ForexBot2/backtest/research/signal_log_campaign_2026-09.md

Signal-log audit → prediction-quality campaign — 2026-09-03

Source evidence: logs/signals.db 2026-08-13 → 2026-09-03 (14,683 rows, candle snapshots from 08-18), replayed with the repo's own advisory outcome model (analyze_signal_log.py --stored-candles; the replay reproduces advisory_outcome.py to 5e-17 on the 49 panel-seeded rows), cross-checked against the pinned Oanda books (backtest/oanda_*_065*.csv).

Live-log findings that motivated the campaign

View (3 weeks, $0.65 rt)	n	WR	R	PF
every unique setup event	144	67%	+37.8	1.93
opportunities (first per tf+direction, 60 min)	66	67%	+18.3	1.92
one-position-per-TF (5-bar cooldown)	32	62%	+6.6	1.53
direction BUY / SELL	121 / 23	70% / 48%	+43.2 / −5.4	2.53 / 0.56

• Two rally days (08-19, 08-21) contribute essentially all of the R.
• SELL is negative in every view; in the books SELL is the weakest bucket on every TF (H1 SELL −16.7R/5yr PF 0.77, −11.5R OOS PF 0.30; M15 SELL −11.7R OOS; M5 SELL in transitioning −7.9R/12mo PF 0.21, −5.2R/5yr PF 0.49).
• Bollinger is anti-predictive on all four TFs (forward-return hit 0.26–0.50 at 12 bars) and "opposes" 93% of taken book trades; divergence is inverted on M15/H1 live and trades where it opposed outperform in the books.
• Refuted live hypotheses (books disagree): ADX<20 gate, exhaustion gate, NEAR-EMA200 gate, EXTREME-volatility gate, capping SL/ATR.

Method (rule 1)

Harness: backtest/gpu_backtest.py --pair XAUUSD --spread 0.65 on the CPU backend (CuPy present but the GPU was not reachable; the M5 12mo control reproduces the pinned oanda_m5_12mo_065_nopb_20260814.csv trade-for-trade except the two trades on the end date, which --end excludes). Every candidate is compared with a CONTROL produced on the same harness, never with the pinned book directly. Windows (cache start = start − 62 days):

window	--start	--end
12mo (M15/H1)	2025-08-04	2026-08-04
12mo (M5 canonical)	2025-08-14	2026-08-14
5yr	2021-08-01	2026-08-04
OOS	2024-06-01	2025-03-30

Acceptance: positive total R in both 12mo halves, PF ≥ 1.3, OOS not worse than control, and a candidate that removes a net-positive bucket for a PF-only gain is rejected (big-candle precedent). Runner: <scratchpad>/campaign/run_campaign.sh; summary: summarize.py (scratchpad tooling, not retained — both shipped gates are reproduced by a plain pair-factory run at HEAD; see the parity recipe in sizing_campaign_2026-09.md).

Candidates (all --set, no code):

• B1 SELL gating — H1 xau_strategy.sell_min_quality=[] (block all H1 shorts); M5 xau_strategy.sell_blocked_regimes=["transitioning"]; M15 xau_strategy.sell_min_quality=["B"].
• B2 divergence off — technical.disabled_indicators=["divergence"] on M15 and H1 (M5 divergence-down was rejected 2026-08-04; not re-run).
• B3 Bollinger weight 0 in trending regimes — full technical.regime_weights_override with bollinger 0.0 in trending_up/trending_down/trending, ranging/transitioning unchanged; M5, M15, H1.

Results

Every control reproduced its pinned book: M15 12mo (ctl_m15_12mo) is exact at 397/+73.93R/PF 1.53; all three H1 controls are exact; the M5 12mo control (base_m5_12mo) is exact except for the two trades that fall on the end date, which --end excludes on this harness (see Method above).

book	n	R	PF	DD	H1	H2	sellN	sellR	ΔR vs control	ΔPF
b1_h1_nosell_12mo	91	+22.2	1.79	4.1	+20.6	+1.6	0	+0.0	-1.8	+0.25
b1_h1_nosell_5yr	335	+49.1	1.46	13.2	-5.0	+54.1	0	+0.0	+16.7	+0.28
b1_h1_nosell_oos	78	+16.7	1.74	3.6	+7.3	+9.4	0	+0.0	+11.5	+0.61
b1_m15_sellB_12mo	341	+74.6	1.62	10.8	+68.4	+6.2	82	+9.1	+0.7	+0.09
b1_m15_sellB_5yr	1378	+119.1	1.22	41.4	-21.3	+140.3	335	+3.7	-8.9	+0.02
b1_m15_sellB_oos	272	+47.1	1.51	13.8	+12.3	+34.8	59	-3.4	+8.3	+0.15
b1_m5_selltrans_12mo	557	+112.2	1.56	9.9	+55.9	+56.4	75	+14.8	+7.9	+0.06
b1_m5_selltrans_5yr	889	+133.7	1.41	12.8	-8.3	+142.0	88	+9.0	+5.3	+0.03
b1_m5_selltrans_oos	86	+9.4	1.33	8.2	-1.4	+10.9	4	+1.5	+0.0	+0.00
b2_h1_nodiv_12mo	149	+28.6	1.62	6.5	+23.6	+5.0	49	+5.5	+4.6	+0.07
b2_h1_nodiv_5yr	567	+40.5	1.20	14.1	-5.2	+45.6	203	-18.2	+8.1	+0.02
b2_h1_nodiv_oos	119	+7.6	1.17	7.7	-1.9	+9.5	31	-14.3	+2.4	+0.04
b2_m15_nodiv_12mo	439	+81.3	1.51	13.1	+72.3	+8.9	147	+7.0	+7.4	-0.02
b2_m15_nodiv_5yr	1771	+139.9	1.20	47.4	-16.2	+156.1	578	+11.7	+11.9	-0.01
b2_m15_nodiv_oos	341	+52.3	1.43	17.1	+15.6	+36.7	93	-10.0	+13.5	+0.07
b3_h1_bb0_12mo	154	+31.2	1.64	9.4	+22.8	+8.4	52	+6.7	+7.3	+0.09
b3_h1_bb0_5yr	583	+37.3	1.18	18.3	-7.4	+44.7	206	-20.4	+4.9	+0.00
b3_h1_bb0_oos	122	+5.6	1.12	8.7	-2.0	+7.6	32	-13.8	+0.4	-0.01
b3_m15_bb0_12mo	439	+49.9	1.29	19.4	+61.6	-11.8	151	+0.3	-24.0	-0.23
b3_m15_bb0_5yr	1790	+126.6	1.18	42.3	-1.8	+128.5	592	+17.4	-1.3	-0.03
b3_m15_bb0_oos	345	+55.5	1.47	12.4	+18.2	+37.3	94	-8.4	+16.7	+0.11
b3_m5_bb0_12mo	621	+84.0	1.35	16.6	+49.3	+34.7	104	+9.7	-20.4	-0.14
b3_m5_bb0_5yr	987	+113.0	1.31	15.3	-7.7	+120.6	134	+12.0	-15.5	-0.08
b3_m5_bb0_oos	93	+10.6	1.35	5.6	-2.9	+13.5	9	+3.7	+1.2	+0.01
b12_h1_nosell_nodiv_12mo	100	+23.1	1.75	4.6	+21.8	+1.3	0	+0.0	-0.8	+0.20
b12_h1_nosell_nodiv_5yr	364	+58.7	1.52	12.9	-4.1	+62.8	0	+0.0	+26.3	+0.34
b12_h1_nosell_nodiv_oos	88	+21.9	1.92	4.8	+9.4	+12.5	0	+0.0	+16.8	+0.79
base_m5_12mo	575	+104.3	1.50	10.7	+50.8	+53.5	93	+6.9	—	—
ctl_h1_12mo	138	+24.0	1.55	8.0	+19.4	+4.6	47	+1.8	—	—
ctl_h1_5yr	515	+32.4	1.18	15.2	-5.9	+38.3	180	-16.7	—	—
ctl_h1_oos	104	+5.1	1.13	7.5	-0.9	+6.1	26	-11.5	—	—
ctl_m15_12mo	397	+73.9	1.53	10.8	+66.7	+7.2	138	+8.5	—	—
ctl_m15_5yr	1578	+128.0	1.21	35.8	-3.4	+131.4	535	+12.6	—	—
ctl_m15_oos	299	+38.8	1.36	15.5	+5.9	+32.9	86	-11.7	—	—
ctl_m5_5yr	911	+128.4	1.39	12.8	-8.3	+136.7	110	+3.8	—	—
ctl_m5_oos	86	+9.4	1.33	8.2	-1.4	+10.9	4	+1.5	—	—

Raw table (n / R / PF / WR% / DD / H1 / H2 / PF-half-1 / PF-half-2 / sellN / sellR / ΔR / ΔPF / Δn vs control; control and base_m5_12mo rows carry no delta):

book                           n        R    PF   WR%    DD      H1      H2   PF1   PF2 sellN   sellR |      ΔR    ΔPF    Δn
b1_h1_nosell_12mo             91    +22.2  1.79  62.6   4.1   +20.6    +1.6  2.10  1.18     0    +0.0 |    -1.8  +0.25  -47
b1_h1_nosell_5yr             335    +49.1  1.46  58.2  13.2    -5.0   +54.1  0.87  1.78     0    +0.0 |   +16.7  +0.28 -180
b1_h1_nosell_oos              78    +16.7  1.74  62.8   3.6    +7.3    +9.4  1.67  1.81     0    +0.0 |   +11.5  +0.61  -26
b1_m15_sellB_12mo            341    +74.6  1.62  62.8  10.8   +68.4    +6.2  2.15  1.10    82    +9.1 |    +0.7  +0.09  -56
b1_m15_sellB_5yr            1378   +119.1  1.22  57.0  41.4   -21.3  +140.3  0.91  1.46   335    +3.7 |    -8.9  +0.02 -200
b1_m15_sellB_oos             272    +47.1  1.51  60.7  13.8   +12.3   +34.8  1.24  1.85    59    -3.4 |    +8.3  +0.15  -27
b1_m5_selltrans_12mo         557   +112.2  1.56  53.7   9.9   +55.9   +56.4  1.54  1.58    75   +14.8 |    +7.9  +0.06  -18
b1_m5_selltrans_5yr          889   +133.7  1.41  51.5  12.8    -8.3  +142.0  0.84  1.52    88    +9.0 |    +5.3  +0.03  -22
b1_m5_selltrans_oos           86     +9.4  1.33  53.5   8.2    -1.4   +10.9  0.91  1.95     4    +1.5 |    +0.0  +0.00   +0
b2_h1_nodiv_12mo             149    +28.6  1.62  62.4   6.5   +23.6    +5.0  1.93  1.24    49    +5.5 |    +4.6  +0.07  +11
b2_h1_nodiv_5yr              567    +40.5  1.20  56.3  14.1    -5.2   +45.6  0.93  1.37   203   -18.2 |    +8.1  +0.02  +52
b2_h1_nodiv_oos              119     +7.6  1.17  56.3   7.7    -1.9    +9.5  0.91  1.44    31   -14.3 |    +2.4  +0.04  +15
b2_m15_nodiv_12mo            439    +81.3  1.51  60.8  13.1   +72.3    +8.9  1.90  1.11   147    +7.0 |    +7.4  -0.02  +42
b2_m15_nodiv_5yr            1771   +139.9  1.20  55.8  47.4   -16.2  +156.1  0.94  1.39   578   +11.7 |   +11.9  -0.01 +193
b2_m15_nodiv_oos             341    +52.3  1.43  59.2  17.1   +15.6   +36.7  1.23  1.68    93   -10.0 |   +13.5  +0.07  +42
b3_h1_bb0_12mo               154    +31.2  1.64  60.4   9.4   +22.8    +8.4  1.89  1.36    52    +6.7 |    +7.3  +0.09  +16
b3_h1_bb0_5yr                583    +37.3  1.18  54.5  18.3    -7.4   +44.7  0.90  1.35   206   -20.4 |    +4.9  +0.00  +68
b3_h1_bb0_oos                122     +5.6  1.12  55.7   8.7    -2.0    +7.6  0.91  1.33    32   -13.8 |    +0.4  -0.01  +18
b3_m15_bb0_12mo              439    +49.9  1.29  59.0  19.4   +61.6   -11.8  1.77  0.87   151    +0.3 |   -24.0  -0.23  +42
b3_m15_bb0_5yr              1790   +126.6  1.18  56.1  42.3    -1.8  +128.5  0.99  1.31   592   +17.4 |    -1.3  -0.03 +212
b3_m15_bb0_oos               345    +55.5  1.47  61.2  12.4   +18.2   +37.3  1.29  1.66    94    -8.4 |   +16.7  +0.11  +46
b3_m5_bb0_12mo               621    +84.0  1.35  51.4  16.6   +49.3   +34.7  1.43  1.28   104    +9.7 |   -20.4  -0.14  +46
b3_m5_bb0_5yr                987   +113.0  1.31  50.7  15.3    -7.7  +120.6  0.85  1.38   134   +12.0 |   -15.5  -0.08  +76
b3_m5_bb0_oos                 93    +10.6  1.35  54.8   5.6    -2.9   +13.5  0.85  2.17     9    +3.7 |    +1.2  +0.01   +7
b12_h1_nosell_nodiv_12mo     100    +23.1  1.75  63.0   4.6   +21.8    +1.3  2.00  1.15     0    +0.0 |    -0.8  +0.20  -38
b12_h1_nosell_nodiv_5yr      364    +58.7  1.52  59.6  12.9    -4.1   +62.8  0.90  1.87     0    +0.0 |   +26.3  +0.34 -151
b12_h1_nosell_nodiv_oos       88    +21.9  1.92  63.6   4.8    +9.4   +12.5  1.93  1.92     0    +0.0 |   +16.8  +0.79  -16
base_m5_12mo                 575   +104.3  1.50  52.9  10.7   +50.8   +53.5  1.46  1.53    93    +6.9
ctl_h1_12mo                  138    +24.0  1.55  60.9   8.0   +19.4    +4.6  1.84  1.22    47    +1.8
ctl_h1_5yr                   515    +32.4  1.18  55.7  15.2    -5.9   +38.3  0.91  1.34   180   -16.7
ctl_h1_oos                   104     +5.1  1.13  56.7   7.5    -0.9    +6.1  0.95  1.32    26   -11.5
ctl_m15_12mo                 397    +73.9  1.53  62.2  10.8   +66.7    +7.2  1.95  1.10   138    +8.5
ctl_m15_5yr                 1578   +128.0  1.21  56.5  35.8    -3.4  +131.4  0.99  1.37   535   +12.6
ctl_m15_oos                  299    +38.8  1.36  59.2  15.5    +5.9   +32.9  1.10  1.66    86   -11.7
ctl_m5_5yr                   911   +128.4  1.39  51.3  12.8    -8.3  +136.7  0.84  1.48   110    +3.8
ctl_m5_oos                    86     +9.4  1.33  53.5   8.2    -1.4   +10.9  0.91  1.95     4    +1.5

Decisions

• SHIPPED — M5 xau_strategy.sell_blocked_regimes=["transitioning"] (b1_m5_selltrans): 12mo +7.9R, 5yr +5.3R, OOS unchanged (no such trades in that window); positive in both 12mo halves on every window. H1 xau_strategy.sell_min_quality=[] (b1_h1_nosell, all H1 shorts blocked): 5yr +16.7R and OOS +11.5R more than pay for the 12mo cost of -1.8R; H1 shorts were -16.7R/5yr and -11.5R/OOS in the control. Both land in pair_signals/xauusd.py.
• REJECTED — M15 sell_min_quality=["B"] (b1_m15_sellB): 5yr -8.9R with max DD widening 35.8 -> 41.4R for a marginal +0.7R on 12mo; fails the drawdown clause. All three B3 Bollinger-weight-0-in-trending-regimes runs (b3_h1_bb0, b3_m15_bb0, b3_m5_bb0): negative on M5 (-20.4R/12mo, -15.5R/5yr) and M15 (-24.0R/12mo, PF 1.29 -> still below the 12mo H2 going negative at -11.8R); H1's B3 5yr gain (+4.9R) doesn't clear the bar once M5/M15 fail outright — Bollinger's constant-oppose vote stays a load-bearing quality bar, consistent with the 2026-08-04 audit.
• DECLINED — B2-M15 (technical.disabled_indicators=["divergence"] on M15, b2_m15_nodiv): R improves on every window (+7.4/+11.9/+13.5R) but 5yr max DD widens 35.8 -> 47.4R while PF stays flat (1.21 -> 1.20) — more risk for no risk-adjusted gain; owner call.
• PARKED — B2-H1 (technical.disabled_indicators=["divergence"] on H1, b2_h1_nodiv, standalone: +4.6/+8.1/+2.4R, PF 1.62/1.20/1.17). The combined run with the H1 no-short override (b12_h1_nosell_nodiv) passes rule 1 and beats the no-shorts override alone on both 5yr and OOS: 12mo 100/+23.1R PF 1.75 (halves +21.8/+1.3), 5yr 364/+58.7R PF 1.52, OOS 88/+21.9R PF 1.92. Not shipped anyway: it would route through technical.disabled_indicators, which CLAUDE.md rule 8 reserves for experiments, not production paths. Owner decision; recommended vehicle is an H1-only regime_weights_override with divergence weight 0 plus a fresh validation run under that mechanism.