Harwinder Sekhon
c00ed4471b
Removed (all recoverable from git history):
- llm_provider_switch_plan.txt: 2026-08-08 DeepSeek/Anthropic multi-provider plan that
was never implemented (llm_client.py is DeepSeek-only, no `anthropic` anywhere)
- docs/superpowers/specs/2026-07-21-centralized-config-design.md: spec of the
config.json migration that merged the same day; its plan sibling was already
deleted in b936d44. app_config's docstring pointer goes with it.
- scripts/compare_oanda_tiingo.py: Phase 0 recent-tail smoke test, superseded by the
Phase 1/2 study scripts (result recorded in the test plan)
- backtest/research/fetch_oanda_m15.py + oanda_td_divergence.py + its by-hour CSV:
the 2026-07-24 Oanda-vs-Twelve-Data study, superseded by the 2026-08-14 feed
divergence report (which keeps a one-line citation)
- backtest/research/burst_profile.py and hour_analysis.py: superseded by burst_map.py
and book_report.py
- backtest/research/panel_payload_drytest_2026-08-15.py: one-off live DeepSeek probe;
its .jsonl evidence stays
Added to git: the three 2026-08-14 research reports (feed divergence, re-pin
verification, signal parity), their CSV, and docs/data_source_change_test_plan.md -
CLAUDE.md cites them as standing evidence and their driver scripts were already
committed. The test plan no longer refers to auto-execution.
Hygiene:
- .gitignore: drop oanda_state.json (daemon removed 2026-09-03) and the vanished
backtest/trailgrid dirs; ignore .coverage
- docs/architecture_diagram.py only writes the PNG when run as a script (it used
to plot on import); test box refreshed to 461 tests / 31 modules; PNG regenerated
(the committed one still drew the removed daemon)
- backtest/instructions_for_backtest.txt: manual-journal head replaced by the
actual reporting checklist; the 2026-09-06 addendum is unchanged
- doc drift: README/publisher list all six published files; news_summary.php says
4 h (not 24 h) and drops the pre-id sha1 fallback whose window closed;
analyze_signal_log lists six lenses and --scan-outcomes; agent_panel cost model
says 4 requests by default; tiingo comment cites the NY-anchored weekend;
Module 21 title no longer says "execution lifecycle"
Suite: 461 passed, 0 failed.
Claude-Session: https://claude.ai/code/session_0156YhogLytzj9P2iH1skGbL
41 lines
3.2 KiB
Markdown
41 lines
3.2 KiB
Markdown
# Backtest Re-pin on Oanda bars — verification (Phase 3)
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**Date:** 2026-08-14 (verification; original books were generated 2026-08-04, current-HEAD M5 canonical book exported 2026-08-14)
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**Scope:** confirm the pinned Oanda books exist, satisfy rule 1, and quantify the Oanda↔TD delta that motivated them.
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## Re-pin state
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The re-pin is **already done** — full Oanda-bar books exist in `backtest/oanda_*.csv` for M5/M15/H1/H4, at both cost assumptions, with in-sample (12mo), out-of-sample (2024-06 → 2025-03), and 5-year variants. The shipped configs are `m5` (pullback OFF — `_nopb`) and `m15`.
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### M5 canonical-reference reconciliation (2026-08-14)
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The dated current-HEAD export `backtest/oanda_m5_12mo_065_nopb_20260814.csv` is the canonical M5 12-month reference going forward: **577 trades, +106.82R, PF 1.51**, with both 12-month halves positive (+50.80R / +56.02R; PF 1.46 / 1.55). It covers 2025-08-14 → 2026-08-14, runs the shipped M5 factory (XAU_PB off), charges $0.65 round trip, and uses next-open/raw-path/close-only-trail realism unchanged.
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Earlier M5 snapshots (`oanda_m5_12mo_065_nopb.csv`: 586 / +98.11R / 1.45; `m5_12mo_shipped.csv`: 588 / +96.60R / 1.44; and the 555 / +98.64R ledger entry) remain historical evidence from different HEADs around the weekend-calendar and related QA work. They must not be cited as the current-HEAD reference.
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### Rule-1 summary at realistic cost ($0.65 round trip)
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| TF | 12mo in-sample | 12mo H1 / H2 | OOS (2024-06→2025-03) |
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| M15 | +73.93R PF 1.53 | +66.71 / +7.23 (PF 1.10) | +38.77R PF 1.36 |
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| M5 (shipped, nopb) | +106.82R PF 1.51 (current HEAD) | +50.80 / +56.02 (PF 1.46 / 1.55) | +9.52R PF 1.34 |
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| H1 | +23.97R PF 1.55 | — | +5.15R PF 1.13 |
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| H4 | +16.14R PF 2.28 | — | +1.31R PF 1.14 |
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- **M5 (shipped)** passes rule 1 cleanly: both current-HEAD 12mo halves positive with PF ≥ 1.3, and OOS positive with PF 1.34.
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- **M15** passes in-sample and OOS (PF 1.53 / 1.36) but its second half is soft (PF 1.10) — positive R, below the 1.3 bar. Pre-existing condition, not a re-pin artifact.
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- **H1/H4** pass in-sample but OOS is marginal (PF 1.13–1.14) — consistent with the standing "H4 unproven for auto-execution" note.
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## Oanda ↔ Twelve Data trade-level delta
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Not worth a trade-by-trade book diff: Phase 1 already showed the two feeds disagree on **bar direction** 19% of the time on M5 (11% on M15), with a ~$3 mean / ~$1 systematic close gap. A TD-pinned book is a different instrument's book — this is the documented re-pin motivator, and the Oanda books above are the replacement baseline. A formal trade-level reconciliation would show near-total mismatch and add no decision value.
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## Deliverable status
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- [x] Re-pinned books exist on Oanda bars (12mo + OOS + 5yr, $0.30 + $0.65).
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- [x] Rule 1 verified for the shipped TFs (M5 clean; M15 in-sample+OOS pass, H2 soft; H1/H4 OOS marginal).
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- [x] Cost model: $0.65 matches measured Oanda spread (~$0.65–0.72); $0.30 retained for cross-book comparability.
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- [x] Oanda↔TD delta quantified (Phase 1) — no further book diff needed.
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Remaining Phase-3 follow-up: none. Owner decision 2026-08-14 retained dual reporting: $0.65 is the realistic headline while $0.30 remains for TD-era cross-book comparability and the live TP spread gate.
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