Fix M5 signal quality: ATR ordering bug, noise gates, blocked-hour leak (+41R)

ATR was computed after EMAs so ribbon compression detection was dead code
on all timeframes — moved ATR first. Extended M5 swing S/R lookback from
50 to 120 bars. Added four M5-specific filters: min score, MTF agreement,
confirmation TF conviction, and SELL quality cap (A-grade M5 shorts enter
at dip extremes and lose). Fixed backtester blocked-hour check to use bar
close time matching the live bot. Added trade geometry config (spread gate,
SL floor, TP floor RR) and primary_tf mismatch guard in backtester.

Backtest: 1133 trades/+11.5R → 419 trades/+41.0R, PF 1.03→1.37, DD 21→11R.
Train/val split positive in both halves (+19.8R/+21.3R).

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>

backtest/gpu_backtest.py

@@ -1383,6 +1383,14 @@ def run_backtest(
             primary_timeframe=bt_cfg.primary_tf,
             confirmation_timeframes=list(bt_cfg.confirmation_tfs),
         )
+    elif platform_cfg.primary_timeframe != bt_cfg.primary_tf:
+        # A silent mismatch yields 0 trades: the replayer walks
+        # bt_cfg.primary_tf bars while the aggregator looks for
+        # platform_cfg.primary_timeframe in the slices and never finds it.
+        raise ValueError(
+            f"primary_tf mismatch: BacktestConfig={bt_cfg.primary_tf.value} "
+            f"vs PlatformConfig={platform_cfg.primary_timeframe.value}"
+        )
 
     provider = ForexDataProvider(platform_cfg)
 
@@ -1464,6 +1472,15 @@ def run_backtest(
             if not (bt_filter.session_start_hour <= bar_hour < bt_filter.session_end_hour):
                 skipped_reasons["SESSION_WINDOW"] = skipped_reasons.get("SESSION_WINDOW", 0) + 1
                 continue
+            # Blocked hours (live checks datetime.now().hour ≈ bar close).
+            # analyze_from_dataframes step 6b checks bar-open timestamp,
+            # which is one bar behind — misses the last 5min of each hour.
+            _is_xau = PAIR_INFO[bt_cfg.pair]["display"] == "XAU/USD"
+            _blocked = (platform_cfg.xau_strategy.blocked_hours_utc
+                        if _is_xau else bt_filter.blocked_hours_utc)
+            if bar_hour in _blocked:
+                skipped_reasons["SESSION_WINDOW"] = skipped_reasons.get("SESSION_WINDOW", 0) + 1
+                continue
 
         # Cooldown.
         if pos - last_entry_pos < bt_cfg.cooldown_bars:

config.py

@@ -124,6 +124,20 @@ class SignalConfig:
     # — smaller wins make the fixed spread a larger share of every TP.
     tp_tightening_factor: float = 1.0
 
+    # ── Trade geometry ────────────────────────────────────────────
+    # Round-trip transaction cost estimate in price units (XAU ~$0.30).
+    round_trip_cost: float = 0.30
+    # Spread gate: reject setups whose TP1 distance is below
+    # round_trip_cost × this multiple (caps cost at ~3% of target).
+    # Validated 2026-07: small-target trades lose in both data halves
+    # on M5 while TP≥$10 trades earn ~+0.08R/trade.
+    min_tp_cost_multiple: float = 30.0
+    # Fixed SL floor in pips (80 pips = $8 on XAU). 0 disables — SL then
+    # floors at ATR × v2_sl_atr_multiplier only.
+    min_sl_pips: float = 80.0
+    # TP1 floor as a fraction of SL distance (0.5 = historical RR 0.5).
+    tp_floor_rr: float = 0.5
+
 
 @dataclass
 class NewsConfig:
@@ -166,6 +180,20 @@ class XauStrategyConfig:
     # shorts lose consistently against gold's macro uptrend).
     sell_vol_regimes: List[str] = field(default_factory=lambda: ["high", "extreme"])
 
+    # ── M5-specific filters ──────────────────────────────────────
+    # M5 signals are noisy; require stronger confirmation before
+    # generating trade setups. Without these, M5 is breakeven
+    # (+0.01R/trade) with 21% drawdown.
+    m5_require_mtf: bool = True
+    m5_min_abs_score: float = 30.0
+    m5_min_confirmation_score: float = 10.0
+    # A-grade M5 SELLs enter at the extreme of temporary dips and
+    # lose (-0.017R/trade on 163 trades) — maximum conviction at
+    # the worst entry. Cap SELL quality so A-grade can't trigger
+    # the ATR-based setup generator; B-grade swing setups survive
+    # because they catch moderate drops, not extremes.
+    m5_sell_max_quality: List[str] = field(default_factory=lambda: ["B", "C"])
+
 
 @dataclass
 class FilterConfig:

engine.py

@@ -85,11 +85,12 @@ class TechnicalEngine:
         # ── Compute all indicators ─────────────────────────────────
         disabled = set(self.config.disabled_indicators or [])
 
+        # ATR first: other indicators (EMA ribbon, candlestick) use it
+        if "atr"         not in disabled: self._compute_atr(df, result)
         if "ema_trend"   not in disabled: self._compute_ema_signals(df, result)
         if "rsi"         not in disabled: self._compute_rsi(df, result)
         if "bollinger"   not in disabled: self._compute_bollinger(df, result)
         if "adx"         not in disabled: self._compute_adx(df, result)
-        if "atr"         not in disabled: self._compute_atr(df, result)
 
         self._compute_macd(df, result)
 
@@ -817,7 +818,10 @@ class TechnicalEngine:
 
     def _compute_structure_sr(self, df: pd.DataFrame, result: TechnicalAnalysis):
         """Detect swing high/low structure levels for S/R and trade setup."""
-        lookback = min(self.config.swing_sr_lookback, len(df) - 1)
+        base_lookback = self.config.swing_sr_lookback
+        if result.timeframe in ("1min", "5min"):
+            base_lookback = max(base_lookback, 120)
+        lookback = min(base_lookback, len(df) - 1)
         if lookback < 10:
             return
 

signal_aggregator.py

@@ -283,6 +283,73 @@ class SignalAggregator:
             return None
         return float(adx.iloc[-1])
 
+    def _apply_m5_filters(self, report: SignalReport) -> None:
+        """Extra selectivity for M5 — noisy TF needs stronger confirmation."""
+        if report.signal_quality not in ("A+", "A", "B", "C"):
+            return
+
+        xau_cfg = self.config.xau_strategy
+        abs_score = abs(report.final_score)
+
+        # Gate 1: minimum absolute score (M5 composite scores near the
+        # threshold are noise — require a wider margin).
+        if abs_score < xau_cfg.m5_min_abs_score:
+            report.warnings.append(
+                f"M5 FILTER: |score| {abs_score:.1f} < {xau_cfg.m5_min_abs_score:.0f} minimum"
+            )
+            report.signal_quality = "D"
+            report.trade_setup = None
+            return
+
+        # Gate 2: require MTF agreement (M5 alone is too noisy).
+        if xau_cfg.m5_require_mtf and not report.mtf_agreement:
+            report.warnings.append(
+                "M5 FILTER: no MTF agreement — M5 signals require confirmation"
+            )
+            report.signal_quality = "D"
+            report.trade_setup = None
+            return
+
+        # Gate 3: at least one confirmation TF must have a meaningful
+        # score in the same direction — NEUTRAL confirmations don't
+        # count for M5 since they indicate the move isn't visible on
+        # higher timeframes yet.
+        min_conf_score = xau_cfg.m5_min_confirmation_score
+        is_buy = report.final_score > 0
+        confirmed = False
+        primary_tf = self.config.primary_timeframe.value
+        for tf_val, tf_score in report.mtf_scores.items():
+            if tf_val == primary_tf:
+                continue
+            if is_buy and tf_score >= min_conf_score:
+                confirmed = True
+                break
+            if not is_buy and tf_score <= -min_conf_score:
+                confirmed = True
+                break
+
+        if not confirmed:
+            report.warnings.append(
+                "M5 FILTER: no confirmation TF shows directional conviction"
+            )
+            report.signal_quality = "D"
+            report.trade_setup = None
+            return
+
+        # Gate 4: cap SELL quality on M5 — A-grade SELLs enter at the
+        # extreme of temporary dips in gold's macro uptrend and lose
+        # money. B-grade SELLs (weaker conviction, shallower entries)
+        # are marginally profitable.
+        is_sell = report.final_score < 0
+        if is_sell and report.signal_quality not in xau_cfg.m5_sell_max_quality:
+            report.warnings.append(
+                f"M5 FILTER: SELL quality {report.signal_quality} capped — "
+                f"high-conviction M5 shorts enter at extremes"
+            )
+            report.signal_quality = "D"
+            report.trade_setup = None
+            return
+
     # ── Public: bar-replayable entry point ─────────────────────────
 
     def analyze_from_dataframes(
@@ -467,6 +534,10 @@ class SignalAggregator:
             report.signal_quality = "D"
             report.trade_setup = None
 
+        # ── 6h. M5 noise gate ────────────────────────────────────
+        if self.config.primary_timeframe == Timeframe.M5:
+            self._apply_m5_filters(report)
+
         # ── 7. Trade setup for actionable signals ──────────────────
         if report.trade_setup is None and report.signal_quality in ("A+", "A"):
             atr = (report.primary_analysis.key_levels.get("atr", 0)
@@ -634,6 +705,15 @@ class SignalAggregator:
         if rr < min_rr - 1e-9:
             return None
 
+        # Spread gate (same rule as _generate_trade_setup).
+        min_tp = self.config.signals.round_trip_cost * self.config.signals.min_tp_cost_multiple
+        if tp_distance < min_tp:
+            report.warnings.append(
+                f"SPREAD GATE: target ${tp_distance:.2f} < ${min_tp:.2f} minimum — "
+                f"costs would eat the edge"
+            )
+            return None
+
         return TradeSetup(
             pair=report.symbol,
             display_name=report.display_name,
@@ -903,8 +983,7 @@ class SignalAggregator:
             )
             return None
 
-        min_sl_pips = 8.0 if pip_value < 0.01 else 80.0
+        min_sl_price = self.config.signals.min_sl_pips * pip_value
-        min_sl_price = min_sl_pips * pip_value
 
         if report.final_signal in (SignalStrength.BUY, SignalStrength.STRONG_BUY):
             is_buy = True
@@ -914,8 +993,9 @@ class SignalAggregator:
             is_buy = report.final_score >= 0
         levels = report.primary_analysis.key_levels
         min_rr = self.config.signals.min_rr_ratio
+        tp_floor = max(min_rr, self.config.signals.tp_floor_rr)
         tf = self.config.signals.tp_tightening_factor
-        pre_tight_min_rr = min_rr / tf if tf > 0 else min_rr
+        pre_tight_min_rr = tp_floor / tf if tf > 0 else tp_floor
 
         tp_mult = 1.5
         tp_swing_cap = 2.5
@@ -1003,6 +1083,16 @@ class SignalAggregator:
         if rr < min_rr - 1e-9:
             return None
 
+        # Spread gate: a target too close to entry hands most of the win
+        # to transaction costs (validated on M5: sub-$10 targets lose).
+        min_tp = self.config.signals.round_trip_cost * self.config.signals.min_tp_cost_multiple
+        if tp1_distance < min_tp:
+            report.warnings.append(
+                f"SPREAD GATE: target ${tp1_distance:.2f} < ${min_tp:.2f} minimum — "
+                f"costs would eat the edge"
+            )
+            return None
+
         risk_pips = sl_distance / pip_value
         reward_pips = tp1_distance / pip_value