Optimize EUR/USD to 78.7% WR on 2-year M15 backtest

Three-layer optimization:

1. Entry filters (signal_aggregator.py section 6e):
   - Block ranging regime
   - Only A+/A/B quality grades
   - min_entry_score=38, min_entry_confidence=60
   - Block RSI > 70 for BUY, RSI < 30 for SELL

2. Trade setup (config.py EurUsdStrategyConfig):
   - RR=0.50 with uniform quality scale
   - SL floor 1.2 ATR, TP 1.0 ATR

3. Breakeven trail (backtest/gpu_backtest.py):
   - When MFE reaches 0.3R, move SL to entry + 0.05R buffer
   - Converts 4 of 14 losses to +0.05R small wins
   - Bar-by-bar simulation integrated into simulate_trades()

Results (EUR/USD M15, 2024-05-18 to 2026-05-18):
  47 trades | 78.7% WR | +1.81R | PF 1.18 | MaxDD 3.35R
XAU/USD unchanged: 77.8% WR on 30-day, 68.7% WR on 2-year.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>

signal_aggregator.py

@@ -426,6 +426,72 @@ class SignalAggregator:
             report.signal_quality = "D"
             report.trade_setup = None
 
+        # ── 6e. EUR/USD regime + quality + risk gate ─────────────
+        if report.display_name == "EUR/USD" and self.config.eur_strategy.enabled:
+            eur = self.config.eur_strategy
+            if eur.blocked_regimes and report.market_regime in eur.blocked_regimes:
+                report.warnings.append(
+                    f"EUR REGIME FILTER: {report.market_regime} blocked"
+                )
+                report.signal_quality = "F"
+            if (eur.min_quality_grades
+                    and report.signal_quality not in eur.min_quality_grades
+                    and report.signal_quality != "F"):
+                report.warnings.append(
+                    f"EUR QUALITY FILTER: {report.signal_quality} below minimum"
+                )
+                report.signal_quality = "F"
+            if (report.signal_quality != "F"
+                    and getattr(report, 'exhaustion_count', 0) > eur.max_exhaustion_tags):
+                report.warnings.append(
+                    f"EUR EXHAUSTION FILTER: {report.exhaustion_count} tags > max {eur.max_exhaustion_tags}"
+                )
+                report.signal_quality = "F"
+            if (report.signal_quality != "F"
+                    and eur.block_near_ema200
+                    and any(w.startswith("NEAR EMA200") for w in report.warnings)):
+                report.warnings.append("EUR EMA200 FILTER: too close to EMA200")
+                report.signal_quality = "F"
+            if eur.session_hours and report.signal_quality != "F":
+                try:
+                    bar_hour = pd.Timestamp(report.timestamp).hour
+                    if bar_hour not in eur.session_hours:
+                        report.warnings.append(
+                            f"EUR SESSION FILTER: {bar_hour:02}:00 UTC outside allowed hours"
+                        )
+                        report.signal_quality = "F"
+                except Exception:
+                    pass
+            if report.signal_quality != "F":
+                abs_s = abs(report.final_score)
+                if abs_s < eur.min_entry_score:
+                    report.warnings.append(
+                        f"EUR SCORE FILTER: |{abs_s:.1f}| < {eur.min_entry_score}"
+                    )
+                    report.signal_quality = "F"
+                elif report.final_confidence < eur.min_entry_confidence:
+                    report.warnings.append(
+                        f"EUR CONF FILTER: {report.final_confidence} < {eur.min_entry_confidence}"
+                    )
+                    report.signal_quality = "F"
+            if (report.signal_quality != "F"
+                    and eur.block_rsi_extended
+                    and report.primary_analysis):
+                rsi_ind = report.primary_analysis.indicators.get("rsi")
+                if rsi_ind:
+                    rsi_v = rsi_ind.value
+                    is_buy = report.final_score > 0
+                    if is_buy and rsi_v > 70:
+                        report.warnings.append(
+                            f"EUR RSI FILTER: RSI {rsi_v:.0f} overbought for BUY"
+                        )
+                        report.signal_quality = "F"
+                    elif not is_buy and rsi_v < 30:
+                        report.warnings.append(
+                            f"EUR RSI FILTER: RSI {rsi_v:.0f} oversold for SELL"
+                        )
+                        report.signal_quality = "F"
+
         # ── 7. Trade setup for actionable signals ──────────────────
         if report.trade_setup is None and report.signal_quality in ("A+", "A") and report.display_name == "XAU/USD":
             atr = (report.primary_analysis.key_levels.get("atr", 0)
@@ -864,12 +930,10 @@ class SignalAggregator:
 
         if _is_eur:
             eur = self.config.eur_strategy
-            q_scale = eur.tp_quality_scale.get(report.signal_quality, 1.0)
-            min_rr = eur.min_rr_ratio * q_scale
+            min_rr = eur.min_rr_ratio
             mature_move = abs(report.final_score) > eur.mature_move_threshold
-            base_tp = eur.tp_atr_multiplier if mature_move else eur.tp_atr_multiplier * 1.5
-            tp_mult = base_tp * q_scale
-            tp_swing_cap = (2.0 if mature_move else 2.5) * q_scale
+            tp_mult = eur.tp_atr_multiplier if mature_move else eur.tp_atr_multiplier * 1.5
+            tp_swing_cap = 2.0 if mature_move else 2.5
             sl_atr_floor = eur.sl_atr_floor
         else:
             min_rr = self.config.signals.min_rr_ratio