# Signal-log audit → prediction-quality campaign — 2026-09-03

**Source evidence:** `logs/signals.db` 2026-08-13 → 2026-09-03 (14,683 rows, candle
snapshots from 08-18), replayed with the repo's own advisory outcome model
(`analyze_signal_log.py --stored-candles`; the replay reproduces
`advisory_outcome.py` to 5e-17 on the 49 panel-seeded rows), cross-checked
against the pinned Oanda books (`backtest/oanda_*_065*.csv`).

## Live-log findings that motivated the campaign

| View (3 weeks, $0.65 rt) | n | WR | R | PF |
|---|---|---|---|---|
| every unique setup event | 144 | 67% | +37.8 | 1.93 |
| opportunities (first per tf+direction, 60 min) | 66 | 67% | +18.3 | 1.92 |
| one-position-per-TF (5-bar cooldown) | 32 | 62% | +6.6 | 1.53 |
| direction BUY / SELL | 121 / 23 | 70% / 48% | +43.2 / −5.4 | 2.53 / 0.56 |

- Two rally days (08-19, 08-21) contribute essentially all of the R.
- SELL is negative in every view; in the books SELL is the weakest bucket on
  every TF (H1 SELL −16.7R/5yr PF 0.77, −11.5R OOS PF 0.30; M15 SELL −11.7R OOS;
  M5 SELL in `transitioning` −7.9R/12mo PF 0.21, −5.2R/5yr PF 0.49).
- Bollinger is anti-predictive on all four TFs (forward-return hit 0.26–0.50 at
  12 bars) and "opposes" 93% of taken book trades; divergence is inverted on
  M15/H1 live and trades where it opposed outperform in the books.
- Refuted live hypotheses (books disagree): ADX<20 gate, exhaustion gate,
  NEAR-EMA200 gate, EXTREME-volatility gate, capping SL/ATR.

## Method (rule 1)

Harness: `backtest/gpu_backtest.py --pair XAUUSD --spread 0.65` on the CPU
backend (CuPy present but the GPU was not reachable; the M5 12mo control
reproduces the pinned `oanda_m5_12mo_065_nopb_20260814.csv` trade-for-trade
except the two trades on the end date, which `--end` excludes). Every candidate
is compared with a CONTROL produced on the same harness, never with the pinned
book directly. Windows (cache start = start − 62 days):

| window | `--start` | `--end` |
|---|---|---|
| 12mo (M15/H1) | 2025-08-04 | 2026-08-04 |
| 12mo (M5 canonical) | 2025-08-14 | 2026-08-14 |
| 5yr | 2021-08-01 | 2026-08-04 |
| OOS | 2024-06-01 | 2025-03-30 |

Acceptance: positive total R in both 12mo halves, PF ≥ 1.3, OOS not worse
than control, and a candidate that removes a net-positive bucket for a PF-only
gain is rejected (big-candle precedent). Runner:
`<scratchpad>/campaign/run_campaign.sh`; summary: `summarize.py` (scratchpad
tooling, not retained — both shipped gates are reproduced by a plain pair-factory
run at HEAD; see the parity recipe in `sizing_campaign_2026-09.md`).

Candidates (all `--set`, no code):

- **B1 SELL gating** — H1 `xau_strategy.sell_min_quality=[]` (block all H1
  shorts); M5 `xau_strategy.sell_blocked_regimes=["transitioning"]`; M15
  `xau_strategy.sell_min_quality=["B"]`.
- **B2 divergence off** — `technical.disabled_indicators=["divergence"]` on
  M15 and H1 (M5 divergence-down was rejected 2026-08-04; not re-run).
- **B3 Bollinger weight 0 in trending regimes** — full
  `technical.regime_weights_override` with bollinger 0.0 in
  trending_up/trending_down/trending, ranging/transitioning unchanged; M5, M15, H1.

## Results

Every control reproduced its pinned book: M15 12mo (`ctl_m15_12mo`) is exact
at 397/+73.93R/PF 1.53; all three H1 controls are exact; the M5 12mo control
(`base_m5_12mo`) is exact except for the two trades that fall on the end
date, which `--end` excludes on this harness (see Method above).

| book | n | R | PF | DD | H1 | H2 | sellN | sellR | ΔR vs control | ΔPF |
|---|---|---|---|---|---|---|---|---|---|---|
| b1_h1_nosell_12mo | 91 | +22.2 | 1.79 | 4.1 | +20.6 | +1.6 | 0 | +0.0 | -1.8 | +0.25 |
| b1_h1_nosell_5yr | 335 | +49.1 | 1.46 | 13.2 | -5.0 | +54.1 | 0 | +0.0 | +16.7 | +0.28 |
| b1_h1_nosell_oos | 78 | +16.7 | 1.74 | 3.6 | +7.3 | +9.4 | 0 | +0.0 | +11.5 | +0.61 |
| b1_m15_sellB_12mo | 341 | +74.6 | 1.62 | 10.8 | +68.4 | +6.2 | 82 | +9.1 | +0.7 | +0.09 |
| b1_m15_sellB_5yr | 1378 | +119.1 | 1.22 | 41.4 | -21.3 | +140.3 | 335 | +3.7 | -8.9 | +0.02 |
| b1_m15_sellB_oos | 272 | +47.1 | 1.51 | 13.8 | +12.3 | +34.8 | 59 | -3.4 | +8.3 | +0.15 |
| b1_m5_selltrans_12mo | 557 | +112.2 | 1.56 | 9.9 | +55.9 | +56.4 | 75 | +14.8 | +7.9 | +0.06 |
| b1_m5_selltrans_5yr | 889 | +133.7 | 1.41 | 12.8 | -8.3 | +142.0 | 88 | +9.0 | +5.3 | +0.03 |
| b1_m5_selltrans_oos | 86 | +9.4 | 1.33 | 8.2 | -1.4 | +10.9 | 4 | +1.5 | +0.0 | +0.00 |
| b2_h1_nodiv_12mo | 149 | +28.6 | 1.62 | 6.5 | +23.6 | +5.0 | 49 | +5.5 | +4.6 | +0.07 |
| b2_h1_nodiv_5yr | 567 | +40.5 | 1.20 | 14.1 | -5.2 | +45.6 | 203 | -18.2 | +8.1 | +0.02 |
| b2_h1_nodiv_oos | 119 | +7.6 | 1.17 | 7.7 | -1.9 | +9.5 | 31 | -14.3 | +2.4 | +0.04 |
| b2_m15_nodiv_12mo | 439 | +81.3 | 1.51 | 13.1 | +72.3 | +8.9 | 147 | +7.0 | +7.4 | -0.02 |
| b2_m15_nodiv_5yr | 1771 | +139.9 | 1.20 | 47.4 | -16.2 | +156.1 | 578 | +11.7 | +11.9 | -0.01 |
| b2_m15_nodiv_oos | 341 | +52.3 | 1.43 | 17.1 | +15.6 | +36.7 | 93 | -10.0 | +13.5 | +0.07 |
| b3_h1_bb0_12mo | 154 | +31.2 | 1.64 | 9.4 | +22.8 | +8.4 | 52 | +6.7 | +7.3 | +0.09 |
| b3_h1_bb0_5yr | 583 | +37.3 | 1.18 | 18.3 | -7.4 | +44.7 | 206 | -20.4 | +4.9 | +0.00 |
| b3_h1_bb0_oos | 122 | +5.6 | 1.12 | 8.7 | -2.0 | +7.6 | 32 | -13.8 | +0.4 | -0.01 |
| b3_m15_bb0_12mo | 439 | +49.9 | 1.29 | 19.4 | +61.6 | -11.8 | 151 | +0.3 | -24.0 | -0.23 |
| b3_m15_bb0_5yr | 1790 | +126.6 | 1.18 | 42.3 | -1.8 | +128.5 | 592 | +17.4 | -1.3 | -0.03 |
| b3_m15_bb0_oos | 345 | +55.5 | 1.47 | 12.4 | +18.2 | +37.3 | 94 | -8.4 | +16.7 | +0.11 |
| b3_m5_bb0_12mo | 621 | +84.0 | 1.35 | 16.6 | +49.3 | +34.7 | 104 | +9.7 | -20.4 | -0.14 |
| b3_m5_bb0_5yr | 987 | +113.0 | 1.31 | 15.3 | -7.7 | +120.6 | 134 | +12.0 | -15.5 | -0.08 |
| b3_m5_bb0_oos | 93 | +10.6 | 1.35 | 5.6 | -2.9 | +13.5 | 9 | +3.7 | +1.2 | +0.01 |
| b12_h1_nosell_nodiv_12mo | 100 | +23.1 | 1.75 | 4.6 | +21.8 | +1.3 | 0 | +0.0 | -0.8 | +0.20 |
| b12_h1_nosell_nodiv_5yr | 364 | +58.7 | 1.52 | 12.9 | -4.1 | +62.8 | 0 | +0.0 | +26.3 | +0.34 |
| b12_h1_nosell_nodiv_oos | 88 | +21.9 | 1.92 | 4.8 | +9.4 | +12.5 | 0 | +0.0 | +16.8 | +0.79 |
| base_m5_12mo | 575 | +104.3 | 1.50 | 10.7 | +50.8 | +53.5 | 93 | +6.9 | — | — |
| ctl_h1_12mo | 138 | +24.0 | 1.55 | 8.0 | +19.4 | +4.6 | 47 | +1.8 | — | — |
| ctl_h1_5yr | 515 | +32.4 | 1.18 | 15.2 | -5.9 | +38.3 | 180 | -16.7 | — | — |
| ctl_h1_oos | 104 | +5.1 | 1.13 | 7.5 | -0.9 | +6.1 | 26 | -11.5 | — | — |
| ctl_m15_12mo | 397 | +73.9 | 1.53 | 10.8 | +66.7 | +7.2 | 138 | +8.5 | — | — |
| ctl_m15_5yr | 1578 | +128.0 | 1.21 | 35.8 | -3.4 | +131.4 | 535 | +12.6 | — | — |
| ctl_m15_oos | 299 | +38.8 | 1.36 | 15.5 | +5.9 | +32.9 | 86 | -11.7 | — | — |
| ctl_m5_5yr | 911 | +128.4 | 1.39 | 12.8 | -8.3 | +136.7 | 110 | +3.8 | — | — |
| ctl_m5_oos | 86 | +9.4 | 1.33 | 8.2 | -1.4 | +10.9 | 4 | +1.5 | — | — |

Raw table (n / R / PF / WR% / DD / H1 / H2 / PF-half-1 / PF-half-2 /
sellN / sellR / ΔR / ΔPF / Δn vs control; control and `base_m5_12mo`
rows carry no delta):

```
book                           n        R    PF   WR%    DD      H1      H2   PF1   PF2 sellN   sellR |      ΔR    ΔPF    Δn
b1_h1_nosell_12mo             91    +22.2  1.79  62.6   4.1   +20.6    +1.6  2.10  1.18     0    +0.0 |    -1.8  +0.25  -47
b1_h1_nosell_5yr             335    +49.1  1.46  58.2  13.2    -5.0   +54.1  0.87  1.78     0    +0.0 |   +16.7  +0.28 -180
b1_h1_nosell_oos              78    +16.7  1.74  62.8   3.6    +7.3    +9.4  1.67  1.81     0    +0.0 |   +11.5  +0.61  -26
b1_m15_sellB_12mo            341    +74.6  1.62  62.8  10.8   +68.4    +6.2  2.15  1.10    82    +9.1 |    +0.7  +0.09  -56
b1_m15_sellB_5yr            1378   +119.1  1.22  57.0  41.4   -21.3  +140.3  0.91  1.46   335    +3.7 |    -8.9  +0.02 -200
b1_m15_sellB_oos             272    +47.1  1.51  60.7  13.8   +12.3   +34.8  1.24  1.85    59    -3.4 |    +8.3  +0.15  -27
b1_m5_selltrans_12mo         557   +112.2  1.56  53.7   9.9   +55.9   +56.4  1.54  1.58    75   +14.8 |    +7.9  +0.06  -18
b1_m5_selltrans_5yr          889   +133.7  1.41  51.5  12.8    -8.3  +142.0  0.84  1.52    88    +9.0 |    +5.3  +0.03  -22
b1_m5_selltrans_oos           86     +9.4  1.33  53.5   8.2    -1.4   +10.9  0.91  1.95     4    +1.5 |    +0.0  +0.00   +0
b2_h1_nodiv_12mo             149    +28.6  1.62  62.4   6.5   +23.6    +5.0  1.93  1.24    49    +5.5 |    +4.6  +0.07  +11
b2_h1_nodiv_5yr              567    +40.5  1.20  56.3  14.1    -5.2   +45.6  0.93  1.37   203   -18.2 |    +8.1  +0.02  +52
b2_h1_nodiv_oos              119     +7.6  1.17  56.3   7.7    -1.9    +9.5  0.91  1.44    31   -14.3 |    +2.4  +0.04  +15
b2_m15_nodiv_12mo            439    +81.3  1.51  60.8  13.1   +72.3    +8.9  1.90  1.11   147    +7.0 |    +7.4  -0.02  +42
b2_m15_nodiv_5yr            1771   +139.9  1.20  55.8  47.4   -16.2  +156.1  0.94  1.39   578   +11.7 |   +11.9  -0.01 +193
b2_m15_nodiv_oos             341    +52.3  1.43  59.2  17.1   +15.6   +36.7  1.23  1.68    93   -10.0 |   +13.5  +0.07  +42
b3_h1_bb0_12mo               154    +31.2  1.64  60.4   9.4   +22.8    +8.4  1.89  1.36    52    +6.7 |    +7.3  +0.09  +16
b3_h1_bb0_5yr                583    +37.3  1.18  54.5  18.3    -7.4   +44.7  0.90  1.35   206   -20.4 |    +4.9  +0.00  +68
b3_h1_bb0_oos                122     +5.6  1.12  55.7   8.7    -2.0    +7.6  0.91  1.33    32   -13.8 |    +0.4  -0.01  +18
b3_m15_bb0_12mo              439    +49.9  1.29  59.0  19.4   +61.6   -11.8  1.77  0.87   151    +0.3 |   -24.0  -0.23  +42
b3_m15_bb0_5yr              1790   +126.6  1.18  56.1  42.3    -1.8  +128.5  0.99  1.31   592   +17.4 |    -1.3  -0.03 +212
b3_m15_bb0_oos               345    +55.5  1.47  61.2  12.4   +18.2   +37.3  1.29  1.66    94    -8.4 |   +16.7  +0.11  +46
b3_m5_bb0_12mo               621    +84.0  1.35  51.4  16.6   +49.3   +34.7  1.43  1.28   104    +9.7 |   -20.4  -0.14  +46
b3_m5_bb0_5yr                987   +113.0  1.31  50.7  15.3    -7.7  +120.6  0.85  1.38   134   +12.0 |   -15.5  -0.08  +76
b3_m5_bb0_oos                 93    +10.6  1.35  54.8   5.6    -2.9   +13.5  0.85  2.17     9    +3.7 |    +1.2  +0.01   +7
b12_h1_nosell_nodiv_12mo     100    +23.1  1.75  63.0   4.6   +21.8    +1.3  2.00  1.15     0    +0.0 |    -0.8  +0.20  -38
b12_h1_nosell_nodiv_5yr      364    +58.7  1.52  59.6  12.9    -4.1   +62.8  0.90  1.87     0    +0.0 |   +26.3  +0.34 -151
b12_h1_nosell_nodiv_oos       88    +21.9  1.92  63.6   4.8    +9.4   +12.5  1.93  1.92     0    +0.0 |   +16.8  +0.79  -16
base_m5_12mo                 575   +104.3  1.50  52.9  10.7   +50.8   +53.5  1.46  1.53    93    +6.9
ctl_h1_12mo                  138    +24.0  1.55  60.9   8.0   +19.4    +4.6  1.84  1.22    47    +1.8
ctl_h1_5yr                   515    +32.4  1.18  55.7  15.2    -5.9   +38.3  0.91  1.34   180   -16.7
ctl_h1_oos                   104     +5.1  1.13  56.7   7.5    -0.9    +6.1  0.95  1.32    26   -11.5
ctl_m15_12mo                 397    +73.9  1.53  62.2  10.8   +66.7    +7.2  1.95  1.10   138    +8.5
ctl_m15_5yr                 1578   +128.0  1.21  56.5  35.8    -3.4  +131.4  0.99  1.37   535   +12.6
ctl_m15_oos                  299    +38.8  1.36  59.2  15.5    +5.9   +32.9  1.10  1.66    86   -11.7
ctl_m5_5yr                   911   +128.4  1.39  51.3  12.8    -8.3  +136.7  0.84  1.48   110    +3.8
ctl_m5_oos                    86     +9.4  1.33  53.5   8.2    -1.4   +10.9  0.91  1.95     4    +1.5
```

## Decisions

- **SHIPPED** — M5 `xau_strategy.sell_blocked_regimes=["transitioning"]`
  (b1_m5_selltrans): 12mo +7.9R, 5yr +5.3R, OOS unchanged (no such trades
  in that window); positive in both 12mo halves on every window. H1
  `xau_strategy.sell_min_quality=[]` (b1_h1_nosell, all H1 shorts blocked):
  5yr +16.7R and OOS +11.5R more than pay for the 12mo cost of -1.8R; H1
  shorts were -16.7R/5yr and -11.5R/OOS in the control. Both land in
  `pair_signals/xauusd.py`.
- **REJECTED** — M15 `sell_min_quality=["B"]` (b1_m15_sellB): 5yr -8.9R
  with max DD widening 35.8 -> 41.4R for a marginal +0.7R on 12mo; fails
  the drawdown clause. All three B3 Bollinger-weight-0-in-trending-regimes
  runs (b3_h1_bb0, b3_m15_bb0, b3_m5_bb0): negative on M5 (-20.4R/12mo,
  -15.5R/5yr) and M15 (-24.0R/12mo, PF 1.29 -> still below the 12mo H2
  going negative at -11.8R); H1's B3 5yr gain (+4.9R) doesn't clear the
  bar once M5/M15 fail outright — Bollinger's constant-oppose vote stays
  a load-bearing quality bar, consistent with the 2026-08-04 audit.
- **DECLINED** — B2-M15 (`technical.disabled_indicators=["divergence"]`
  on M15, b2_m15_nodiv): R improves on every window (+7.4/+11.9/+13.5R)
  but 5yr max DD widens 35.8 -> 47.4R while PF stays flat (1.21 -> 1.20) —
  more risk for no risk-adjusted gain; owner call.
- **PARKED** — B2-H1 (`technical.disabled_indicators=["divergence"]` on
  H1, b2_h1_nodiv, standalone: +4.6/+8.1/+2.4R, PF 1.62/1.20/1.17). The
  combined run with the H1 no-short override (b12_h1_nosell_nodiv) passes
  rule 1 and beats the no-shorts override alone on both 5yr and OOS: 12mo
  100/+23.1R PF 1.75 (halves +21.8/+1.3), 5yr 364/+58.7R PF 1.52, OOS
  88/+21.9R PF 1.92. Not shipped anyway: it would route through
  `technical.disabled_indicators`, which CLAUDE.md rule 8 reserves for
  experiments, not production paths. Owner decision; recommended vehicle
  is an H1-only `regime_weights_override` with divergence weight 0 plus a
  fresh validation run under that mechanism.