Add EUR/USD signal gates, trade geometry, and weekend/session filters
Re-grafted from feature/eurusd-support onto the evolved aggregator: - 6h EUR gate chain (regime, quality, exhaustion, EMA200, session, score/confidence, volatility, indicator agreement, RSI-extended), active only for EUR/USD with eur_strategy.enabled - _generate_trade_setup: EUR branch reads EurUsdStrategyConfig only (min_sl_pips, min_rr, mature-move + quality-scaled TP, sl_atr_floor, swing-buffer SL) with a pip-denominated spread gate; adds a pip_value<=0 guard; non-EUR branch is arithmetically unchanged (sl_swing_buffer=1.0 extraction only) - EUR weekend/weekday pre-filter in analyze_pair mirroring the XAU block - "EUR STRATEGY" reasons[0] marker so the backtester tags EUR trades Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
This commit is contained in:
Harwinder Sekhon
+185
-22
@@ -157,6 +157,39 @@ class SignalAggregator:
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report.action_recommendation = f"NO TRADE — Only trading {allowed}"
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return report
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if pair_info["display"] == "EUR/USD" and self.config.eur_strategy.enabled:
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eur_cfg = self.config.eur_strategy
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if eur_cfg.weekend_filter and _is_forex_weekend(now_utc):
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report = SignalReport(
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symbol=symbol,
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display_name=pair_info["display"],
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timestamp=str(now_utc),
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)
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report.final_signal = SignalStrength.NEUTRAL
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report.signal_quality = "F"
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report.trade_setup = None
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report.warnings.append("WEEKEND FILTER: EUR/USD market closed — no liquidity")
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report.action_recommendation = "NO TRADE — Weekend (market closed)"
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return report
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if eur_cfg.allowed_weekdays and now_utc.weekday() not in eur_cfg.allowed_weekdays:
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day_names = {0: "Mon", 1: "Tue", 2: "Wed", 3: "Thu", 4: "Fri", 5: "Sat", 6: "Sun"}
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allowed = "/".join(day_names.get(d, str(d)) for d in eur_cfg.allowed_weekdays)
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report = SignalReport(
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symbol=symbol,
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display_name=pair_info["display"],
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timestamp=str(now_utc),
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)
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report.final_signal = SignalStrength.NEUTRAL
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report.signal_quality = "F"
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report.trade_setup = None
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report.warnings.append(
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f"DAY FILTER: {day_names.get(now_utc.weekday(), '?')} not in allowed days ({allowed})"
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)
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report.action_recommendation = f"NO TRADE — Only trading {allowed}"
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return report
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timeframes = [self.config.primary_timeframe] + list(
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self.config.confirmation_timeframes
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)
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@@ -746,7 +779,94 @@ class SignalAggregator:
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report.signal_quality = "D"
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report.trade_setup = None
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# ── 6h. M5 noise gate (gold-tuned thresholds — XAU only) ──
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# ── 6h. EUR/USD regime + quality + risk gate ──────────────
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if report.display_name == "EUR/USD" and self.config.eur_strategy.enabled:
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eur = self.config.eur_strategy
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if eur.blocked_regimes and report.market_regime in eur.blocked_regimes:
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report.warnings.append(
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f"EUR REGIME FILTER: {report.market_regime} blocked"
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)
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report.signal_quality = "F"
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if (eur.min_quality_grades
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and report.signal_quality not in eur.min_quality_grades
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and report.signal_quality != "F"):
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report.warnings.append(
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f"EUR QUALITY FILTER: {report.signal_quality} below minimum"
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)
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report.signal_quality = "F"
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if (report.signal_quality != "F"
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and getattr(report, 'exhaustion_count', 0) > eur.max_exhaustion_tags):
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report.warnings.append(
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f"EUR EXHAUSTION FILTER: {report.exhaustion_count} tags > max {eur.max_exhaustion_tags}"
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)
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report.signal_quality = "F"
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if (report.signal_quality != "F"
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and eur.block_near_ema200
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and any(w.startswith("NEAR EMA200") for w in report.warnings)):
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report.warnings.append("EUR EMA200 FILTER: too close to EMA200")
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report.signal_quality = "F"
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if eur.session_hours and report.signal_quality != "F":
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try:
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bar_hour = pd.Timestamp(report.timestamp).hour
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if bar_hour not in eur.session_hours:
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report.warnings.append(
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f"EUR SESSION FILTER: {bar_hour:02}:00 UTC outside allowed hours"
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)
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report.signal_quality = "F"
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except Exception:
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pass
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if report.signal_quality != "F":
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abs_s = abs(report.final_score)
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if abs_s < eur.min_entry_score:
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report.warnings.append(
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f"EUR SCORE FILTER: |{abs_s:.1f}| < {eur.min_entry_score}"
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)
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report.signal_quality = "F"
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elif report.final_confidence < eur.min_entry_confidence:
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report.warnings.append(
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f"EUR CONF FILTER: {report.final_confidence} < {eur.min_entry_confidence}"
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)
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report.signal_quality = "F"
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if (report.signal_quality != "F"
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and eur.blocked_vol_regimes
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and report.volatility_regime):
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if report.volatility_regime in eur.blocked_vol_regimes:
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report.warnings.append(
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f"EUR VOL FILTER: {report.volatility_regime} volatility blocked"
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)
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report.signal_quality = "F"
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if (report.signal_quality != "F"
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and eur.min_indicator_agreement > 0
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and report.primary_analysis):
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agree_count = sum(
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1 for ind in report.primary_analysis.indicators.values()
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if ind.signal.value != 0
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and (ind.signal.value > 0) == (report.final_score > 0)
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)
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if agree_count < eur.min_indicator_agreement:
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report.warnings.append(
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f"EUR AGREE FILTER: {agree_count} < {eur.min_indicator_agreement}"
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)
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report.signal_quality = "F"
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if (report.signal_quality != "F"
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and eur.block_rsi_extended
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and report.primary_analysis):
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rsi_ind = report.primary_analysis.indicators.get("rsi")
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if rsi_ind:
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rsi_v = rsi_ind.value
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is_buy = report.final_score > 0
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if is_buy and rsi_v > 70:
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report.warnings.append(
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f"EUR RSI FILTER: RSI {rsi_v:.0f} overbought for BUY"
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)
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report.signal_quality = "F"
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elif not is_buy and rsi_v < 30:
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report.warnings.append(
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f"EUR RSI FILTER: RSI {rsi_v:.0f} oversold for SELL"
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)
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report.signal_quality = "F"
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# ── 6i. M5 noise gate (gold-tuned thresholds — XAU only) ──
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if (self.config.primary_timeframe == Timeframe.M5
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and report.display_name == "XAU/USD"):
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self._apply_m5_filters(report)
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@@ -766,6 +886,17 @@ class SignalAggregator:
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# ── 8. Reasons ─────────────────────────────────────────────
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self._collect_reasons(report)
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# ── 8b. EUR strategy marker ────────────────────────────────
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# The backtester tags trades from reasons[0]; mark EUR setups so
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# they report under the EUR strategy instead of GENERIC.
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if (report.display_name == "EUR/USD" and self.config.eur_strategy.enabled
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and report.trade_setup is not None):
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marker = (f"EUR STRATEGY: {report.market_regime} regime, "
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f"score {report.final_score:+.1f}, quality {report.signal_quality}")
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target = (report.bullish_reasons if report.trade_setup.direction == "BUY"
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else report.bearish_reasons)
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target.insert(0, marker)
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# ── 9. M5 pullback entry (XAU_PB) ──────────────────────────
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# Second archetype: when no breakout setup fired, look for a
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# trend-continuation pullback (retrace to EMA21/KC-mid). Runs
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@@ -1202,6 +1333,8 @@ class SignalAggregator:
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atr = report.primary_analysis.key_levels.get("atr", 0)
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if atr == 0:
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return None
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if pip_value <= 0:
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return None
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# Fix 2: Minimum ATR threshold for XAU/USD
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if report.display_name == "XAU/USD" and atr < self.config.xau_strategy.min_atr_threshold:
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@@ -1210,8 +1343,6 @@ class SignalAggregator:
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)
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return None
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min_sl_price = self.config.signals.min_sl_pips * pip_value
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if report.final_signal in (SignalStrength.BUY, SignalStrength.STRONG_BUY):
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is_buy = True
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elif report.final_signal in (SignalStrength.SELL, SignalStrength.STRONG_SELL):
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@@ -1219,16 +1350,39 @@ class SignalAggregator:
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else:
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is_buy = report.final_score >= 0
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levels = report.primary_analysis.key_levels
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min_rr = self.config.signals.min_rr_ratio
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tp_floor = max(min_rr, self.config.signals.tp_floor_rr)
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tf = self.config.signals.tp_tightening_factor
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pre_tight_min_rr = tp_floor / tf if tf > 0 else tp_floor
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tp_mult = 1.5
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tp_swing_cap = 2.5
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_is_eur = report.display_name == "EUR/USD" and self.config.eur_strategy.enabled
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sl_atr_floor = (self.config.xau_strategy.v2_sl_atr_multiplier
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if report.display_name == "XAU/USD" else 1.5)
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if _is_eur:
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# EUR geometry reads only EurUsdStrategyConfig — nothing
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# gold-calibrated from SignalConfig applies here.
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eur = self.config.eur_strategy
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min_sl_price = eur.min_sl_pips * pip_value
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min_rr = eur.min_rr_ratio
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# No TP-tightening interplay for EUR: the RR floor used for
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# target selection IS min_rr (tp_tightening_factor is 1.0;
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# revisit if EUR ever tunes it).
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pre_tight_min_rr = min_rr
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mature_move = abs(report.final_score) > eur.mature_move_threshold
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quality_scale = eur.tp_quality_scale.get(report.signal_quality, 1.0)
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tp_mult = (eur.tp_atr_multiplier if mature_move
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else eur.tp_atr_multiplier * 1.5) * quality_scale
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tp_swing_cap = (2.0 if mature_move else 2.5) * quality_scale
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sl_atr_floor = eur.sl_atr_floor
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sl_swing_buffer = eur.sl_atr_multiplier
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else:
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min_sl_price = self.config.signals.min_sl_pips * pip_value
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min_rr = self.config.signals.min_rr_ratio
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tp_floor = max(min_rr, self.config.signals.tp_floor_rr)
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tf = self.config.signals.tp_tightening_factor
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pre_tight_min_rr = tp_floor / tf if tf > 0 else tp_floor
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tp_mult = 1.5
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tp_swing_cap = 2.5
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sl_atr_floor = (self.config.xau_strategy.v2_sl_atr_multiplier
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if report.display_name == "XAU/USD" else 1.5)
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sl_swing_buffer = 1.0
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if is_buy:
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swing_lows = sorted(
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@@ -1236,9 +1390,9 @@ class SignalAggregator:
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reverse=True,
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)
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if swing_lows:
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sl_price = swing_lows[0] - atr * 1.0
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sl_price = swing_lows[0] - atr * sl_swing_buffer
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else:
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sl_price = price - atr * 2.0
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sl_price = price - atr * (1.0 + sl_swing_buffer)
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min_sl = max(atr * sl_atr_floor, min_sl_price)
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if price - sl_price < min_sl:
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sl_price = price - min_sl
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@@ -1266,9 +1420,9 @@ class SignalAggregator:
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v for k, v in levels.items() if k.startswith("swing_high_") and v > price
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)
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if swing_highs:
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sl_price = swing_highs[0] + atr * 1.0
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sl_price = swing_highs[0] + atr * sl_swing_buffer
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else:
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sl_price = price + atr * 2.0
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sl_price = price + atr * (1.0 + sl_swing_buffer)
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min_sl = max(atr * sl_atr_floor, min_sl_price)
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if sl_price - price < min_sl:
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sl_price = price + min_sl
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@@ -1312,13 +1466,22 @@ class SignalAggregator:
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# Spread gate: a target too close to entry hands most of the win
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# to transaction costs (validated on M5: sub-$10 targets lose).
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min_tp = self.config.signals.round_trip_cost * self.config.signals.min_tp_cost_multiple
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if tp1_distance < min_tp:
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report.warnings.append(
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f"SPREAD GATE: target ${tp1_distance:.2f} < ${min_tp:.2f} minimum — "
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f"costs would eat the edge"
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)
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return None
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if _is_eur:
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min_tp = eur.round_trip_cost * eur.min_tp_cost_multiple
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if tp1_distance < min_tp:
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report.warnings.append(
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f"SPREAD GATE: target {tp1_distance / pip_value:.1f} pips "
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f"< {min_tp / pip_value:.1f} pip minimum — costs would eat the edge"
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)
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return None
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else:
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min_tp = self.config.signals.round_trip_cost * self.config.signals.min_tp_cost_multiple
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if tp1_distance < min_tp:
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report.warnings.append(
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f"SPREAD GATE: target ${tp1_distance:.2f} < ${min_tp:.2f} minimum — "
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f"costs would eat the edge"
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)
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return None
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risk_pips = sl_distance / pip_value
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reward_pips = tp1_distance / pip_value
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