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XAU M15: adopt 1R minimum targets (per-timeframe, validated)

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Finishes PENDING_STEPS Step 1 under the current trailing-exit model.
M15 window 2025-03-30->2026-05-31 ($0.30 spread): +116.6R/460 PF 1.83
vs +105.4R/424 PF 1.82 baseline, better in both halves; 2024-06->
2025-03 OOS +30.3R vs +10.6R control. Same knob on the pinned M5 book
is WORSE (+131.3R/699 vs +139.9R/547) so the override is M15-only in
the xauusd factory, per the pre-registered decision rule. M5 path
unchanged (factory override gated on primary_tf == M15).
This commit is contained in:
Harwinder Sekhon
2026-07-11 10:22:33 -04:00
parent 183f148bb4
commit 18abff85a3
2 changed files with 20 additions and 3 deletions
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pair_signals/xauusd.py
+16 -3
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@@ -1,9 +1,19 @@
"""XAU/USD signal producer config.
PlatformConfig defaults ARE the tuned XAU/USD configuration, so this
factory only sets the timeframes. It must stay equivalent to the inline
PlatformConfig(symbol=XAUUSD, ...) construction used by the backtester
and Telegram bot (enforced by a test in test_all.py).
factory sets the timeframes plus documented per-timeframe overrides.
It must stay equivalent to the inline PlatformConfig(symbol=XAUUSD,
...) construction (plus those overrides) used by the backtester and
Telegram bot (enforced by a test in test_all.py).
M15 override (validated 2026-07-11, window 2025-03-30 -> 2026-05-31,
$0.30 spread, trailing exits): tp_floor_rr 1.0 scores +116.6R/460
trades PF 1.83 vs +105.4R/424 PF 1.82 at the 0.5 default — better in
both train/val halves and on the 2024-06 -> 2025-03 out-of-sample
window (+30.3R vs +10.6R; the 1R floor lifts targets past the min-TP
spread gate, roughly doubling trades there). The same knob HURTS M5
(pinned 12mo book: +131.3R/699 vs +139.9R/547, PF 1.55 vs 1.78), so it
is per-timeframe, exactly as PENDING_STEPS' decision rule anticipated.
"""
from typing import Optional, List
@@ -26,4 +36,7 @@ def make_config(
config.confirmation_timeframes = (
confirmation_tfs or _CONFIRMATIONS.get(primary_tf, [Timeframe.M15, Timeframe.H4])
)
if primary_tf == Timeframe.M15:
# 1R minimum target on M15 only — see module docstring.
config.signals.tp_floor_rr = 1.0
return config