Signal path
- A shipped setup always names a direction: grade C needs confidence
>= 45 (gate 6c grants B at >= 45) while BUY/SELL needs >= 50, so C/B
reports reached the alert gate as NEUTRAL with a full setup. The
backtester traded them (the replay never reads final_signal) while
Telegram rejected NEUTRAL first — 5/91 trades, +3.7R of +22.2R, in
the H1 12-month book. _attach_core_setup stamps the setup's direction
and repairs the pre-gate action text; no-setup reports stay NEUTRAL.
- analyze_pair fails the scan when ANY required frame is missing
("DATA UNAVAILABLE:", scan_kind='failed'); a lost confirmation frame
used to run with an unearned -15 MTF penalty.
Outcomes and labels
- advisory_outcome.resolve_locked_floor: a gap the database cannot fill
resolves at the locked trailing stop (GAP_LOCKED, result.floor) when
the stop had crossed the entry; the rebuild fires on both gap reasons
(rows 915/920: +1.14R / +0.84R floors; resolved sum -2.46R -> -0.48R).
- label_scan_outcomes: SCAN_LABEL_MAX_AGE_H = 72 h, stale rows never
anchor the shared bar stream, labeled_at bumped on re-examination,
_stream_since warns at its row cap (the Labor-Day pile would have
blinded scan_outcomes around 2026-09-14).
Providers and scheduling
- The daily settlement pause (Mon-Thu 17:00 New York) is a scheduled
closure for _has_latest_closed_bar (whole-span label walk-back) and
_is_data_fresh (closed seconds are not age); bot and dashboard skip
scans whose just-closed label sits in the pause (61 false stale rows
in three nights).
- fetch_range retries a failed page in place (three failures on one
window raise) and logs an ERROR for interior gaps of >3 unscheduled
bars.
- pd.Timestamp.utcnow() replaced in providers/base.py and engine.py;
requirements pin pandas<4, numpy<3.
- telegram_bot: boundary loops share one scan per bar with the breach
handler (_remember_scan keys on the analysed bar; breach defers 20 s
after an M15 boundary); the rotating file handler attaches in main()
only (the test suite used to write into logs/telegram.log).
- dashboard_publisher: catch_up_timeframes re-scans boundaries missed
while a cycle overran or the process was down.
Backtester and engine guards
- _replay_span returns the per-span GPU cache-miss count; run_backtest
sums, logs it (must be 0) and writes cache_fallbacks to the manifest.
- regime_weight_table raises on a partial regime_weights_override.
Verification: 519 tests; M5/M15 2-yr, M15 OOS, H1/H4 3-yr books
byte-identical before and after; live signals.db untouched (checked on
a copy). CLAUDE.md carries the dated entry and the blocked-hours union
semantics that every book was validated under.
Claude-Session: https://claude.ai/code/session_0139xz1J6YccndA2be6yFnEo
The per-TF warm-up pad before --start targeted 210 bars, so a 3-year H4
book started with 372 H4 bars and ~210 D1 bars of seeding while the
live scanner now fetches at least MIN_LIVE_BARS (1000) on every
timeframe. _history_pad_days keeps the 62-day intraday pad (already
>= 1488 bars, so M5/M15/H1 cache windows are untouched) and pads H4 by
234 and D1 by 1400 calendar days; the raw-path fetch for trade
resolution reuses the primary timeframe's own start (one cache file
per TF, as before).
Verified on the 3-year books at $0.65: M5 and M15 byte-identical
(c2722f98…, b2cfa9e2…); H1 and H4 trade-for-trade identical (253 /
+70.02R, 114 / +21.68R) — the only differences are one H4
confirmation reading 15 days into the H1 window and 1e-6…1e-9 numerics
in D1 Wilder recursions during Oct–Dec 2023, i.e. the window-start
seeding zone. Evidence: backtest/research/cycle_2026-09-10.md.
Tests: Module 21 "history pad seeds slow TFs like live". Suite 501 passed.
Claude-Session: https://claude.ai/code/session_01NQDjW8rXYrJR4JDWMWKUij
Adds an opt-in recorder to the backtester so a replay keeps the evidence each
trade setup was decided on: every indicator's vote, value, confidence, base
weight, regime multiplier, effective weight and contribution on the primary and
both confirmation timeframes, penalties, the setup and outcome, and the Forex
Factory calendar events around the trade (4 h before entry to exit, all-day rows
on the New-York date). --record-bars adds one float32 row per analyzed bar with
the same votes plus 1 h/4 h/24 h forward moves in ATRs. Output is Parquet in a
folder per run with a manifest carrying the engine/gate fingerprints, the regime
weight table in force and the book MD5.
Nothing in the signal core changes: the trade book is byte-identical with
recording on or off (control-vs-recorded MD5 equal on both 2-year runs, M5
781 / +146.07R / PF 1.52, M15 793 / +117.62R / PF 1.41 at $0.65). Module 33
adds 12 tests (498 total): snapshot reproduces the engine's composite, absence
is no vote, calendar join edges/phases/holiday, write/load round-trip,
_replay_span parity with recording on, CLI flags, import and source guards.
Also: backtest/replay_scorecard.py (first-look scorecards, calendar buckets,
in-book and per-bar what-ifs, --check invariants), scripts/ff_calendar_scraper.py
restored from git history (the only way to regenerate the gitignored calendar
file), report in backtest/research/replay_recording_2026-09-09.md.
Claude-Session: https://claude.ai/code/session_01Nc9Ninzyi18QkWezrxeBvB
Every live reader of a pip value goes through PAIR_INFO[...]["pip_value"]
(signal_aggregator, gpu_backtest, diagnose_filters) or TradeSetup.pip_value;
no code read the PlatformConfig field. The three PlatformConfig(...)
constructions that passed it (gpu_backtest x2, diagnose_filters) and the
inline construction in the factory-equivalence test drop the kwarg. Neither
config fingerprint hashes the field, so logged fingerprints are unchanged.
The removed-field test now also asserts pip_value stays gone.
Parity: 12-month M5 and H1 books regenerated byte-identical
(md5 a28fed4becd056466c26d6a947e1a0e5 / d20405ef64f069770c258bb9bed1ac90).
Suite: 461 passed, 0 failed.
Claude-Session: https://claude.ai/code/session_0156YhogLytzj9P2iH1skGbL
result._kc_squeeze / result._kc_squeeze_released were assigned by both the live
TechnicalEngine and the backtester's GPUTechnicalEngine and read by nothing:
the only four occurrences in the repo were the assignments. The squeeze state
still feeds the Keltner signal text where it is computed. Removed from both
engines in one commit (rule 4).
Parity: 12-month M5 and H1 books regenerated byte-identical
(md5 a28fed4becd056466c26d6a947e1a0e5 / d20405ef64f069770c258bb9bed1ac90).
Suite: 461 passed, 0 failed.
Claude-Session: https://claude.ai/code/session_0156YhogLytzj9P2iH1skGbL
Walk-forward "second opinion" stake multiplier (meta-labelling on 65 decision-time
features, 3yr Oanda books @ $0.65) FAILED the pre-registered rule on M5 (clean null)
and M15 (lift inside the label-shuffle null, explained by BUY-vs-SELL). Nothing that
changes numbers ships; the 12-month M5 book re-run is byte-identical to the pinned one.
Behaviour-neutral plumbing:
- position_sizing.build_features (65 features; multiplier path returns 1.0, no artifact)
- SignalReport.penalty_tags / penalty_total / momentum_fading (record-keeping)
- TradeSetup.stake_multiplier = None (reserved)
- gpu_backtest --export-features (default export stays the pinned 63 columns; extras
forced to the tail even when the first trade lacks an indicator)
Research tools (backtest/research): book_report, burst_map, burst_precursors,
open_trade_bursts, calendar_impact, burst_indicator_map, sizing_model, watch_rule_eval.
Findings recorded in backtest/research/sizing_campaign_2026-09.md: M5 stretch measures
are positive in both halves; every open-trade protection against violent bars loses on
both TFs; high-impact USD releases cause 20-31% of violent bars but trades held through
them do better; violent bars come when price is already at an extreme, not from calm.
Module 29 tests (13). Suite: 435 passed.
Claude-Session: https://claude.ai/code/session_01RWV2yLt3YXHHGVYHSQU2EE
Hard TP at N×risk beats the trail on all 2024+ windows but the grid is
monotone to 3R (trend artifact) and M15 rr20 goes negative in 2021+2023
with doubled DD — trailing exits stay. Flag is research-only; its
Module 22 tests land with the next commit (shared test_all.py).
Claude-Session: https://claude.ai/code/session_017mbXs9HRawZhD1uZ3ze7zQ
Owner decisions from the 2026-08-04 audit report:
- spread-in-exit-triggers: DECLINED (books stay comparable; ledger in
CLAUDE.md records the measured ~4-6% optimism).
- weekend clock: FIXED. The market week is Fri 17:00 -> Sun 18:00 New
York time, not Fri/Sun 22:00 UTC — during US DST the Oanda feed stops
at 21:00 UTC (measured: 159/162 summer weekends). All three weekend
implementations (providers/base, signal_aggregator, gpu_backtest
calendar filter) now share the NY-anchored rule; a new test sweeps
them hourly across both DST transitions and asserts agreement. No NTP
needed — the host clock was fine, the constant was wrong.
Ends the weekly false-"STALE DATA / feed lagging" hours (summer Fri
21-22 UTC, winter Sun 22-23 UTC).
- FB2_EMA_LO (delegated): kept as a research knob but crash-proofed —
an unparseable value degrades to the tuned default 0.5 with a warning
instead of killing every scan. Documented in CLAUDE.md.
Book gates: M15 12mo pinned book byte-identical (+78.7111R, 397
trades). M5 12mo drops exactly ONE trade (556 -> 555, +97.56 ->
+98.64R): a phantom whose signal fired on the final summer-Friday bar
(decision 21:00 UTC = NY 17:00 market close) and was "filled" at
Sunday's reopen 49 hours later, -1.08R — an entry live trading can
never take. The backtest no longer contains it; live == backtest
parity improved. M15 unaffected because hour 21 is in its blocked set.
Suite: 341/341 green.
Claude-Session: https://claude.ai/code/session_01UnZkzeFcTu9agFg8BDh2tn
2026-08-04 Fable 5 QA audit, final code batch.
- Boundary math: removed the provably-dead `remaining <= buffer` guard
from all three scheduler copies (518,400-instant frozen-clock sweep:
never fired) and documented the exact-boundary-instant semantics.
- websockets/websockets.client loggers pinned to INFO so a DEBUG run
can never write the TD key (connect URI) or Tiingo auth frame into
the 30-day rotating log. (.env also chmod 600, untracked.)
- Cooldown pass factored into _apply_cooldown (pure, testable) — the
only sequential replay rule finally has direct tests.
- New simulator behavior tests (previously ZERO coverage of the trade
resolver): same-bar SL+TP tie → SL-first, gap-through-SL fills at
the open, TIMEOUT pricing + round-trip spread charging, trailing
ratchet arms at bar close and fills next-bar-only, cooldown ordering.
- CLAUDE.md synced to verified reality: 338 tests/21 modules; three
weekend-implementation copies caveat; throttle claim corrected
(single-flight, TD-only throttle); daemon trail/cooldown parity
caveats (once-per-OBSERVED-bar, wall-clock cooldown) + OPEN_ONLY and
reconcile notes; CP-path gate semantics documented as validated
behavior; new "known open items" section for the owner-decision
findings (weekend DST constant, spread-in-trigger rule-6 item, H4
seeding divergence, FB2_EMA_LO).
Gates: suite 338/338 green; pinned M15 book and M5 HEAD baseline both
reproduced identically after the cooldown refactor.
Claude-Session: https://claude.ai/code/session_01UnZkzeFcTu9agFg8BDh2tn
2026-08-04 Fable 5 QA audit. Three batches sharing one test file, all
verified by runnable repros before fixing, all gated below.
Batch C — telegram alert delivery (verified by h4 harness):
- Failed breach rescan shrinks the cooldown to 30 s instead of
silencing the symbol for 5 min; breach during cooldown is PARKED and
fired on the first tick after expiry (was dropped forever).
- Level cache keyed symbol→TF (M5 scans no longer wipe H1/H4 swing
levels within minutes); breach labels TF-qualified.
- Markdown alert sends get a plain-text fallback (mirroring _safe_edit);
fingerprint commits only when a message actually landed.
- Per-key asyncio.Lock closes the dedup TOCTOU between auto-scan and
breach sends (forced-interleave repro produced duplicate alerts).
- _start_scheduler respawns dead per-TF loops (was all-or-nothing).
- Clean WS close now backs off (was a zero-delay reconnect hot loop);
backoff resets only after a connection that received ticks; TD
iter_ticks fires on_connect on the first RECEIVED frame (invalid key
can no longer pin the backoff at minimum).
- Scan-failure logs carry the real traceback (was "NoneType: None").
Batch E — providers (verified by h5 harness):
- fetch_range: 3 consecutive chunk ERRORS raise instead of returning
silently truncated history (verified 731-day silent gap repro; also
covers 429 storms); pagination no-progress guard; head-truncation
ERROR log.
- Single-flight per (symbol,TF): 4 concurrent scans = 1 API call (was
4); cache records requested depth so a longer-lookback call refetches.
- Multi-bar forming/future tail fully dropped (was iloc[:-1] once).
- Oanda: malformed candles skipped, never 0.0-defaulted; cleaning drops
non-positive-price rows BEFORE OHLC repair; inf returns neutralized so
one corrupt bar can no longer disarm the whole 10-sigma filter.
Batch F — backtester internals (verified by h6 harness):
- NaN bar in a trailing window exits at the last valid bar (was NaN R
poisoning every metric); static-path TIMEOUT NaN guard;
compute_metrics excludes non-finite R loudly. Zero real-data exposure
(0 NaN rows in all 10 Oanda parquets) — defensive.
- fetch_history ERROR-logs pre-2026-07-08 cache files (cleaned-bars era)
when loaded for raw-path resolution.
Gates: suite 333/333 green; pinned M15 12mo book reproduced identically
(397 trades, +78.7111R) after E and after F; M5 HEAD-config baseline
reproduced identically (556 trades, +97.5604R) after F.
Claude-Session: https://claude.ai/code/session_01UnZkzeFcTu9agFg8BDh2tn
2026-08-04 audit, Batch B. Verified first (h1 harness): the two engines
are byte-identical on every reachable input — 370-prefix flat-bar deck,
warmup band, 322 real-data M15 positions incl. all 7 zero-range bars,
zero diffs. The claimed ADX NaN desync / warmup-guard divergences are
unreachable below the shared 30-bar analyze() floor. Changes here are
therefore observability + hygiene, proven behavior-neutral by exact
reproduction of the pinned M15 12mo book (397 trades, +78.7111R,
byte-identical trade rows).
- _resolve_pos: cache-miss fallback to live-engine recompute now warns
on first miss and counts every miss (was fully silent — a run could
switch math with no trace).
- ROC/Keltner warmup guards textually aligned with the live engine so a
future period/floor change can't open a silent divergence window.
- New regression: full-sweep parity test comparing ALL indicator
signals/confidences, composite, and regimes on every prefix incl. a
flat zero-DM/zero-TR run (the old parity test skipped
ADX/MACD/ROC/Keltner/RSI entirely); plus a loud-fallback test.
Suite: 314 green. Book gate: oanda_m15_12mo_030 reproduced identically.
Claude-Session: https://claude.ai/code/session_01UnZkzeFcTu9agFg8BDh2tn
Gate 6h (big-candle entry gate): blocks all XAU entries (core, XAU_PB,
XAU_CP) when the primary TF's last 24h contains a bar with range >= K x
prior-bar ATR. Ships default-OFF: validation rejected every threshold
(K 3-6 on M5/M15 12mo) — removed trades were net-POSITIVE at every cell;
M5 quiet-window trades are the only losing bucket. Config knobs
big_candle_atr_multiple/lookback_hours, --big-candle backtest flag,
Module 17 tests.
M5 relaxation SHIPPED (validated 2026-07-30, Oanda bars, $0.30 spread):
m5_min_abs_score 30->25, m5_min_confirmation_score 10->5, hour-21 UTC
unblocked M5-only. Beats control in ALL 6 calendar years of the 5yr
replay (+230.9R/2319 PF 1.26 DD 21.3 vs +168.0R/2048 PF 1.21 DD 27.0),
12mo +107.4R PF 1.36 vs +84.6R PF 1.33, OOS +26.1R vs +17.2R, $0.70
spread +86.9R vs +66.4R. M15: every relaxation retested negative —
config unchanged. Declined-but-open: M5 hour-22 block, M15 hour-16
unblock (both fail 5yr/OOS). Evidence in the factory docstring.
Tooling: generic --set PATH=JSON research override in gpu_backtest
(typo-proof, logged); diagnose_filters filter_tags refreshed for gates
6d-6i with a staleness-guard test (Module 18); research scripts
hour_analysis/burst_profile/book_diff. Suite: 268 tests.
Claude-Session: https://claude.ai/code/session_014jqHpmNYmwYMowF6bPZyeD
config.json.example: data_providers.active = "oanda" (credentials stay
in env/.env or the top-level oanda block; TD and Tiingo remain
registered fallbacks). Backtest parquet cache is now keyed per provider
— Oanda and TD bars diverge (2026-07-24 study), so a feed switch must
never serve another feed's cached bars; twelve_data keeps the legacy
un-prefixed filename so pinned-book caches stay valid. 254 tests green;
live smoke-tested against the practice API (66 contract checks: all
scanned TFs, boundary/freshness guarantees, real spread $0.71,
fetch_range pagination, typed error paths, CLI + backtest end-to-end).
Claude-Session: https://claude.ai/code/session_01Mc7XKYyPySVXiUpcN82QEK
One class per provider (TwelveData, Oanda, Tiingo), all subclassing
BaseDataProvider which owns cache, validation/cleaning, freshness +
boundary guarantees, fetch_range pagination, and streaming stubs —
subclasses implement only _fetch_raw. config.json data_providers.active
selects the live feed; data_provider.py / oanda_provider.py stay as
back-compat shims. Module 16 provider-abstraction tests (253 total green).
Claude-Session: https://claude.ai/code/session_01Mc7XKYyPySVXiUpcN82QEK
Five-agent audit of the signal path; all fixes are delivery/measurement
side. Regression-proven behavior-neutral on validated signals: the 5yr
M15 replay reproduces the pinned book exactly (+210.65R PF 1.35
WR 57.8% MaxDD 33.90R). Tests 215 -> 221.
- TradeSetup carries trail_arm_r/trail_dist_r stamped from the producing
config; Telegram trail plan reads them (was showing default 0.6/0.75
instead of the validated M15 arm 0.70 / M5 dist 0.85)
- Alert dedup: fingerprint = (signal, quality, direction); entry movement
compared against last-ALERTED entry/risk (old SL-dist bucket churned on
ATR drift -> near-duplicate alerts every candle)
- Fresh fetches enforce the closed-bar boundary check with one 3s grace
retry, then warn (feed lag no longer silently analyzes the prior bar)
- Backtest max DD includes the zero baseline (opening losing streaks
were undercounted; pinned M15 DD unchanged)
- Replay loads the regime-filter TF when the H4-ADX gate is on (was a
silent no-op for M5/M15 primaries)
- clear_cache under _cache_lock; dead ROC zero-cross branches removed
from both engines (provably unreachable); RSS dates via
parsedate_to_datetime (named zones no longer stamped UTC); event risk
grades from the soonest event; .env inline comments stripped;
auto-scan skips NEUTRAL like the breach path; report_to_dict honors
the weight-0 skip rule and emits strategy/trail params; PB funnel
counts spread_gate/accepted; session-filter fail-open paths log loudly
- Docs corrected to match validated code (H&S neckline = lower peak,
exhaustion anchors farthest tracked swing) with re-validation warnings
Claude-Session: https://claude.ai/code/session_01R5soRUeRBi8kHMB99csrJy
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.
Claude-Session: https://claude.ai/code/session_01VPNF37MP9Kuv62B1VBrZ1b
Resolves the Twelve Data API key through app_config.provider_api_key()
(env → config.json → no default) instead of a hardcoded field on
PlatformConfig. Adds data_provider.PROVIDER_REGISTRY + make_data_provider()
so signal_aggregator and the backtester build the active provider through
one seam; telegram_bot.py gets the same one-line WS-key fix now (per Task 4's
already-planned edit for that line) so the suite doesn't crash on import
between this commit and Task 4's full wiring pass.
Claude-Session: https://claude.ai/code/session_01VPNF37MP9Kuv62B1VBrZ1b
Third entry archetype: completion of classical chart patterns (double
bottom/top, H&S top / inverse H&S, bull/bear flag) — the tight canon
with the strongest documented stats. New chart_patterns.py detector
module (pure functions, ATR-unit geometry, closed-bar slices only,
first-close-beyond trigger discipline so a breakout fires exactly
once and never repaints).
Pipeline step 10 in analyze_from_dataframes: fills only empty setup
slots, allows weak-composite F grades (normal at reversal completion)
but inherits session/day blocks, mirrors MTF-opposition + SELL
vol/hour + M5 protections. Geometry: SL = pattern anchor -/+ 0.5 ATR
(min $8), TP1 = measured move, $9 spread gate, trailing exit does the
real work. Strategy tag XAU_CP.
cp_enabled defaults to False everywhere — per-TF adoption happens in
pair_signals/xauusd.py only after the standard validation rule passes.
Backtester: --cp / --cp-patterns flags to test the candidate, XAU_CP
tag recognition.
Suite: 183/183 (21 new tests: detectors, trigger discipline,
invalidation, gates, pipeline, default-off safety).
Claude-Session: https://claude.ai/code/session_015kby7M9JwpYi8NQT2yoxAi
Fixes all high+medium findings from the 2026-07-16 full-codebase audit.
High:
- data_provider: cache now rejects snapshots missing the latest closed
bar (_has_latest_closed_bar, weekend-exempt). The wall-clock TTL served
mid-candle snapshots at the next boundary, so live M15/H1 scans ran one
full bar behind and the bar-close session check evaluated the wrong hour.
- signal_aggregator: gate 6e (SELL quality) only acts on actionable
grades. It was re-grading session-blocked F reports to D, which
re-opened the M5 pullback path (entry check: quality != "F") on
session-blocked bars.
- gpu_backtest: port the live EMA-ribbon compression/expansion logic
(+10 conf on expansion) into the GPU engine. Its absence diverged
composite score/conf on 7-9% of bars and flipped signals on ~0.2%.
Medium:
- gpu_backtest: Bollinger precompute uses the exact pandas rolling calls
(cumsum E[x2]-E[x]2 lost precision at gold price levels; bb_position
error up to 7.6e-3 crossed signal thresholds, worst during squeezes).
- gpu_backtest: --confirm-tfs defaults to the pair factory's live
confirmation map instead of a hardcoded 1h,4h.
- gpu_backtest: entries re-anchor to the first RAW bar after the signal
bar, so >10-sigma spike bars dropped by cleaning are no longer skipped
at entry (favorable bias).
- gpu_backtest: per-TF warmup pad — D1 confirms get >=210 bars at window
start (62-day pad gave ~61 bars: no EMA200, unlike live).
- data_provider: thread-safety locks for cache + throttle (shared
provider across the bot's 4-thread pool); outlier filter keeps the
snap-back bar after a spike instead of punching a two-bar hole.
- telegram_bot: alert fingerprint gains a risk-relative entry bucket
(materially-moved setups re-alert) and is committed only after a
successful send (failed sends no longer consume the alert for 1h).
- engine: disabled_indicators=["macd"] now removes the MACD pillar from
scoring (histogram still computed for divergence).
Verification: test_all.py 187/187 (new Module 11: 8 audit-fix
regressions incl. a live-vs-GPU parity sweep with ribbon coverage);
real-data parity sweep over 813 slices of 14mo XAU M15: zero divergence
(pre-fix: 7-9% of bars diverged); both original bug repros no longer
reproduce; cached end-to-end backtest run passes with the live confirm
map. Books shift slightly vs pre-fix runs — comparability note added to
CLAUDE.md; pinned tuned numbers need re-validation under the fixed
backtester.
Fix 1 — mixed-"trending" regime (ADX strong, EMAs unaligned) was
hard-coded bullish in 5 sites: RSI reinterpretation used the uptrend
playbook (RSI 38-55 -> STRONG_BUY conf 75), BUY-only confidence
bonuses, BUY-only extension penalties, no counter-trend penalty.
Now: extremes-only RSI (as transitioning), no directional bonuses,
symmetric extension penalties. 6yr validation: H1 +67.2->+61.9R
(mixed skew 16B/11S -> 4B/7S), H4 +31.6->+27.5R (the 4 bias BUYs),
M15 +152.6->+154.7R, M5 +207.1->+206.1R with maxDD 28.7->24.3R.
The ~8R aggregate give-back is bull-market subsidy from the bug.
Fix 2 — live session filter now applies the EXACT replay-loop
predicate (session window + blocked hours on the signal bar's CLOSE
time, from the bar timestamp not wall clock). Replaces a wall-clock
filter gated on a "XAU STRATEGY" marker that no code writes, which
made live diverge from every validated book.
Fix 3 — delete dead _check_xau_oversold_bounce and
_generate_xau_trade_setup (unreachable; the latter hardcoded BUY and
skipped the spread/RR gates).
Backtester: parallel bar replay via forked workers (--workers,
default auto = cores-2 capped 12). Per-bar evaluation is pure; the
entry cooldown is applied in an ordered phase-2 pass. Proven
byte-identical to sequential on the same window; ~300 -> 1030-1680
bars/s (6yr M5: ~26min -> 5-8min). --workers 1 = sequential path.
Tests: 179 passed (new mixed-regime RSI regression test).
- EURUSD aliases in PAIR_ALIASES
- main() builds PlatformConfig via pair_signals.PAIR_PRODUCERS factories
(per-pair regime weights/gates/sessions); unregistered pairs keep the
inline construction. XAU factory is asdict-identical to inline
(enforced by test) so XAU runs are unchanged.
- --spread default now resolves from PAIR_INFO default_spread
(XAU $0.30, EUR 0.0001) instead of a hardcoded gold value
- EUR strategy tag: renamed EUR_PB→EUR, detected in both bullish and
bearish reasons[0] (SELL setups mark the bearish list)
Smoke-validated: 30-day EUR M5 run produces EUR-tagged trades with
1-pip round-trip cost charged.
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.
Gates 5-6 in the M5 filter: block 'high' vol regime entries (chop
transition — 61% WR, negative total while low/normal/extreme all
positive) and block SELLs with RSI<25 (dip already extended, mean-
reverts before target). 365d: 419→311 trades, +41→+48.4R, DD 11.2→8.0R.
Replace the fixed RR-0.5 take-profit with a trailing stop: arm at
+0.6R favorable excursion, trail 0.75R behind best price, stop levels
update at bar close (conservative). The RR-0.5 target was the binding
constraint — winners kept running after TP. Whole trail parameter grid
(arm 0.4-1.2 × dist 0.5-1.25) lands +90-103R, a plateau not a spike;
also +91.7R on the pre-gate 419-trade population. TP1 stays advisory;
Telegram alerts include the arm price and trail distance. max_hold
200→300 bars (trailing exits need room; +10R).
12mo M5, same 311 trades: +105.0R total, PF 2.27, DD 7.9R, 61% WR,
train/val +54.6/+50.4, every quarter positive.
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).
Live pipeline:
- Drop still-forming candle before analysis (signals no longer repaint)
- Direction-aware MTF agreement + opposition gate (no trade against 2-of-3 TF consensus)
- SELL volatility gate: block shorts in low/normal vol regimes (config sell_vol_regimes)
- Divergence: 40-bar lookback, price/indicator swings must align within ±2 bars
(fired on 0.5% of trades before, 29% after), trending weight 2.0→1.0
- RSI regime_aware by default; transitioning regime only signals at extremes
- ADX ±DM tie no longer nudges bearish; TP2 clamped beyond TP1
Backtester realism:
- Charge $0.30 round-trip spread (--spread), gap-through SL/TP fills at bar open
- Resolve trades on RAW price path (cache stores raw bars, cleaning runs on load)
- Weekend/session filters use bar-close decision time to match live wall clock
Validated per-step on M15 2025-03-30→2026-05-31 under identical pricing:
+46.9R → +66.8R, win rate 69.9% → 73.0%, SELL side -2.3R → +9.6R.
Tested-and-reverted: ROC weight removal (-13R), BB fade suppression (-11.6R),
candlestick de-weight (-2R) — composite thresholds are co-tuned with weight mass.
Harwinder Sekhon