{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,18]],"date-time":"2026-05-18T14:31:27Z","timestamp":1779114687154,"version":"3.51.4"},"reference-count":0,"publisher":"Slovenian Association Informatika","issue":"13","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["IJCAI"],"abstract":"<jats:p>Smart Money Concepts (SMC) and the Inner Circle Trader (ICT) provide a rich vocabulary of\u00a0market-structure events, but translating these discretionary ideas into robust, cost-aware execution remains challenging. This paper proposes a structure-aware trading system that (i) detects\u00a0SMC\/ICT events on OHLC data, (ii) learns calibrated probabilities of favorable resolution over a\u00a0fixed horizon, and (iii) maps the probabilistic edge to a risk-aware position via linear programming\u00a0(LP) with exposure, turnover, and Conditional Value-at-Risk (CVaR) constraints. On XAUUSD\u00a0H1 data, the hybrid method achieves a cost-inclusive development return of 46.7% with Sharpe\u00a01.18 and maximum drawdown (MDD) 6.8%, outperforming rules-only (38.6%, Sharpe 0.86) and\u00a0ML-only (34.1%, Sharpe 0.79) baselines. On a held-out validation window, calibration and tail risk improve further, reaching Brier score [32] 0.186, Expected Calibration Error (ECE) 6.1%, ES0.95 0.036, and MDD 6.3%. Ablations indicate that probability calibration and the CVaR constraint contribute materially to risk-adjusted performance, while session conditioning improves robustness across volatility regimes.<\/jats:p>","DOI":"10.31449\/inf.v50i13.12899","type":"journal-article","created":{"date-parts":[[2026,5,18]],"date-time":"2026-05-18T13:54:42Z","timestamp":1779112482000},"source":"Crossref","is-referenced-by-count":0,"title":["Risk-Constrained Trade Sizing via Calibrated ML Probabilities and Linear Programming on SMC\/ICT-Driven Structural Signals"],"prefix":"10.31449","volume":"50","author":[{"given":"Mohamed Hassan","family":"Oukhouya","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Aboutabit","family":"Noureddine","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Hafidi","family":"Imad","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"16141","published-online":{"date-parts":[[2026,5,18]]},"container-title":["Informatica"],"original-title":[],"link":[{"URL":"https:\/\/www.informatica.si\/index.php\/informatica\/article\/download\/12899\/6712","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/www.informatica.si\/index.php\/informatica\/article\/download\/12899\/6712","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,5,18]],"date-time":"2026-05-18T13:54:42Z","timestamp":1779112482000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.informatica.si\/index.php\/informatica\/article\/view\/12899"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026,5,18]]},"references-count":0,"journal-issue":{"issue":"13","published-online":{"date-parts":[[2026,5,18]]}},"URL":"https:\/\/doi.org\/10.31449\/inf.v50i13.12899","relation":{},"ISSN":["1854-3871","0350-5596"],"issn-type":[{"value":"1854-3871","type":"electronic"},{"value":"0350-5596","type":"print"}],"subject":[],"published":{"date-parts":[[2026,5,18]]}}}