Remove EUR/USD support — XAU/USD-only codebase
EUR/USD never had a validated edge (2026-07-11/12 verdict: no config
passed validation on M5/M15/H1 at 1-pip cost; cost-to-volatility root
cause). Removed: EurUsdStrategyConfig, pair_signals/eurusd.py, EUR
gates 6h + weekend/day filters + strategy marker + trade geometry in
signal_aggregator, EUR pair registry/aliases in main.py and
gpu_backtest.py, EUR/USD news pair mappings, test_all.py Module 10.
Generic multi-currency news keyword infra kept (GBP/JPY/EUR keyword
table is not pair code). Full EUR history remains at 7d3fd95.
Suite: 162/162 green (was 187; 25 EUR-specific tests removed).
Claude-Session: https://claude.ai/code/session_015kby7M9JwpYi8NQT2yoxAi
This commit is contained in:
Harwinder Sekhon
@@ -45,8 +45,6 @@ def produce_signal(
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from pair_signals import xauusd as _xau_mod
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from pair_signals import eurusd as _eur_mod
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from config import XAUUSD, EURUSD
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from config import XAUUSD
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register_pair(XAUUSD, _xau_mod.make_config)
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register_pair(EURUSD, _eur_mod.make_config)
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@@ -1,158 +0,0 @@
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"""EUR/USD signal producer config.
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Re-tuned 2026-07-10 against the realistic backtester (1-pip round-trip
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cost, next-open fills, raw-path resolution) on 2025-07-08 → 2026-07-08
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M5 with M15/H1 confirmations. RESULT: no configuration passed the
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acceptance rule (positive in BOTH train and val halves, PF >= 1.3).
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The M5 defaults below are the best found — roughly breakeven
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(-1.1R / 53 trades / PF 0.93 / 62% WR on 12mo) versus the donor
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branch's -6.7R. Findings that shaped them:
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- transitioning regime bled -27R/88 trades wide-open → blocked
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- A-grade entries LOSE (-26R) while B-grade wins — max conviction
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fires at move extremes (same pathology as gold M5)
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- Fridays (-17R) and hours 8, 12, 13, 18, 19 UTC negative
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- score 30-35 band is where the train-half losses live → floor 35
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- trailing exits beat static TP1 (arm 0.45R / dist 0.5R best)
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M15 + H1 investigated 2026-07-11, verdict NO VALIDATED EDGE either
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(all at 1-pip round-trip cost, real fills):
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- M15 wide-open (all gates off): -2.5R/270 trades 2025-26;
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-54.8R/308 trades on 2024-25 out-of-sample. PF 0.61-0.98.
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- Best in-sample slice (transitioning-regime-only: +15.4R, PF 1.59,
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positive both halves, month-spread) FAILED 2024-25 OOS at PF 0.55.
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Within-year train/val splits are not sufficient for EUR — always
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re-test on the 2024 window before believing a config.
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- Raw-parquet forward-return screens (M15 and M5, ~14 entry
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conditions x 4-5 horizons: momentum, mean-reversion, breakout,
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streak, session families): nothing clears +1 pip in both years.
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- H1 wide-open: +9.8R PF 1.32 in 2025-26 (both halves positive) but
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-5.7R PF 0.82 on 2024-25. Positive from Jan 2025 onward; H2-2024
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regime negative. Closest to workable, still unvalidated.
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Root cause is cost-to-volatility: EUR M15 ATR ~= 10 pips, so the 1-pip
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spread taxes every trade ~10% of ATR (M5 worse). The XAU signal engine
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survives because gold's ATR/spread ratio is several times larger.
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EUR/USD therefore ships FUNCTIONAL BUT OFF by default: it is not in
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PlatformConfig.scan_pairs. Scan it on demand (main.py --pair EURUSD,
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or add to scan_pairs) but treat all EUR M5/M15 signals as informational
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only.
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Calendar + hybrid avenues CLOSED 2026-07-12 (see backtest/research/):
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- Surprise-conditioned entries (real Forex Factory archive, verified
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timestamps): follow-surprise loses 2-5 pips at every horizon in
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both years under every conditioning. The market prices the
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surprise within the release bar.
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- Event-window avoidance: EUR effect marginal/inconsistent (and on
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XAU it would REMOVE profit — event-window trades outperform).
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- H1-anchored direction + M15 pullback execution (pre-registered
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kill criteria): 2025-26 +2.8R PF 1.11, 2024-25 OOS -1.5R PF 0.92
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-> killed.
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Remaining avenues need data we don't have: tick-level fills for
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limit-entry cost reduction, or H4/D1 swing horizons.
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"""
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from typing import Optional, List
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from config import PlatformConfig, Timeframe, EURUSD
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_CONFIRMATIONS = {
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Timeframe.M5: [Timeframe.M15, Timeframe.H1],
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Timeframe.M15: [Timeframe.M5, Timeframe.H1],
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Timeframe.H1: [Timeframe.M15, Timeframe.H4],
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Timeframe.H4: [Timeframe.H1, Timeframe.D1],
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}
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_TRENDING = {
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"ema_trend": 2.0, "rsi": 1.0, "macd": 2.0,
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"bollinger": 0.5, "keltner": 1.0, "roc": 1.5,
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"candlestick": 0.5, "divergence": 2.0, "adx": 1.0,
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}
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EUR_REGIME_WEIGHTS = {
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"trending_up": _TRENDING,
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"trending_down": _TRENDING,
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"trending": _TRENDING,
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"ranging": {
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"ema_trend": 0.3, "rsi": 2.0, "macd": 1.0,
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"bollinger": 2.0, "keltner": 1.5, "roc": 0.5,
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"candlestick": 0.8, "divergence": 2.5, "adx": 0.5,
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},
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"transitioning": {
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"ema_trend": 1.5, "rsi": 1.5, "macd": 2.0,
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"bollinger": 1.0, "keltner": 1.5, "roc": 2.0,
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"candlestick": 0.8, "divergence": 2.0, "adx": 1.0,
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},
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}
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_M5_TRENDING = {
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"ema_trend": 1.5, "rsi": 1.0, "macd": 2.5,
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"bollinger": 0.5, "keltner": 2.0, "roc": 2.0,
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"candlestick": 0.3, "divergence": 1.0, "adx": 1.0,
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}
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M5_REGIME_WEIGHTS = {
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"trending_up": _M5_TRENDING,
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"trending_down": _M5_TRENDING,
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"trending": _M5_TRENDING,
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"ranging": {
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"ema_trend": 0.3, "rsi": 1.5, "macd": 1.5,
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"bollinger": 1.5, "keltner": 2.0, "roc": 1.0,
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"candlestick": 0.3, "divergence": 1.5, "adx": 0.5,
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},
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"transitioning": {
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"ema_trend": 1.0, "rsi": 1.0, "macd": 2.5,
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"bollinger": 0.5, "keltner": 2.5, "roc": 2.0,
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"candlestick": 0.3, "divergence": 1.0, "adx": 1.0,
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},
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}
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def make_config(
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primary_tf: Timeframe,
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confirmation_tfs: Optional[List[Timeframe]] = None,
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) -> PlatformConfig:
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config = PlatformConfig()
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config.symbol = EURUSD
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config.display_name = "EUR/USD"
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config.pip_value = 0.0001
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config.primary_timeframe = primary_tf
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config.confirmation_timeframes = (
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confirmation_tfs or _CONFIRMATIONS.get(primary_tf, [Timeframe.M15, Timeframe.H4])
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)
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# XAU gates are display-gated in the aggregator; disabling here is
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# belt-and-braces so no gold logic can ever fire on an EUR config.
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config.xau_strategy.enabled = False
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# Keep event-risk signal gating ON for EUR (the XAU-tuned default
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# turned it off after the 2026-07-11 audit — that evidence is
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# gold-specific; EUR event-window trades were flat-to-negative).
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config.news.event_risk_caps_signals = True
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config.backtest.session_start_hour = 7
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config.backtest.session_end_hour = 20
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config.backtest.blocked_hours_utc = [22, 23, 0, 1, 2, 3]
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config.backtest.allowed_weekdays = [0, 1, 2, 3, 4]
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if primary_tf == Timeframe.M5:
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config.technical.regime_weights_override = M5_REGIME_WEIGHTS
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config.technical.swing_sr_lookback = 20
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config.eur_strategy.sl_atr_floor = 0.7
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config.eur_strategy.sl_atr_multiplier = 0.3
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config.eur_strategy.min_quality_grades = ["A+", "A", "B"]
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# Best-found 2026-07-10 (breakeven, see module docstring):
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config.eur_strategy.min_entry_score = 35.0
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config.eur_strategy.min_entry_confidence = 45.0
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config.eur_strategy.blocked_vol_regimes = []
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config.eur_strategy.min_indicator_agreement = 0
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config.eur_strategy.allowed_weekdays = [0, 1, 2, 3] # Fridays bled -17R
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config.backtest.allowed_weekdays = [0, 1, 2, 3]
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config.backtest.blocked_hours_utc = [22, 23, 0, 1, 2, 3, 8, 12, 13, 18, 19]
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# Trailing exit beat static TP1; earlier/tighter than gold's 0.6/0.75.
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config.signals.trail_arm_r = 0.45
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config.signals.trail_dist_r = 0.5
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else:
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config.technical.regime_weights_override = EUR_REGIME_WEIGHTS
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return config
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