Files
ForexBot2/advisory_outcome.py
Harwinder Sekhon 2cc5915b00 Daily-trend veto on M15 + lot-size / already-open lines (campaign 2026-09-30), and the 2026-10-01 whole-codebase bug review
Two bodies of work that touch the same files, so one commit.

Direction and setup-size campaign (2026-09-30 → 10-01, owner's RISK-FIRST rule,
written before the runs):
- SIGNAL: M15 daily-trend veto (factory override 7, xau_strategy.daily_trend_veto
  "both"). A finished setup against a clear daily trend (closed D1 bars, Sunday
  stubs dropped; close vs its 50-bar EMA AND vs the close 60 kept days earlier)
  is removed as the last step of the core. One definition
  (signal_aggregator.daily_trend_series) for live, the bar replay and the twin's
  host side; D1 is a required frame of the M15 scan; mirrored in
  cuda_signal_kernels.py K2. W3 824 / +205.12R / PF 1.73 / max DD 12.4R vs
  1105 / +195.79R / 1.49 / 20.9R; 2019 → 2026 1473 / +223.33R / 1.42 / 41.5R vs
  2091 / +192.53R / 1.24 / 64.8R; unseen holdout −4.62R vs −6.63R.
- FAILED, not shipped: the veto on M5 (W3 drawdown 10.1R → 15.2R) and on H1
  (−9.7R), buy-only and sell-only on M15, the wide-stop cap
  (xau_strategy.wide_stop_cap_atr stays 0.0, a research knob).
- New M15 pins: W2 dfc647ee…, OOS e87b6de1…, W3 ad3b0dbd…. M5 / H1 / H4 pins
  unchanged. --set xau_strategy.daily_trend_veto=off reproduces the previous M15
  pins byte for byte. Twin and reference script MD5-equal on every window;
  recorder and feature-export parity re-proved; base-rate table rebuilt.
- DISPLAY (books byte-identical): exposure.py — the lot size for
  trade_size.risk_per_trade (new config.json block, off by default, private to
  the owner) and the count of alerted same-direction plans still open
  (signals.alerted_at, read-only open_alerted_setups); the daily trend in words
  on Telegram, the CLI and the dashboard; signals.daily_trend logged.
- providers/oanda: a date window with no bars is an empty page, not an error
  (a D1 pad starting on a Saturday could not be fetched).
- Reports only, nothing shipped: seven context screens (no state nominated) and
  eight outside data sources (none adds a forecast to gold's own daily trend).
- Independent verification (report section 5.13): every figure reproduced on
  both scripts, scoring identical to the previous commit on all four
  timeframes, no look-ahead. Caveats recorded there: this is a risk filter, not
  a more accurate direction call; nine tenths of the 2019 → 2026 gain is 2022;
  the neighbour clause is thin (a simple 100-day average misses the R line by
  1.2R); "never adds a trade" is an observation, not a guarantee.

Bug review of the whole codebase (2026-10-01). Signal path clean. 17 defects
elsewhere, plus 4 found by an independent review of the fixes; all fixed, each
with a test; no trade book changed:
- telegram_bot: one _deliver_alert for the candle scan and the level break. The
  row is stamped alerted_at BEFORE the send, on a one-worker alert-db pool, and
  un-stamped when no chat received it or the task is cancelled mid-stamp, so
  two alerts at one candle close count each other and no SQLite write runs on
  the event loop. The 5-bar cooldown counts bars of the scan's own frame
  (== gpu_backtest._apply_cooldown; clock time released the 22:00 UTC bar after
  the settlement pause) and is restored from signals.db at start-up. The
  lot-size line goes to the owner's own chat only (a group the owner ran
  /autoscan in used to receive it). /status gains a news-model line and escapes
  failure details.
- signal_log: mark_alerted returns the stamp it wrote; unmark_alerted;
  last_alerted_bars (read-only).
- advisory_outcome: candle continuity is judged bar by bar inside the walk; a
  hole after a trade's exit no longer voids it. The stored-candle replay
  resolves 108 of 111 logged setups instead of 99, all equal to the live
  resolver's R.
- providers/oanda: an empty date window is accepted only when it is 5 days or
  shorter and no malformed candle was skipped; a longer one is retried, then
  refused, instead of being cached as history with a hole.
- news_engine: blank RSS titles skipped; one unreadable headline no longer
  costs the local model its whole batch (checked on the real bundle); model
  health recorded; no DeepSeek audit call in a process that does not archive;
  event-direction cache keyed per release; peek_week_events never fetches.
- llm_client: chat_json never raises and never logs the API key (requests
  quotes the Authorization value in InvalidHeader; error bodies are redacted).
- signal_aggregator: the scan's news block is guarded; the replay path
  (use_news=False) assigns exactly the values it did before.
- agent_panel: PANEL_PROMPT_VERSION v2.2 — same prompt text, corrected input
  (event timing over the cached calendar week, headlines newest first).
  scripts/panel_replay.py replays the logged payload per persona;
  scripts/label_scan_outcomes.py counts with an ISO cutoff.
- test_all.py: no ALTER TABLE … DROP COLUMN (the live box has SQLite 3.34);
  tests that write Parquet print a notice and return without pyarrow.

Verification after the last code change: suite 632 passed, 0 failed (also with
both Parquet engines blocked and FB2_BACKEND=cpu, the live box's view); the
five reference MD5s reproduce on both backtesters, 0 cache fallbacks; Module 37
green; static Python 3.9 / SQLite 3.34 check clean on every touched file.

Evidence: backtest/research/daily_trend_campaign_2026-09-30.md,
context_screens_2026-10.md, new_inputs_2026-10.md; CLAUDE.md sections 2, 4, 6,
8, 9, 10 and 11; pair_signals/xauusd.py docstring (M15 override 7).
2026-10-01 10:28:28 -04:00

420 lines
16 KiB
Python

"""Deterministic advisory trade outcomes from stored closed candles.
This module measures the hypothetical setup reviewed by the LLM panel. It
never changes a signal, panel verdict, order, or daemon state. The model uses
the same next-open reanchoring and close-only trailing rules as the backtester,
but its evidence is the cleaned mid-candle snapshots stored in signals.db.
"""
from __future__ import annotations
import logging
import math
from datetime import datetime, timedelta
from typing import Any, Dict, Iterable, List, Optional, Tuple
from zoneinfo import ZoneInfo
logger = logging.getLogger(__name__)
MODEL = "stored-closed-mid-next-open-trail-v1"
MAX_HOLD_BARS = 300
REFERENCE_COST = 0.30
REALISTIC_COST = 0.65
_TF_ALIASES = {
"M1": "1min", "1MIN": "1min", "1min": "1min",
"M5": "5min", "5MIN": "5min", "5min": "5min",
"M15": "15min", "15MIN": "15min", "15min": "15min",
"M30": "30min", "30MIN": "30min", "30min": "30min",
"H1": "1h", "1H": "1h", "1h": "1h",
"H4": "4h", "4H": "4h", "4h": "4h",
"D1": "1day", "1D": "1day", "1d": "1day",
"1DAY": "1day", "1day": "1day",
}
_TF_SECONDS = {
"1min": 60,
"5min": 5 * 60,
"15min": 15 * 60,
"30min": 30 * 60,
"1h": 60 * 60,
"4h": 4 * 60 * 60,
"1day": 24 * 60 * 60,
}
_NY_TZ = ZoneInfo("America/New_York")
def _is_forex_weekend(now: datetime) -> bool:
"""NY-anchored XAU weekend closure; test-locked to the signal copies."""
ny = now.astimezone(_NY_TZ)
weekday = ny.weekday()
if weekday == 4:
return ny.hour >= 17
if weekday == 5:
return True
if weekday == 6:
return ny.hour < 18
return False
def normalize_timeframe(value: Any) -> str:
text = str(getattr(value, "value", value) or "")
return _TF_ALIASES.get(text, _TF_ALIASES.get(text.upper(), text))
def timeframe_value(mapping: Any, timeframe: Any) -> Any:
"""Read a timeframe-keyed snapshot regardless of enum/storage alias."""
if not isinstance(mapping, dict):
return None
wanted = normalize_timeframe(timeframe)
for key, value in mapping.items():
if normalize_timeframe(key) == wanted:
return value
return None
def _finite(value: Any) -> Optional[float]:
try:
number = float(value)
except (TypeError, ValueError):
return None
return number if math.isfinite(number) else None
def _timestamp(value: Any) -> Optional[datetime]:
try:
return datetime.fromisoformat(str(value).replace(" ", "T"))
except (TypeError, ValueError):
return None
def initial_outcome(
setup: Optional[Dict[str, Any]],
indicators: Optional[Dict[str, Any]],
timeframe: Any,
) -> Tuple[str, Dict[str, Any]]:
"""Freeze the setup and deterministic evaluation policy."""
if not setup:
return "NOT_APPLICABLE", {
"model": MODEL,
"status": "NOT_APPLICABLE",
"reason": "panel row has no trade setup",
}
tf = normalize_timeframe(timeframe)
analysis = timeframe_value(indicators, tf)
signal_bar = analysis.get("timestamp") if isinstance(analysis, dict) else None
direction = str(setup.get("direction", ""))
entry = _finite(setup.get("entry"))
stop = _finite(setup.get("stop_loss"))
tp1 = _finite(setup.get("take_profit_1"))
arm = _finite(setup.get("trail_arm_r"))
distance = _finite(setup.get("trail_dist_r"))
risk = abs(entry - stop) if entry is not None and stop is not None else 0.0
if (direction not in ("BUY", "SELL") or not signal_bar
or _timestamp(signal_bar) is None or risk <= 0 or tp1 is None
or arm is None or distance is None or arm < 0 or distance < 0):
return "UNRESOLVABLE", {
"model": MODEL,
"status": "UNRESOLVABLE",
"reason": "invalid or incomplete setup/outcome seed",
}
state = {
"model": MODEL,
"status": "PENDING",
"timeframe": tf,
"signal_bar_at": str(signal_bar),
"setup": {
"direction": direction,
"reported_entry": entry,
"stop_distance": risk,
"tp1_distance": abs(tp1 - entry),
"strategy": setup.get("strategy"),
"setup_pattern": setup.get("setup_pattern"),
},
"policy": {
"entry": "next_primary_bar_open_reanchored",
"max_hold_bars": MAX_HOLD_BARS,
"trail_arm_r": arm,
"trail_dist_r": distance,
"tp1_is_advisory": arm > 0,
"reference_cost": REFERENCE_COST,
"realistic_cost": REALISTIC_COST,
},
"progress": {
"last_processed_bar": str(signal_bar),
"entry_at": None,
"entry_price": None,
"initial_stop": None,
"current_stop": None,
"peak": None,
"bars_held": 0,
"mfe_r": 0.0,
"mae_r": 0.0,
},
"result": None,
}
return "PENDING", state
def _valid_bars(bars: Iterable[Dict[str, Any]]) -> List[Dict[str, Any]]:
valid = []
for bar in bars:
stamp = _timestamp(bar.get("timestamp")) if isinstance(bar, dict) else None
values = [_finite(bar.get(key)) for key in ("open", "high", "low", "close")]
if stamp is None or any(value is None for value in values):
continue
valid.append({
"timestamp": str(bar["timestamp"]),
"_timestamp": stamp,
"open": values[0], "high": values[1],
"low": values[2], "close": values[3],
})
valid.sort(key=lambda item: item["_timestamp"])
return valid
def _next_bar_follows(
previous: datetime, stamp: datetime, step: timedelta
) -> bool:
"""True when ``stamp`` is the next tradable bar after ``previous``: every
bar slot between the two lies inside a scheduled XAU closure (the weekend
or the daily 17:00 New York maintenance hour) and ``stamp`` is on the bar
grid. ``step`` must be positive."""
expected = previous + step
while expected < stamp:
ny = expected.astimezone(_NY_TZ)
daily_maintenance = ny.weekday() < 4 and ny.hour == 17
if not (_is_forex_weekend(expected) or daily_maintenance):
return False
expected += step
return expected == stamp
def _has_continuity(
bars: List[Dict[str, Any]], last: datetime, timeframe: str
) -> bool:
"""Reject missing tradable bars while allowing scheduled XAU closures.
All-or-nothing over the whole of ``bars`` (the scan-outcome labeller
calls it one bar at a time). advance_outcome does not use it: it checks
each step as it walks, so a hole AFTER a trade's exit cannot void it."""
seconds = _TF_SECONDS.get(normalize_timeframe(timeframe))
if seconds is None:
return False
step = timedelta(seconds=seconds)
previous = last
seen = {last}
for bar in bars:
stamp = bar["_timestamp"]
if stamp <= previous or stamp in seen:
continue
if not _next_bar_follows(previous, stamp, step):
return False
previous = stamp
seen.add(stamp)
return True
def _finish(
state: Dict[str, Any], reason: str, exit_at: str, exit_price: float
) -> None:
setup = state["setup"]
progress = state["progress"]
entry = float(progress["entry_price"])
risk = float(setup["stop_distance"])
pnl = ((exit_price - entry) if setup["direction"] == "BUY"
else (entry - exit_price))
gross_r = pnl / risk
state["status"] = "RESOLVED"
state["result"] = {
"exit_at": exit_at,
"exit_price": exit_price,
"exit_reason": reason,
"bars_held": progress["bars_held"],
"gross_r": gross_r,
"net_r_030": (pnl - REFERENCE_COST) / risk,
"net_r_065": (pnl - REALISTIC_COST) / risk,
"mfe_r": progress["mfe_r"],
"mae_r": progress["mae_r"],
}
def advance_outcome(
state: Dict[str, Any], bars: Iterable[Dict[str, Any]]
) -> Dict[str, Any]:
"""Advance one pending outcome with overlapping closed-bar snapshots."""
if state.get("status") != "PENDING":
return state
try:
progress = state["progress"]
setup = state["setup"]
policy = state["policy"]
last = _timestamp(progress["last_processed_bar"])
signal_bar = _timestamp(state["signal_bar_at"])
if last is None or signal_bar is None:
raise ValueError("invalid progress timestamp")
buy = setup["direction"] == "BUY"
risk = float(setup["stop_distance"])
trail_arm = float(policy["trail_arm_r"])
trail_distance = float(policy["trail_dist_r"])
valid_bars = _valid_bars(bars)
has_future = any(bar["_timestamp"] > last for bar in valid_bars)
has_overlap = any(bar["_timestamp"] == last for bar in valid_bars)
if has_future and not has_overlap:
state["status"] = "UNRESOLVABLE"
state["result"] = None
state["reason"] = "stored candle snapshots lost continuity"
return state
if not has_future:
return state
seconds = _TF_SECONDS.get(normalize_timeframe(state["timeframe"]))
if seconds is None:
state["status"] = "UNRESOLVABLE"
state["result"] = None
state["reason"] = "stored candle snapshots contain an internal gap"
return state
step = timedelta(seconds=seconds)
for bar in valid_bars:
stamp = bar["_timestamp"]
if stamp <= signal_bar or stamp <= last:
continue
# Continuity is judged ONE STEP AT A TIME, only as far as the
# trade is still open. Until 2026-10-01 the whole stream was
# checked before the walk, so a trade that had exited days
# before a later hole (a holiday, an outage) was thrown away:
# 9 of 111 setups in the September log, 7 of them with an exit
# the live resolver had recorded. A hole reached while the
# trade is open still ends the walk; the progress made up to
# the bar before it stays, so resolve_locked_floor floors from
# the latest stop.
if not _next_bar_follows(last, stamp, step):
state["status"] = "UNRESOLVABLE"
state["result"] = None
state["reason"] = "stored candle snapshots contain an internal gap"
return state
if progress["entry_price"] is None:
entry = bar["open"]
initial_stop = entry - risk if buy else entry + risk
progress.update({
"entry_at": bar["timestamp"],
"entry_price": entry,
"initial_stop": initial_stop,
"current_stop": initial_stop,
"peak": entry,
})
entry = float(progress["entry_price"])
current_stop = float(progress["current_stop"])
initial_stop = float(progress["initial_stop"])
progress["bars_held"] += 1
progress["last_processed_bar"] = bar["timestamp"]
last = stamp
if buy:
mfe = (bar["high"] - entry) / risk
mae = (entry - bar["low"]) / risk
stop_hit = bar["low"] <= current_stop
else:
mfe = (entry - bar["low"]) / risk
mae = (bar["high"] - entry) / risk
stop_hit = bar["high"] >= current_stop
progress["mfe_r"] = max(float(progress["mfe_r"]), max(0.0, mfe))
progress["mae_r"] = max(float(progress["mae_r"]), max(0.0, mae))
if stop_hit:
exit_price = current_stop
if (buy and bar["open"] < current_stop) or \
(not buy and bar["open"] > current_stop):
exit_price = bar["open"]
reason = "SL" if current_stop == initial_stop else "TRAIL"
_finish(state, reason, bar["timestamp"], exit_price)
return state
if trail_arm <= 0:
target = entry + setup["tp1_distance"] if buy \
else entry - setup["tp1_distance"]
target_hit = bar["high"] >= target if buy else bar["low"] <= target
if target_hit:
exit_price = target
if (buy and bar["open"] > target) or \
(not buy and bar["open"] < target):
exit_price = bar["open"]
_finish(state, "TP1", bar["timestamp"], exit_price)
return state
else:
favorable = bar["high"] if buy else bar["low"]
peak = max(float(progress["peak"]), favorable) if buy \
else min(float(progress["peak"]), favorable)
progress["peak"] = peak
excursion = ((peak - entry) if buy else (entry - peak)) / risk
if excursion >= trail_arm:
level = peak - trail_distance * risk if buy \
else peak + trail_distance * risk
progress["current_stop"] = max(current_stop, level) if buy \
else min(current_stop, level)
if progress["bars_held"] >= int(policy["max_hold_bars"]):
_finish(state, "TIMEOUT", bar["timestamp"], bar["close"])
return state
return state
except Exception as exc:
# Still fail-safe (never raises into a scan), but no longer
# SILENT: a real defect here used to be indistinguishable from a
# legitimate weekend/downtime gap, discoverable only by grepping
# advisory_outcome_json. Callers persist the state either way.
logger.exception(
"advisory outcome evaluator failed for the %s outcome seeded "
"at %s — recorded UNRESOLVABLE",
state.get("timeframe"), state.get("signal_bar_at"))
state["status"] = "UNRESOLVABLE"
state["result"] = None
state["reason"] = f"outcome evaluator error: {type(exc).__name__}"
return state
def resolve_locked_floor(state: Dict[str, Any]) -> Dict[str, Any]:
"""If an UNRESOLVABLE gap outcome had already trailed its stop past the
entry, finish it at that stop as a FLOOR (the true outcome is at least
this good) instead of discarding it. Returns the state (mutated)."""
if state.get("status") != "UNRESOLVABLE":
return state
reason = str(state.get("reason", ""))
# Both gap reasons ("lost continuity" / "contain an internal gap")
# share this prefix; an invalid seed or evaluator error never floors.
if not reason.startswith("stored candle snapshots"):
return state
progress = state.get("progress")
setup = state.get("setup")
if not isinstance(progress, dict) or not isinstance(setup, dict):
return state
entry = _finite(progress.get("entry_price"))
stop = _finite(progress.get("current_stop"))
risk = _finite(setup.get("stop_distance"))
exit_at = progress.get("last_processed_bar")
if (entry is None or stop is None or risk is None or risk <= 0
or not exit_at):
return state
buy = setup.get("direction") == "BUY"
locked = stop >= entry if buy else stop <= entry
if not locked:
return state
_finish(state, "GAP_LOCKED", str(exit_at), stop)
state["result"]["floor"] = True
state["reason"] = (
f"{reason} — resolved at the locked trailing stop (floor)")
return state
def canonical_r(state: Dict[str, Any]) -> Optional[float]:
result = state.get("result")
value = result.get("net_r_065") if isinstance(result, dict) else None
return _finite(value)