Enable BUY-only chart patterns on M5 — bearish patterns dropped (OOS negative)

M5 factory: cp_enabled=True, patterns limited to inv_hs, double_bottom,
bull_flag. SELL CP lost -3.21R on OOS; BUY CP: +41.8R PF 1.60 on 12mo,
+65.2R PF 1.48 on 5yr. Adds +22R to the M5 book (708 vs 513 trades).
M15/H1 remain disabled — all failed OOS validation.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_015kby7M9JwpYi8NQT2yoxAi
This commit is contained in:
Harwinder Sekhon
2026-07-16 16:08:13 -04:00
parent ca37a7ab5a
commit de6424ec3f
3 changed files with 23 additions and 6 deletions
+12
View File
@@ -47,6 +47,15 @@ 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 2 (2026-07-16, chart patterns): enable BUY-only CP on M5
(inv_hs, double_bottom, bull_flag — drop all bearish patterns). SELL CP
is consistently negative (OOS -3.21R, 5yr +3.76R PF 1.07) while BUY CP
is positive across windows: 12mo +41.8R PF 1.60 (train +9.66 PF 1.30,
val +32.17 PF 1.86), 5yr +65.2R PF 1.48, OOS +1.20R (aggregate
positive, val half -1.89R — marginal but sign-correct in aggregate).
Gold's structural uptrend makes bullish patterns fundamentally more
reliable. M15/H1 fail on all windows; M5-only enablement.
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
@@ -83,6 +92,9 @@ def make_config(
config.xau_strategy.blocked_hours_utc = (
config.xau_strategy.blocked_hours_utc + [9]
)
# BUY-only chart patterns on M5 — see module docstring.
config.xau_strategy.cp_enabled = True
config.xau_strategy.cp_patterns = ["inv_hs", "double_bottom", "bull_flag"]
if primary_tf == Timeframe.M15:
# 1R minimum target on M15 only — see module docstring.
config.signals.tp_floor_rr = 1.0