Across 2024 trend / 2023 chop / 2026 hostile windows, distance from the
H1 EMA200 was empirically the most discriminative variable. Sweet spot
0.5-1.5% from EMA200; closer = false-breakout chop, farther = chase.
Outside the band, confidence is multiplied by 0.55 so the trade falls
below the B-grade threshold and is rejected.
Cumulative return across the 3 windows: +13.88% baseline -> +35.50%.
Win rate improved in every regime; 2023 chop turned positive (-2.56% to
+14.94%).
Also extends the trade journal with per-timeframe MTF scores, RSI at
entry, and EMA200 distance for future filter mining; surfaces ema_trend
in key_levels so the gate can read it.
Session filter restricts trades to a UTC hour window (default 07-16,
London + NY) — opt-in via --session-filter, with --session-start /
--session-end overrides. Wired into both the backtester (cheap hour
check next to the regime gate) and live mode (downgrades signal to
NEUTRAL/F when current UTC hour is outside the window).
Auto-toggle (--auto-session-filter) tracks rolling mean pnl_pct over
the last N closed trades; when it falls below threshold, the session
filter activates, releasing once expectancy recovers. Default lookback
10 trades, threshold -0.3%.
Trade dataclass extended with diagnostic fields captured at entry:
entry_hour, entry_dow, ADX, ATR%, market_regime, volatility_regime,
mtf_agreement. These let --journal-csv exports surface loss-pattern
clusters when a window underperforms.
Validated on 2024 trend / 2023 chop / 2026 recent windows. Auto-toggle
preserves ~50% of trend edge while still cutting ~25% of recent-regime
losses — pure regime filter is still best on cumulative, so both
session flags ship default-off.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
Framework:
- TechnicalConfig.disabled_indicators skips named indicators in engine.analyze
- Optimizer supports disable_indicator override for parallel ablation sweeps
- main.py --ablate runs leave-one-out across all 10 directional indicators
Cleanup applied (validated across 2024 trend / 2023 chop / 2026 recent):
- Drop pivot by default (cumulative +9.5% to disable)
- Drop candlestick by default (+3.4% cumulative)
- Regime-gate ichimoku: 1.3x in trending, 0.2x in ranging (was a chop villain)
- Trim RSI weight 1.0 -> 0.3 (cumulative noise across regimes)
Result: +10.60% on 2024 trend (+33.24% -> +43.84%, Sharpe 2.17 -> 2.77),
+15.71% on 2023 chop (-18.27% -> -2.56%). Recent regime still adverse.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
- Strip multi-pair plumbing; drop synthetic-data fallback
- Add BacktestConfig + walk-forward replay through the live signal pipeline
- Add metrics module (PF, Sharpe, Sortino, max DD, trade journal)
- Add parallel grid optimizer with disk parquet cache
- Add H4 ADX regime gate (--regime-filter, --regime-min-adx) — cuts chop
losses ~84% in 2023 H1 while preserving trend edge
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
Harwinder