Fix live/backtest parity, SELL-side losses, and indicator repairs (+42% total R)

Live pipeline:
- Drop still-forming candle before analysis (signals no longer repaint)
- Direction-aware MTF agreement + opposition gate (no trade against 2-of-3 TF consensus)
- SELL volatility gate: block shorts in low/normal vol regimes (config sell_vol_regimes)
- Divergence: 40-bar lookback, price/indicator swings must align within ±2 bars
  (fired on 0.5% of trades before, 29% after), trending weight 2.0→1.0
- RSI regime_aware by default; transitioning regime only signals at extremes
- ADX ±DM tie no longer nudges bearish; TP2 clamped beyond TP1

Backtester realism:
- Charge $0.30 round-trip spread (--spread), gap-through SL/TP fills at bar open
- Resolve trades on RAW price path (cache stores raw bars, cleaning runs on load)
- Weekend/session filters use bar-close decision time to match live wall clock

Validated per-step on M15 2025-03-30→2026-05-31 under identical pricing:
+46.9R → +66.8R, win rate 69.9% → 73.0%, SELL side -2.3R → +9.6R.
Tested-and-reverted: ROC weight removal (-13R), BB fade suppression (-11.6R),
candlestick de-weight (-2R) — composite thresholds are co-tuned with weight mass.

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
This commit is contained in:
harwinder
2026-07-08 21:26:30 -04:00
parent 998f5e8616
commit 6a96ed6006
7 changed files with 273 additions and 60 deletions
+16
View File
@@ -121,6 +121,7 @@ class ForexDataProvider:
min(int(lookback_days * self.BARS_PER_DAY[timeframe]) + 20, 5000),
)
df = self._fetch_twelve_data(symbol, timeframe, outputsize)
df = self._drop_forming_candle(df, timeframe)
df = self._validate_and_clean(df, symbol, timeframe)
if not self._is_data_fresh(df, symbol, timeframe):
@@ -133,6 +134,21 @@ class ForexDataProvider:
self._cache_timestamps[cache_key] = now
return df
def _drop_forming_candle(self, df: pd.DataFrame, timeframe: Timeframe) -> pd.DataFrame:
"""Drop the still-forming last candle so analysis only sees closed bars.
Twelve Data's time_series includes the current partial candle; the
scanner fires seconds after the boundary, so without this guard every
indicator reads a seconds-old stub bar and signals repaint.
"""
if df is None or df.empty:
return df
candle_seconds = self.CANDLE_SECONDS.get(timeframe, 3600)
now = pd.Timestamp.now(tz="UTC")
if df.index[-1] + pd.Timedelta(seconds=candle_seconds) > now:
df = df.iloc[:-1]
return df
def _is_data_fresh(self, df: pd.DataFrame, symbol: str, timeframe: Timeframe) -> bool:
"""Check if the last candle is within acceptable age for this timeframe."""
if df is None or df.empty: