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

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>

config.py

@@ -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

pair_signals/eurusd.py

@@ -114,6 +114,11 @@ def make_config(
     # belt-and-braces so no gold logic can ever fire on an EUR config.
     config.xau_strategy.enabled = False
 
+    # Keep event-risk signal gating ON for EUR (the XAU-tuned default
+    # turned it off after the 2026-07-11 audit — that evidence is
+    # gold-specific; EUR event-window trades were flat-to-negative).
+    config.news.event_risk_caps_signals = True
+
     config.backtest.session_start_hour = 7
     config.backtest.session_end_hour = 20
     config.backtest.blocked_hours_utc = [22, 23, 0, 1, 2, 3]

signal_aggregator.py

@@ -1138,10 +1138,14 @@ class SignalAggregator:
                     confidence += 5
 
         # ── Event risk (hard cap, separate from penalty system) ───
+        # Warning always shown; the confidence cap is config-gated
+        # (news.event_risk_caps_signals) — see NewsConfig for the audit
+        # showing the cap costs R on XAU.
         if report.event_risk == "danger":
             report.warnings.append(f"EVENT RISK: {report.event_description}")
-            confidence = min(confidence, 30)
+            if self.config.news.event_risk_caps_signals:
-            report.action_recommendation = f"WAIT — {report.event_description}"
+                confidence = min(confidence, 30)
+                report.action_recommendation = f"WAIT — {report.event_description}"
 
         # ── Penalties (diminishing cap system) ────────────────────
         # Collect all applicable penalties, then apply with exponential
@@ -1163,7 +1167,8 @@ class SignalAggregator:
 
         if report.event_risk == "caution":
             report.warnings.append(f"Upcoming event: {report.event_description}")
-            penalties.append(("event_caution", 15))
+            if self.config.news.event_risk_caps_signals:
+                penalties.append(("event_caution", 15))
 
         is_counter_trend = (
             (report.market_regime == "trending_up" and score < 0) or

test_all.py

@@ -1203,6 +1203,43 @@ def _():
     assert report.action_recommendation != ""
 
 
+@test("Event-risk signal gating obeys news.event_risk_caps_signals")
+def _():
+    config = PlatformConfig()
+    agg = SignalAggregator(config)
+    dfs = {
+        Timeframe.H1: make_ohlcv(300, seed=42),
+        Timeframe.M15: make_ohlcv(300, seed=43),
+        Timeframe.H4: make_ohlcv(300, seed=44),
+    }
+    report = agg.analyze_from_dataframes("XAU/USD", dfs, use_news=False)
+
+    def recompute(risk, caps):
+        config.news.event_risk_caps_signals = caps
+        report.event_risk = risk
+        report.event_description = "USD Test Event in 10min"
+        report.warnings = []
+        agg._compute_final_signal(report)
+        return report.final_confidence
+
+    baseline = recompute("clear", True)
+    # default XAU behavior (caps off): danger warns but does not gut
+    conf_off = recompute("danger", False)
+    assert conf_off == baseline, "flag off must not change confidence"
+    assert any("EVENT RISK" in w for w in report.warnings), "warning must persist"
+    # caps on: danger hard-caps confidence at 30
+    conf_on = recompute("danger", True)
+    assert conf_on <= 30, f"danger with caps on must cap conf at 30, got {conf_on}"
+    # caution with caps off is also warning-only
+    conf_caut_off = recompute("caution", False)
+    assert conf_caut_off == baseline
+    assert any("Upcoming event" in w for w in report.warnings)
+    # PlatformConfig default is off (XAU-tuned); EUR factory re-enables
+    assert PlatformConfig().news.event_risk_caps_signals is False
+    from pair_signals.eurusd import make_config as eur_make
+    assert eur_make(Timeframe.M15).news.event_risk_caps_signals is True
+
+
 @test("SignalAggregator._generate_trade_setup BUY direction")
 def _():
     config = PlatformConfig()