Harwinder Sekhon
183f148bb4
Replaying the live danger/caution gates against the validated 12mo XAU M5 book showed they suppress 25-35 trades worth +4.6..+7.2R/yr — trades entered near USD releases outperform the book average (+0.475R vs +0.256R). New NewsConfig.event_risk_caps_signals (default False = XAU-tuned) keeps EVENT RISK warnings in alerts but no longer guts confidence; EUR factory re-enables the caps (evidence is gold-specific). Pinned XAU M5 regression: 547 trades, +139.94R, trade-identical. Tests: 177 passed.
148 lines
6.0 KiB
Python
148 lines
6.0 KiB
Python
"""EUR/USD signal producer config.
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Re-tuned 2026-07-10 against the realistic backtester (1-pip round-trip
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cost, next-open fills, raw-path resolution) on 2025-07-08 → 2026-07-08
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M5 with M15/H1 confirmations. RESULT: no configuration passed the
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acceptance rule (positive in BOTH train and val halves, PF >= 1.3).
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The M5 defaults below are the best found — roughly breakeven
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(-1.1R / 53 trades / PF 0.93 / 62% WR on 12mo) versus the donor
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branch's -6.7R. Findings that shaped them:
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- transitioning regime bled -27R/88 trades wide-open → blocked
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- A-grade entries LOSE (-26R) while B-grade wins — max conviction
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fires at move extremes (same pathology as gold M5)
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- Fridays (-17R) and hours 8, 12, 13, 18, 19 UTC negative
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- score 30-35 band is where the train-half losses live → floor 35
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- trailing exits beat static TP1 (arm 0.45R / dist 0.5R best)
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M15 + H1 investigated 2026-07-11, verdict NO VALIDATED EDGE either
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(all at 1-pip round-trip cost, real fills):
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- M15 wide-open (all gates off): -2.5R/270 trades 2025-26;
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-54.8R/308 trades on 2024-25 out-of-sample. PF 0.61-0.98.
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- Best in-sample slice (transitioning-regime-only: +15.4R, PF 1.59,
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positive both halves, month-spread) FAILED 2024-25 OOS at PF 0.55.
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Within-year train/val splits are not sufficient for EUR — always
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re-test on the 2024 window before believing a config.
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- Raw-parquet forward-return screens (M15 and M5, ~14 entry
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conditions x 4-5 horizons: momentum, mean-reversion, breakout,
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streak, session families): nothing clears +1 pip in both years.
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- H1 wide-open: +9.8R PF 1.32 in 2025-26 (both halves positive) but
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-5.7R PF 0.82 on 2024-25. Positive from Jan 2025 onward; H2-2024
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regime negative. Closest to workable, still unvalidated.
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Root cause is cost-to-volatility: EUR M15 ATR ~= 10 pips, so the 1-pip
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spread taxes every trade ~10% of ATR (M5 worse). The XAU signal engine
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survives because gold's ATR/spread ratio is several times larger.
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EUR/USD therefore ships FUNCTIONAL BUT OFF by default: it is not in
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PlatformConfig.scan_pairs. Scan it on demand (main.py --pair EURUSD,
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or add to scan_pairs) but treat all EUR M5/M15 signals as informational
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only. Open avenues needing new data/infra: calendar-anchored entries
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(requires a historical Forex Factory archive), limit-entry cost
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reduction (needs tick data to model fills honestly), H4/D1 swing.
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"""
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from typing import Optional, List
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from config import PlatformConfig, Timeframe, EURUSD
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_CONFIRMATIONS = {
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Timeframe.M5: [Timeframe.M15, Timeframe.H1],
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Timeframe.M15: [Timeframe.M5, Timeframe.H1],
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Timeframe.H1: [Timeframe.M15, Timeframe.H4],
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Timeframe.H4: [Timeframe.H1, Timeframe.D1],
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}
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_TRENDING = {
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"ema_trend": 2.0, "rsi": 1.0, "macd": 2.0,
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"bollinger": 0.5, "keltner": 1.0, "roc": 1.5,
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"candlestick": 0.5, "divergence": 2.0, "adx": 1.0,
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}
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EUR_REGIME_WEIGHTS = {
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"trending_up": _TRENDING,
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"trending_down": _TRENDING,
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"trending": _TRENDING,
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"ranging": {
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"ema_trend": 0.3, "rsi": 2.0, "macd": 1.0,
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"bollinger": 2.0, "keltner": 1.5, "roc": 0.5,
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"candlestick": 0.8, "divergence": 2.5, "adx": 0.5,
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},
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"transitioning": {
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"ema_trend": 1.5, "rsi": 1.5, "macd": 2.0,
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"bollinger": 1.0, "keltner": 1.5, "roc": 2.0,
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"candlestick": 0.8, "divergence": 2.0, "adx": 1.0,
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},
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}
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_M5_TRENDING = {
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"ema_trend": 1.5, "rsi": 1.0, "macd": 2.5,
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"bollinger": 0.5, "keltner": 2.0, "roc": 2.0,
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"candlestick": 0.3, "divergence": 1.0, "adx": 1.0,
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}
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M5_REGIME_WEIGHTS = {
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"trending_up": _M5_TRENDING,
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"trending_down": _M5_TRENDING,
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"trending": _M5_TRENDING,
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"ranging": {
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"ema_trend": 0.3, "rsi": 1.5, "macd": 1.5,
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"bollinger": 1.5, "keltner": 2.0, "roc": 1.0,
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"candlestick": 0.3, "divergence": 1.5, "adx": 0.5,
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},
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"transitioning": {
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"ema_trend": 1.0, "rsi": 1.0, "macd": 2.5,
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"bollinger": 0.5, "keltner": 2.5, "roc": 2.0,
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"candlestick": 0.3, "divergence": 1.0, "adx": 1.0,
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},
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}
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def make_config(
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primary_tf: Timeframe,
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confirmation_tfs: Optional[List[Timeframe]] = None,
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) -> PlatformConfig:
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config = PlatformConfig()
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config.symbol = EURUSD
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config.display_name = "EUR/USD"
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config.pip_value = 0.0001
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config.primary_timeframe = primary_tf
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config.confirmation_timeframes = (
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confirmation_tfs or _CONFIRMATIONS.get(primary_tf, [Timeframe.M15, Timeframe.H4])
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)
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# XAU gates are display-gated in the aggregator; disabling here is
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# belt-and-braces so no gold logic can ever fire on an EUR config.
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config.xau_strategy.enabled = False
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# Keep event-risk signal gating ON for EUR (the XAU-tuned default
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# turned it off after the 2026-07-11 audit — that evidence is
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# gold-specific; EUR event-window trades were flat-to-negative).
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config.news.event_risk_caps_signals = True
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config.backtest.session_start_hour = 7
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config.backtest.session_end_hour = 20
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config.backtest.blocked_hours_utc = [22, 23, 0, 1, 2, 3]
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config.backtest.allowed_weekdays = [0, 1, 2, 3, 4]
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if primary_tf == Timeframe.M5:
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config.technical.regime_weights_override = M5_REGIME_WEIGHTS
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config.technical.swing_sr_lookback = 20
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config.eur_strategy.sl_atr_floor = 0.7
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config.eur_strategy.sl_atr_multiplier = 0.3
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config.eur_strategy.min_quality_grades = ["A+", "A", "B"]
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# Best-found 2026-07-10 (breakeven, see module docstring):
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config.eur_strategy.min_entry_score = 35.0
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config.eur_strategy.min_entry_confidence = 45.0
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config.eur_strategy.blocked_vol_regimes = []
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config.eur_strategy.min_indicator_agreement = 0
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config.eur_strategy.allowed_weekdays = [0, 1, 2, 3] # Fridays bled -17R
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config.backtest.allowed_weekdays = [0, 1, 2, 3]
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config.backtest.blocked_hours_utc = [22, 23, 0, 1, 2, 3, 8, 12, 13, 18, 19]
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# Trailing exit beat static TP1; earlier/tighter than gold's 0.6/0.75.
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config.signals.trail_arm_r = 0.45
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config.signals.trail_dist_r = 0.5
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else:
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config.technical.regime_weights_override = EUR_REGIME_WEIGHTS
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return config
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