Improvements from a live-verified audit of the news/calendar pipeline:
- Currency tagging: keyword matching now uses letter-boundary regexes
and drops ambiguous "us "/"eu "/"uk " tokens — "versus" no longer
tags headlines as USD (confirmed live false positive polluting the
XAU/USD sentiment average).
- Fetch caching: calendar events and headlines are cached class-level
(10 min TTL, 60s retry after empty/failed fetch, lock-guarded for
concurrent scans). Stops per-scan refetching that was tripping the
Forex Factory rate limit; TTL stays under the 30-min pre-event
buffer so the danger window can't go stale.
- Surprise detection: EconomicEvent.surprise is computed from parsed
actual vs forecast (handles %, K/M/B/T suffixes, negatives). A
surprise print widens the post-release caution window to 45 min;
inline releases keep the original 15 min.
- Gold-aware sentiment: headlines are scored per currency, with
monetary-policy keywords (hawkish/rate hike/tightening vs dovish/
rate cut/easing/stimulus) inverted for XAU — "hawkish Fed" headlines
scored +1.0 for gold before, -1.0 now (verified on live feed).
- New sentiment sources: Google News gold-focused query and CNBC
Economy RSS (verified live; 40 → 74 unique headlines). Added
cross-feed title dedup so syndicated stories count once.
- events_today now buckets by UTC date (feed timestamps carry US-
Eastern offsets); --json output includes news_description.
- Removed dead NewsConfig.min_impact and unused HIGH_IMPACT_EVENTS.
Tests: 142 passed (7 new covering boundary matching, surprise
classification, post-event windows, cache reuse, gold inversion).
Remove backtest.py, backtest_gpu.py, metrics.py, local CSV data,
Dukascopy loader, and all backtest CLI modes from main.py. Rebalance
engine weights: leading indicators (divergence, RSI, stochastic, BB)
now carry 66% of signal weight vs 34% for lagging (EMA, MACD). Add
ws_twelvedata.py for live tick streaming. Drop pyarrow and tqdm deps.
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.
Restructure print_signal_report so decision (signal · grade · score ·
confidence · MTF) sits at the top, followed by trade setup, context line,
MTF breakdown, top supporting/opposing reasons in two columns, warnings,
and an optional detail block under --detail. Adds _compact_reason helper
that strips known indicator name prefixes via _INDICATOR_PREFIXES so
reason lines stay short.
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.
Harwinder Sekhon
harry