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Live news gate: stop capping signal confidence near events (XAU default)

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Replaying the live danger/caution gates against the validated 12mo XAU
M5 book showed they suppress 25-35 trades worth +4.6..+7.2R/yr — trades
entered near USD releases outperform the book average (+0.475R vs
+0.256R). New NewsConfig.event_risk_caps_signals (default False =
XAU-tuned) keeps EVENT RISK warnings in alerts but no longer guts
confidence; EUR factory re-enables the caps (evidence is gold-specific).
Pinned XAU M5 regression: 547 trades, +139.94R, trade-identical.
Tests: 177 passed.

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
This commit is contained in:
Harwinder Sekhon
2026-07-11 10:02:27 -04:00
parent 2842351f9b
commit 02bd61f378
4 changed files with 58 additions and 3 deletions
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config.py
+8
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@@ -168,6 +168,14 @@ class NewsConfig:
tracked_currencies: List[str] = field(default_factory=lambda: ["USD", "XAU", "EUR"])
pre_event_buffer_minutes: int = 30
post_event_buffer_minutes: int = 15
# Whether event risk gates the SIGNAL (danger: confidence hard-capped
# at 30; caution: 15-point penalty). Warnings are always emitted
# regardless. Default False = XAU-tuned: replaying the live gates
# against the validated 12mo XAU M5 book (547 trades, +139.9R)
# showed they suppress 25-35 trades worth +4.6..+7.2R/yr — trades
# entered near USD releases OUTPERFORM (+0.475R vs +0.256R avg).
# Audit 2026-07-11 via backtest/research/calendar_store.
event_risk_caps_signals: bool = False
# Wider stay-out window after a high-impact release that surprised
# vs forecast (inline releases use post_event_buffer_minutes).
post_event_surprise_buffer_minutes: int = 45