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README.md

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+---
+language: en
+tags:
+- finance
+- trading
+- futures
+- nq
+- machine-learning
+- lightgbm
+- classification
+- market-microstructure
+- key-levels
+license: mit
+---
+
+# NQ Futures Key Level Classifier
+
+LightGBM classifier for predicting NQ futures key level reactions based on market microstructure
+
+## Model Details
+
+- **Model Type**: LightGBM Classifier
+- **Task**: Multi-class classification for NQ futures key level reactions
+- **Training Data**: 1,043,089 episodes from 78 trading days (April-August 2025)
+- **Features**: 0 market microstructure and session context features
+
+## Performance
+
+- **Multi-class Log Loss**: 0.9852353681288883
+- **Accuracy**: 0.9764018445196484
+
+## Feature Importance (Top 10)
+
+- mae_ticks_60s: 6659.0000
+- rv_60s: 6409.0000
+- mfe_ticks_60s: 6190.0000
+- touch_count_last_30m: 5442.0000
+- vwap_dev_ticks: 5023.0000
+- mfe_ticks_120s: 4985.0000
+- session_cum_delta: 4864.0000
+- mae_ticks_120s: 4795.0000
+- pullback_ticks_30s: 4774.0000
+- p50_intertrade_ms_5s: 4770.0000
+
+
+## Usage
+
+```python
+import joblib
+import pandas as pd
+
+# Load the model
+model = joblib.load('classifier.joblib')
+
+# Prepare features (same format as training)
+features = prepare_features(your_data)
+
+# Make predictions
+predictions = model.predict(features)
+probabilities = model.predict_proba(features)
+```
+
+## Model Architecture
+
+This model predicts four possible outcomes when price approaches key levels:
+- **BREAK**: Price breaks through the level decisively
+- **BOUNCE**: Price bounces off the level
+- **WEAK_BREAK**: Price breaks but with weak momentum
+- **TIMEOUT**: Price approaches but doesn't reach outcome within time limit
+
+## Training Context
+
+The model was trained on NQ futures data from the first 2 hours of regular trading hours (09:30-11:30 ET), focusing on:
+- Key level identification (OPEN, IBH/IBL, Round Numbers, Session VWAP)
+- Market microstructure features (order flow, volatility, timing)
+- Session context (cumulative delta, VWAP deviation, touch frequency)
+
+## License
+
+MIT License - see LICENSE file for details.