Owner-locked /news replies with the existing get_pair_sentiment() net
score (XAU mean - USD mean, -1..+1) and its label; a caveat line marks
the no-headlines case so a feed outage can't read as neutral. Fetch runs
in the shared executor with a placeholder-then-edit reply. Display-only:
news still never gates signals. Registered in handler block, command
menu, help text, docstring, and user guide; 3 new builder tests (299).
Claude-Session: https://claude.ai/code/session_017975c1TufZ3xRYAq8iWTCS
- dashboard_publisher.py: standalone candle-close daemon that atomically
writes snapshot.json/news.json/dashboard.html to an Apache-served dir
(DASHBOARD_OUT_DIR). Fully independent of telegram_bot/oanda_daemon —
local confirmation map + boundary math, no imports either way, no new
deps, no open port. Due-TF classification from the RAW wake time.
- static/dashboard.html: self-contained dark page — hero rail, four TF
cards (score bar, 3x3 indicator grid, MTF, setup, reasons), DeepSeek
market context, week economic calendar, scored newswire. Clock offset
from the HTTP Date header (publish-time epoch is stale between closes).
- news_engine.get_week_events(): additive read-only accessor over the
cached FF week; no signal path calls it.
- deploy/: systemd unit + live-server (LAMP/SELinux) checklist.
- test_all.py: Module 20 (9 tests) + get_week_events test; 296 green.
Claude-Session: https://claude.ai/code/session_01Wc9ZoqKLYBT2QJcpRWKoGm
Added: backtest/research/commit_ladder.py (recreates historical configs
via --set on the fixed harness; 2026-08-03 campaign confirmed HEAD is
the best config on all timeframes). Results stay local like all pinned
trade books.
Claude-Session: https://claude.ai/code/session_01Nsd8HcrV67GbCZXxZEn1Ma
Three display/warning-only upgrades to the news engine, all behind the
existing keyword path as fallback — signals are never gated on LLM
output (event_risk_caps_signals / sentiment_affects_signals stay False
per the 2026-07 audit; backtester use_news=False untouched):
- Headline sentiment: one batched call per 600s cache window (capped at
25 new headlines, sha1-cached so repeats are never re-sent) overrides
the keyword scores per currency with the gold-inverse doctrine encoded
in the prompt.
- Release surprises: get_event_risk_level's description now says which
way the print pulls GOLD ("— gold bearish: strong jobs lift yields"),
fixing the documented numeric-only gap; risk level and windows
unchanged.
- Market summary: 1-2 sentence macro blurb on SignalReport.news_summary,
rendered in Telegram alerts (📰) and the CLI (🧠).
New llm_client.py: requests-only OpenAI-compatible client (no SDK), one
attempt per call, UTC-day request cap, singleton so the cap survives
per-scan NewsEngine reconstruction. Config: deepseek block in
config.json + DEEPSEEK_API_KEY env; absent key = fully inert.
Live-measured API behavior baked in: V4-Flash is a hybrid thinking model
— requests send thinking:disabled (reasoning otherwise blew the timeout
and could exhaust max_tokens before the answer); prompts are static
module constants so DeepSeek's prefix cache prices repeat calls at the
cache-hit rate; scores use compact [s, xau] pairs; timeout 12s.
Tests 273 → 286 (new Module 19 + deepseek config tests).
Claude-Session: https://claude.ai/code/session_01Nsd8HcrV67GbCZXxZEn1Ma
The monitor has been dead since the Oanda feed switch (Oanda's provider
does not stream). New config.json scalar data_providers.streaming selects
a tick-stream provider independent of the candle feed; telegram_bot
resolves it via _get_streaming_dp() (separate instance, candle cache
stays on the active provider) and falls back to the active provider when
unset — behavior is byte-identical to before when the key is absent.
TiingoDataProvider grows the two sanctioned streaming overrides:
supports_streaming=True and iter_ticks() on wss://api.tiingo.com/fx
(mid price only — the no-spread rule extends to the stream). Two
deliberate divergences from the TD reference implementation, both
because Tiingo authenticates inside the socket: server "E" messages
raise TiingoDataError (a swallowed auth error would end the generator
cleanly and reconnect-hammer with zero backoff), and on_connect fires on
the first received message rather than after the subscribe send. Field
order of quote frames was live-verified: ask is data[7], not data[6] as
the docs table suggests (data[6] is askSize).
make_data_provider(config, name=None) now takes an explicit provider
name; keyless streaming providers disable the monitor with one warning
instead of a traceback-per-minute loop.
Tests 266 → 273 (WS parser, ticker round-trip, streaming config scalar,
explicit-name dispatch, streaming-dp resolution, monitor auto-disable).
Claude-Session: https://claude.ai/code/session_01Nsd8HcrV67GbCZXxZEn1Ma
- Delete back-compat shims data_provider.py / oanda_provider.py;
test_all.py now imports providers.* directly (ForexDataProvider name
retired; the two shim-only tests removed, 268 -> 266 tests)
- Delete backtest/research/calendar_store.py (no importer, no entry
point); config.py audit comment reworded
- Delete executed plan doc (2026-07-21 centralized-config) and the two
unbuildable guide PDFs; HTML guides remain the source of truth
- OANDA_MIGRATION_ROADMAP.md status header corrected: phases 1-2
shipped 2026-07-28, feed is live on Oanda; phases 3-6 still unbuilt
- Branches deleted locally + on both remotes: oanda_demo (merged),
web-dashboard, eurusd-modular, reversal-exit-alert (owner-approved
permanent deletion); July stash dropped
Claude-Session: https://claude.ai/code/session_019zR58p8ACW1oJ5QXVUZ5es
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
Scripts + summary CSVs for the 2026-07-24 studies (real XAU spread ~$0.65
tradable hours; Oanda vs TD bars diverge ~11% of ATR with 10% direction
flips). Large raw data files (parquet, per-boundary samples) gitignored.
Claude-Session: https://claude.ai/code/session_01Mc7XKYyPySVXiUpcN82QEK
Approved 2026-07-24: 6-phase plan for fully switching the signal feed
from Twelve Data to Oanda v20 (inert plumbing -> backtester agnosticism
-> pricing-stream monitor -> shadow parity -> book re-validation with
owner cost gates -> reversible cutover). TD remains a permanent
fallback. Grounded in the 2026-07-24 divergence study (10% bar-direction
flips, 11%-of-ATR noise, real Oanda spread ~$0.72 vs assumed $0.30).
Claude-Session: https://claude.ai/code/session_01YNvxXtgz62F7kTKZZsAAAE
New independent trading daemon (oanda_daemon.py) that places orders on
an Oanda v20 practice account instead of sending Telegram alerts.
Oanda-only market data (oanda_provider.py, mid candles + real bid/ask
spread) through the unchanged signal pipeline; order execution and
trade management via oanda_executor.py (raw requests, no new deps).
Book parity with the backtester: no broker-side TP (exits = SL/TRAIL/
TIMEOUT only), bar-close-only trail ratchet with each closed bar
processed exactly once, 5-bar per-TF entry cooldown, structural SL
from the setup. Accepted divergence: one position total (skipped
signals logged for book reconciliation).
Safety/ops: fail-fast boot on rejected credentials (transient outages
continue), market orders never retried (double-fill risk), entry lock
against aligned-boundary races, restart recovery + adoption via
oanda_state.json, hourly heartbeat, asyncio exception handler, every
failure path logged. Prices formatted at instrument precision.
Config: env OANDA_* -> config.json "oanda" section (validated in
app_config). Tests: Module 15 (30 tests), suite 240 green.
Claude-Session: https://claude.ai/code/session_01VUnCqjWBuvKRSjLwHeB9BJ
format_signal_message restyled (display-only, zero signal-logic impact):
verdict header first (signal - pair - TF - quality), trade setup moved
above the detail, per-indicator breakdown condensed to one arrow line
(_indicator_summary), heavy dividers dropped. New TP 100p line in every
setup block: entry +/- 100 pips ($10.00 on XAU) with its R-multiple vs
the stop (_INFO_TP_PIPS, formatter-only - not stamped on TradeSetup,
not in CLI/JSON/backtester). Trailing-plan logic unchanged (stamped
per-TF params, pullback fallback). Removed dead _indicator_line and
_SIGNAL_TAG. Tests 210 -> 212 (100p TP math BUY/SELL/no-setup, one-line
indicator summary).
Claude-Session: https://claude.ai/code/session_01BoZKi67Ct6QTeiFJmybXSw
Tiingo's free /tiingo/fx/top publishes only a two-tier indicative
spread for gold ($0.10 liquid hours / $0.70 rollover+news; verified on
273 production samples + live probes) — mid ± a posted increment, not
executable depth, so it can never validate the $0.30 backtest cost
assumption. Removed one day after shipping: tiingo_provider.py, the
sampler/quote plumbing in telegram_bot.py, the channel_spread_detail
config knob and tiingo_api_key resolver, and Module 14's Tiingo tests
(221 -> 210). CLAUDE.md documents the verdict: do not re-add a spread
display from Tiingo's free FX feed.
Claude-Session: https://claude.ai/code/session_01BoZKi67Ct6QTeiFJmybXSw
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
Same-day sibling of the M15 campaign, opposite finding: on M5 the arm
point barely matters — winners need a looser leash. 5yr grid plateau
arm 0.5-0.7 x dist 0.85-1.0; shipped the OOS-preferred edge 0.60/0.85:
+231.2R PF 1.30 vs +218.0R PF 1.29 baseline, both halves better, DD
flat (19.2 vs 19.1), OOS +14.5R vs +11.1R. dist 1.0 rejected at the
OOS gate despite best in-sample total. XAU_PB pb_trail unaffected.
Factory replay reproduces the grid cell; 201/201 tests.
Claude-Session: https://claude.ai/code/session_01VPNF37MP9Kuv62B1VBrZ1b
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
- Delete test_ws_dual.py (standalone probe, unused) and a stale tracked log
- config.py: drop MarketSession enum, is_jpy_pair, candle_buffer_seconds,
and the never-read legacy SignalConfig/XauStrategyConfig fields
- data_provider.py: drop uncalled get_latest_price/get_spread_estimate
- Remove unused imports (engine, telegram_bot, main, news_engine)
- test_all.py: drop/trim the corresponding defaults assertions (199 tests)
- CLAUDE.md updated to match
Zero behavior change: no production code read any removed field
(verified reference-by-reference); suite green at 199/199.
Claude-Session: https://claude.ai/code/session_01VPNF37MP9Kuv62B1VBrZ1b
Documents the app_config.py / config.json overlay shipped in Tasks 1-4:
repo-map rows for app_config.py and config.json.example, env-var table
precedence (env -> config.json -> none, hardcoded fallbacks removed
2026-07-21), PlatformConfig/pair_signals overlay call order, and the
real 199-tests/13-modules suite count. Also fixes a stale SCAN_PAIRS
comment in telegram_bot.py that still named PlatformConfig.scan_pairs
as the deployment switch instead of config.json's scanning.pairs.
Claude-Session: https://claude.ai/code/session_01VPNF37MP9Kuv62B1VBrZ1b
- Credentials, alert quality, scan pairs/timeframes, log level and
candle-loop intervals now resolve via app_config (env -> config.json
-> code default) instead of hardcoded fallbacks.
- _get_shared_dp() uses make_data_provider() for provider-registry
dispatch.
- main() refuses to start without a token/chat_id, raising SystemExit
with an actionable message instead of a bare sys.exit string.
- test_all.py Module 13: two new tests covering credential/quality/
loop wiring via a reload, and the startup guard.
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
Implements Task 2: apply_pair_overrides in xauusd.make_config before
the validated per-TF deltas, so e.g. M5 hour-9 appends on top of the
JSON base. Updated Module 9 equivalence test and added three parity pins.
Claude-Session: https://claude.ai/code/session_01VPNF37MP9Kuv62B1VBrZ1b
Add NewsConfig.sentiment_affects_signals (default False), gating the +5
aligned-sentiment confidence bonus and the 10-pt news_conflict penalty.
With event_risk_caps_signals already False, live decisions are now pure
technical, matching the backtester (use_news=False). Warnings and the
sentiment display are unchanged. Adds a gating regression test.
Claude-Session: https://claude.ai/code/session_01FMaaPdrrrQuh1VvGQH1icN
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.
Claude-Session: https://claude.ai/code/session_015kby7M9JwpYi8NQT2yoxAi
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.
Unlike USAGE.md (a USD/JPY-era fossil), this doc was structurally sound:
right pair, real architecture, correct composite formula, and 8 of its 9
regime-weight cells match engine.py. It is removed because both of its
sections now have live successors, and because the numbers it does state
are wrong in ways that mislead:
- Section 1 (trader-facing) → docs/user_guide.html + beginner_guide.html,
which are newer and cover the trailing-stop exit model this doc never
mentions.
- Section 2 (developer reference) → CLAUDE.md.
Stale/incorrect content it carried: the entire quality-grade table was
wrong (claimed A+ 45/70, A 30/60, B 20/50, C 12/40, D 8+; the code grades
40/65, 33/55, 28/50, 25/45, 15), Divergence's trending weight was listed
2.0 vs 1.0 in code, and it predates the 2026-07 work entirely — zero
mentions of XAU_PB or trailing exits (the actual default exit model), and
near-zero coverage of the EUR/USD port.
CLAUDE.md's header now points at docs/ as the human-facing docs instead
of disclaiming this file.
USAGE.md documented a different product: USD/JPY (unsupported — the
code is XAU/USD + EUR/USD), 16 main.py flags that don't exist
(--backtest, --optimize, --auto-session-filter, …; main.py has five),
and backtest.py/metrics.py, which aren't in the repo. Two claims were
actively misleading: it called the session filter "default off" (it is
True by default, 03:00-23:00 not 07-16) and gave regime-min-adx as 30
(real default 25). CLAUDE.md now covers the CLI, bot and backtester
correctly, so this is a delete rather than a rewrite.
PULLBACK_ENTRY_PLAN.txt was a pre-implementation draft whose spec no
longer matches what shipped — it specifies a 0.5-2.5 ATR retrace window
and a detector in engine.py, while XAU_PB ships 0.8-6.0 (the drafted
window rejected 81% of valid pullbacks) with the detector in
signal_aggregator.py so live and backtest share one code path. Its
validated outcome (+38.3R / 254 trades / 12mo M5) and every shipped
gate are recorded in CLAUDE.md and the config docstrings.
Also drops the now-dangling references to both files from CLAUDE.md
and the config.py XAU_PB comment.
Replaces the summary-level doc with a full spec derived from a read of
every core module, so contributors (and low-context models) don't have
to infer behavior or rediscover tuned values:
- repo map with line counts; flags DOCUMENTATION.md/USAGE.md as stale
- every config knob with its real default and the backtest evidence
behind it; marks the legacy/unused fields (SignalConfig.weights,
min_confidence, cooldown_bars, XAU h4/h1 gates) so nothing new is
built on dead knobs
- exact indicator logic for all 9 scored indicators + ATR context,
regime classification rules, regime-aware RSI zone tables, and the
regime-multiplier table copied from _compute_composite (the old
table did not match the code)
- aggregator pipeline in source order: MTF agreement, the 12 penalties
and the diminishing cap, exhaustion block, signal/grade thresholds,
and gates 6b-6i with exact numbers
- all three trade-setup generators with SL/TP geometry, spread gates,
and the trailing-exit model
- bot/CLI/news/data-provider/backtester mechanics incl. realism model
(raw-path resolution, next-open entry, SL-first ties, parallel replay)
- "Rules for making changes": validation acceptance rule, pair
isolation, live==backtest parity, ROC's load-bearing weight
Also corrects details the old doc got wrong: test count is 179 (not
~176), EUR ships off by default, backtest/*.csv are gitignored local
artifacts rather than test-enforced pins.
Two printable guides in docs/ (HTML source + weasyprint-rendered A4
PDFs): a trader-facing user guide (signal anatomy, trail management,
M5/M15/H1 comparison from the 12mo books, expectations, commands) and
a plain-language beginner edition (glossary, worked sizing example,
step-by-step trailing-stop walkthrough, H1-first guidance).
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).
M15 mixed-"trending" regime block (ADX strong, EMAs unaligned =
momentum without direction): -6.8R/24 trades on 12mo, negative both
halves; blocking scores +65.7R/499 PF 1.38 DD 10.4R vs +59.0R/521
PF 1.32 DD 12.6R, better both halves, OOS 2024-06->2025-03 neutral
(-1.4R = the 4 such trades there). M5 never trades this regime.
New XauStrategyConfig.blocked_regimes / sell_blocked_regimes knobs
(default empty) + aggregator gate 6g2; M15 factory opts in.
M5 hour-9 UTC block (post-London-open whipsaw): -28.9R/143 over the
6-year book, negative 5/7 calendar years. Full-history replay with
block: +207.1R vs +178.3R, max DD 28.7R vs 35.5R, 2023 -13.0R ->
breakeven; tuned 12mo book unchanged (139.0 vs 139.3). Hour 9 is
positive on M15 (+1.7R 6yr, +8.6R OOS) so the block is factory
M5-only.
Rejected after validation (documented in xauusd.py + session memory):
transitioning-SELL block (bull-market artifact, +5.7R in 2024 OOS),
M15 trending_down block (M5 cross-TF contradiction), losing-streak
circuit breakers, 30d efficiency-ratio trend gate, and all entry-level
indicator filters (winners == losers at entry on every feature).
Full-history context (Twelve Data 5min starts 2020-03-16): M5 6.3yr
+207R PF ~1.3 post-fix with losing year 2021; M15 +152.6R PF 1.19
DD 49.7R — edge is regime-dependent, chop years are structural.
Tests: 178 passed (new gate test + factory-equivalence updates).
Harwinder Sekhon
harry