpretation:

• High probability zones: Where TP before SL is likely
• Positive EV zones: Where risk/reward math works out
• Robust zones: Stable across nearby TP/SL values
• Avoid fragile optima: Single peak with low counts

Example Output:

Probability of hitting TP before SL. Warmer colors = higher success rate.

Expected value heatmap. Green zones are profitable, black line shows break-even.

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Section E: Volatility Normalization

What it does: Adapts analysis to market regimes (vol-adjusted metrics).

Key Outputs:

• Vol-normalized metrics (R-multiples)
• Regime-split analysis (low/mid/high vol)
• Side-by-side comparisons (% vs vol-adjusted)

Questions Answered:

• Does geometry become more stable in vol-adjusted space?
• Do I need different rules per volatility regime?
• Should I scale stops/targets by ATR?

API:

from signal_analyzer.analysis.volnorm import (
    normalize_metrics,
    split_by_vol_regime,
    compare_percent_vs_volnorm
)

# Normalize to vol units
norm_trades = normalize_metrics(trades)  # MFE/MAE in R-multiples

# Split by regime
regimes = split_by_vol_regime(trades, n_regimes=3)
# Returns: {'low': TradeSet, 'mid': TradeSet, 'high': TradeSet}

# Compare
comp = compare_percent_vs_volnorm(trades)
# Returns: metrics in both % and vol-normalized space

Interpretation:

• Stable in vol space: Edge is vol-regime independent
• Unstable in vol space: Need regime-specific rules
• Large % change: Strategy mixes different vol environments
• Use ATR-adaptive exits: Scale TP/SL by volatility at entry

Example Output:

Left: percentage space, Right: volatility-adjusted space.

Trade geometry split by volatility regimes (low/mid/high vol).

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Section F: Clusters

What it does: Unsupervised learning to identify trade archetypes.

Key Outputs:

• Cluster labels and scatter plots
• Cluster summaries (size, win rate, ordering)
• Suggested exit strategies per archetype

Questions Answered:

• Is one signal actually multiple trade types?
• Which archetype carries the edge?
• Can I apply different exits per archetype?

API:

from signal_analyzer.analysis.clusters import (
    cluster_trades,
    cluster_summary,
    suggest_exit_rules
)

# Cluster trades
clusters = cluster_trades(trades, n_clusters=3)
labels = clusters['labels']  # Cluster ID per trade

# Summarize clusters
summary = cluster_summary(trades, clusters)
# Returns: {0: {...}, 1: {...}, 2: {...}}

# Get exit suggestions
rules = suggest_exit_rules(summary)
# Returns: {0: "Fast Winner (trailing stop)", 1: "Needs Room (wide SL)", ...}

Interpretation:

• Fast winners: High MFE, low DD, MFE-first → trailing stops
• Needs room: High MFE, high DD, MAE-first → wide SL + time stop
• Noise: Low MFE, low DD → consider filtering
• Strong edge: High MFE, high win rate → hold longer

Example Output:

Different colors represent distinct trade archetypes identified by clustering.

Detailed statistics per cluster with suggested exit strategies.

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Interpreting Results

Example: Mean-Reversion Strategy

# Results from a real strategy analysis
Section A: Win Rate = 93%, Median MFE = 0.24%, Median MAE = -0.24%
Section B: Knee at DD=0.66%, MFE=0.76%
Section C: 50% MFE-first, 50% MAE-first
Section D: Best TP/SL = 2.35% / 5.00% (EV=2.35%)

Interpretation:

1. High win rate but small moves → scalping strategy
2. Symmetric MFE/MAE → tight risk control
3. 50/50 ordering → don't use tight trailing stops
4. Wide optimal stop (5%) → mean reversion needs room
5. Action: Use TP=2.35%, SL=5%, time stop=30 bars

Example: Trend-Following Strategy

Section A: Win Rate = 45%, Median MFE = 2.5%, Median MAE = -0.8%
Section B: Knee at DD=2.0%, MFE=4.5%
Section C: 75% MFE-first, 25% MAE-first

Interpretation:

1. Positive asymmetry (MFE >> MAE) → good for trends
2. 75% MFE-first → use trailing stops
3. Steep frontier → wider stops pay off
4. Action: Use trailing stop, initial SL=2%, trail at 50%

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Advanced Usage

Custom Signal Modes

from signal_analyzer.core.events import signal_to_events

# Transitions mode (default): Fire on state changes
events = signal_to_events(df, sig_col='sig', mode='transitions')
# Returns: enter_long, enter_short, exit_long, exit_short

# Levels mode: Fire on all long/short bars
events = signal_to_events(df, sig_col='sig', mode='levels')
# Returns: enter_long, enter_short (every bar signal is active)

Manual TradeSet Creation

from signal_analyzer.core.trades import compute_trade_paths

# Get entry indices however you want
long_entries = np.where(df['my_condition'])[0]

# Compute trade paths manually
trades = compute_trade_paths(
    df,
    entries=long_entries,
    H=20,
    side='long',
    vol_col='atr',
    store_paths=True  # If you need Section D
)

Accessing Raw Paths

# Get full MFE/MAE paths for custom analysis
mfe_paths = trades.mfe_path  # Shape: (n_trades, H)
mae_paths = trades.mae_path

# Example: Find trades that hit 1% within 5 bars
quick_winners = np.any(mfe_paths[:, :5] >= 1.0, axis=1)
print(f"Quick winners: {quick_winners.sum()} / {trades.n_trades}")

Custom Visualizations

import matplotlib.pyplot as plt

# Create your own plots using TradeSet data
fig, ax = plt.subplots()
ax.scatter(trades.mfe, trades.mae, c=trades.t_mfe, cmap='viridis')
ax.set_xlabel('MFE (%)')
ax.set_ylabel('MAE (%)')
ax.set_title('Colored by Time to MFE')
plt.colorbar(ax.collections[0], label='Bars to MFE')
plt.show()

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Examples

Complete Analysis Script

See example.py for a full working example with synthetic data.

Real Strategy Analysis

See test_strat/test.py for a real EMA regression mean-reversion strategy on EURGBP data.

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Contributing

Contributions welcome! Areas of interest:

• Additional analysis sections
• Performance optimizations
• Better visualizations
• Documentation improvements
• Example strategies

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License

MIT License - see LICENSE file for details.

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Author

Ali Askar
GitHub: @alihaskar
Email: 26202651+alihaskar@users.noreply.github.com

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Acknowledgments

This library implements trade geometry analysis concepts for systematic trading. The core methodology focuses on path-dependent analysis of trade outcomes rather than point-in-time P&L.

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Further Reading

Recommended Order for First-Time Users

1. Run example.py to see the package in action
2. Read "What is Trade Geometry?" above
3. Review Section A output to understand MFE/MAE
4. Study Section D output for TP/SL guidance
5. Apply to your own strategy

Key Concepts

• MFE (Max Favorable Excursion): The best profit achieved during the trade
• MAE (Max Adverse Excursion): The worst drawdown experienced
• Ordering: Whether MFE or MAE occurred first (time sequencing)
• Frontiers: Risk/reward boundaries (knee points = optimal stops)
• Feasibility: Path-dependent probability of hitting TP before SL

Common Questions

Q: Why analyze geometry instead of just final P&L?
A: Because two trades with same P&L can have vastly different paths. One might go straight to profit, another might drawdown 5% first. This affects what exit rules will work.

Q: What's a good sample size?
A: Minimum 100 trades per side. 500+ is better. 1000+ is ideal for Section D heatmaps.

Q: Should I optimize TP/SL based on Section D?
A: No. Use it as a guide for realistic zones. The "best" TP/SL is just one data point. Look for robust zones with stable EV.

Q: My strategy shows 50/50 ordering. What does that mean?
A: Your signal is regime-mixing (sometimes catches trends, sometimes mean-reverts). Consider filtering by regime or using hybrid exits.

Q: Section E shows huge changes in vol-normalized space. Why?
A: Your % metrics are mixing different volatility environments. Scale your stops/targets by ATR at entry.

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Quick Decision Guide

Based on your results:

Observation	Action
Win rate > 70%, small MFE	Use small targets, wide stops, time exits
Win rate < 50%, large MFE tail	Use wide targets, trailing stops, cut losers fast
60%+ MFE-first	Use trailing stops
60%+ MAE-first	Use wide fixed stops + time stops
Steep frontier	Wider stops pay off
Flat frontier beyond knee	Don't go wider than knee point
Multiple distinct clusters	Apply different exits per cluster
Large vol-normalization change	Scale stops/targets by ATR

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Ready to analyze your strategy? Start with example.py or dive into the API!