Harwinder Sekhon
6f69b9dd90
M15 mixed-"trending" regime block (ADX strong, EMAs unaligned = momentum without direction): -6.8R/24 trades on 12mo, negative both halves; blocking scores +65.7R/499 PF 1.38 DD 10.4R vs +59.0R/521 PF 1.32 DD 12.6R, better both halves, OOS 2024-06->2025-03 neutral (-1.4R = the 4 such trades there). M5 never trades this regime. New XauStrategyConfig.blocked_regimes / sell_blocked_regimes knobs (default empty) + aggregator gate 6g2; M15 factory opts in. M5 hour-9 UTC block (post-London-open whipsaw): -28.9R/143 over the 6-year book, negative 5/7 calendar years. Full-history replay with block: +207.1R vs +178.3R, max DD 28.7R vs 35.5R, 2023 -13.0R -> breakeven; tuned 12mo book unchanged (139.0 vs 139.3). Hour 9 is positive on M15 (+1.7R 6yr, +8.6R OOS) so the block is factory M5-only. Rejected after validation (documented in xauusd.py + session memory): transitioning-SELL block (bull-market artifact, +5.7R in 2024 OOS), M15 trending_down block (M5 cross-TF contradiction), losing-streak circuit breakers, 30d efficiency-ratio trend gate, and all entry-level indicator filters (winners == losers at entry on every feature). Full-history context (Twelve Data 5min starts 2020-03-16): M5 6.3yr +207R PF ~1.3 post-fix with losing year 2021; M15 +152.6R PF 1.19 DD 49.7R — edge is regime-dependent, chop years are structural. Tests: 178 passed (new gate test + factory-equivalence updates).
72 lines
3.3 KiB
Python
72 lines
3.3 KiB
Python
"""XAU/USD signal producer config.
|
|
|
|
PlatformConfig defaults ARE the tuned XAU/USD configuration, so this
|
|
factory sets the timeframes plus documented per-timeframe overrides.
|
|
It must stay equivalent to the inline PlatformConfig(symbol=XAUUSD,
|
|
...) construction (plus those overrides) used by the backtester and
|
|
Telegram bot (enforced by a test in test_all.py).
|
|
|
|
M15 override (validated 2026-07-11, window 2025-03-30 -> 2026-05-31,
|
|
$0.30 spread, trailing exits): tp_floor_rr 1.0 scores +116.6R/460
|
|
trades PF 1.83 vs +105.4R/424 PF 1.82 at the 0.5 default — better in
|
|
both train/val halves and on the 2024-06 -> 2025-03 out-of-sample
|
|
window (+30.3R vs +10.6R; the 1R floor lifts targets past the min-TP
|
|
spread gate, roughly doubling trades there). The same knob HURTS M5
|
|
(pinned 12mo book: +131.3R/699 vs +139.9R/547, PF 1.55 vs 1.78), so it
|
|
is per-timeframe, exactly as PENDING_STEPS' decision rule anticipated.
|
|
|
|
M15 override 2 (validated 2026-07-11, 12mo window 2025-07-11 ->
|
|
2026-07-11 + OOS 2024-06-01 -> 2025-03-30, $0.30 spread): block the
|
|
mixed "trending" regime (ADX strong but EMAs unaligned — momentum
|
|
without directional structure). Those trades lost -6.8R/24 on 12mo,
|
|
negative in BOTH halves; blocking scores +65.7R/499 PF 1.38 DD 10.4R
|
|
vs +59.0R/521 PF 1.32 DD 12.6R baseline, better in both halves. OOS
|
|
is neutral (-1.4R = the 4 such trades that existed there; no power to
|
|
confirm or refute). M5 never trades this regime (its gates already
|
|
exclude it), so the block is M15-only. A second candidate — blocking
|
|
transitioning-regime SELLs (-4.0R/47 on 12mo) — was REJECTED: those
|
|
sells made +5.7R/32 in the 2024 OOS window (bull-market artifact).
|
|
|
|
M5 override (validated 2026-07-11, full-history replay 2020-03-17 ->
|
|
2026-07-11 + 12mo book, $0.30 spread): block hour 9 UTC (post-London-
|
|
open whipsaw). Hour-9 entries lost -28.9R/143 over 6 years, negative
|
|
in 5/7 calendar years including winning years (2022 -9.2R). Blocking:
|
|
+207.1R vs +178.3R baseline on the 6-year replay, max DD 28.7R vs
|
|
35.5R, improves 5/7 years (2023 goes -13.0R -> breakeven); the tuned
|
|
12mo book is unchanged (+139.0R vs +139.3R). M15-and-up keep hour 9:
|
|
it is POSITIVE there (M15 6yr +1.7R, M15 OOS +8.6R), so the block is
|
|
M5-only, same per-timeframe pattern as the M15 overrides.
|
|
"""
|
|
|
|
from typing import Optional, List
|
|
from config import PlatformConfig, Timeframe
|
|
|
|
_CONFIRMATIONS = {
|
|
Timeframe.M5: [Timeframe.M15, Timeframe.H1],
|
|
Timeframe.M15: [Timeframe.M5, Timeframe.H1],
|
|
Timeframe.H1: [Timeframe.M15, Timeframe.H4],
|
|
Timeframe.H4: [Timeframe.H1, Timeframe.D1],
|
|
}
|
|
|
|
|
|
def make_config(
|
|
primary_tf: Timeframe,
|
|
confirmation_tfs: Optional[List[Timeframe]] = None,
|
|
) -> PlatformConfig:
|
|
config = PlatformConfig()
|
|
config.primary_timeframe = primary_tf
|
|
config.confirmation_timeframes = (
|
|
confirmation_tfs or _CONFIRMATIONS.get(primary_tf, [Timeframe.M15, Timeframe.H4])
|
|
)
|
|
if primary_tf == Timeframe.M5:
|
|
# Block hour 9 UTC on M5 only — see module docstring.
|
|
config.xau_strategy.blocked_hours_utc = (
|
|
config.xau_strategy.blocked_hours_utc + [9]
|
|
)
|
|
if primary_tf == Timeframe.M15:
|
|
# 1R minimum target on M15 only — see module docstring.
|
|
config.signals.tp_floor_rr = 1.0
|
|
# Block the mixed "trending" regime on M15 only — see docstring.
|
|
config.xau_strategy.blocked_regimes = ["trending"]
|
|
return config
|