Harwinder Sekhon
552199857a
Same facts, new shape: quick start; the scan pipeline from trigger to
delivery to logging (A to Z) with the real thresholds and gate order;
a file-by-file guide with the import graph; data providers; config;
testing; the nine change rules; the validated per-timeframe overrides;
reference books with MD5s and the kept cache windows; a traps list;
and the decision ledger condensed to one row per dated decision with a
pointer to its research report.
Every claim was checked against the code by a reviewer pass; the
mechanism invariants the old file carried (MACD always computed, the
_-prefixed convention, PB/CP force grade B, penalties hit confidence,
gate 6b label-hour vs close-hour, the news-archive hook position, the
ordered cooldown pass, engine_fingerprint split rule, oppose guard,
holiday blindness) are kept. The previous 58 KB version is in git
history at b0b71e1.
Co-Authored-By: Claude Fable 5.1 <noreply@anthropic.com>
537 lines
44 KiB
Markdown
537 lines
44 KiB
Markdown
# ForexBot2 — developer guide
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ForexBot2 is a signal-intelligence system for one market: **gold against the US dollar (XAU/USD)**.
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It does not place trades. Every few minutes it downloads price candles, scores them with nine
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technical indicators, checks that several timeframes agree, grades the result (A+ down to F), and
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turns a good grade into a written trade plan (entry, stop loss, two targets, trailing rule). The
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plan is delivered to a Telegram bot, a command-line report, and a public web dashboard. A
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backtester replays history through the *same* signal code, so a backtest result is what the live
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scanner would have said on that day.
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This file is the map of the system. Read section 2 first if you are new. Section 7 lists the rules
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you must follow before changing anything that affects signals. Section 10 lists the traps. Section
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11 is the history of every validated change. The research reports behind those decisions live in `backtest/research/*.md`.
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---
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## 1. Quick start
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```bash
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python -m venv venv && venv/bin/pip install -r requirements.txt # Python 3.12; a venv/ already exists on the dev box
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cp config.json.example config.json # then fill in the keys (see section 5)
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venv/bin/python test_all.py # QA suite, no network; prints its own count
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# (506 tests / 33 modules as of 2026-09-15)
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venv/bin/python main.py --pair XAUUSD --timeframe H1 --detail # one signal report in the terminal
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# --json full dump, --panel adds the advisory LLM panel,
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# --timeframe M5 | M15 | H1 | H4
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venv/bin/python telegram_bot.py # the bot (refuses to start without credentials)
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venv/bin/python dashboard_publisher.py --once # one scan + publish to $DASHBOARD_OUT_DIR
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# (without --once it runs as a candle-close daemon)
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# Backtests (timeframe names are 5min / 15min / 1h / 4h, not M5/M15)
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venv/bin/python backtest/gpu_backtest.py --pair XAUUSD --days 365
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venv/bin/python backtest/gpu_backtest.py --pair XAUUSD --start 2024-09-05 --end 2026-09-05 \
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--primary-tf 15min --spread 0.65 --workers 12 --export-csv book.csv
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```
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Backtest flags worth knowing: `--spread` (round-trip cost in dollars; the default is 0.30, the
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realistic Oanda figure is 0.65 and must be passed explicitly), `--quality A+,A,B,C`,
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`--strategies`, `--workers`, `--max-hold-bars`, `--warmup-bars`, `--cooldown-bars`, `--no-cache`,
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`--export-csv out.csv`, `--detail`, `--set PATH=JSON` (research override of any config value; an
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unknown path is a hard exit), `--export-features` (appends the 65 decision-time columns; never use
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it on a parity run because it changes the file), `--fixed-rr-tp N` (research only, not shipped),
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`--record DIR [--record-bars]` (research recorder, see section 9).
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`test_all.py` is **not pytest**. It uses its own `@test("name")` decorator that runs each test the
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moment the file is imported. Run the whole file; it prints per-module results and exits non-zero
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on any failure. There is no way to run one test on its own. Tests must stay green, and every new
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gate or setting needs a test.
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---
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## 2. How a scan works, from A to Z
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A "scan" is one analysis of one timeframe. The bot runs one scan per timeframe at every candle
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close; the CLI and the dashboard run the same scan on demand. Everything below happens inside one
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scan, in this order.
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**1. Trigger.** `telegram_bot.py` wakes 10 seconds after each candle boundary (M5 every 5 min,
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M15 every 15 min, H1 hourly, H4 every 4 hours). `dashboard_publisher.py` has its own copy of the
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same schedule. `main.py` runs once when you call it.
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**2. Build the configuration.** `pair_signals/xauusd.py` (`make_config`) creates a
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`PlatformConfig` from `config.py`, applies the deployment overlay from `config.json`
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(`app_config.py`), then applies the validated per-timeframe overrides (section 8). Never build a
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bare `PlatformConfig()` for a real scan; always go through the factory. The confirmation
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timeframes come from the factory map: M5 → M15 + H1, M15 → M5 + H1, H1 → M15 + H4, H4 → H1 + D1.
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**3. Fetch candles.** `signal_aggregator.analyze_pair` (the live entry point) first checks the
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calendar: on the forex weekend or a blocked weekday it returns a "blocked" scan and does nothing
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else. Otherwise it asks the active data provider (`providers/`, Oanda today) for the primary
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timeframe and each confirmation timeframe. The provider base class drops the still-forming candle,
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validates and cleans the bars, caches them until the next candle close, and checks freshness. If
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any required frame cannot be fetched after the retry ladder, the scan is logged as "failed" and no
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analysis runs.
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**4. Score each timeframe.** `engine.py` (`TechnicalEngine.analyze`) computes ATR first, then nine
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scored indicators: EMA trend (9/21/50/200 ribbon), RSI, MACD, Bollinger bands, ADX, rate of change,
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Keltner channel, divergence, and candlestick patterns. Each indicator votes on a five-step scale
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(STRONG SELL, SELL, NEUTRAL, BUY, STRONG BUY) with a confidence. The engine classifies the market
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regime from ADX and the EMA ribbon: `trending_up`, `trending_down`, `trending` (strong trend,
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mixed direction), `transitioning` (ADX rising fast), or `ranging`. Each regime has its own table of
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per-indicator weight **multipliers** (`regime_weight_table` in `engine.py` is the single source of
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truth); the effective weight is the indicator's base weight × the regime multiplier. The composite
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score is the confidence-weighted average of the votes (vote value × effective weight × confidence),
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scaled by 50 and clipped to −100…+100. Divergence and candlestick only vote when a pattern exists;
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a missing vote is "no opinion", not zero. Three engine conventions matter when editing: MACD is
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always computed even when it is not a scored pillar, because divergence needs its histogram; RSI is
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reinterpreted per regime after classification (`rsi_mode = "regime_aware"`; treating the mixed
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`trending` regime as an uptrend was a −6.8R bias); and private helper series ride on the result as
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`_underscore` attributes, which every scorer and formatter skips along with weight-0 indicators, so
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a new indicator must follow that convention.
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**5. Multi-timeframe agreement.** `analyze_from_dataframes` compares the primary timeframe's
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direction with the two confirmation timeframes. Agreement needs 2 of 3. Disagreement costs a
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penalty and blocks the top grades.
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**6. News context (warning only).** `news_engine.py` reads the Forex Factory calendar (MyFXBook
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RSS as fallback) and four RSS feeds, scores headlines for gold, and can ask DeepSeek to improve
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the scores. This produces warnings and a text summary. **By design it never changes a signal.**
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The backtester runs with news off, so the live decision must be purely technical too.
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**7. Penalties, then the signal and the grade.** When the timeframes agree, confidence gains 10
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points and the score is blended 60/40 with the mean of all timeframe scores. Then a list of
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penalties (opposing timeframes, stretched price, fading momentum, and so on) is subtracted from the
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**confidence** with diminishing weight: each further penalty counts half, and the total is capped
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at 30 points. Penalties never reduce the score itself. If two or more "exhaustion" penalties fire
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together with fading momentum, the trade is hard-blocked (confidence set to 0). Then:
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| Result | Rule |
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| STRONG BUY / STRONG SELL | score ≥ 35 (≤ −35) and confidence ≥ 55 |
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| BUY / SELL | score ≥ 25 (≤ −25) and confidence ≥ 50 |
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| NEUTRAL | anything else |
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| Grade A+ | abs score ≥ 40, confidence ≥ 65, timeframes agree |
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| Grade A | abs score ≥ 33, confidence ≥ 55, timeframes agree |
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| Grade B | abs score ≥ 28, confidence ≥ 50 |
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| Grade C | abs score ≥ 25, confidence ≥ 45 |
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| Grade D | abs score ≥ 15 |
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| Grade F | below that |
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**8. The gate chain.** A series of checks can lower the grade or remove the setup. They run in this
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order (`signal_aggregator.py`, steps 6b to 6i): session and day filter (the bar-label hour and weekday
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against the blocked hours and allowed weekdays; the live wrapper and the backtester apply the same
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list to the bar-close time as well, see section 8); transitioning-regime boost (a B/C/D can become A or B when a
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trend is emerging); exhausted-trend cap (in a trending regime with two or more exhaustion tags, a C or D is pinned
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to D and loses its setup); SELL quality gate
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(shorts need a grade in `sell_min_quality`; H1's list is empty, so every H1 short is blocked);
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multi-timeframe opposition gate; SELL volatility gate (shorts are allowed only when volatility is high or extreme; low- or
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normal-volatility shorts are blocked);
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regime blocks (M15 blocks the mixed `trending` regime; M5 blocks shorts in `transitioning`);
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SELL-hour gate (M15 blocks shorts at 15:00 and 17:00 UTC); big-candle gate (shipped off); and on
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M5 six extra noise gates (minimum score, required agreement, confirmation strength, SELL grade
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cap, chop-transition volatility, SELL RSI floor). Every gate that removes a setup writes a warning
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that names itself.
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**9. Trade setup.** Grades A+ and A get the gold ATR setup (`_generate_xau_atr_trade_setup`): stop
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2 × ATR; target 1 at 2 × ATR for A+ and 1.5 × ATR for A (1 × ATR for an A carrying two or more
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exhaustion tags); target 2 at 1.5 × the target-1 distance. Other tradeable grades get the generic
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swing-based setup, which floors the stop at $8 (80 pips). Both are checked against the spread gate:
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target 1 must be at least 30 × the round-trip cost ($9 at the $0.30 cost setting). Two extra entry paths run after the
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gates: the M5 pullback (`XAU_PB`, shipped off) and the chart-pattern entry (`XAU_CP`,
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`chart_patterns.py`: M5 only, buy-side patterns inverse head and shoulders, double bottom, bull
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flag). Both late paths run after the gate chain and force the grade to B, so an F-composite
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chart-pattern trade shows as a B in books and alerts. The chart-pattern path deliberately accepts
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weak composites and re-checks the session, day and big-candle rules, the multi-timeframe-opposition
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rule and the ATR floor, plus its own SELL, volatility and RSI checks; it does not re-check
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exhaustion or the M5 minimum-score and confirmation gates. That is validated behaviour, not a bug
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(section 11, 2026-08-04). A shipped setup always carries a BUY or SELL direction, even
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when the raw signal was NEUTRAL at grade C (confidence 45–50): the direction is the sign of the
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score. Every setup is stamped with its strategy name and its trailing parameters. Finally, a stale
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"costs would eat the edge" veto from an earlier generator is moved to `cleaned_warnings` when a
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later generator shipped a setup.
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**10. Delivery.** The `SignalReport` goes to the surface that asked for it:
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- *Telegram* (`telegram_bot.py`): an alert is sent only when the signal is not NEUTRAL, the grade
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reaches `alert_min_quality`, **and** a setup exists. A fingerprint (signal + direction) stops
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repeats; a grade upgrade re-alerts. The fingerprint is committed only after a successful send,
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so a failed send stays eligible next scan. Every send is logged with the signal-log row id. The
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level-breach monitor reuses the bar's cached M15 report (`_cached_or_scan`) instead of rescanning.
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- *CLI* (`main.py`): prints the report; `--json` dumps everything.
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- *Dashboard* (`dashboard_publisher.py`): writes `snapshot.json`, `news.json` and the static page
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into the Apache folder.
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Two advisory add-ons are attached **after** the scan by the surface, never inside the signal
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code: the LLM agent panel (`agent_panel.py`, four DeepSeek personas, verdict AGREE / NEUTRAL /
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OPPOSE) and the violent-move watch (`violent_watch.py`, a "the next hour may be wild" line). No
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gate reads either of them.
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**11. Logging.** `signal_log.py` writes one row per live scan into `logs/signals.db` (signal,
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grade, price, indicators, the last 14 candles per timeframe, the news at scan time, the setup, the
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gate that removed a setup, a gate-config fingerprint and an engine fingerprint). The engine
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fingerprint hashes the scoring config, so it changes whenever a weight or threshold ships; signal-log
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comparisons across such a deploy must be split at the deploy time (the 2026-09-09 M15 RSI change is
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one). `news_archive.py` writes every headline and
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its score into `logs/newsdata.db`. Both are fail-safe: a logging error can never break a scan.
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**12. Measurement, later.** Two models read the stored candles and score what happened next:
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advisory outcomes (`advisory_outcome.py`: replays each logged setup with next-open entry, stop
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first, close-only trailing; a cleaned-mid evidence model, not execution P&L) and scan outcomes
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(model-free forward moves 1 h / 4 h / 24 h after every scan). `analyze_signal_log.py` turns the
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database into reports.
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**The backtester is the same pipeline on history.** `backtest/gpu_backtest.py` loads candles from
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`backtest/cache/*.parquet` (fetched once through the same provider code), precomputes every
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indicator series over the whole window, and calls `analyze_from_dataframes` bar by bar with news
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off. Trades are resolved on the raw price path with next-open entries, spread charged per trade,
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stop-first ties, gap fills at the open, and the trailing stop moved at bar close only. Time filters
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use bar-close time in both paths, so live and backtest agree. The replay fans out over worker
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processes; the 5-bar entry cooldown, the only cross-bar state, is applied in an ordered pass
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afterwards, which is why parallel and sequential books are identical.
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---
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## 3. File-by-file guide
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Arrows show who imports whom (generated from the code on 2026-09-15).
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### Entry points and surfaces
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| File | Role | Uses | Used by |
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|---|---|---|---|
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| `main.py` | Command-line signal report (`--detail`, `--json`, `--panel`) | pair_signals, signal_aggregator, agent_panel, violent_watch, app_config | dashboard_publisher (formatting helpers) |
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| `telegram_bot.py` | Owner-locked bot: candle-close scan loops, alerts, breach monitor, heads-ups, `/scan /status /news /autoscan /cache /clearcache /help /start` | pair_signals, signal_aggregator, providers, agent_panel, violent_watch, news_engine, llm_client, signal_log, app_config | nobody (a top-level process) |
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| `dashboard_publisher.py` | Static web publisher daemon; writes JSON + HTML into the Apache folder. Its own process with its own news caches and its own DeepSeek daily cap | pair_signals, providers, main, agent_panel, violent_watch, news_engine, app_config | nobody. Hard rule: never imports and is never imported by `telegram_bot` |
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| `static/dashboard.html`, `.css`, `.js` | The public dashboard page (reads `snapshot.json` / `news.json`) | | copied by the publisher |
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| `static/news_summary.php` | The one dynamic endpoint: on-demand DeepSeek summary for a clicked headline, whitelist-gated against `news.json`, own fail-closed daily cap, key read from `/etc/gold-dashboard/deepseek.key` (never repo config) | | installed by the publisher |
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| `docs/user_guide.html`, `docs/beginner_guide.html` | Human guides. Keep them in sync with signal behaviour. There are no PDF builds | | |
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### Signal core (the part the backtester replays)
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| File | Role | Uses | Used by |
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|---|---|---|---|
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| `config.py` | Every tunable value: `TechnicalConfig`, `SignalConfig`, `NewsConfig`, `XauStrategyConfig`, `FilterConfig`, wrapped in `PlatformConfig`; `Timeframe`, `SignalStrength`, `PAIR_INFO` | nothing | everything |
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| `pair_signals/xauusd.py` | The config factory: overlay + validated per-timeframe overrides + confirmation map. Its docstring is the evidence log for every override | config, app_config, engine | main, telegram_bot, dashboard_publisher, backtester |
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| `pair_signals/__init__.py` | Registry of pair producers (`PAIR_PRODUCERS`) and `produce_signal` | config, signal_aggregator, providers, xauusd | the surfaces, backtester |
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| `engine.py` | Indicators, regime, composite score (`TechnicalEngine`) | config | signal_aggregator, backtester, replay_record, pair factory |
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| `signal_aggregator.py` | Multi-timeframe merge, penalties, grade, gate chain, setup generators, reasons; `analyze_pair` (live) and `analyze_from_dataframes` (replayable core) | engine, chart_patterns, news_engine, providers, signal_log, config | main, telegram_bot, backtester, pair_signals, analyze_signal_log (agent_panel only for type hints) |
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| `chart_patterns.py` | The XAU_CP pattern detector | | signal_aggregator |
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| `position_sizing.py` | Decision-time feature builder (65 columns) and the reserved stake multiplier (always 1.0). Bounded lookbacks keep live == backtest | config | backtester (`--export-features`) |
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### Data providers
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| File | Role |
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| `providers/base.py` | `BaseDataProvider`: cache with candle-duration TTL, forming-candle drop, validation and cleaning, freshness check, weekend and settlement-pause calendar, live fetch depth, paginated `fetch_range` for the backtester, optional tick stream |
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| `providers/oanda.py` | Oanda v20 candles (the live feed since 2026-07-28); retry ladder 2 / 5 / 10 s under a 45 s budget |
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| `providers/twelve_data.py` | Twelve Data candles + WebSocket quotes; registered fallback, but signal-incompatible with Oanda (see section 4) |
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| `providers/tiingo.py` | Tiingo mid-price candles (research only) and the tick stream used by the breach monitor |
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| `providers/__init__.py` | `PROVIDER_REGISTRY` and `make_data_provider(config, name=None)` |
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### News and LLM
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| File | Role |
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| `news_engine.py` | Calendar + RSS headline sentiment with gold-specific keywords; class-level caches; optional DeepSeek enrichment; display and warnings only |
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| `llm_client.py` | Thin `requests` client for DeepSeek (`deepseek-v4-flash`, `thinking: disabled`, one attempt, UTC-day request cap). Every caller has a non-LLM fallback |
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| `news_archive.py` | Durable headline corpus in `logs/newsdata.db` (one row per distinct headline, upgrade-only scores, provenance of the scorer). Its own database on purpose: a `signals.db` rotation in 2026-09 destroyed a 3-week corpus of 4,054 headlines and `logs/` is gitignored. Hooked at the end of `news_engine._fetch_news_sentiment_raw`, before the ±0.1 neutral-headline filter, so neutral headlines are kept for training; do not move the hook |
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| `agent_panel.py` | Advisory persona panel (macro / technical / risk / contrarian + optional chair). Attached post-hoc; the alert verdict is the macro persona by default. With `verdict_source: "chair"`, `_apply_oppose_guard` downgrades a chair OPPOSE to NEUTRAL unless the macro persona opposes, or technical opposes while macro is not supportive. Persona weights are not to be tuned before about 300 graded outcomes with a held-out half |
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| `violent_watch.py` | Display-only violent-move warning and heads-up. Attached post-hoc |
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### Logging and evaluation
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| File | Role |
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|---|---|
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| `signal_log.py` | SQLite logger for every live scan (`signals`, `news_snapshots`, `scan_outcomes`; view `signals_with_news`); opportunistic scan-outcome labelling; advisory outcome seeding |
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| `advisory_outcome.py` | The deterministic outcome model for logged setups |
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| `analyze_signal_log.py` | Read-only reports on `signals.db`: trade replay, panel scorecard, parity between surfaces, news lead/lag, scan outcomes (`--stored-candles`, `--news`, `--parity`, `--scan-outcomes`) |
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| `scripts/backfill_signal_outcomes.py` | Batch seeding / advancing of advisory outcomes on an imported database (`--dry-run`, `--reseed-unresolvable`) |
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| `scripts/label_scan_outcomes.py` | Batch labelling of scan outcomes for a backlog (`--dry-run`) |
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### Backtesting and research
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| File | Role |
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|---|---|
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| `backtest/gpu_backtest.py` | The backtester (CuPy on a GPU, NumPy otherwise; check the `Backend:` log line) |
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| `backtest/replay_record.py` | Opt-in `--record` recorder: why every accepted trade was taken, plus calendar events. Book-neutral by contract |
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| `backtest/replay_scorecard.py` | Read-only reader of recorded runs (`DIR --check` verifies its invariants) |
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| `scripts/ff_calendar_scraper.py` | Builds `backtest/cache/calendar.parquet` (Forex Factory events) for the recorder |
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| `backtest/instructions_for_backtest.txt` | What every backtest report must record. Follow it |
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| `backtest/research/*.md` | The decision ledgers (one per campaign). Rule-1 evidence |
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| `backtest/cache/` (gitignored) | Candle caches keyed by provider, symbol, timeframe and padded window; only the Oanda windows listed in section 9 are kept |
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### Configuration and deployment
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| File | Role |
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|---|---|
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| `app_config.py` | Loads `config.json` once per process; env var → config.json → refuse; validates keys |
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| `config.json.example` | The schema of `config.json` (which is gitignored) |
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| `deploy/README-dashboard.md`, `deploy/gold-dashboard.service` | Live-server checklist and systemd unit for the dashboard daemon |
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| `test_all.py` | The QA suite (33 modules) |
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---
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## 4. Data providers
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All candle data goes through `providers/base.py`. Whatever the source, the pipeline sees the same
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thing: a UTC, oldest-first DataFrame with capitalised OHLCV columns, closed bars only. The base
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class owns the behaviour the signals depend on; a provider only implements `_fetch_raw` plus its
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symbol and interval maps. A test enforces that subclasses do not override the shared methods
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(`supports_streaming` and `iter_ticks` are the sanctioned streaming hooks).
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**Which provider does what today**
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|
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| Provider | Live candles | Tick stream | Notes |
|
||
|---|---|---|---|
|
||
| Oanda v20 (`data_providers.active: "oanda"`) | yes, since 2026-07-28 | no | Needs `oanda.api_token` and `oanda.base_url`; no account id. No client-side throttle. A legacy `oanda.account_id` key is tolerated and ignored |
|
||
| Tiingo (`data_providers.streaming: "tiingo"`) | research only | yes (`wss://api.tiingo.com/fx`, mid-price) | Never show a spread from its free quote feed (two-tier indicative quotes) |
|
||
| Twelve Data | registered fallback | yes | About 19% of M5 bars disagree in direction with Oanda and highs sit about $1 too high. On an Oanda outage, stop scanning rather than switch feeds |
|
||
|
||
**Behaviour that matters for signals**
|
||
|
||
- The forming candle is always dropped. Live signals would repaint otherwise.
|
||
- Cleaning is a bad-print filter, not a volatility filter: a bar more than 10σ from the previous
|
||
close is removed only when the next close snaps back at least 80% of the way. Real news bars
|
||
stay, and the newest bar is always kept. (`OUTLIER_SIGMA`, `OUTLIER_REVERT_FRACTION`.)
|
||
- Every live fetch asks for at least 1,000 bars (`MIN_LIVE_BARS`): M5 and M15 5,000, H1 1,460,
|
||
H4 and D1 1,000. The 200-bar EMA needs that much history to match the backtester.
|
||
- Weekend: New-York anchored, Friday 17:00 to Sunday 18:00 New York time. There are three
|
||
independent copies of this rule on the signal path (`providers/base.py`,
|
||
`signal_aggregator.py`, and `gpu_backtest._is_xau_blocked_by_calendar`) plus one in
|
||
`advisory_outcome.py`. Patch all of them, or none; a Module 21 test sweeps all four hour by hour
|
||
across both daylight-saving transitions.
|
||
- The daily settlement pause (Monday to Thursday 17:00 New York, 21:00 UTC in summer) counts as a
|
||
scheduled closure since 2026-09-13. A "stale data" warning at any other weekday hour is a real
|
||
feed stall.
|
||
- The backtester fetches history through `fetch_range` (paginated, retries a failed page, logs an
|
||
error for interior gaps longer than 3 bars) and stores it under `backtest/cache/`.
|
||
|
||
---
|
||
|
||
## 5. Configuration and credentials
|
||
|
||
Rule for every credential and deployment setting: **environment variable → `config.json` → refuse
|
||
to run.** There are no hard-coded fallbacks. A gitignored `.env` at the repo root is loaded at
|
||
import time and behaves like real environment variables.
|
||
|
||
`config.json` holds secrets and deployment settings only. Signal logic, weights, thresholds and
|
||
gates live in `config.py` and the pair factory, never in `config.json`. Blocks (see
|
||
`config.json.example` for the exact shape):
|
||
|
||
| Block | What it controls |
|
||
|---|---|
|
||
| `telegram` | `token`, `chat_id`, `channel_id`, `alert_min_quality` (env `TELEGRAM_TOKEN`, `TELEGRAM_CHAT_ID`, `TELEGRAM_CHANNEL_ID`) |
|
||
| `data_providers` | `active` (live candle feed), `streaming` (tick feed), per-provider API keys (env `TWELVE_DATA_API_KEY`, `TIINGO_API_KEY`) |
|
||
| `oanda` | `api_token`, `base_url` (env `OANDA_API_TOKEN`, `OANDA_BASE_URL`) |
|
||
| `scanning` | `pairs`, `timeframes` |
|
||
| `pairs."XAU/USD".blocked_hours_utc` | The base list of blocked hours (default 0, 1, 2, 10, 11, 13, 16, 21) |
|
||
| `deepseek` | `api_key`, `model`, `enabled`, `timeout_seconds`, `daily_request_cap` (env `DEEPSEEK_API_KEY`) |
|
||
| `agent_panel` | `enabled`, `telegram`, `dashboard`, `min_quality`, `max_panels_per_day`, `reuse_ttl_seconds`, candle payload knobs, `verdict_source` (`macro` or `chair`). All defaults = feature off |
|
||
| `violent_watch` | `enabled`, `alert_line`, `headsup`, `max_headsup_per_day`, `headsup_min_level` (env `VIOLENT_WATCH_ENABLED`). Off by default |
|
||
| `signal_log` | `enabled`, `path`, `log_blocked_scans` (env `SIGNAL_LOG_ENABLED`, `SIGNAL_LOG_PATH`, `SIGNAL_LOG_BLOCKED_SCANS`) |
|
||
| `news_archive` | `enabled` (default true), `path` (env `NEWS_ARCHIVE_ENABLED`, `NEWS_ARCHIVE_PATH`) |
|
||
| `log_level` | Logging level |
|
||
|
||
A legacy top-level `market_outlook` block is tolerated and ignored with one warning (the feature
|
||
was removed 2026-09-15). `FB2_EMA_LO` is a research-only environment knob for the EMA200 proximity
|
||
band (default 0.5; an unparseable value falls back to the default with a warning).
|
||
|
||
Files the system writes: `logs/signals.db`, `logs/newsdata.db`, `logs/telegram.log` (one file per
|
||
day, 30 kept), `logs/dashboard.log`. Read the databases with `mode=ro`, never `immutable=1`
|
||
(that mode cannot see rows still in the write-ahead log).
|
||
|
||
---
|
||
|
||
## 6. Testing
|
||
|
||
- `venv/bin/python test_all.py` runs everything with mocked network. Expect
|
||
`RESULTS: 506 passed, 0 failed, 506 total` (2026-09-15).
|
||
- Test module numbers are cited from this file, so never renumber them. Module 10 and 26 are gaps.
|
||
- When a test needs the weekend rule, patch `providers.base._is_forex_weekend` and remember the
|
||
other copies. Signal-log fixtures that exercise candle continuity must use a weekday bar.
|
||
`_candles_json` stores the last 14 bars, so a longer fixture silently loses its head.
|
||
- A test walks the code with `ast` and forbids `sklearn`, `scipy`, `lightgbm` and `torch` in live
|
||
modules and in `requirements.txt`. Research happens in the dev `venv/`; anything shipped is
|
||
numpy-only.
|
||
- Behaviour-neutral changes are proven by regenerating the reference books (section 9) and
|
||
showing the MD5s unchanged.
|
||
|
||
---
|
||
|
||
## 7. Rules for changing signal logic
|
||
|
||
1. **Never change a tuned value without re-validation.** Acceptance: positive total R in both
|
||
halves of a window of at least 12 months, profit factor ≥ 1.3, at realistic cost ($0.65 round
|
||
trip headline; also report $0.30 for comparability with older books), trailing exits, next-open
|
||
fills. Marginal edges must also pass the 2024-06-01 → 2025-03-30 out-of-sample window. Backtest
|
||
windows go back at most 3 years (owner preference, 2026-09-05). `round_trip_cost` stays at 0.30
|
||
because it also drives the live target floor (0.65 would move target 1's floor from about $9 to
|
||
$19.50); changing it is its own rule-1 event.
|
||
2. **Per-timeframe overrides live in the pair factory**, never in the global defaults. The same
|
||
knob has had opposite effects on different timeframes several times. Record the evidence in the
|
||
factory docstring.
|
||
3. **Pair isolation.** Gold-specific gates are keyed on the pair's display name so a future pair
|
||
cannot inherit gold-calibrated logic by accident.
|
||
4. **Live equals backtest.** A new live gate goes into the replay path in the same commit. All time
|
||
filters use bar-close time in both paths.
|
||
5. **ROC stays weighted** even though it correlates with MACD, Keltner and EMA. Removing it
|
||
backtested 13R worse; the thresholds were calibrated with it.
|
||
6. **The backtester's realism settings are results-critical** (raw-path resolution, spread
|
||
charging, next-open entry, stop-first ties, close-only trailing). Touching them breaks
|
||
comparability with every recorded book.
|
||
7. **The forming candle stays dropped.**
|
||
8. Do not add config fields nothing reads. Do not disable indicators in production paths
|
||
(`disabled_indicators` is for experiments only; a 0.0 regime multiplier in a per-timeframe
|
||
`regime_weights_override` is equivalent for the composite and is the sanctioned vehicle for an
|
||
indicator-off candidate).
|
||
9. EUR/USD was removed on 2026-07-16 after a no-edge verdict (last commit with it `7d3fd95`).
|
||
BTC/ETH work exists only on unmerged branches. Do not re-add either without new data.
|
||
|
||
Process rules that go with them: every backtest report follows
|
||
`backtest/instructions_for_backtest.txt`; every candidate is compared with a control run on the
|
||
same code and cache, never with an old book directly; the `Backend:` line and the "GPU cache
|
||
fallbacks: 0" line are part of the evidence; keep `docs/` in sync when behaviour changes.
|
||
|
||
---
|
||
|
||
## 8. Validated configuration (what is actually running)
|
||
|
||
Defaults in `config.py` are the tuned gold configuration. The factory adds these per-timeframe
|
||
overrides (each one has its validation record in the `pair_signals/xauusd.py` docstring):
|
||
|
||
| Timeframe | Confirmations | Overrides on top of the defaults |
|
||
|---|---|---|
|
||
| M5 | M15, H1 | hour 9 UTC blocked and hour 21 unblocked; chart-pattern entries on (buy-side only: inverse head and shoulders, double bottom, bull flag); pullback entries off; partial EMA alignment scores neutral; trailing stop arms at 0.60R and trails 0.85R; shorts blocked in the `transitioning` regime |
|
||
| M15 | M5, H1 | target floor 1R; the mixed `trending` regime blocked; shorts blocked at 15:00 and 17:00 UTC; trailing stop arms at 0.70R and trails 0.75R; RSI weight halved in every regime |
|
||
| H1 | M15, H4 | every short blocked (`sell_min_quality` empty) |
|
||
| H4 | H1, D1 | none. H4 remains "unproven" (few trades) |
|
||
|
||
Shared defaults worth knowing: blocked hours 0, 1, 2, 10, 11, 13, 16, 21 UTC; trading days Monday
|
||
to Friday plus Sunday evening; shorts need grade A+, A or B and high-or-extreme volatility;
|
||
trailing stop arms at 0.6R and trails 0.75R; target floor 0.5R; round-trip cost $0.30 with
|
||
target 1 at least 30 × cost; the generic and chart-pattern setups floor the stop at $8; the gold
|
||
ATR setup uses a 1 × ATR target before the grade scale (2× at A+, 1.5× at A) and a 2 × ATR stop; the H4 regime filter is off; news never gates.
|
||
|
||
One semantic to know: `blocked_hours_utc` is applied to the bar **label** hour inside the core
|
||
and to the bar **close** hour in the live wrapper and the backtester. So H1 can only trade bars
|
||
closing 04–09, 15 and 18–20 UTC and H4 only bars closing 08:00 or 12:00. Both paths agree, and
|
||
every book was validated that way. Do not "fix" one side alone.
|
||
|
||
---
|
||
|
||
## 9. Reference books and how to reproduce them
|
||
|
||
Pinned trade books are no longer kept in the tree (owner decision 2026-09-15; the old ones sit in
|
||
`~/Development/ForexBot2_trash_2026-09-15/` until the owner deletes that folder). The gate is the MD5 of
|
||
the exported 63-column CSV (`md5sum` on the whole file). Regenerate a book from the cache when a
|
||
trade-level diff is needed; each run takes seconds to a few minutes.
|
||
|
||
Harness for every reference book: `venv/bin/python backtest/gpu_backtest.py --pair XAUUSD
|
||
--spread 0.65 --workers 12 --primary-tf <tf> --start <start> --end <end> --export-csv <out>`,
|
||
factory config, no `--set`, `--quality`, `--strategies`, `--confirm-tfs` or `--export-features`.
|
||
All of these run offline from the kept cache windows (NumPy CPU backend, 0 cache fallbacks).
|
||
|
||
| Book | Window | Trades / R / PF | MD5 of the CSV |
|
||
|---|---|---|---|
|
||
| M5 W2 | 2024-09-05 → 2026-09-05 | 781 / +146.07 / 1.52 | `29120a1ee32979431d062f210d41a9d1` |
|
||
| M15 W2 | 2024-09-05 → 2026-09-05 | 931 / +146.14 / 1.43 | `d185f099482a07f29502cb5a371a9bbf` |
|
||
| M15 OOS | 2024-06-01 → 2025-03-30 | 355 / +60.67 / 1.49 | `6f8f24b49597ced28f50a19e08c3472f` |
|
||
| H1 W3 | 2023-09-05 → 2026-09-05 | 253 / +70.0 / 1.98 | `3b45d12bade823178b267c13bc698458` |
|
||
| H4 W3 | 2023-09-05 → 2026-09-05 | 114 / +21.7 / 1.59 | `e75adae13c839b15736f69c0114e6aa5` |
|
||
|
||
Other current-HEAD figures at $0.65: M5 W3 (3-year) 870 / +153.6R / PF 1.50; M15 W3 1273 /
|
||
+186.6R / PF 1.39; M5 12-month (2025-08-14 → 2026-08-14) 560 / +108.81R / PF 1.54;
|
||
H1 12-month (2025-08-04 → 2026-08-04) 91 / +22.2R / PF 1.79. All five MD5s above were
|
||
reproduced on 2026-09-15 after the cache prune.
|
||
|
||
Kept cache windows (`backtest/cache/oanda_XAU_USD_<tf>_<paddedStart>_<end>.parquet`; the padded
|
||
start is the window start minus 62 days for M5/M15/H1, 234 for H4 and 1,400 for D1, so the D1
|
||
and H4 files of one run have different start dates than its M5 file): 3-year `20230705_20260905`,
|
||
2-year `20240705_20260905`, OOS `20240331_20250330`, M5 12-month `20250613_20260814`, M15/H1
|
||
12-month `20250603_20260804`, 5-year `20210531_20260804`, 7.6-year `20181031_20260807`, the
|
||
2026-08-14 parity window `20250814_20260814`, their D1/H4 pads, and `calendar.parquet`.
|
||
|
||
The research recorder (`--record DIR [--record-bars]`) writes Parquet files describing every
|
||
accepted trade (indicator votes on all three timeframes, penalties, setup, outcome, calendar
|
||
events). It never changes the book; pair every recorded run with a control run and show equal
|
||
MD5s. Scorecards from it are in-book statistics, never decisions.
|
||
|
||
---
|
||
|
||
## 10. Things that bite
|
||
|
||
- Never build a bare `PlatformConfig()` for a real scan; use the factory. A test enforces factory
|
||
equivalence with the inline construction the backtester uses.
|
||
- The backtester names timeframes `5min`, `15min`, `1h`, `4h`. `M5` is a hard exit.
|
||
- `--spread` defaults to 0.30. Pass 0.65 for every headline result.
|
||
- `--export-features` changes the CSV; never use it on a parity run.
|
||
- The signal log's `spread` column is the median bar range, not a broker spread. `actionable`
|
||
means grade ≥ C and a setup exists; the `action` text is written before the gate chain and can
|
||
disagree with the final grade. `scan_kind` is `blocked` (weekend or day filter), `failed` (a
|
||
required frame was missing) or normal; readers skip the first two. Several surfaces log the
|
||
same bar, so readers dedup by the first row per (`timeframe`, `bar_ts`). Same-setup re-logs
|
||
within 60 minutes are `DUPLICATE` rows; sum advisory R over `RESOLVED` rows only.
|
||
- Headlines and events in the signal log are content-addressed into `news_snapshots`; read
|
||
through the `signals_with_news` view or `signal_log.read_news`.
|
||
- A non-empty `cleaned_warnings_json` is not a chart-pattern marker (a stale spread-gate veto lands
|
||
there too since 2026-09-08); use `setup_json.strategy`.
|
||
- The `--stored-candles` scorecard in `analyze_signal_log.py` still advances outcomes without the
|
||
locked-profit floor step that the logger and the backfill script use (owner decision pending), so
|
||
the two measurement paths can disagree on gap rows.
|
||
- There is no holiday awareness anywhere. On Labor Day 2026 Oanda published no bars for hours, the
|
||
bot rescanned the stale bar 43 times, and the violent-move watch called the 12–14 UTC slot hot.
|
||
Interior gaps in history are logged, never fatal, for the same reason.
|
||
- Existing databases still contain an empty-going-forward `outlooks` table from the removed
|
||
market-outlook feature. Nothing reads it.
|
||
- The news score is a trailing echo of the last day's price move (r ≈ 0.67 with the past day,
|
||
≈ 0.03 with the next). Both news gating flags stay off.
|
||
- The agent panel never runs inside `analyze_from_dataframes`, and its cached verdict is never
|
||
reused when the evidence changed; the daily cap is the real spend bound.
|
||
- Live == backtest also means the backtester never writes to `signals.db` and never builds a
|
||
`NewsEngine`.
|
||
- Twelve Data candles are not a drop-in replacement for Oanda (section 4).
|
||
- `pyarrow` (Parquet) is installed in the dev venv only; live code never touches Parquet.
|
||
- The dashboard's due-timeframe check uses the raw wake time; flooring `wake − buffer` skipped
|
||
every H1 and H4 scan once (2026-08-02).
|
||
|
||
---
|
||
|
||
## 11. Decision ledger
|
||
|
||
One line per validated change or verdict, newest first. Full evidence in the named report.
|
||
|
||
| Date | Decision | Where the evidence is |
|
||
|---|---|---|
|
||
| 2026-09-15 | Backtest folder cleanup: `diagnose_filters.py`, `shadow_scan.py`, and the two one-time news scripts removed (last commit with them `931b265`); every pinned CSV, the research output folders, the BTC/ETH cache snapshots, the Tiingo caches and 13 uncited Oanda windows moved to `~/Development/ForexBot2_trash_2026-09-15/` (346 MB) pending the owner's delete; all five reference MD5s reproduced afterwards. Suite 506 / 33 | commit `b0b71e1` |
|
||
| 2026-09-15 | AI market-outlook feature removed (module, hourly Telegram brief, `--outlook`, `outlooks` writer, config block). Legacy config block tolerated with a warning. Books byte-identical | commit `931b265` |
|
||
| 2026-09-13 | Bug audit, 11 delivery/measurement fixes, books byte-identical: NEUTRAL-signal C/B setups now alert (about 17% of the H1 12-month book's R, +3.7R of +22.2R, was never sent); a missing confirmation frame fails the scan; pandas `utcnow` replaced and `pandas<4`, `numpy<3` pinned; advisory outcomes keep locked-profit floors (`GAP_LOCKED`); scan-outcome labeler bounded to 72 h; settlement pause is a scheduled closure; `fetch_range` retries pages and audits gaps; cache-fallback count logged and must be 0; partial `regime_weights_override` raises; the bot scans each bar once and attaches its log handler in `main()` only; the dashboard catches up missed timeframes. Verified sound and unchanged: composite maths, scan-outcome labels, outcome exits, Oanda alignment, no look-ahead | plan file `~/.claude/plans/you-are-python-software-joyful-teacup.md`, commit `2836024` |
|
||
| 2026-09-10 | Improvement cycle 1: 3-year baseline re-established; cost ladder shows no red flag (PF ≥ 1.3 everywhere at $0.80); the intraday edge is a fat right tail (top 5% of trades carry 94–96% of M5/M15 R). H1 divergence-to-zero REJECTED. M15 RSI × 0.5 sits on a stable plateau. SHIPPED: live fetches floor at 1,000 bars and the backtester pads history to match (books trade-identical). Parked cycle-2 candidate: block M15 grade-A SELLs (230 trades, −14.4R, negative in every year and OOS) | `backtest/research/cycle_2026-09-10.md` |
|
||
| 2026-09-09 | Weight test on the recorded replays: M15 RSI multiplier × 0.5 in every regime PASSED (2-year +117.6R → +146.1R, OOS +40.6 → +60.7R) and SHIPPED as an M15-only override; all M5 MACD candidates FAILED; M15 EMA × 2 and divergence-off FAILED | `backtest/research/weight_test_2026-09-09.md` |
|
||
| 2026-09-09 | Replay recorder shipped (`--record`, `--record-bars`), books byte-identical. First look is descriptive only: Bollinger opposes 94% of M5 entries; divergence-opposed M5 trades did best; bar-level baseline drifts +1.9 ATR/24 h on M5, so adjust for drift before judging BUY votes | `backtest/research/replay_recording_2026-09-09.md` |
|
||
| 2026-09-08 | Delivery fixes: stale spread-gate vetoes moved to `cleaned_warnings` (books identical; only the warning text on 20–33% of A-grade alerts changed); alerts require a setup; every send logged with its row id; `telegram.log` rotates daily × 30 | commit history, 2026-09-08 |
|
||
| 2026-09-08 | News archive shipped (`logs/newsdata.db`). Do not train a local headline scorer before about 4,000 headlines over 3+ weeks, time-split, headline text only, graded against the golden set (`git show 1cebebf^:backtest/research/llm_news_golden.csv`) | `news_archive.py` docstring, `backtest/research/llm_news_eval_2026-08-06.md` |
|
||
| 2026-09-07 | Signal-side outlier filter fixed (it deleted about 36 real M5 news bars a year in the backtester and a different 24 live). Book impact at $0.65, 12 months: M5 +112.2R → +108.8R, M15 +73.9R → +74.6R, H1 unchanged. Oanda retry ladder added; a scan that loses its primary frame is `failed` | CLAUDE.md history, commit 2026-09-07 |
|
||
| 2026-09-06 | Stake-sizing campaign FAILED its pre-registered rule on M5 (clean null) and M15 (lift inside the shuffle null). Nothing changing numbers shipped; `--export-features` and the penalty tags remain. M5 stretch measures are positive in both halves (do not propose exhaustion sizing on M5); bursts cluster 12–15 UTC and 01 UTC and do not hurt entries; every open-trade burst protection lost money | `backtest/research/sizing_campaign_2026-09.md` |
|
||
| 2026-09-06 | Violent-move watch shipped dark (display only). Hot = high-impact USD release within ±30 min, or a hot clock slot plus a price extreme; flags 8.6% of bars at 3–5× odds. Context readings never raise the level | `violent_watch.py` docstring, sizing campaign addenda |
|
||
| 2026-09-06 | Stale-code cleanup: research tooling, Dukascopy study, diagrams and plans deleted (history before `953c5ad` has them); `main.py` M5 confirmations fixed to M15 + H1; dead functions removed | commits of 2026-09-06 |
|
||
| 2026-09-04 | News sentiment verdict: the score trails price, it does not lead it. Headline window 4 h, neutral headlines dropped, beginner-language summary shipped; gating flags stay off | `backtest/research/news_sentiment_value_2026-09-04.md` |
|
||
| 2026-09-03 | Signal-log campaign shipped two gates: M5 shorts blocked in `transitioning` (+7.9R/12 mo) and every H1 short blocked (5-year +16.7R, OOS +11.5R). Rejected: M15 SELL-B block, Bollinger-off. Parked: divergence-off. Panel verdict switched to the macro persona (owner decision); the chair's OPPOSE was anti-informative (opposed trades made +30R) | `backtest/research/signal_log_campaign_2026-09.md`, `signal_log_eval_2026-08-18.md` |
|
||
| 2026-09-03 | Auto-execution (Oanda daemon and executor) removed; the owner does not auto-trade (last commit with it `31002cb`) | commit `31002cb` |
|
||
| 2026-08-15 | Agent-panel technical persona gets ATR-normalised candles and raw indicator values | `backtest/research/ai_signal_enrichment_2026-08-15.md` |
|
||
| 2026-08-14 | Books re-pinned on Oanda bars; Twelve Data books superseded. Feed divergence and Oanda-Tiingo signal parity measured | `repin_verification_2026-08-14.md`, `feed_divergence_2026-08-14.md`, `signal_parity_2026-08-14.md` |
|
||
| 2026-08-06 | DeepSeek headline scoring validated (78/78 vs 24/78 for keywords); event misreads fixed with the `vs_forecast` field | `backtest/research/llm_news_eval_2026-08-06.md` |
|
||
| 2026-08-05 | Fixed-RR hard target vs trailing exit: NOT shipped (passes the letter of rule 1 on 2024+ windows but is a trend artefact; M15 negative in 2021 and 2023, drawdown doubles). `--fixed-rr-tp` stays as a research flag | `backtest/research/fixedtp_2026-08-05.md` |
|
||
| 2026-08-04 | QA audit. Weekend calendar made New-York anchored (removed one live-impossible phantom trade). Spread inside exit-trigger detection: owner DECLINED (4–6% optimism accepted, books stay comparable). `FB2_EMA_LO` hardened. M5 pullback entries disabled (PF 1.26 → 1.44 at $0.65). Partial EMA alignment set neutral on M5. XAU_CP gate bypass documented as validated behaviour (226 of 586 M5 trades, +38.9R) | memory files `qa-audit-2026-08-04`, `m5-tuning-2026-08-04`, `m5-round2-2026-08-04` |
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| 2026-07-30 | M5 relaxation shipped (score 25, confidence 5, hour 21 unblocked); big-candle gate rejected (ships off) | memory `relaxation-campaign-2026-07-30` |
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| 2026-07-28 | Oanda v20 becomes the live feed | commit `d2d4fb4` |
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| 2026-07-24 | Real gold spread measured at about $0.65 round trip (9M Dukascopy ticks, 12 months); $0.30 kept only for cross-book comparability and the live target floor | memory `dukascopy-spread-study` |
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| 2026-07-21 | M15 trailing arm 0.70 and M5 trailing distance 0.85 adopted | memory `m15-trail-grid-2026-07-21` |
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| 2026-07-16 | M15 SELL-hour block (15 and 17 UTC) adopted; EUR/USD removed (no edge) | memory `xau-m15-loss-analysis`, `eur-no-edge-verdict` |
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| 2026-07-11 | M15: mixed `trending` regime blocked, target floor 1R; M5: hour 9 blocked | pair factory docstring |
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| 2026-07-08 | Backtester realism fixes (spread charging, gap fills, next-open entry, stop-first ties) | memory `backtester-realism-fixes` |
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Older memory notes live in `~/.claude/projects/-home-harwinder-Development-ForexBot2/memory/`.
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The previous, longer version of this file is in git history before 2026-09-15.
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