ForexBot2/backtest/research/conviction_campaign_2026-09-27.md

# Single "conviction" number vs the two-number grade — pre-registered campaign, 2026-09-27

Owner question (2026-09-27): "Can there be a combination of both [score and confidence] that is
easier to understand and also for the system to make decisions?" Chosen route (owner): research a
single decision number. This file was written BEFORE any candidate run. Rules first, results
appended below them. Nothing ships from this campaign; a pass is a hypothesis for a per-timeframe
override in a separate commit (CLAUDE.md rule 2).

## What is tested

Today (`signal_aggregator._compute_final_signal`, gate 6c) a grade needs BOTH a score floor and a
confidence floor: A+ |score| ≥ 40 & conf ≥ 65 & mtf; A 33 & 55 & mtf; B 28 & 50; C 25 & 45;
D |score| ≥ 15; STRONG 35 & 55; BUY/SELL 25 & 50; 6c boost A 30 & 50 & mtf, B 25 & 45.
Candidates replace the pair with one number. Thresholds are fixed analytically from the control's
corner points — no grid, no tuning (a data-mined threshold would need its own holdout):

- **K-MIN**: `conviction = min(|score|, 0.6 × confidence)`. Grades A+ ≥ 40 (mtf), A ≥ 33 (mtf),
  B ≥ 28, C ≥ 25, D |score| ≥ 15 unchanged, else F; STRONG ≥ 35, BUY/SELL ≥ 25; 6c boost A ≥ 30
  (mtf), B ≥ 25. (The control's corner ratios score/conf are 0.615, 0.60, 0.56, 0.556, so 0.6 is the
  natural single scale.) Against the control: A+ needs conf ≥ 66.7 (was 65), B ≥ 46.7 (50),
  C ≥ 41.7 (45), STRONG ≥ 58.3 (55), BUY/SELL ≥ 41.7 (50); score floors unchanged.
- **K-PROD**: `conviction = |score| × confidence / 100`. A+ ≥ 26 (40×65), A ≥ 18.15 (33×55),
  B ≥ 14 (28×50), C ≥ 11.25 (25×45), D |score| ≥ 15, else F; STRONG ≥ 19.25 (35×55),
  BUY/SELL ≥ 12.5 (25×50); 6c A ≥ 15 (30×50), B ≥ 11.25 (25×45). A genuine trade-off: high
  confidence can lift a mid score and vice versa. Interaction on record: a product B/C with
  |score| < 25 is demoted to D on M5 by the live gate 1 (`m5_min_abs_score` 25); the gate stays,
  the count of demotions is reported (Step E). Property on record (code review, before the runs):
  the D rung stays `|score| ≥ 15` in both candidates, and under the product form B/C can sit below
  it (B needs |score| ≥ 14.74 at the 95 confidence cap, C ≥ 11.85), so an M15/H1/H4 product book can
  hold a trade with |score| < 15. Kept as pre-registered (a score floor would make it a pair rule
  again); the count of |score| < 15 and < 25 trades per candidate book is reported.
- Geometric mean √(|score|·conf) is a monotone transform of the product (same partition at
  thresholds √T) — not a separate candidate.
- Direction stays sign(score); mtf agreement stays required for A+/A; the exhaustion hard block
  (conf = 0) gives conviction 0 in both forms, so NEUTRAL and at most D, as today.

Switch: `signals.grading_mode` (`"pair"` default = today's literal rule, `"min"`, `"product"`),
read in `_compute_final_signal` and gate 6c (`signal_aggregator.py` helpers `_signal_pair`,
`_quality_pair`, `_transitioning_boost`, `conviction`, `CONVICTION_THRESHOLDS`), mirrored in K2
(`backtest/cuda_signal_kernels.py`, `PI_grading_mode`, `PF_conv_*` packed from the live module),
refused by the twin for other values. `pair` is byte-identical to HEAD `1454ea1` (Step A proves it).
Note: `engine_config_fingerprint` hashes `SignalConfig`, so the live fingerprint changes at the
deploy of this field even in `pair` mode (label-only; split signal-log comparisons there).

## Harness

Twin command template (research twin, CLAUDE.md §3/§9; seconds per book):
`venv/bin/python backtest/cudaBasedBacktesting.py --pair XAUUSD --spread <0.65|0.30>
--primary-tf <5min|15min|1h|4h> --start <s> --end <e> [--set signals.grading_mode=<min|product>]
--export-csv <out>`. Reference script (`backtest/gpu_backtest.py`, same flags, `--workers 12`)
for the neutrality proof and every paired MD5. Factory configuration; `--set` is the only override.

Evidence order (all must hold before any candidate number is read):
1. **Neutrality**: with the new code and no `--set`, the five pins reproduce on BOTH scripts
   (M5 W2 `e599c8a8652f95b7fcdf5a7ef2b564f5`, M15 W2 `5b65ecf6fad9a8da412749066fd50d36`,
   M15 OOS `09b8a8e7f5833436c20aef60ca0a7ff7`, H1 W3 `a44fd19b4067f46e5bd98d50cc3eff92`,
   H4 W3 `f3587bae3c5dc3eda468ea3588b17dcb`), plus the twin with an explicit
   `--set signals.grading_mode=pair` on M15 OOS.
2. **Twin parity on the new paths**: each candidate's M15 OOS $0.65 book is MD5-equal on both scripts.
3. A passing candidate is re-run once on `gpu_backtest.py` (W2, $0.65) and the two MD5s must be equal.

Windows: W2 2024-09-05 → 2026-09-05 (halves split at 2025-09-05); OOS 2024-06-01 → 2025-03-30
(halves at 2024-10-30); W3 2023-09-05 → 2026-09-05 (halves at 2025-03-05; max-DD clause); 5-year
2021-08-01 → 2026-08-04 (per-year clause; cache `20210531_20260804`). Costs: $0.65 headline, $0.30
comparability. Books are written outside the tree (§9 keeps no CSVs in-tree).

Code review gate (owner instruction): the diff is reviewed with the `code-review` skill before Step A;
outcome recorded here. Outcome (2026-09-27, `code-review` high, before Step A): 7 findings, 6 fixed in the same working
tree — kernel mode codes pinned by name (`GRADING_MODE_CODES`) and checked against the live list;
no zero-threshold fallback for a non-pair mode; the twin's refusal reads the kernel's map; `conviction()`
refuses modes it has no formula for; one `_final_signal_and_grade` dispatch point; `engine_config_fingerprint`
omits the switch under `pair` so live rows keep their fingerprint; CLAUDE.md test counts updated. One
recorded, not changed: the D rung under the product form (above). Suite green after the fixes.

## Candidates

| # | TF | `--set` | Hypothesis |
|---|---|---|---|
| K-MIN | M5, M15 (H1/H4 for the record) | `signals.grading_mode=min` | one scale on the score axis; nearly the control, loosens B/C/BUY confidence, tightens A+ |
| K-PROD | M5, M15 (H1/H4 for the record) | `signals.grading_mode=product` | genuine trade-off between the two axes; confidence can lift a mid score |

## Acceptance rule (CLAUDE.md rule 1, written before the runs)

A candidate PASSES only if, at $0.65, on W2: (a) total R ≥ control + 5R; (b) both halves ≥ the
control's halves − 1R (no half may fund the other); (c) PF ≥ 1.3 and ≥ control − 0.02; (d) OOS
total R ≥ control − 1R; (e) W3 max drawdown ≤ control + 10%; (f) the same sign of ΔR at $0.30.
A candidate that changes fewer than 20 trades on W2 is "no evidence", not a pass.

Judge run-level numbers, never the added/removed bucket alone (the 5-bar cooldown displaces
entries). Trade diff keyed on (entry time, direction).

Campaign clause (g): on the 5-year window at $0.65, no calendar year in which the control is
positive goes below −5R under the candidate (trend-artefact guard, `fixedtp_2026-08-05.md`
precedent); a W2 gain that lives in a single year is read as an artefact and noted.

The rule is judged independently on M5 W2 and M15 W2: the mode is read per config, so a pass ships
as a per-timeframe factory override (rule 2) and a timeframe where it fails keeps `pair`. H1 and H4
are run on W3 for the record (ΔR at $0.65, trades changed); they are not ship candidates here — a
positive H1/H4 result is a hypothesis for its own pre-registration. Nothing ships if no clause set
passes; the field stays a research-only knob (precedent `--fixed-rr-tp`).

## Run list

Step 0 suite green (Module 37 on the GPU) and the review gate. Step A neutrality (11 runs).
Step B twin parity on the new paths (4 runs). Step C books on the twin: {M5 W2, M5 OOS, M5 W3,
M15 W2, M15 OOS, M15 W3, H1 W3, H4 W3} × {$0.65, $0.30} × {control, min, product}. Step D per-year
(5-year, M5 and M15, $0.65, control/min/product). Step E K-PROD M5 W2 $0.65 with
`--record DIR --record-bars` (MD5 equal to the Step C book) to count `m5_score` demotions.
Step F reference-script rerun for any passer.

## Results

<!-- appended after the runs; nothing above this line changes -->

Reference script `Backend: CuPy GPU (NVIDIA GeForce RTX 4070 SUPER, cupy 14.0.1)`, `GPU cache fallbacks: 0`;
twin `Backend: CuPy GPU (NVIDIA GeForce RTX 4070 SUPER, cupy 14.0.1)`, `GPU cache fallbacks: 0 (no per-bar
recompute path in cudaBasedBacktesting)`. Every run from the kept cache windows.

### Step A — neutrality (new code, `grading_mode` at its default, no `--set`)

| Book | Pin | `gpu_backtest.py` | `cudaBasedBacktesting.py` |
|---|---|---|---|
| M5 W2 $0.65 | `e599c8a8652f95b7fcdf5a7ef2b564f5` | equal | equal |
| M15 W2 $0.65 | `5b65ecf6fad9a8da412749066fd50d36` | equal | equal |
| M15 OOS $0.65 | `09b8a8e7f5833436c20aef60ca0a7ff7` | equal | equal; also equal with an explicit `--set signals.grading_mode=pair` |
| H1 W3 $0.65 | `a44fd19b4067f46e5bd98d50cc3eff92` | equal | equal |
| H4 W3 $0.65 | `f3587bae3c5dc3eda468ea3588b17dcb` | equal | equal |

The refactor (helpers + switch) is byte-neutral on both scripts: the five pins stand.

### Step B — twin parity on the new code paths (M15 OOS $0.65)

| Candidate | `gpu_backtest.py` | `cudaBasedBacktesting.py` |
|---|---|---|
| K-MIN | `22726d8500383ce02e0a3cbf0412f6d8` | `22726d8500383ce02e0a3cbf0412f6d8` (equal) |
| K-PROD | `d1ae11651d5d7c8066b7e8addc0c7f36` | `d1ae11651d5d7c8066b7e8addc0c7f36` (equal) |

The twin's books below therefore count as evidence (instructions item 6, CUDA-twin addendum).

### Books (all on the twin; the control rows reproduce the reference script's MD5s)

Halves: W2 at 2025-09-05, OOS at 2024-10-30, W3 at 2025-03-05. Trades / R from the 63-column book.

| TF | Window | Cost | Candidate | Trades | Total R | H1 | H2 | WR | PF | Max DD | MD5 (8) |
|---|---|---|---|---|---|---|---|---|---|---|---|
| M5 | W2 | $0.65 | control | 781 | +146.07 | +26.42 | +119.65 | 52.9% | 1.52 | 10.1 | e599c8a8 |
| M5 | W2 | $0.65 | K-MIN | 812 | +144.86 | +24.73 | +120.13 | 52.8% | 1.50 | 11.5 | 2ab2b573 |
| M5 | W2 | $0.65 | K-PROD | 805 | +147.33 | +29.27 | +118.06 | 52.5% | 1.52 | 11.6 | a37dbb71 |
| M5 | W2 | $0.30 | control / K-MIN / K-PROD | 781 / 812 / 805 | +162.09 / +161.17 / +163.96 | +31.71 / +30.15 / +34.70 | +130.37 / +131.02 / +129.26 | | 1.60 / 1.57 / 1.59 | 8.9 / 10.6 / 10.9 | 7ab48db9 / 64f26c30 / ed14d7ec |
| M5 | OOS | $0.65 | control | 86 | +9.47 | +0.01 | +9.46 | 53.5% | 1.33 | 8.2 | 65c46e62 |
| M5 | OOS | $0.65 | K-MIN | 94 | +14.32 | +2.37 | +11.94 | 56.4% | 1.51 | 6.4 | bec7c87f |
| M5 | OOS | $0.65 | K-PROD | 91 | +13.03 | +0.10 | +12.93 | 54.9% | 1.45 | 4.5 | 217d0134 |
| M5 | OOS | $0.30 | control / K-MIN / K-PROD | 86 / 94 / 91 | +12.42 / +17.34 / +16.05 | | | | 1.46 / 1.66 / 1.58 | 6.7 / 4.8 / 4.1 | |
| M5 | W3 | $0.65 | control | 870 | +153.64 | +16.73 | +136.91 | 53.3% | 1.50 | 10.1 | d20ec8a3 |
| M5 | W3 | $0.65 | K-MIN | 905 | +153.84 | +20.64 | +133.20 | 53.3% | 1.48 | 11.5 | 5ad0c381 |
| M5 | W3 | $0.65 | K-PROD | 896 | +154.60 | +20.12 | +134.48 | 52.9% | 1.49 | 11.6 | 466bda90 |
| M5 | W3 | $0.30 | control / K-MIN / K-PROD | 870 / 905 / 896 | +172.40 / +172.92 / +173.99 | | | | 1.57 / 1.55 / 1.56 | 8.9 / 10.6 / 10.9 | |
| M15 | W2 | $0.65 | control | 813 | +154.15 | +70.10 | +84.04 | 62.2% | 1.53 | 15.6 | 5b65ecf6 |
| M15 | W2 | $0.65 | K-MIN | 827 | +151.25 | +69.05 | +82.21 | 61.9% | 1.51 | 16.0 | 5c7918dc |
| M15 | W2 | $0.65 | K-PROD | 1106 | +125.17 | +62.26 | +62.91 | 58.2% | 1.29 | 28.9 | ecfb62e5 |
| M15 | W2 | $0.30 | control / K-MIN / K-PROD | 813 / 827 / 1106 | +167.53 / +164.82 / +144.91 | +78.61 / +77.62 / +74.30 | +88.91 / +87.20 / +70.61 | | 1.59 / 1.57 / 1.34 | 14.5 / 14.9 / 26.8 | 15486607 / 5ab311cf / 582019a7 |
| M15 | OOS | $0.65 | control | 313 | +68.50 | +18.87 | +49.63 | 63.6% | 1.67 | 12.4 | 09b8a8e7 |
| M15 | OOS | $0.65 | K-MIN | 314 | +65.64 | +19.20 | +46.44 | 63.4% | 1.64 | 12.4 | 22726d85 |
| M15 | OOS | $0.65 | K-PROD | 408 | +53.98 | +26.67 | +27.32 | 59.1% | 1.36 | 17.3 | d1ae1165 |
| M15 | OOS | $0.30 | control / K-MIN / K-PROD | 313 / 314 / 408 | +76.21 / +73.36 / +64.35 | | | | 1.77 / 1.74 / 1.44 | 11.1 / 11.1 / 16.4 | |
| M15 | W3 | $0.65 | control | 1105 | +195.79 | +76.87 | +118.92 | 61.1% | 1.49 | 20.9 | 70195fb0 |
| M15 | W3 | $0.65 | K-MIN | 1126 | +191.25 | +71.90 | +119.35 | 60.7% | 1.47 | 21.3 | 23edd8bc |
| M15 | W3 | $0.65 | K-PROD | 1478 | +186.24 | +84.70 | +101.54 | 58.3% | 1.33 | 28.9 | 0246cbb4 |
| M15 | W3 | $0.30 | control / K-MIN / K-PROD | 1105 / 1126 / 1478 | +216.53 / +212.32 / +215.54 | | | | 1.55 / 1.53 / 1.39 | 19.6 / 20.0 / 26.8 | |
| H1 | W3 | $0.65 | control | 253 | +70.02 | +26.26 | +43.76 | 64.4% | 1.98 | 4.4 | a44fd19b |
| H1 | W3 | $0.65 | K-MIN | 268 | +74.81 | +28.75 | +46.06 | 64.9% | 1.99 | 5.7 | 24674555 |
| H1 | W3 | $0.65 | K-PROD | 351 | +81.88 | +30.68 | +51.19 | 60.1% | 1.75 | 8.5 | 2e8df9cc |
| H1 | W3 | $0.30 | control / K-MIN / K-PROD | 253 / 268 / 351 | +72.74 / +77.64 / +85.91 | | | | 2.03 / 2.04 / 1.80 | 4.3 / 5.6 / 8.3 | |
| H4 | W3 | $0.65 | control | 114 | +21.68 | +4.91 | +16.77 | 57.9% | 1.59 | 5.4 | f3587bae |
| H4 | W3 | $0.65 | K-MIN | 117 | +22.57 | +4.91 | +17.66 | 58.1% | 1.59 | 5.4 | 3ed9a44e |
| H4 | W3 | $0.65 | K-PROD | 151 | +38.69 | +13.97 | +24.72 | 58.9% | 1.78 | 6.3 | b696b617 |
| H4 | W3 | $0.30 | control / K-MIN / K-PROD | 114 / 117 / 151 | +22.52 / +23.43 / +39.88 | | | | 1.61 / 1.62 / 1.81 | 5.0 / 5.0 / 6.0 | |

### Trade diffs at $0.65 (key = entry time + direction; W2 for M5/M15, W3 for H1/H4)

- M5 K-MIN: 37 added (+1.74R), 6 removed (+4.53R), 775 common (+143.12R vs +141.54R in the control:
  the cooldown shifts a few entries). Grade mix B 572 → 606, A 187 → 186, C 21 → 19. Changed 43.
- M5 K-PROD: 74 added (+16.51R), 50 removed (+10.12R), 731 common (+130.83R vs +135.95R). Grade
  mix A 187 → 263, A+ 1 → 3, C 21 → 8; XAU_ATR setups 32 → 57 (more A grades reach the ATR
  generator). Changed 124.
- M15 K-MIN: 34 added (−0.34R), 20 removed (+3.42R), 793 common (+151.59R vs +150.73R). A+ 22 → 10
  (the A+ confidence floor rises to 66.7), B 443 → 465. Changed 54.
- M15 K-PROD: 544 added (+2.66R), 251 removed (+16.64R), 562 common (+122.51R vs +137.50R). The
  book grows 813 → 1106 (C 60 → 196, A+ 22 → 79); 295 candidate trades carry |score| < 25 and earn
  +5.11R between them. Changed 795.
- H1 (for the record): K-MIN +20 / −5, 248 common, ΔR +4.79; K-PROD +126 / −28, 225 common,
  ΔR +11.86 with PF 1.98 → 1.75 and max DD 4.4 → 8.5R; 63 trades with |score| < 25 (+7.38R).
- H4 (for the record): K-MIN +3 / −0, ΔR +0.89 (3 trades changed: no evidence); K-PROD +40 / −3,
  ΔR +17.01 with PF 1.59 → 1.78 and DD 5.4 → 6.3R, 28 trades with |score| < 25 (+15.41R).
- No candidate book on any timeframe holds a trade with |score| < 15 except the M5 chart-pattern
  entries the control also has (127 XAU_CP trades, forced grade B by design, identical in all three
  M5 books). The D-rung property recorded above did not materialise.
- Step E (M5 W2 $0.65 K-PROD with `--record --record-bars`, book MD5 `a37dbb71…` = the Step C
  book): 82 analysed bars carry the gate-1 warning `M5 FILTER: |score| … < 25 minimum` as their
  first warning, every one of them ending at grade D. That is the whole M5 gate-1 interaction.

### Per year, 5-year window 2021-08-01 → 2026-08-04 at $0.65 (twin)

| TF | Year | control n / R | K-MIN n / R | K-PROD n / R |
|---|---|---|---|---|
| M5 | 2021 | 12 / −1.99 | 14 / −0.28 | 13 / −0.55 |
| M5 | 2022 | 50 / −2.18 | 54 / −0.43 | 52 / +1.29 |
| M5 | 2023 | 61 / −2.75 | 62 / −2.10 | 61 / −3.57 |
| M5 | 2024 | 102 / +0.97 | 108 / +4.05 | 106 / +4.19 |
| M5 | 2025 | 332 / +40.54 | 346 / +38.87 | 342 / +41.63 |
| M5 | 2026 | 348 / +92.49 | 361 / +87.15 | 358 / +85.73 |
| M5 | total | 905 / +127.08 (PF 1.39, DD 13.5) | 945 / +127.25 (1.37, 12.4) | 932 / +128.72 (1.38, 12.2) |
| M15 | 2021 | 78 / −10.88 | 84 / −11.20 | 90 / −6.29 |
| M15 | 2022 | 267 / −24.63 | 273 / −26.34 | 340 / −47.01 |
| M15 | 2023 | 211 / +11.74 | 216 / +11.10 | 261 / +8.63 |
| M15 | 2024 | 343 / +53.35 | 345 / +49.12 | 448 / +62.45 |
| M15 | 2025 | 425 / +81.16 | 438 / +85.91 | 576 / +83.40 |
| M15 | 2026 | 224 / +38.10 | 227 / +32.98 | 317 / +4.32 |
| M15 | total | 1548 / +148.84 (PF 1.25, DD 48.3) | 1583 / +141.58 (1.23, 48.7) | 2032 / +105.50 (1.13, 77.4) |

### Verdicts against the pre-registered rule (W2 at $0.65 unless stated)

| Candidate | TF | (a) ΔR ≥ +5 | (b) halves ≥ ctrl − 1 | (c) PF ≥ 1.3 & ≥ ctrl − 0.02 | (d) OOS ≥ ctrl − 1 | (e) W3 DD ≤ ctrl + 10% | (f) same sign at $0.30 | (g) 5-yr years | changed | Verdict |
|---|---|---|---|---|---|---|---|---|---|---|
| K-MIN | M5 | ✗ −1.21 | ✗ H1 24.73 < 25.42 | ✓ 1.50 | ✓ +14.32 vs 9.47 | ✗ 11.5 > 11.1 | ✓ −0.92 | ✓ | 43 | **FAIL (a, b, e)** |
| K-PROD | M5 | ✗ +1.26 | ✗ H2 118.06 < 118.65 | ✓ 1.52 | ✓ +13.03 | ✗ 11.6 > 11.1 | ✓ +1.87 | ✓ | 124 | **FAIL (a, b, e)** |
| K-MIN | M15 | ✗ −2.90 | ✗ 69.05 < 69.10, 82.21 < 83.04 | ✓ 1.51 | ✗ 65.64 < 67.50 | ✓ 21.3 ≤ 23.0 | ✓ −2.71 | ✓ | 54 | **FAIL (a, b, d)** |
| K-PROD | M15 | ✗ −28.98 | ✗ | ✗ 1.29 | ✗ 53.98 | ✗ 28.9 > 23.0 | ✓ −22.62 | ✓ (2026 +4.32, still positive) | 795 | **FAIL (a–e)** |

Reading. K-MIN is the control with a slightly looser confidence floor on B/C/BUY and a tighter one
on A+: it moves 43–54 trades on W2 and changes nothing of substance (−1.2R on M5, −2.9R on M15, PF
within 0.02, OOS mixed). It is a re-labelling of the same rule with a small loss, not a better
decision number. K-PROD is a different rule: on M15 it lets confidence substitute for score, grows
the book by a third and gives back −29R with PF 1.29 and a W3 drawdown of 28.9R (5-year 77.4R, PF
1.13); on M5 it is neutral. On H1 and H4 the product rule adds R (+11.9R and +17.0R on W3) by
taking 40–100 extra low-score trades; H1's PF drops 1.98 → 1.75 and its drawdown doubles, H4 stays
"unproven" (114 → 151 trades). Both are hypotheses for their own pre-registration, not evidence.

## Not shipped (2026-09-27)

No candidate passes on M5 or M15. The two-number rule stays as validated; `signals.grading_mode`
remains a research-only knob (default `pair`, byte-identical books). Follow-ups:
- The "easier to understand" half of the owner's question is a display task: the grade already
  combines score, confidence and timeframe agreement, and the surfaces can lead with it and
  word the two raw numbers in plain language (no signal change, books untouched).
- H1 / H4 K-PROD (+11.9R / +17.0R on W3, more trades, lower H1 PF, higher DD) may be pre-registered
  on its own if the owner wants it; H4 has too few trades for rule 1 and H1's edge already lives
  in a small book (253 trades in 3 years).
- Do not re-run these two formulas on M5 or M15 with other thresholds: a tuned threshold would
  need its own holdout and the corner-point versions here bracket the plausible range.