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>
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harwinder
@@ -478,11 +478,14 @@ class TechnicalEngine:
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tr = pd.concat([tr1, tr2, tr3], axis=1).max(axis=1)
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# Directional Movement
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plus_dm = high.diff()
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minus_dm = -low.diff()
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plus_dm_raw = high.diff()
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minus_dm_raw = -low.diff()
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plus_dm = plus_dm.where((plus_dm > minus_dm) & (plus_dm > 0), 0.0)
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minus_dm = minus_dm.where((minus_dm > plus_dm) & (minus_dm > 0), 0.0)
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# Compare raw vs raw: sequential filtering would zero +DM on a tie
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# but keep -DM (compared against the already-zeroed +DM) — a
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# systematic bearish nudge. Wilder zeroes both on ties.
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plus_dm = plus_dm_raw.where((plus_dm_raw > minus_dm_raw) & (plus_dm_raw > 0), 0.0)
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minus_dm = minus_dm_raw.where((minus_dm_raw > plus_dm_raw) & (minus_dm_raw > 0), 0.0)
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atr = tr.ewm(alpha=1/c.adx_period, min_periods=c.adx_period, adjust=False).mean()
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plus_di = 100 * (plus_dm.ewm(alpha=1/c.adx_period, min_periods=c.adx_period, adjust=False).mean() / atr)
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@@ -762,20 +765,34 @@ class TechnicalEngine:
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price_window = close.iloc[-lookback:]
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ind_window = indicator_series.iloc[-lookback:]
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# A price swing and an indicator swing only form one divergence
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# observation if they mark the SAME market turn — require the
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# swing bars to line up within a small tolerance, otherwise
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# unrelated wiggles get compared and the signal is noise.
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def _aligned(price_pts, ind_pts, tol=2):
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pairs = []
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for p_idx, p_val in price_pts:
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best = min(ind_pts, key=lambda ip: abs(ip[0] - p_idx), default=None)
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if best is not None and abs(best[0] - p_idx) <= tol:
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pairs.append(((p_idx, p_val), best))
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return pairs
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# Bullish divergence: lower price low but higher indicator low
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price_lows = self._find_swing_points(price_window, mode="low")
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ind_lows = self._find_swing_points(ind_window, mode="low")
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if len(price_lows) >= 2 and len(ind_lows) >= 2:
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if price_lows[-1][1] < price_lows[-2][1] and ind_lows[-1][1] > ind_lows[-2][1]:
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low_pairs = _aligned(price_lows, ind_lows)
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if len(low_pairs) >= 2:
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(p1, i1), (p2, i2) = low_pairs[-2], low_pairs[-1]
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if p2[1] < p1[1] and i2[1] > i1[1]:
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divergences.append(f"Bullish {name} divergence (reversal warning)")
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# Bearish divergence: higher price high but lower indicator high
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price_highs = self._find_swing_points(price_window, mode="high")
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ind_highs = self._find_swing_points(ind_window, mode="high")
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if len(price_highs) >= 2 and len(ind_highs) >= 2:
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if price_highs[-1][1] > price_highs[-2][1] and ind_highs[-1][1] < ind_highs[-2][1]:
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high_pairs = _aligned(price_highs, ind_highs)
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if len(high_pairs) >= 2:
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(p1, i1), (p2, i2) = high_pairs[-2], high_pairs[-1]
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if p2[1] > p1[1] and i2[1] < i1[1]:
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divergences.append(f"Bearish {name} divergence (reversal warning)")
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if divergences:
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@@ -976,6 +993,22 @@ class TechnicalEngine:
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desc = f"RSI {rsi_val:.1f} — Overbought in downtrend, possible reversal"
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else:
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return
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elif regime == "transitioning":
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# Trend is being born — RSI can't tell direction yet, and
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# range-fade rules would sell the newborn trend. Only extremes
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# carry information here.
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if rsi_val >= 70:
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signal = SignalStrength.SELL
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conf = 50
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desc = f"RSI {rsi_val:.1f} — Overbought while trend forming"
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elif rsi_val <= 30:
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signal = SignalStrength.BUY
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conf = 50
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desc = f"RSI {rsi_val:.1f} — Oversold while trend forming"
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else:
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signal = SignalStrength.NEUTRAL
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conf = 30
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desc = f"RSI {rsi_val:.1f} — No RSI edge while trend forms"
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else: # ranging
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if rsi_val >= 70:
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signal = SignalStrength.SELL
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@@ -1037,10 +1070,15 @@ class TechnicalEngine:
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if self.config.regime_weights_override:
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regime_weights = self.config.regime_weights_override
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else:
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# NOTE: ROC is directionally redundant with MACD/Keltner/EMA
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# (0.8-0.94 correlation), but zeroing its weight was backtested
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# 2026-07 and LOST 13R — the redundant vote effectively raises
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# the composite bar and the thresholds are calibrated with it.
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# Don't remove without retuning score thresholds.
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_trending = {
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"ema_trend": 2.0, "rsi": 1.0, "macd": 2.0,
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"bollinger": 0.5, "keltner": 1.5, "roc": 1.5,
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"candlestick": 0.8, "divergence": 2.0, "adx": 0.8,
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"candlestick": 0.8, "divergence": 1.0, "adx": 0.8,
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}
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regime_weights = {
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"trending_up": _trending,
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