1793d9167a7125f8807782e5663de7c7187a8cb0
3 Commits
| Author | SHA1 | Message | Date | |
|---|---|---|---|---|
 Harwinder Sekhon
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1793d9167a |
Daily-trend veto on M15 + lot-size / already-open lines (campaign 2026-09-30), and the 2026-10-01 whole-codebase bug review
Two bodies of work that touch the same files, so one commit. Direction and setup-size campaign (2026-09-30 → 10-01, owner's RISK-FIRST rule, written before the runs): - SIGNAL: M15 daily-trend veto (factory override 7, xau_strategy.daily_trend_veto "both"). A finished setup against a clear daily trend (closed D1 bars, Sunday stubs dropped; close vs its 50-bar EMA AND vs the close 60 kept days earlier) is removed as the last step of the core. One definition (signal_aggregator.daily_trend_series) for live, the bar replay and the twin's host side; D1 is a required frame of the M15 scan; mirrored in cuda_signal_kernels.py K2. W3 824 / +205.12R / PF 1.73 / max DD 12.4R vs 1105 / +195.79R / 1.49 / 20.9R; 2019 → 2026 1473 / +223.33R / 1.42 / 41.5R vs 2091 / +192.53R / 1.24 / 64.8R; unseen holdout −4.62R vs −6.63R. - FAILED, not shipped: the veto on M5 (W3 drawdown 10.1R → 15.2R) and on H1 (−9.7R), buy-only and sell-only on M15, the wide-stop cap (xau_strategy.wide_stop_cap_atr stays 0.0, a research knob). - New M15 pins: W2 dfc647ee…, OOS e87b6de1…, W3 ad3b0dbd…. M5 / H1 / H4 pins unchanged. --set xau_strategy.daily_trend_veto=off reproduces the previous M15 pins byte for byte. Twin and reference script MD5-equal on every window; recorder and feature-export parity re-proved; base-rate table rebuilt. - DISPLAY (books byte-identical): exposure.py — the lot size for trade_size.risk_per_trade (new config.json block, off by default, private to the owner) and the count of alerted same-direction plans still open (signals.alerted_at, read-only open_alerted_setups); the daily trend in words on Telegram, the CLI and the dashboard; signals.daily_trend logged. - providers/oanda: a date window with no bars is an empty page, not an error (a D1 pad starting on a Saturday could not be fetched). - Reports only, nothing shipped: seven context screens (no state nominated) and eight outside data sources (none adds a forecast to gold's own daily trend). - Independent verification (report section 5.13): every figure reproduced on both scripts, scoring identical to the previous commit on all four timeframes, no look-ahead. Caveats recorded there: this is a risk filter, not a more accurate direction call; nine tenths of the 2019 → 2026 gain is 2022; the neighbour clause is thin (a simple 100-day average misses the R line by 1.2R); "never adds a trade" is an observation, not a guarantee. Bug review of the whole codebase (2026-10-01). Signal path clean. 17 defects elsewhere, plus 4 found by an independent review of the fixes; all fixed, each with a test; no trade book changed: - telegram_bot: one _deliver_alert for the candle scan and the level break. The row is stamped alerted_at BEFORE the send, on a one-worker alert-db pool, and un-stamped when no chat received it or the task is cancelled mid-stamp, so two alerts at one candle close count each other and no SQLite write runs on the event loop. The 5-bar cooldown counts bars of the scan's own frame (== gpu_backtest._apply_cooldown; clock time released the 22:00 UTC bar after the settlement pause) and is restored from signals.db at start-up. The lot-size line goes to the owner's own chat only (a group the owner ran /autoscan in used to receive it). /status gains a news-model line and escapes failure details. - signal_log: mark_alerted returns the stamp it wrote; unmark_alerted; last_alerted_bars (read-only). - advisory_outcome: candle continuity is judged bar by bar inside the walk; a hole after a trade's exit no longer voids it. The stored-candle replay resolves 108 of 111 logged setups instead of 99, all equal to the live resolver's R. - providers/oanda: an empty date window is accepted only when it is 5 days or shorter and no malformed candle was skipped; a longer one is retried, then refused, instead of being cached as history with a hole. - news_engine: blank RSS titles skipped; one unreadable headline no longer costs the local model its whole batch (checked on the real bundle); model health recorded; no DeepSeek audit call in a process that does not archive; event-direction cache keyed per release; peek_week_events never fetches. - llm_client: chat_json never raises and never logs the API key (requests quotes the Authorization value in InvalidHeader; error bodies are redacted). - signal_aggregator: the scan's news block is guarded; the replay path (use_news=False) assigns exactly the values it did before. - agent_panel: PANEL_PROMPT_VERSION v2.2 — same prompt text, corrected input (event timing over the cached calendar week, headlines newest first). scripts/panel_replay.py replays the logged payload per persona; scripts/label_scan_outcomes.py counts with an ISO cutoff. - test_all.py: no ALTER TABLE … DROP COLUMN (the live box has SQLite 3.34); tests that write Parquet print a notice and return without pyarrow. Verification after the last code change: suite 632 passed, 0 failed (also with both Parquet engines blocked and FB2_BACKEND=cpu, the live box's view); the five reference MD5s reproduce on both backtesters, 0 cache fallbacks; Module 37 green; static Python 3.9 / SQLite 3.34 check clean on every touched file. Evidence: backtest/research/daily_trend_campaign_2026-09-30.md, context_screens_2026-10.md, new_inputs_2026-10.md; CLAUDE.md sections 2, 4, 6, 8, 9, 10 and 11; pair_signals/xauusd.py docstring (M15 override 7). Co-Authored-By: Claude Fable 5.1 <noreply@anthropic.com> |
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Harwinder Sekhon
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6af1237c2d |
Conviction campaign 2026-09-27 (FAILED, research knob kept) + plain-words alert wording
Owner question: can score and confidence be combined into one number that is easier to understand and for the system to decide on? Research (pre-registered, nothing ships to the signal path): - signals.grading_mode: "pair" (default, the shipped two-floor rule, byte- identical: all five reference MD5s reproduce on both scripts), "min" (min(|score|, 0.6*conf)), "product" (|score|*conf/100); thresholds fixed from the control's corner points, no tuning. Helpers _final_signal_and_grade / _transitioning_boost / conviction / CONVICTION_THRESHOLDS in signal_aggregator; mirrored in K2 (GRADING_MODE_CODES, PF_conv_* packed from the live module); twin refuses other values; M15 OOS MD5 equal on both scripts for both modes. - Verdict: FAILED on M5 and M15. K-MIN moves 43-54 trades for -1.2R / -2.9R (clauses a,b,e / a,b,d); K-PROD -29R on M15 (PF 1.29, W3 DD 28.9R), neutral on M5. H1/H4 product +11.9R / +17.0R on W3 from extra low-score trades (H1 PF 1.98 -> 1.75, DD doubles): hypothesis only. - Code review (high) before the runs: 6 findings fixed, 1 recorded (engine_config_fingerprint omits the switch under "pair", so live rows keep their fingerprint). Delivery (books untouched): alerts lead with the grade and print the two raw numbers in words (main.plain_words: "Direction: strong buy · Reliability: good · timeframes agree", cut-offs = the grade table's own) on Telegram, /status, the CLI and the dashboard card (plain_words in the snapshot); "MTF" label replaced by "Other timeframes"; guides updated. Suite 566 passed. Evidence: backtest/research/conviction_campaign_2026-09-27.md Co-Authored-By: Claude Fable 5.1 <noreply@anthropic.com> |
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Harwinder Sekhon
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1e8110ea5e |
backtest: full-GPU research twin (cudaBasedBacktesting.py + cuda_signal_kernels.py); books byte-identical to gpu_backtest.py (2026-09-18)
Owner decisions: research only (live scans stay on the CPU code), gpu_backtest.py stays the base reference, every research flag supported, the one exemption from instructions item 6 recorded in backtest/instructions_for_backtest.txt. - backtest/cuda_signal_kernels.py: the CUDA decision stage. K1 = engine.py + the GPUTechnicalEngine overrides (one thread per bar), K2 = analyze_from_dataframes end to end incl. gates 6b-6i, the four setup generators and the regime filter (one thread per primary bar), K3 = position_sizing.build_features, K4 cooldown, K5 prefix median, K6 recorder bar rows. Config packer with generated #defines; leaf module; --fmad=false; Python evaluation order kept (ternary min/max, pairwise sums, Neumaier sum(), exact round(x, 2)). - backtest/cudaBasedBacktesting.py: same CLI, cache files and writers as the reference; the host turns kernel codes into the exact strings; no CPU path. - test_all.py Module 37 (16 tests): every stage pinned against the live code; suite 552 / 552 on the GPU, without CUDA and with FB2_BACKEND=cpu. - Proof: five reference MD5s, four 6-month acceptance books (M5/M15, $0.65/$0.30), M15 OOS --export-features and --record --record-bars tables, ten research-flag variants, and the owner's five-year M5 and M15 books, all byte-identical to gpu_backtest.py. Wall time 0.8-6.6 s per book against 13-353 s. - CLAUDE.md sections 1, 3, 6, 7, 9, 10, 11 and the instructions addendum: any signal change is now a parity event for the twin. Co-Authored-By: Claude Fable 5.1 <noreply@anthropic.com> |