Harwinder Sekhon
525a1cd1c1
Hard TP at N×risk beats the trail on all 2024+ windows but the grid is monotone to 3R (trend artifact) and M15 rr20 goes negative in 2021+2023 with doubled DD — trailing exits stay. Flag is research-only; its Module 22 tests land with the next commit (shared test_all.py). Claude-Session: https://claude.ai/code/session_017mbXs9HRawZhD1uZ3ze7zQ
7.0 KiB
Fixed-RR hard-TP vs shipped trailing exit — research campaign 2026-08-05
Verdict: DO NOT SHIP. The trailing exit stays. The fixed 2R target beats the trail on total R in every 2024+ window but the edge is a trend-regime artifact: it inverts in the 2021–2023 ranging years, doubles drawdown, cuts win rate 10–19 points, and doubles hold times (amplifying the accepted live one-position divergence). Details below.
Setup
- Code: HEAD
fc5ce85+ the--fixed-rr-tpresearch flag (uncommitted at run time). The flag replaces every trade's TP withmult × |entry − sl|AFTER re-anchoring and disables trailing (run-level and per-trade PB params) — entries, stops, gates, and the cooldown pass are untouched, so both arms replay trade-identical books (verified: paired join on entry_time+direction matches 1:1 in every window). Only the exit policy differs → per-trade paired comparison. - Provider: Oanda (cache-warm; keys
oanda_XAU_USD_{5min,15min,1h}_{20250603_20260804, 20240331_20250330,20210531_20260804}). Charged cost--spread 0.65(real measured round trip); $0.30 letter-cost books derived analytically asr + 0.35/riskand verified exact against one real--spread 0.30run (max per-trade error 1.8e-15 — spread never enters trigger detection, per the owner-declined 2026-08-04 decision). - Control sanity gate: fresh M5 12mo control reproduced the pinned HEAD reference exactly — 555 trades, +98.64R, PF 1.483, maxDD −10.73R.
- Commands (control = same without the flag):
venv/bin/python backtest/gpu_backtest.py --pair XAUUSD --primary-tf {5min,15min} --start 2025-08-04 --end 2026-08-04 --spread 0.65 [--fixed-rr-tp 2.0] --export-csv backtest/fixedtp_*.csvOOS--start 2024-06-01 --end 2025-03-30; 5yr--start 2021-08-01 --end 2026-08-04. - Books pinned as
backtest/fixedtp_{m5,m15}_{12mo,oos,5yr}_{ctrl,rr20,...}.csv(per-trade indicator breakdown, agreement counts, regime, vol-regime, weekday, MAE/MFE, bars-held — the full instructions_for_backtest record).
Headline (@ $0.65)
| Window | Arm | n | R | PF | WR | maxDD | recov | medBars | exits |
|---|---|---|---|---|---|---|---|---|---|
| M5 12mo | trail | 555 | +98.64 | 1.483 | 52.4% | −10.7 | 9.2 | 28 | TRAIL 361 / SL 183 / TO 11 |
| M5 12mo | 2R hard | 555 | +124.85 | 1.378 | 42.9% | −24.5 | 5.1 | 50 | SL 312 / TP1 210 / TO 33 |
| M15 12mo | trail | 397 | +73.93 | 1.525 | 62.2% | −10.8 | 6.8 | 28 | TRAIL 255 / SL 135 / TO 7 |
| M15 12mo | 2R hard | 397 | +95.95 | 1.431 | 44.3% | −11.2 | 8.6 | 39 | SL 215 / TP1 151 / TO 31 |
| M5 OOS | trail | 86 | +9.45 | 1.332 | 53.5% | −8.2 | 1.2 | 70 | — |
| M5 OOS | 2R hard | 86 | +18.83 | 1.407 | 45.3% | −9.7 | 1.9 | 124 | — |
| M15 OOS | trail | 299 | +38.77 | 1.360 | 59.2% | −15.5 | 2.5 | 38 | — |
| M15 OOS | 2R hard | 299 | +72.14 | 1.435 | 45.2% | −13.9 | 5.2 | 82 | — |
Halves (12mo, split 2026-02-03): M5 rr20 +67.99/+56.86 (both positive; H2 PF 1.325 vs ctrl 1.503), M15 rr20 +73.74/+22.21 (both positive; ctrl H2 +7.23 — the known H2-flat). At $0.30 all deltas keep the same sign (e.g. M5 12mo +109.0 vs +135.2).
So the letter of rule 1 passes for rr20 on both TFs. The 5yr decomposition is why it still must not ship.
Exit migration (paired, M5 12mo; same pattern everywhere)
- SL→SL 183 trades: ΔR 0 (identical by construction — stops untouched).
- TRAIL→TP1 207 trades: +248.9R → +424.5R (+175.6R) — winners the trail exits early.
- TRAIL→SL 129 trades: +19.0R → −136.8R (−155.7R) — retraces the trail survives become full stop-outs.
- TRAIL→TIMEOUT 25: +7.4R. Net = +26.2R. The whole effect is these two big flows nearly cancelling; which one wins is a regime property, not an exit-policy edge.
- Trades with ctrl MFE ≥ 2R: 95; hard cap forfeits only +10.4R vs trail on M5 (the trail already gives ~0.75R back from peak, so a 2R cap costs little in a trend).
Mini-grid (12mo @ $0.65) — the tell
| mult | M5 R / PF / DD | M15 R / PF / DD |
|---|---|---|
| trail | +98.6 / 1.483 / −10.7 | +73.9 / 1.525 / −10.8 |
| 1.0R | +52.5 / 1.205 / −12.8 | +67.1 / 1.410 / −7.3 |
| 1.5R | +80.7 / 1.263 / −21.4 | +66.9 / 1.325 / −11.2 |
| 2.0R | +124.9 / 1.378 / −24.5 | +96.0 / 1.431 / −11.2 |
| 2.5R | +147.7 / 1.426 / −23.6 | +110.4 / 1.469 / −15.9 |
| 3.0R | +155.8 / 1.432 / −21.6 | +135.8 / 1.562 / −17.5 |
Monotone in the multiple on both TFs — "2.0" is not an optimum, it's a point on a curve
that says never take profit (3R's M5 TIMEOUT bucket alone is +84.8R). That is the
signature of a one-way trend sample, not of a superior exit rule. It also reconfirms the
original finding that SHORT fixed targets (≤1.5R) are strictly bad (cf. RR-0.5 removal,
config.py:126-133: +48R → +105R).
5yr regime decomposition (2021-08-01 → 2026-08-04 @ $0.65) — the verdict
M15 (real sample in every year): ctrl +127.97 PF 1.209 DD −35.8; rr20 +158.97 PF 1.170 DD −59.8; rr30 +204.03 PF 1.203 DD −98.3.
| Year | n | trail | 2R hard | 3R hard |
|---|---|---|---|---|
| 2021 | 88 | +4.00 | −16.09 | −17.41 |
| 2022 | 284 | −9.54 | −7.63 | −26.74 |
| 2023 | 227 | +7.79 | −1.71 | −5.81 |
| 2024 | 345 | +40.44 | +64.98 | +89.14 |
| 2025 | 405 | +49.33 | +69.39 | +104.42 |
| 2026 | 229 | +35.95 | +50.04 | +60.43 |
M5 5yr mirrors it (ctrl +128.4 PF 1.387 DD −12.8 vs rr20 +160.2 PF 1.306 DD −24.7; 2022: −1.1 vs −5.2), though pre-2024 M5 samples are thin (12–60 trades/yr).
The hard target's entire outperformance lives in the 2024–2026 gold trend. In ranging years it flips sign exactly where the trail stays positive (M15 2021, 2023), and the further the target, the worse the ranging-year bleed and the deeper the DD. The 12mo, halves, and OOS windows all sit inside the trend era, which is why the rule-1 letter passes — this is precisely the within-regime-split trap rule 1's OOS clause exists to catch, one level up.
Additional non-ship reasons
- Live divergence grows with hold time. Median hold doubles (M5 28→50 bars; OOS 70→124). The daemon holds one position total; the backtester doesn't model that blocking. Longer holds = more live signals skipped that the paper book banks.
- WR 52→43% (M5) / 62→44% (M15), max loss streak 6→11 (M15) — materially harder to operate and size.
- Aggregate tables (session/day/regime/vol, streaks, quarterly equity, rolling-20 WR) computed and consistent — no bucket reverses the conclusion; both arms' 12mo profit is concentrated in Q1-2026 (+87.7 ctrl / +102.0 rr20).
Status
--fixed-rr-tpstays as a documented research-only flag (default off; conflicts with--trail-arm/--trail-dist/--set signals.*trail*are hard errors). Module 22 tests (5) pin the override math, TP fill + spread, SL-first tie, PB-trail-disable, and CLI guards. Full suite: 346 green.- Re-open only if gold's regime turns and a regime-conditional exit (trail in range, target in trend) is proposed with a pre-registered mechanism — a plain fixed ratio is now a closed hypothesis at every multiple in {0.5, 1.0, 1.5, 2.0, 2.5, 3.0}.