Harwinder Sekhon
8b086f4f49
12mo grid campaign (2025-07-08 → 2026-07-08, 1-pip round-trip cost, train/val split at 2026-01-08). Donor config scored -6.7R/34 trades. Findings: transitioning regime -27R/88 wide-open; A-grade entries lose (-26R) while B-grade wins; Fridays -17R; hours 8/12/13/18/19 UTC bleed; score 30-35 band holds the train-half losses; trailing (0.45R arm/0.5R dist) beats static TP1 and gold's 0.6/0.75. Best-found config: -1.06R / 53 trades / PF 0.93 / 62.3% WR — breakeven, FAILS acceptance (positive both halves, PF>=1.3). Per plan, EUR ships functional but stays out of default scan_pairs. Grid results and methodology documented in the module docstring; full numbers in backtest/cache/eurv2_*.csv.
122 lines
4.6 KiB
Python
122 lines
4.6 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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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 do not treat M5 signals as having a
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validated edge. M15 tuning is a future session.
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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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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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