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