Optimize EUR/USD M5 signals: 1:1 RR, vol/agreement filters, disable XAU

Tune EUR/USD M5 trade setup for balanced profitability (78% WR, 1.68 PF,
+26.5R over 365d) under a 4-hour max hold constraint. Key changes:
- Raise min RR from 0.5 to 1.0 and TP multiplier from 1.0x to 1.2x ATR
- Tighten SL floor (0.8→0.7 ATR) and swing lookback (50→20 bars)
- Add volatility regime filter (block "high" vol) and min 6 indicator
  agreement gate in signal_aggregator
- Raise BE trigger 0.2→0.3R, buffer 0.05→0.15R to let winners run
- Block weak hours (06, 09, 11 UTC) on M5
- Disable XAU strategy checks by default; XAU pair config re-enables

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

config.py

@@ -142,7 +142,7 @@ class XauStrategyConfig:
     Legacy gates (H4 RSI, H1 MACD, M15 score) removed in favor of
     new momentum indicators (ROC, Keltner squeeze, ADX slope).
     """
-    enabled: bool = True
+    enabled: bool = False
     rsi_entry_threshold: float = 45.0
     tp_atr_multiplier: float = 1.0
     sl_atr_multiplier: float = 2.0
@@ -172,10 +172,10 @@ class EurUsdStrategyConfig:
     allowed_weekdays: List[int] = field(default_factory=lambda: [0, 1, 2, 3, 4])
     min_atr_threshold: float = 0.0003
     sl_atr_multiplier: float = 1.5
-    tp_atr_multiplier: float = 1.0
+    tp_atr_multiplier: float = 1.2
 
     sl_atr_floor: float = 1.2
-    min_rr_ratio: float = 0.5
+    min_rr_ratio: float = 1.0
     mature_move_threshold: float = 35.0
     tp_quality_scale: Dict[str, float] = field(default_factory=lambda: {
         "A+": 1.0, "A": 1.0, "B": 1.0, "C": 1.0,
@@ -188,8 +188,10 @@ class EurUsdStrategyConfig:
     min_entry_score: float = 38.0
     min_entry_confidence: float = 60.0
     block_rsi_extended: bool = True
-    be_trigger_r: float = 0.2
+    blocked_vol_regimes: List[str] = field(default_factory=list)
-    be_buffer_r: float = 0.05
+    min_indicator_agreement: int = 0
+    be_trigger_r: float = 0.3
+    be_buffer_r: float = 0.15
 
 
 @dataclass

pair_signals/eurusd.py

@@ -77,12 +77,15 @@ def make_config(
 
     if primary_tf == Timeframe.M5:
         config.technical.regime_weights_override = M5_REGIME_WEIGHTS
-        config.eur_strategy.sl_atr_floor = 0.8
+        config.technical.swing_sr_lookback = 20
+        config.eur_strategy.sl_atr_floor = 0.7
         config.eur_strategy.sl_atr_multiplier = 0.3
         config.eur_strategy.min_quality_grades = ["A+", "A", "B"]
         config.eur_strategy.min_entry_score = 35.0
         config.eur_strategy.min_entry_confidence = 50.0
-        config.backtest.blocked_hours_utc = [22, 23, 0, 1, 2, 3, 4, 19, 21]
+        config.eur_strategy.blocked_vol_regimes = ["high"]
+        config.eur_strategy.min_indicator_agreement = 6
+        config.backtest.blocked_hours_utc = [22, 23, 0, 1, 2, 3, 4, 6, 9, 11, 19, 21]
     else:
         config.technical.regime_weights_override = EUR_REGIME_WEIGHTS
 

pair_signals/xauusd.py

@@ -16,6 +16,7 @@ def make_config(
     confirmation_tfs: Optional[List[Timeframe]] = None,
 ) -> PlatformConfig:
     config = PlatformConfig()
+    config.xau_strategy.enabled = True
     config.primary_timeframe = primary_tf
     config.confirmation_timeframes = (
         confirmation_tfs or _CONFIRMATIONS.get(primary_tf, [Timeframe.M15, Timeframe.H4])

signal_aggregator.py

@@ -474,6 +474,27 @@ class SignalAggregator:
                         f"EUR CONF FILTER: {report.final_confidence} < {eur.min_entry_confidence}"
                     )
                     report.signal_quality = "F"
+            if (report.signal_quality != "F"
+                    and eur.blocked_vol_regimes
+                    and report.volatility_regime):
+                if report.volatility_regime in eur.blocked_vol_regimes:
+                    report.warnings.append(
+                        f"EUR VOL FILTER: {report.volatility_regime} volatility blocked"
+                    )
+                    report.signal_quality = "F"
+            if (report.signal_quality != "F"
+                    and eur.min_indicator_agreement > 0
+                    and report.primary_analysis):
+                agree_count = sum(
+                    1 for ind in report.primary_analysis.indicators.values()
+                    if ind.signal.value != 0
+                    and (ind.signal.value > 0) == (report.final_score > 0)
+                )
+                if agree_count < eur.min_indicator_agreement:
+                    report.warnings.append(
+                        f"EUR AGREE FILTER: {agree_count} < {eur.min_indicator_agreement}"
+                    )
+                    report.signal_quality = "F"
             if (report.signal_quality != "F"
                     and eur.block_rsi_extended
                     and report.primary_analysis):

test_all.py

@@ -190,7 +190,7 @@ def _():
 @test("XauStrategyConfig defaults")
 def _():
     xc = XauStrategyConfig()
-    assert xc.enabled is True
+    assert xc.enabled is False
     assert xc.rsi_entry_threshold == 45.0
     assert xc.min_ema200_tfs == 2
     assert xc.allow_generic_trades is True
@@ -1656,7 +1656,7 @@ def _():
     assert 6 not in cfg.allowed_weekdays  # No Sunday
     assert cfg.min_atr_threshold == 0.0003
     assert cfg.sl_atr_floor == 1.2
-    assert cfg.min_rr_ratio == 0.5
+    assert cfg.min_rr_ratio == 1.0
     assert cfg.mature_move_threshold == 35.0
     assert cfg.tp_quality_scale["A+"] == 1.0
     assert cfg.tp_quality_scale["A"] == 1.0
@@ -1755,13 +1755,13 @@ def _():
     config.eur_strategy.blocked_regimes = []
     config.eur_strategy.min_quality_grades = []
     assert config.eur_strategy.sl_atr_floor == 1.2
-    assert config.eur_strategy.min_rr_ratio == 0.5
+    assert config.eur_strategy.min_rr_ratio == 1.0
     agg = SignalAggregator(config)
     df = make_ohlcv(n=300, start_price=1.0800, trend=0.0003, seed=77)
     dfs = {Timeframe.H1: df, Timeframe.M15: df, Timeframe.H4: df}
     report = agg.analyze_from_dataframes(symbol=EURUSD, dfs=dfs, use_news=False)
     if report.trade_setup:
-        assert report.trade_setup.risk_reward >= 0.5 - 0.01
+        assert report.trade_setup.risk_reward >= 1.0 - 0.01
 
 
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