M15 trail arm 0.70 (validated grid) + backtest/live parity hardening

Parity: replay now applies the live _apply_regime_filter_live method
under the live guard (function-identity, default-off); unregistered-pair
fallback applies the config.json overlay; parity sweep gains direct
ATR/vol-regime assertions; regime-filter semantics test added.

Trail campaign: --trail-arm/--trail-dist research flags; 30-cell grid on
5yr M15 refuted the earlier-arm hypothesis and found the 0.70-0.80 arm
plateau. Shipped M15-only trail_arm_r=0.70 (factory override):
+210.7R PF 1.35 WR 57.8% vs +175.7R PF 1.30 WR 53.9% baseline; both
halves and 2024-06->2025-03 OOS better (+57.4 vs +45.4); 5yr max-DD
clause (33.9R vs 29.1R) explicitly waived by owner. M5 unchanged.
Factory replay reproduces the grid cell trade-for-trade; 201/201 tests.

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01VPNF37MP9Kuv62B1VBrZ1b

test_all.py

@@ -1868,6 +1868,8 @@ def _():
             inline_cfg.signals.tp_floor_rr = 1.0
             inline_cfg.xau_strategy.blocked_regimes = ["trending"]
             inline_cfg.xau_strategy.sell_blocked_hours_utc = [15, 17]
+            inline_cfg.signals.trail_arm_r = 0.70
+            inline_cfg.signals.trail_dist_r = 0.75
         if tf == Timeframe.M5:
             # Documented per-TF overrides (see xauusd.py docstring):
             # hour 9 UTC blocked + BUY-only chart patterns on M5 only.
@@ -2060,6 +2062,13 @@ def _():
         bl = r_live.indicators["bollinger"]
         bg = r_gpu.indicators["bollinger"]
         assert bl.signal == bg.signal and bl.description == bg.description, f"bollinger @ {i}"
+        al = r_live.indicators["atr"]
+        ag = r_gpu.indicators["atr"]
+        assert abs(al.value - ag.value) < 1e-9, f"atr value @ {i}"
+        assert al.description == ag.description, f"atr description @ {i}"
+        assert r_live.volatility_regime == r_gpu.volatility_regime, f"vol regime @ {i}"
+        assert abs(r_live.key_levels["atr"] - r_gpu.key_levels["atr"]) < 1e-9, f"key_levels atr @ {i}"
+        assert abs(r_live.key_levels["atr_pct"] - r_gpu.key_levels["atr_pct"]) < 1e-9, f"key_levels atr_pct @ {i}"
         if "Ribbon COMPRESSED" in el.description:
             seen_compressed = True
         if "Ribbon EXPANDING" in el.description:
@@ -2068,6 +2077,45 @@ def _():
     assert seen_expanding, "sweep never saw a ribbon expansion (+10 conf path) — no teeth"
 
 
+@test("Regime filter: live gate semantics + backtest calls the same method")
+def _():
+    from signal_aggregator import SignalAggregator
+    from pair_signals import PAIR_PRODUCERS
+    cfg = PAIR_PRODUCERS[XAUUSD](Timeframe.M15, [Timeframe.M5, Timeframe.H1])
+    cfg.backtest.regime_filter = True
+    agg = SignalAggregator(cfg)
+
+    df = make_ohlcv(n=300, start_price=3400.0, trend=0.05, seed=3)
+    flat = make_ohlcv(n=300, start_price=3400.0, trend=0.0, seed=7)
+    adx = agg._latest_adx(flat, cfg.technical.adx_period)
+    assert adx is not None and adx < cfg.backtest.regime_filter_min_adx, \
+        f"fixture must be choppy (ADX {adx}) or the test has no teeth"
+
+    # Low higher-TF ADX → signal downgraded to NEUTRAL/F, setup killed.
+    report = agg.analyze_from_dataframes(XAUUSD, {Timeframe.M15: df},
+                                         context=None, use_news=False)
+    agg._apply_regime_filter_live(report, {Timeframe.H4: flat})
+    assert report.final_signal == SignalStrength.NEUTRAL
+    assert report.signal_quality == "F"
+    assert report.trade_setup is None
+    assert any("REGIME FILTER" in w for w in report.warnings)
+
+    # Regime TF absent from dfs → warning only, report untouched.
+    report2 = agg.analyze_from_dataframes(XAUUSD, {Timeframe.M15: df},
+                                          context=None, use_news=False)
+    quality_before = report2.signal_quality
+    agg._apply_regime_filter_live(report2, {})
+    assert report2.signal_quality == quality_before
+    assert any("data unavailable" in w for w in report2.warnings)
+
+    # Backtest wiring: the replay applies the SAME method under the SAME
+    # guard as live analyze_pair (function-identity parity).
+    import gpu_backtest as _gb
+    src = open(_gb.__file__, encoding="utf-8").read()
+    assert "_apply_regime_filter_live(report, slice_dfs)" in src
+    assert "backtest.regime_filter" in src
+
+
 @test("disabled_indicators=['macd'] removes the pillar but keeps the histogram")
 def _():
     from engine import TechnicalEngine
@@ -2521,6 +2569,16 @@ def _():
     assert args2.cp is False
 
 
+@test("Backtester: --trail-arm/--trail-dist research knobs parse, default None")
+def _():
+    from gpu_backtest import _parse_args
+    args = _parse_args(["--pair", "XAUUSD",
+                        "--trail-arm", "0.45", "--trail-dist", "0.75"])
+    assert args.trail_arm == 0.45 and args.trail_dist == 0.75
+    args2 = _parse_args(["--pair", "XAUUSD"])
+    assert args2.trail_arm is None and args2.trail_dist is None
+
+
 # ══════════════════════════════════════════════════════════════════════
 #  MODULE 13: app_config.py (config.json overlay)
 # ══════════════════════════════════════════════════════════════════════