audit: NY-anchored weekend calendar (all 3 copies) + FB2_EMA_LO crash-proofing

Owner decisions from the 2026-08-04 audit report:
- spread-in-exit-triggers: DECLINED (books stay comparable; ledger in
  CLAUDE.md records the measured ~4-6% optimism).
- weekend clock: FIXED. The market week is Fri 17:00 -> Sun 18:00 New
  York time, not Fri/Sun 22:00 UTC — during US DST the Oanda feed stops
  at 21:00 UTC (measured: 159/162 summer weekends). All three weekend
  implementations (providers/base, signal_aggregator, gpu_backtest
  calendar filter) now share the NY-anchored rule; a new test sweeps
  them hourly across both DST transitions and asserts agreement. No NTP
  needed — the host clock was fine, the constant was wrong.
  Ends the weekly false-"STALE DATA / feed lagging" hours (summer Fri
  21-22 UTC, winter Sun 22-23 UTC).
- FB2_EMA_LO (delegated): kept as a research knob but crash-proofed —
  an unparseable value degrades to the tuned default 0.5 with a warning
  instead of killing every scan. Documented in CLAUDE.md.

Book gates: M15 12mo pinned book byte-identical (+78.7111R, 397
trades). M5 12mo drops exactly ONE trade (556 -> 555, +97.56 ->
+98.64R): a phantom whose signal fired on the final summer-Friday bar
(decision 21:00 UTC = NY 17:00 market close) and was "filled" at
Sunday's reopen 49 hours later, -1.08R — an entry live trading can
never take. The backtest no longer contains it; live == backtest
parity improved. M15 unaffected because hour 21 is in its blocked set.

Suite: 341/341 green.

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01UnZkzeFcTu9agFg8BDh2tn

CLAUDE.md

@@ -74,12 +74,12 @@ Signal currency everywhere is `SignalStrength` (−2..+2). DataFrames are UTC tz
 8. Don't add config fields nothing reads; don't disable indicators in production paths (`disabled_indicators` is for experiments only).
 9. EUR/USD was removed 2026-07-16 after a no-edge verdict (cost-to-volatility; last commit with EUR support: `7d3fd95`). Do not re-add without new data. BTC/ETH work lives on unmerged branches only.
 
-## Known open items from the 2026-08-04 QA audit (owner decisions pending)
+## 2026-08-04 QA audit — owner decisions ledger
 
-- **Weekend constant vs Oanda reality**: `_is_forex_weekend` hardcodes Fri 22:00→Sun 22:00 UTC, but Oanda's week is Fri 17:00→Sun 18:00 New York time — during US DST the feed stops at 21:00 UTC (159/162 summer weekends measured) and winter reopen is Sun 23:00. Result: two false-"STALE DATA/feed lagging" hours weekly (summer Fri 21–22, winter Sun 22–23). Fix = NY-anchored calendar in all three copies; books provably unaffected (no bars exist in those hours) but run a book gate anyway.
+- **Weekend calendar: FIXED (owner-approved 2026-08-04).** All three `_is_forex_weekend` copies are NY-anchored (Fri 17:00 → Sun 18:00 ET; during US DST that is Fri 21:00 UTC — measured on 5yr of Oanda bars). Kills the weekly false-"STALE DATA/feed lagging" hours. Book impact, fully accounted: M15 byte-identical; M5 12mo dropped exactly ONE trade — a phantom whose signal fired on the final summer-Friday bar (close 21:00 UTC) and "filled" at Sunday's reopen 49 h later (−1.08R, live-impossible). M5 12mo reference at HEAD: 555 trades, +98.64R PF≈1.50 @ $0.65 (was 556/+97.56/1.48). A Module 21 test sweeps all three copies hourly across both DST transitions.
-- **Spread in exit-trigger detection (rule 6)**: backtest stop triggers use raw mid High/Low; bid/ask-adjusted triggers would change 15/397 trades (−3.55R) at $0.30 and 30/397 (−4.24R) at $0.65 on the pinned M15 12mo book — a ~4–6% systematic optimism. Fixing invalidates all book comparability: conscious re-pin decision only.
+- **Spread in exit-trigger detection (rule 6): owner DECLINED 2026-08-04.** Backtest stop triggers stay on raw mid High/Low; the measured optimism (~4–6% of total R: −3.55R @ $0.30, −4.24R @ $0.65 on the M15 12mo book) is accepted and books stay comparable. Re-open only as a conscious re-pin campaign.
-- **H4 seeding divergence**: live H4 fetches only 380 bars; the backtest sees unbounded history — ~2% of sampled H4 bars flip an indicator signal (composite Δ up to 12.3). M5/M15/H1 are clean at their real fetch depths. H4 is already "unproven for auto-execution".
+- **`FB2_EMA_LO`: HARDENED 2026-08-04 (delegated).** Research override for the EMA200-proximity band, default = tuned 0.5; an unparseable value now degrades to the default with a warning instead of crashing every scan. Documented here — it is a knob that exists.
-- `FB2_EMA_LO` env var is an undocumented knob inside the scoring path (`signal_aggregator.py` EMA200-proximity penalty floor); an unparseable value crashes every analysis. Remove or config-ify only with rule-1 revalidation.
+- **H4 seeding divergence: parked.** Live H4 fetches only 380 bars vs the backtest's unbounded history — ~2% of sampled H4 bars flip an indicator signal (composite Δ up to 12.3). M5/M15/H1 clean at their real fetch depths. Fold into any future H4 campaign; H4 remains "unproven for auto-execution".
 
 ## Current state notes (2026-07-30)
 

backtest/gpu_backtest.py

@@ -40,10 +40,13 @@ from dataclasses import dataclass, field
 from datetime import datetime, timedelta, timezone
 from pathlib import Path
 from typing import Dict, List, Optional, Tuple
+from zoneinfo import ZoneInfo
 
 import numpy as np
 import pandas as pd
 
+_NY_TZ = ZoneInfo("America/New_York")
+
 # Ensure project root on sys.path so this script can be invoked from anywhere.
 PROJECT_ROOT = Path(__file__).resolve().parent.parent
 if str(PROJECT_ROOT) not in sys.path:
@@ -1450,18 +1453,22 @@ class BacktestConfig:
 def _is_xau_blocked_by_calendar(ts: pd.Timestamp, cfg: PlatformConfig) -> Optional[str]:
     """Apply XAU weekend + allowed-weekday filter matching live `analyze_pair`.
 
-    Forex market closed: Friday 22:00 UTC -> Sunday 22:00 UTC (Sydney open).
+    Market closed Friday 17:00 -> Sunday 18:00 NEW YORK time (= Fri
-    Must match `_is_forex_weekend` in signal_aggregator.py exactly.
+    21:00 UTC in US summer, 22:00 in winter — matches measured Oanda
+    feed behavior; 2026-08-04 audit I43). Must match `_is_forex_weekend`
+    in signal_aggregator.py exactly (rule 4; Module 21 agreement test).
+    Note the weekday gates below stay on UTC weekday — they mirror the
+    live gates, which evaluate UTC weekdays.
     """
     xau = cfg.xau_strategy
     if xau.weekend_filter:
-        wd = ts.weekday()
+        ny = ts.astimezone(_NY_TZ)
-        hour = ts.hour
+        wd = ny.weekday()
-        if wd == 4 and hour >= 22:
+        if wd == 4 and ny.hour >= 17:
             return "WEEKEND_FILTER"
         if wd == 5:
             return "WEEKEND_FILTER"
-        if wd == 6 and hour < 22:
+        if wd == 6 and ny.hour < 18:
             return "WEEKEND_FILTER"
     if xau.allowed_weekdays and ts.weekday() not in xau.allowed_weekdays:
         return "DAY_FILTER"

providers/base.py

@@ -24,6 +24,7 @@ import time
 from abc import ABC, abstractmethod
 from datetime import datetime, timedelta
 from typing import AsyncIterator, Callable, Dict, Optional, Sequence, Tuple
+from zoneinfo import ZoneInfo
 
 import pandas as pd
 
@@ -31,19 +32,36 @@ from config import PAIR_INFO, PlatformConfig, Timeframe, XAUUSD
 
 logger = logging.getLogger(__name__)
 
+# The gold/FX market week is defined in New York time (see
+# _is_forex_weekend); a fixed UTC hour is wrong for half the year.
+_NY_TZ = ZoneInfo("America/New_York")
+
 
 def _is_forex_weekend(now=None) -> bool:
-    """Forex market closed: Friday 22:00 UTC → Sunday 22:00 UTC."""
+    """Gold/FX market closed for the weekend.
+
+    The market week is anchored to NEW YORK time — Friday 17:00 ET →
+    Sunday 18:00 ET — not a fixed UTC hour. During US DST the feed
+    actually stops at 21:00 UTC (measured on 5 years of Oanda bars:
+    159/162 summer Fridays; winter close 22:00, winter reopen Sunday
+    23:00 UTC). The old hardcoded Fri 22:00→Sun 22:00 UTC rule produced
+    two false-"STALE DATA/feed lagging" hours every week (2026-08-04
+    audit I43, fixed per owner decision).
+
+    Kept as three deliberate copies (here, signal_aggregator.py,
+    gpu_backtest._is_xau_blocked_by_calendar) — a Module 21 test asserts
+    they agree hour-by-hour across DST transitions.
+    """
     if now is None:
         now = pd.Timestamp.now(tz="UTC")
-    wd = now.weekday()
+    ny = now.astimezone(_NY_TZ)
-    hour = now.hour
+    wd = ny.weekday()
-    if wd == 4 and hour >= 22:
+    if wd == 4:                      # Friday
-        return True
+        return ny.hour >= 17
-    if wd == 5:
+    if wd == 5:                      # Saturday
-        return True
-    if wd == 6 and hour < 22:
         return True
+    if wd == 6:                      # Sunday
+        return ny.hour < 18
     return False
 
 

signal_aggregator.py

@@ -10,9 +10,12 @@ import os
 from dataclasses import dataclass, field
 from datetime import datetime, timezone
 from typing import Dict, List, Optional
+from zoneinfo import ZoneInfo
 
 import pandas as pd
 
+_NY_TZ = ZoneInfo("America/New_York")
+
 from chart_patterns import detect_chart_pattern
 from config import PlatformConfig, SignalStrength, Timeframe
 from providers import BaseDataProvider, make_data_provider
@@ -23,15 +26,19 @@ logger = logging.getLogger(__name__)
 
 
 def _is_forex_weekend(now_utc: datetime) -> bool:
-    """Forex market closed: Friday 22:00 UTC → Sunday 22:00 UTC (Sydney open)."""
+    """Gold/FX market closed for the weekend: Friday 17:00 → Sunday 18:00
-    wd = now_utc.weekday()
+    NEW YORK time (= Fri 21:00 UTC in US summer, 22:00 in winter —
-    hour = now_utc.hour
+    matches measured Oanda feed behavior; 2026-08-04 audit I43).
-    if wd == 4 and hour >= 22:  # Friday after 22:00
+    Deliberate copy of providers.base._is_forex_weekend — a Module 21
-        return True
+    test asserts the copies agree across DST transitions."""
-    if wd == 5:  # All Saturday
+    ny = now_utc.astimezone(_NY_TZ)
-        return True
+    wd = ny.weekday()
-    if wd == 6 and hour < 22:  # Sunday before 22:00
+    if wd == 4:                      # Friday
+        return ny.hour >= 17
+    if wd == 5:                      # Saturday
         return True
+    if wd == 6:                      # Sunday
+        return ny.hour < 18
     return False
 
 
@@ -1253,7 +1260,17 @@ class SignalAggregator:
             ema200 = primary.key_levels.get("ema_trend")
             if ema200 and ema200 > 0 and report.current_price > 0:
                 ema_dist_pct = abs(report.current_price - ema200) / ema200 * 100.0
+                # FB2_EMA_LO: research override for the EMA200-proximity
+                # penalty band; the tuned default is 0.5. An unparseable
+                # value must degrade to the default, never crash the scan
+                # (2026-08-04 audit; hardened per owner delegation).
+                try:
                     _lo = float(os.environ.get("FB2_EMA_LO", "0.5"))
+                except (TypeError, ValueError):
+                    logger.warning(
+                        "FB2_EMA_LO=%r is not a number — using tuned "
+                        "default 0.5", os.environ.get("FB2_EMA_LO"))
+                    _lo = 0.5
                 if ema_dist_pct < _lo:
                     report.warnings.append(f"NEAR EMA200 ({ema_dist_pct:.2f}%) — chop risk")
                     penalties.append(("ema200_near", 5))

test_all.py

@@ -6397,6 +6397,65 @@ def _():
     assert [p for p, _ in _gb._apply_cooldown(cands, 1)] == [10, 12, 15, 21, 24]
 
 
+@test("weekend calendar is NY-anchored: summer close 21:00 UTC, winter reopen 23:00")
+def _():
+    # 2026-08-04 audit I43, fixed per owner decision: the market week is
+    # Fri 17:00 -> Sun 18:00 NEW YORK time (measured on 5yr of Oanda
+    # bars), not a fixed UTC hour.
+    import providers.base as pbase
+    T = lambda s: pd.Timestamp(s, tz="UTC")
+    # US DST 2026: Mar 8 – Nov 1.
+    assert pbase._is_forex_weekend(T("2026-07-31 21:30")) is True, \
+        "summer Friday 21:30 UTC = 17:30 ET → market CLOSED (old code said open)"
+    assert pbase._is_forex_weekend(T("2026-07-31 20:30")) is False
+    assert pbase._is_forex_weekend(T("2026-01-02 21:30")) is False, \
+        "winter Friday 21:30 UTC = 16:30 ET → still open"
+    assert pbase._is_forex_weekend(T("2026-01-02 22:30")) is True
+    assert pbase._is_forex_weekend(T("2026-01-04 22:30")) is True, \
+        "winter Sunday 22:30 UTC = 17:30 ET → still closed (old code said open)"
+    assert pbase._is_forex_weekend(T("2026-01-04 23:30")) is False
+    assert pbase._is_forex_weekend(T("2026-08-02 21:30")) is True   # summer Sun 17:30 ET
+    assert pbase._is_forex_weekend(T("2026-08-02 22:30")) is False  # summer Sun 18:30 ET
+    assert pbase._is_forex_weekend(T("2026-08-01 03:00")) is True   # Saturday
+
+
+@test("weekend calendar: all three copies agree hourly across DST transitions")
+def _():
+    import providers.base as pbase
+    import signal_aggregator as sa_mod
+    import gpu_backtest as _gb
+    cfg = PlatformConfig()
+    cfg.xau_strategy.weekend_filter = True
+    cfg.xau_strategy.allowed_weekdays = []      # isolate the weekend gate
+    # Sweep spring-forward (2026-03-06..11) and fall-back (2026-10-30..11-04).
+    for start in ("2026-03-06", "2026-10-30"):
+        for ts in pd.date_range(start, periods=5 * 24, freq="1h", tz="UTC"):
+            a = pbase._is_forex_weekend(ts)
+            b = sa_mod._is_forex_weekend(ts)
+            c = _gb._is_xau_blocked_by_calendar(ts, cfg) == "WEEKEND_FILTER"
+            assert a == b == c, f"{ts}: base={a} aggregator={b} backtest={c}"
+
+
+@test("FB2_EMA_LO: garbage value degrades to tuned default, scan survives")
+def _():
+    os.environ["FB2_EMA_LO"] = "not-a-number"
+    try:
+        config = PlatformConfig()
+        config.primary_timeframe = Timeframe.H1
+        config.confirmation_timeframes = [Timeframe.M15, Timeframe.H4]
+        agg = SignalAggregator(config)
+        dfs = {
+            Timeframe.H1: make_ohlcv(300, seed=42),
+            Timeframe.M15: make_ohlcv(300, seed=43),
+            Timeframe.H4: make_ohlcv(300, seed=44),
+        }
+        report = agg.analyze_from_dataframes("XAU/USD", dfs, use_news=False)
+        assert isinstance(report, SignalReport), \
+            "analysis must survive an unparseable FB2_EMA_LO"
+    finally:
+        os.environ.pop("FB2_EMA_LO", None)
+
+
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 #  SUMMARY
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