Rule-Based Trading System — Phase 1

Modular rule-based trading decision engine integrated with IBKR. Phase 1 covers data ingestion, signal generation, and decision output via CLI with full logging. No live trades are executed in this phase.

Architecture

kingston-trading-engine/
├── config.py            # All parameters (tickers, MA periods, RSI thresholds, etc.)
├── main.py              # Entry point — runs EOD evaluation and prints decisions
├── data/
│   └── market_data.py   # Data layer — fetches OHLCV via yfinance
├── signals/
│   └── signal_engine.py # Signal layer — computes MAs, RSI, volume, breakout
├── decisions/
│   └── decision_engine.py # Decision layer — applies market filter and entry rules
├── logger/
│   └── trade_logger.py  # Logging layer — writes signals and trades to dated log files
└── logs/                # Runtime log output (created automatically)

Modules

Data Layer (`data/market_data.py`)

Fetches daily OHLCV data for each ticker using yfinance. Configurable period and interval via config.py.

Signal Engine (`signals/signal_engine.py`)

Computes all technical indicators from raw OHLCV:

50-day, 200-day, 20-day simple moving averages
RSI(14) using exponential smoothing
5-day high breakout level
20-day average volume

Decision Engine (`decisions/decision_engine.py`)

Applies entry rules per ticker after checking the market filter.

Market Filter — evaluated on SPY:

SPY price > 200-day MA
SPY RSI > 50

Entry Rules — all must pass:

Price > 50-day MA
50-day MA > 200-day MA
RSI between 55 and 65
Price above 5-day high (breakout)
Volume > 1.2x 20-day average

Decisions:

BUY — all entry conditions pass
HOLD — market filter passes but one or more entry conditions fail
BLOCK — market filter fails (no trades for any ticker)

Logging Layer (`logger/trade_logger.py`)

Writes two dated log files to logs/:

signals_YYYYMMDD.log — full signal detail for every ticker evaluated
trades_YYYYMMDD.log — BUY signals and BLOCK events only

Configuration (`config.py`)

| Parameter | Default | Description | |---|---|---| | TICKERS | SPY, QQQ, AAPL, MSFT | Instruments to evaluate | | MARKETFILTERTICKER | SPY | Market regime filter ticker | | MA_50 | 50 | Fast MA period | | MA_200 | 200 | Trend MA period | | MA_20 | 20 | Exit MA period | | HIGH_LOOKBACK | 5 | Days for breakout level | | RSI_PERIOD | 14 | RSI lookback | | RSIENTRYLOW | 55 | RSI entry lower bound | | RSIENTRYHIGH | 65 | RSI entry upper bound | | RSIMARKETMIN | 50 | SPY RSI minimum for market filter | | VOLUME_MULTIPLIER | 1.2 | Volume surge threshold |

Setup

pip install -r requirements.txt
python main.py

Phase 2 (Upcoming)

Risk engine: 1% risk per trade, max 3 open positions, daily loss limit (2 losses), 1-day cooldown
IBKR paper execution via ib_insync
Exit rule monitoring: MA20 cross, RSI < 50, 2% trailing stop, 2% hard stop
Full trade lifecycle logging (entry, exit, blocked)

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