Fix on Sell order lossing by blocking time

This commit is contained in:
Harwinder Sekhon
2026-07-16 12:17:56 -04:00
parent f118ade3cf
commit 7d3fd9502e
6 changed files with 126 additions and 2 deletions
+22
View File
@@ -27,6 +27,26 @@ exclude it), so the block is M15-only. A second candidate — blocking
transitioning-regime SELLs (-4.0R/47 on 12mo) — was REJECTED: those
sells made +5.7R/32 in the 2024 OOS window (bull-market artifact).
M15 override 3 (validated 2026-07-16, 5-year replay 2021-07-17 ->
2026-07-16 under the audit-fixed backtester, $0.30 spread, trailing
exits): block SELL entries whose bar CLOSES at 15:00 or 17:00 UTC
(sell_blocked_hours_utc=[15, 17], gate 6g3 — BUYs unaffected; those
hours flank the already-blocked hour 16). The pocket lost -33.5R/165
trades, negative in 6/6 calendar years and in BOTH halves of the last
12 months (H1 -6.8R, H2 -4.2R); each hour independently is 5/6 years
negative with both halves negative (hours 14/18 fail that screen and
stay open). Cross-TF the M5 book CONFIRMS (same pocket -14.1R/59,
5/6 years negative) rather than contradicts — unlike the rejected
trending_down block. Full replay with the gate: +176.7R/1627 PF 1.31
DD 29.1R vs +144.9R/1781 PF 1.22 DD 34.4R control; better in ALL SIX
years; last-12mo halves both improve (H1 +36.3 vs +29.5, H2 +46.9 vs
+43.2; 12mo PF 1.55 vs 1.43); OOS 2024-06-01 -> 2025-03-30 improves
(+45.4R PF 1.47 DD 17.8 vs +41.9R PF 1.39 DD 21.7). SELL side goes
-1.2R -> +30.6R over 5 years. BUYs at those hours made +34.3R, hence
SELL-only rather than a blocked_hours_utc entry. Mechanism: NY-session
shorts against gold's macro uptrend (15:00 = post-US-data reversal
window, 17:00 = London close unwind).
M5 override (validated 2026-07-11, full-history replay 2020-03-17 ->
2026-07-11 + 12mo book, $0.30 spread): block hour 9 UTC (post-London-
open whipsaw). Hour-9 entries lost -28.9R/143 over 6 years, negative
@@ -68,4 +88,6 @@ def make_config(
config.signals.tp_floor_rr = 1.0
# Block the mixed "trending" regime on M15 only — see docstring.
config.xau_strategy.blocked_regimes = ["trending"]
# Block SELL entries at 15:00/17:00 UTC on M15 only — see docstring.
config.xau_strategy.sell_blocked_hours_utc = [15, 17]
return config