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Quant review 2026-09-26: alert cooldown, plain-language alerts, M15 grade-A SELL block, 1R printed targets, panel/breach fixes

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Live signals.db review (2026-09-04 → 09-25, 100 unique setups replayed on the
scans' stored candles): the stop-hunt claim is refuted (71% of stop-outs ran
≥ 1R past the stop, the same as the books' 70–72%); −25.1R of the −37.8R raw
live book were consecutive-bar re-entries the backtester's 5-bar cooldown never
takes; the cooldown view sits at the 3rd–5th percentile of the books' three-week
windows.

Delivery (book-neutral):
- telegram_bot: 5-bar alert cooldown per timeframe (_ALERT_COOLDOWN_BARS =
  backtest.cooldown_bars); setup block prints the trail first as the tested
  exit, TP1/TP2 as guides with their R, "Planned TP1 RR", and one validated-book
  line per setup class (agent_panel_base_rates.json); the informational 100-pip
  TP line is removed (owner request).
- AI block rewritten for a new trader: "AI check: the odds look better than /
  worse than / about usual", the chance "in 100" against the usual odds, one
  reason for and one against, no verdict word or confidence figure; rendered
  whenever the verdict carries a probability. agent_panel: persona prompts ban
  trading jargon (PANEL_PROMPT_VERSION v2.1-2026-09-26); the macro-source
  verdict now carries its persona's p_win (every live v2 row had
  panel_probability NULL). Dashboard and guides mirror the wording.
- telegram_bot: level-breach rescans skip the settlement-pause window (the
  20:45 M15 bar was re-logged at 22:01/22:06/22:11 every evening).

Signal (pre-registered rule-1 campaign, CUDA twin paired with gpu_backtest.py):
- M15 grade-A SELLs blocked (sell_min_quality ["A+","B"], M15 override 6):
  W2 813/+154.15R PF 1.53 vs 931/+146.14R PF 1.43, OOS +68.5 vs +60.67,
  W3 max DD 20.9 vs 19.3R. PASSED a–f.
- Printed target 1 floored at 1R in every generator (signals.tp_print_floor_rr),
  applied AFTER the min-RR and spread gates so no trade changes; mirrored in
  cuda_signal_kernels.py K2. Label-only re-pin of all four timeframes (only
  tp1/rr_planned columns move). A floor applied before the gate cost −24.6R and
  was rejected.
- FAILED: M15 min_rr_ratio 1.0 (trade-identical, −2.0R). Owner's call: M5
  tp_floor_rr 1.0 (+48.9R W2, max DD 10.1 → 15.9R), not shipped.

New pins: M5 W2 e599c8a8…, M15 W2 5b65ecf6…, M15 OOS 09b8a8e7…, H1 W3
a44fd19b…, H4 W3 f3587bae…; twin and reference MD5s equal on every window.
Base-rate table rebuilt from the new pins. Suite 558 passed.

Evidence: backtest/research/rr_and_sell_campaign_2026-09-26.md (plus the
2026-09-18 loss-anatomy and wrong-direction reports it builds on).

Co-Authored-By: Claude Fable 5.1 <noreply@anthropic.com>
This commit is contained in:
Harwinder Sekhon
2026-09-26 21:06:05 -04:00
parent 4f33480ce1
commit 1454ea1838
16 changed files with 1695 additions and 201 deletions
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CLAUDE.md
+42 -14
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@@ -23,7 +23,7 @@ cp config.json.example config.json # then fill i
venv/bin/pip install cupy-cuda12x "nvidia-cuda-runtime-cu12==12.9.*" # optional, dev box: backtester GPU backend
# (CuPy from pip needs that header wheel to compile kernels)
venv/bin/python test_all.py # QA suite, no network; prints its own count
# (552 tests / 36 modules as of 2026-09-18)
# (558 tests / 37 modules as of 2026-09-26)
venv/bin/python main.py --pair XAUUSD --timeframe H1 --detail # one signal report in the terminal
# --json full dump, --panel adds the advisory LLM panel,
# --timeframe M5 | M15 | H1 | H4
@@ -133,7 +133,8 @@ against the blocked hours and allowed weekdays; the live wrapper and the backtes
list to the bar-close time as well, see section 8); transitioning-regime boost (a B/C/D can become A or B when a
trend is emerging); exhausted-trend cap (in a trending regime with two or more exhaustion tags, a C or D is pinned
to D and loses its setup); SELL quality gate
(shorts need a grade in `sell_min_quality`; H1's list is empty, so every H1 short is blocked);
(shorts need a grade in `sell_min_quality`; H1's list is empty, so every H1 short is blocked; M15's
list is `A+, B`, so every M15 grade-A short is blocked since 2026-09-26);
multi-timeframe opposition gate; SELL volatility gate (shorts are allowed only when volatility is high or extreme; low- or
normal-volatility shorts are blocked);
regime blocks (M15 blocks the mixed `trending` regime; M5 blocks shorts in `transitioning`);
@@ -144,8 +145,13 @@ that names itself.
**9. Trade setup.** Grades A+ and A get the gold ATR setup (`_generate_xau_atr_trade_setup`): stop
2 × ATR; target 1 at 2 × ATR for A+ and 1.5 × ATR for A (1 × ATR for an A carrying two or more
exhaustion tags); target 2 at 1.5 × the target-1 distance. Other tradeable grades get the generic
swing-based setup, which floors the stop at $8 (80 pips). Both are checked against the spread gate:
exhaustion tags); target 2 at 1.5 × the target-1 distance. Other tradeable grades get the generic swing-based setup,
which floors the stop at $8 (80 pips). Since 2026-09-26 **every generator prints target 1 at no less
than 1R** (`signals.tp_print_floor_rr`, effective floor `max(tp_floor_rr, tp_print_floor_rr)`),
applied **after** the min-RR and spread gates have judged the generator's own target, so which
generator serves a signal, the stop and the books are unchanged; only the exported `tp1` /
`rr_planned` columns move (a floor applied before the gate cost −24.6R on the M15 two-year book,
see the 2026-09-26 report). The planned ratio is a guide: the tested exit is the trailing stop. Both are checked against the spread gate:
target 1 must be at least 30 × the round-trip cost ($9 at the $0.30 cost setting). Two extra entry paths run after the
gates: the M5 pullback (`XAU_PB`, shipped off) and the chart-pattern entry (`XAU_CP`,
`chart_patterns.py`: M5 only, buy-side patterns inverse head and shoulders, double bottom, bull
@@ -163,8 +169,13 @@ later generator shipped a setup.
**10. Delivery.** The `SignalReport` goes to the surface that asked for it:
- *Telegram* (`telegram_bot.py`): an alert is sent only when the signal is not NEUTRAL, the grade
reaches `alert_min_quality`, **and** a setup exists. A fingerprint (signal + direction) stops
repeats; a grade upgrade re-alerts. The fingerprint is committed only after a successful send,
reaches `alert_min_quality`, **and** a setup exists. Since 2026-09-26 no second alert goes out on a
timeframe within 5 bars of the last alerted setup's bar (`_ALERT_COOLDOWN_BARS`, the backtester's
entry cooldown; consecutive-bar re-entries were −25.1R of the −37.8R live book of 2026-09-04 →
09-25). After that, a fingerprint (signal + direction) stops repeats; a grade upgrade re-alerts.
The setup block prints the trailing rule first as the tested exit, TP1/TP2 as guides with their R,
the "Planned TP1 RR", and one line of validated-book statistics for the setup class
(`_book_rate_line`, from `agent_panel_base_rates.json`). The fingerprint is committed only after a successful send,
so a failed send stays eligible next scan. Every send is logged with the signal-log row id. The
level-breach monitor reuses the bar's cached M15 report (`_cached_or_scan`) instead of rescanning.
- *CLI* (`main.py`): prints the report; `--json` dumps everything.
@@ -370,7 +381,7 @@ day, 30 kept), `logs/dashboard.log`. Read the databases with `mode=ro`, never `i
## 6. Testing
- `venv/bin/python test_all.py` runs everything with mocked network. Expect
`RESULTS: 552 passed, 0 failed, 552 total` (2026-09-18). On a box with a visible CUDA device
`RESULTS: 558 passed, 0 failed, 558 total` (2026-09-26). On a box with a visible CUDA device
Module 36 fails if the GPU backend falls back (the reason is in the message); with
`FB2_BACKEND=cpu` or no CUDA the GPU-path tests print a notice and the NumPy twins are tested.
Module 37 (the CUDA decision stage) adds about 85 s on the GPU because its references replay
@@ -442,13 +453,14 @@ overrides (each one has its validation record in the `pair_signals/xauusd.py` do
| Timeframe | Confirmations | Overrides on top of the defaults |
|---|---|---|
| M5 | M15, H1 | hour 9 UTC blocked and hour 21 unblocked; chart-pattern entries on (buy-side only: inverse head and shoulders, double bottom, bull flag); pullback entries off; partial EMA alignment scores neutral; trailing stop arms at 0.60R and trails 0.85R; shorts blocked in the `transitioning` regime |
| M15 | M5, H1 | target floor 1R; the mixed `trending` regime blocked; shorts blocked at 15:00 and 17:00 UTC; trailing stop arms at 0.70R and trails 0.75R; RSI weight halved in every regime |
| M15 | M5, H1 | target floor 1R; the mixed `trending` regime blocked; shorts blocked at 15:00 and 17:00 UTC; trailing stop arms at 0.70R and trails 0.75R; RSI weight halved in every regime; grade-A shorts blocked (`sell_min_quality` `A+, B`) |
| H1 | M15, H4 | every short blocked (`sell_min_quality` empty) |
| H4 | H1, D1 | none. H4 remains "unproven" (few trades) |
Shared defaults worth knowing: blocked hours 0, 1, 2, 10, 11, 13, 16, 21 UTC; trading days Monday
to Friday plus Sunday evening; shorts need grade A+, A or B and high-or-extreme volatility;
trailing stop arms at 0.6R and trails 0.75R; target floor 0.5R; round-trip cost $0.30 with
trailing stop arms at 0.6R and trails 0.75R; gated target floor 0.5R and printed target floor 1R;
round-trip cost $0.30 with
target 1 at least 30 × cost; the generic and chart-pattern setups floor the stop at $8; the gold
ATR setup uses a 1 × ATR target before the grade scale (2× at A+, 1.5× at A) and a 2 × ATR stop; the H4 regime filter is off; news never gates.
@@ -475,11 +487,18 @@ CuPy GPU backend and `--backend cpu` both reproduce every MD5 below; earlier rep
| Book | Window | Trades / R / PF | MD5 of the CSV |
|---|---|---|---|
| M5 W2 | 2024-09-05 → 2026-09-05 | 781 / +146.07 / 1.52 | `49f8e602fc6ae769713c94ef7b257810` |
| M15 W2 | 2024-09-05 → 2026-09-05 | 931 / +146.14 / 1.43 | `b4aa07e33e17e23774c486a6900d673b` |
| M15 OOS | 2024-06-01 → 2025-03-30 | 355 / +60.67 / 1.49 | `9fd624fb387c36052122bd1830cf9c32` |
| H1 W3 | 2023-09-05 → 2026-09-05 | 253 / +70.0 / 1.98 | `7b848c917dcb5c371ecbb9f8f7292278` |
| H4 W3 | 2023-09-05 → 2026-09-05 | 114 / +21.7 / 1.59 | `186e677fbbd53cca735c94094c23ce05` |
| M5 W2 | 2024-09-05 → 2026-09-05 | 781 / +146.07 / 1.52 | `e599c8a8652f95b7fcdf5a7ef2b564f5` |
| M15 W2 | 2024-09-05 → 2026-09-05 | 813 / +154.15 / 1.53 | `5b65ecf6fad9a8da412749066fd50d36` |
| M15 OOS | 2024-06-01 → 2025-03-30 | 313 / +68.50 / 1.67 | `09b8a8e7f5833436c20aef60ca0a7ff7` |
| H1 W3 | 2023-09-05 → 2026-09-05 | 253 / +70.0 / 1.98 | `a44fd19b4067f46e5bd98d50cc3eff92` |
| H4 W3 | 2023-09-05 → 2026-09-05 | 114 / +21.7 / 1.59 | `f3587bae3c5dc3eda468ea3588b17dcb` |
Re-pinned 2026-09-26. M15: the grade-A SELL block (M15 override 6, 162 trades removed, +8.0R);
previous pins `b4aa07e3…` (931 / +146.14 / 1.43) and `9fd624fb…` (355 / +60.67 / 1.49); M15 W3
(3-year) with the block 1105 / +195.79 / 1.49, `70195fb0e6865b3a46ee8a9aa8844e51`. All four
timeframes: the 1R printed-target floor, **label-only** (M5 W2: 544 rows change `tp1` / `rr_planned`,
H1 W3 252, H4 W3 108, M15 W2 80; trades and R identical to `49f8e602…`, `7b848c91…`, `186e677f…`
and to the M15 block-only book `497520ef…`; every `rr_planned` is now ≥ 1.0).
Re-pinned 2026-09-17 for a **label-only** change: the exported `strategy` column now carries the
generator's own stamp (`XAU_ATR` / `XAU_PB` / `XAU_CP` / `GENERIC`) instead of a tag inferred
@@ -543,6 +562,8 @@ MD5s. Scorecards from it are in-book statistics, never decisions.
market-outlook feature. Nothing reads it.
- The news score is a trailing echo of the last day's price move (r ≈ 0.67 with the past day,
≈ 0.03 with the next). Both news gating flags stay off.
- The level-breach rescan and the candle loop both skip the settlement-pause window
(`_closed_bar_in_settlement`); a rescan there only re-reads the last pre-pause bar.
- The agent panel never runs inside `analyze_from_dataframes`, and its cached verdict is never
reused when the evidence changed; the daily cap is the real spend bound.
- Live == backtest also means the backtester never writes to `signals.db` and never builds a
@@ -577,6 +598,12 @@ MD5s. Scorecards from it are in-book statistics, never decisions.
`count * 2`: 15/50·100 = 30.000000000000004 flips "low" to "normal"). A cleaner formulation
flips a threshold somewhere in 500k bars. The as-of alignment compares int64 nanoseconds; a
mixed-unit index once returned slice length 0 for every confirmation frame.
- A printed-target change is not free: the spread gate judges the target, so a bigger target can
switch a signal from the GENERIC swing stop to the XAU_ATR 2 × ATR stop. The 1R printed floor
(`tp_print_floor_rr`) sits after the gates in all three generators for that reason; keep it there,
and never feed the printed target back into a gate.
- "Stop hunting" was tested on the live log (2026-09-26): 71% of live stop-outs ran a full stop
distance or more past the stop, the same as the books' 70–72%. The losers were real moves.
- The dashboard's due-timeframe check uses the raw wake time; flooring `wake − buffer` skipped
every H1 and H4 scan once (2026-08-02).
- The agent panel's price context reads the frames `analyze_pair` stashes on `report._frames`.
@@ -597,6 +624,7 @@ One line per validated change or verdict, newest first. Full evidence in the nam
| Date | Decision | Where the evidence is |
|---|---|---|
| 2026-09-26 | Quant review + live log 2026-09-04 → 09-25 (100 setups replayed on the scans' stored candles): stop-hunt claim REFUTED (71% of stop-outs ran ≥ 1R past the stop, same as the books); −25.1R of the −37.8R raw live book were consecutive-bar re-entries the backtester's cooldown never takes; the cooldown view sits at the 3rd–5th percentile of the books' three-week windows. SHIPPED: 5-bar alert cooldown; alert wording (trail first as the tested exit, TP1 a guide with its R, planned RR, validated-book line per class); M15 grade-A SELL block (`sell_min_quality` `A+, B`, PASSED a–f: W2 +154.15R/813 PF 1.53 vs +146.14/931 PF 1.43, OOS +68.5 vs +60.67, W3 DD +8%); 1R printed-target floor in every generator after the gates (`tp_print_floor_rr`, owner rule "TP1 at least 1:1"; label-only re-pin of all four timeframes). FAILED: M15 `min_rr_ratio` 1.0 (trade-identical, −2.0R); a pre-gate target floor (−24.6R). OWNER'S CALL: M5 `tp_floor_rr` 1.0 adds +48.9R on W2 with both halves up but max DD 10.1 → 15.9R (ladder 0.6–1.0 non-monotone); not shipped. Telegram / dashboard AI block rewritten for a new trader (owner rule): one plain headline against the usual odds, the chance "in 100", one reason for and one against, no verdict word or confidence figure; persona prompts ban trading jargon (`PANEL_PROMPT_VERSION` v2.1). Two delivery bugs from the DB checks fixed: the macro-source panel verdict never stored its probability (all v2 rows NULL); the level-breach rescan re-logged the 20:45 M15 bar three times every evening after the settlement pause (guard added to `_handle_breach`). Indicator grid and volume / daily-direction screens (Part C) not run | `backtest/research/rr_and_sell_campaign_2026-09-26.md` |
| 2026-09-18 | Full-GPU research twin SHIPPED: `backtest/cudaBasedBacktesting.py` + `backtest/cuda_signal_kernels.py` (owner decisions: research only, `gpu_backtest.py` stays the base reference, every research flag supported, the one exemption from instructions item 6 recorded there). Proof: the five reference MD5s, four 6-month acceptance books (2026-03-18 → 2026-09-18, M5 and M15, $0.65 and $0.30), the M15 OOS `--export-features` CSV and `--record --record-bars` tables, and ten research-flag variants, all byte-identical to the reference script; Module 37 (16 tests) pins every stage against the live code. Books take 0.8–2.4 s instead of 13–115 s. Rule added: any signal change is a parity event for the twin | `backtest/research/cuda_backtester_2026-09-18.md` |
| 2026-09-18 | GPU backend made real: CuPy had never compiled a kernel on the dev box (`CUDA_PATH` missing for the pip layout), so every book to date was NumPy. SHIPPED: `backtest/gpu_kernels.py` (lazy, loud backend probe; `nvidia-cuda-runtime-cu12` header wheel; CUDA kernels for the EWM batch, the pandas rolling mean/var replica and the trade resolver, each a bit-for-bit twin of the CPU code), `--backend auto/gpu/cpu` + `FB2_BACKEND`, Module 36. All five reference MD5s reproduced on the GPU and with `--backend cpu`; precompute GPU == CPU on all 42 cached windows (2.34 M bars). Wall time roughly unchanged: the replay is CPU by design | `backtest/research/gpu_backend_2026-09-18.md` |
| 2026-09-17 | Local news scorer evaluated (the owner's scikit TF-IDF model in `~/Development/ML-NEWS`, trained on 606 DeepSeek gold labels): golden set 39/78 vs DeepSeek 78/78 vs keywords 24/78; out-of-sample agreement with DeepSeek 64% (DeepSeek agrees with itself 90%); cleaning / negation marking / label weighting move nothing; backfilling the 961 missing gold labels lifts macro-headline agreement 38% → 52% but only reshuffles golden-set errors. Verdict: a fallback, not a replacement. SHIPPED to grow a complete corpus: `xau_score` archived for every headline, no-currency headlines scored and archived (never shown), every new headline sent in its cycle (25 per call). Dashboard process made database-read-only (`set_db_writes_for_process`); the bot is the single writer. Books unaffected (news never enters signals) | `~/Development/ML-NEWS/eval/RESULTS_2026-09-17.md` (evaluation scripts live outside the repo by owner instruction) |