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Add M5 pullback entry archetype (XAU_PB): +140R combined on 12mo

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Second entry pattern alongside the Keltner-breakout: enter on the
retrace to EMA21/KC-mid in an established trend (EMA >=3/4 aligned,
ADX>=20, retrace 0.8-6.0 ATR, resumption bar closed back in trend
direction, RSI in the pullback zone not the extended zone). Detector
lives in the aggregator so live and GPU-backtest paths share one
implementation. Own gates (composite floor 15, confirmation-TF
agreement, MTF opposition, vol regimes) with a diagnostic funnel.

PB stops anchor to the pullback swing (~$8 vs ~$25 breakout), so PB
trades get their own trail arm (0.8R vs 0.6R global) via per-trade
trail overrides in the backtester and strategy-aware Telegram alerts.

12mo M5 validation: PB alone +38.3R/254 trades, positive both halves
and all four full quarters; core breakout trades undisturbed
(+101.9R vs +105.0 baseline). Combined book: 549 trades (~10.6/wk),
+140.1R, PF 1.78, DD 11.3R vs 311 trades/+105.0R before.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
harwinder
2026-07-09 14:21:59 -04:00
parent 3ac36525b0
commit dad2432d4d
5 changed files with 270 additions and 21 deletions
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PULLBACK_ENTRY_PLAN.txt
+12 -1
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@@ -1,6 +1,17 @@
PULLBACK ENTRY PATTERN — IMPLEMENTATION PLAN
=============================================
Drafted 2026-07-09. Status: PLANNED (not implemented).
Drafted 2026-07-09. Status: IMPLEMENTED & VALIDATED (same day).
OUTCOME: shipped as XAU_PB. 12mo M5 validation: 254 PB trades,
+38.3R, avgR +0.151, WR 58%, halves +20.1/+18.1, all four full
quarters positive. Core breakout trades undisturbed (-3.1R
displacement). Combined book: 549 trades (~10.6/wk), +140.1R,
PF 1.78, DD 11.3R. Calibration lesson: M5 gold trend legs measure
3-4 ATR swing-to-trough — the drafted 0.5-2.5 ATR retrace window
rejected 81% of valid pullbacks (fixed: 0.8-6.0). PB stops are
~$8 vs ~$25 core, so PB got its own trail arm (0.8R vs 0.6R).
Detector lives in signal_aggregator (NOT engine.py) so the GPU
backtest engine exercises the same code path as live.
WHY (evidence from 12mo M5 backtests, $0.30 spread, trailing exits)
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