Add pullback entry pattern implementation plan
Design doc for a second M5 entry archetype: enter on retrace to EMA21/KC-mid in an established trend instead of at Keltner-breakout extension. Includes detector spec, geometry, validation protocol (both-halves + quarterly + displacement checks), and the +105R baseline to beat. Session/frequency knobs (blocked hours, cooldown) were tested 2026-07-09 and confirmed already optimal — this is the remaining evidence-backed entry-side direction. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
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PULLBACK ENTRY PATTERN — IMPLEMENTATION PLAN
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=============================================
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Drafted 2026-07-09. Status: PLANNED (not implemented).
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WHY (evidence from 12mo M5 backtests, $0.30 spread, trailing exits)
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-------------------------------------------------------------------
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All 311 current trades are one archetype: trend-continuation breakout
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(EMA 4/4 aligned + ADX>25 + MACD accelerating + price through Keltner
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band). We systematically enter at maximum extension:
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- Trades carrying the "NO PULLBACK — price >2.5 ATR from EMA21" warning
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average +0.063R vs +0.112R without it (145 vs 103 trades, 6mo set).
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- 28% of stopped-out trades never moved toward the target — instant
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reversals from buying the local top / selling the local bottom.
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- "Extended — RSI in trend" warning trades: +0.057R vs +0.183R without.
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A pullback entry catches the SAME trends at better prices: enter on the
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retrace toward EMA21 / Keltner midline, stop below the retrace swing
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instead of 2×ATR behind an extended price. Tighter risk, same trend.
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This ADDS trades (new signal source) — it does not filter existing ones.
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DETECTOR SPEC (engine.py — new module-level check in M5 path)
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-------------------------------------------------------------
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Trend context (all required):
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1. EMA alignment >= 3/4 in trend direction (allow 9<21 wobble mid-pullback)
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2. ADX >= 20 on M5 (relaxed vs breakout's 25: ADX decays during retrace)
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3. H1 confirmation score agrees with trend direction (>= +10 / <= -10),
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reuse Gate-3 machinery.
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Pullback trigger (all required):
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4. Price touched/undercut EMA21 or KC midline within last 3 bars
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(low <= band for BUY; high >= band for SELL).
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5. Retrace depth 0.5–2.5 ATR from the pre-pullback swing extreme
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(deeper = trend likely broken; shallower = still extended).
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6. Resumption bar: close back in trend direction (close > open for BUY)
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AND close above EMA9 (below for SELL) — do not catch the falling knife.
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7. RSI in the pullback zone: BUY 35–55, SELL 45–65 (NOT the extended
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zones the breakout entries fire in — that is the whole point).
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Suppression:
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8. Skip if a breakout signal fired within cooldown (no double entry
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on the same leg — cd2/cd3 tests proved same-direction pyramiding
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is train-half-only noise).
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9. All existing M5 gates 1–6 still apply where meaningful; Gate 1
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(|score|>=30) will need a variant — pullback bars have weaker
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composite scores BY DESIGN (price below the momentum bands), so
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validate a separate m5_pullback_min_score knob (start ~20).
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GEOMETRY
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--------
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- SL: below the pullback swing low (BUY) − 0.5×ATR buffer, floored at
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min_sl_pips ($8). Expect typical SL 40–60% tighter than breakout SLs.
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- Exit: same trailing stop (arm +0.6R, trail 0.75R, max_hold 300).
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NOTE: tighter SL means R units are smaller in dollars — re-validate
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trail params on pullback trades separately; the arm/dist plateau was
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measured on breakout-sized risk. If needed give pullback its own
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trail knobs.
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- Tag trades strategy="XAU_PB" in the backtester so every report
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splits breakout vs pullback cleanly.
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VALIDATION PROTOCOL (same discipline as 2026-07-09 sessions)
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------------------------------------------------------------
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1. Implement detector behind config flag m5_pullback_enabled=False.
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2. 365d backtest, flag on; export CSV; analyze XAU_PB trades alone:
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- REQUIRE: positive totalR in BOTH data halves
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- REQUIRE: positive in >= 3 of 4 full quarters
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- REQUIRE: does not degrade breakout-trade totals (displacement
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check vs baseline entry_time set, like the cooldown analysis)
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- TARGET: >= +0.15R/trade average, >= 1 trade/week added
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3. Threshold sweeps (retrace depth, RSI zone, ADX floor) via the
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offline exit-sim harness pattern where possible; full reruns where
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entries change.
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4. Reject-and-document if it fails — same as blocked-hours/cooldown
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experiments (see memory: entry-side experiments rejected).
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BASELINE TO BEAT (do not regress)
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---------------------------------
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12mo M5: 311 trades, +105.0R, PF 2.27, DD 7.9R, WR 61.4%,
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train/val +54.6/+50.4, every quarter positive, ~6-8 trades/week.
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(commit 987ec5b, CSV: m5_365d_trail300 in session scratchpad)
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IMPLEMENTATION ORDER
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--------------------
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1. config.py: m5_pullback_enabled, m5_pullback_min_score,
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pullback RSI zones, retrace depth bounds.
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2. engine.py: pullback detector producing a candidate flag + swing
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levels (attach as result._pullback_setup, underscore-private).
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3. signal_aggregator.py: consume flag, build XAU_PB trade setup with
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pullback geometry; route through gates with pullback score variant.
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4. gpu_backtest.py: ensure strategy tag flows to CSV (already does via
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strategy_tag) and pre-filter loop does not drop pullback candidates.
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5. Backtest + validate per protocol; tune; commit only on pass.
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RISKS
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-----
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- Pullback entries in a trend that IS reversing = catching the knife;
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the resumption-bar condition (6) is the main guard — do not weaken it.
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- Score-gate variant (9) is the most likely source of overfitting;
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sweep it last, keep the grid coarse.
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- M5 pullbacks during news spikes: calendar buffer already applies via
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existing pipeline; verify it fires for XAU_PB too.
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