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
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).
Finishes PENDING_STEPS Step 1 under the current trailing-exit model.
M15 window 2025-03-30->2026-05-31 ($0.30 spread): +116.6R/460 PF 1.83
vs +105.4R/424 PF 1.82 baseline, better in both halves; 2024-06->
2025-03 OOS +30.3R vs +10.6R control. Same knob on the pinned M5 book
is WORSE (+131.3R/699 vs +139.9R/547) so the override is M15-only in
the xauusd factory, per the pre-registered decision rule. M5 path
unchanged (factory override gated on primary_tf == M15).
Ported from feature/eurusd-support: PAIR_PRODUCERS registry with
make_config() factories per pair. xauusd.make_config is a pure
PlatformConfig-defaults wrapper (equality with the inline construction
is enforced by test); eurusd.make_config carries the donor branch's
regime weights and gates as a pre-realism baseline.
Adds 4 registry tests. 154/154 pass.
Harwinder Sekhon