M5 at real cost: disable XAU_PB, squash partial EMA alignment

Both validated at the measured $0.65 spread on Oanda bars (12mo halves +
PF, OOS 2024-06->2025-03, 5yr; full evidence in pair_signals/xauusd.py
M5 overrides 4-5):

- m5_pullback_enabled False on M5: loss forensics identified XAU_PB as
  the largest wrong-direction loss source; 12mo PF 1.26 (failing the
  acceptance bar) -> 1.44, max DD 23.9R -> 13.9R. PB code stays for
  future regime-gated experiments.
- New TechnicalConfig.ema_partial_neutral (default False), True on M5
  only: partial 4-EMA ribbon alignment (2-3 of 4 checks) scores NEUTRAL
  instead of a weak BUY/SELL (-0.008R/84 vs +0.230R/341 fully aligned).
  Squash mirrored in the backtester's precomputed EMA scorer in this
  same commit (live==backtest parity). 12mo +97.6R/556 PF 1.48 DD
  10.7R halves +47.8/+49.8; 5yr +127.4R PF 1.38; OOS one-trade tie.
- Rejected and logged (memory + docstring): hour-19 block (OOS fail),
  hours-14/15, trail dist 0.75, confirm-TF swaps incl M15+H4 (OOS
  ordering), divergence/candlestick weight changes, bollinger removal.
- Tests 296 -> 302: partial-alignment fixture test, factory-equivalence
  mirrors, per-TF isolation test, BC-gate fixture force-enables PB.

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01H1eKWZsAVapJ1C4winYLqX
This commit is contained in:
Harwinder Sekhon
2026-08-04 16:54:09 -04:00
parent 90801d665d
commit 3c9bb2f017
7 changed files with 124 additions and 2 deletions
+6
View File
@@ -46,6 +46,12 @@ class TechnicalConfig:
ema_medium: int = 21
ema_slow: int = 50
ema_trend: int = 200
# 4-EMA mode only: score partial ribbon alignment (2-3 of 4 checks)
# as NEUTRAL instead of a weak BUY/SELL. Research knob (2026-08-04
# indicator audit: partial-alignment trades averaged -0.008R vs
# +0.230R fully aligned on the M5 12mo Oanda book); default False =
# legacy behavior until a replay campaign validates flipping it.
ema_partial_neutral: bool = False
rsi_period: int = 14
rsi_overbought: float = 70.0