Harwinder Sekhon
c004e3f30b
Owner directive 2026-09-06: Dukascopy and similar research material is irrelevant to the running system; keep only code and files with a role in system functioning. Deleted (all in git history before this commit): - backtest/research/ tooling and data: book_report, book_diff, burst_map, burst_precursors, burst_indicator_map, open_trade_bursts, calendar_impact, watch_rule_eval, sizing_model, commit_ladder, llm_news_eval + llm_news_golden.csv, ff_calendar_scraper, duka_spread + duka_spread_by_hour.csv (the Dukascopy spread study), feed_divergence_oanda_vs_tiingo.csv, the panel dry-test JSONL, __init__.py - scripts/feed_divergence_study.py, scripts/signal_parity_study.py (completed studies; their reports keep the results) - docs/architecture.png + architecture_diagram.py (developer illustration) - docs/data_source_change_test_plan.md (Phase 4 shadow scan stays noted in CLAUDE.md) Kept: the campaign .md reports in backtest/research/ as the decision ledger CLAUDE.md cites (rule 1 evidence); scripts/shadow_scan.py (pending operational step); backtest/diagnose_filters.py (test-locked backtester diagnostic). Local, untracked material removed on this box: .superpowers/, walkforward/, baseline/, the commit-ladder and LLM-eval result folders, the Dukascopy boundary CSV; the sizing_2026-09 folder is pruned to the four 3-year baseline books CLAUDE.md names. .gitignore no longer lists the removed research outputs; the backtest instructions and CLAUDE.md no longer point at deleted tools. Suite: 461 passed, 0 failed (nothing imported the removed files). Claude-Session: https://claude.ai/code/session_0156YhogLytzj9P2iH1skGbL
60 lines
3.5 KiB
Markdown
60 lines
3.5 KiB
Markdown
# Signal-Level Replay Parity — Oanda vs Tiingo (Phase 2)
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**Date:** 2026-08-14
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**Tool:** `scripts/signal_parity_study.py` (script removed 2026-09-06, in git history) (replays real `analyze_from_dataframes`, news off)
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**Window:** 2025-08-14 → 2026-08-14 (12 months); M15 stride 8, M5 stride 24 → ~2,900 sampled decisions each
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**Preceding:** Phase 1 price-diff study (`feed_divergence_2026-08-14.md`)
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## Headline
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On the ~94–96% of bars the two feeds share, **Oanda and Tiingo produce near-identical signals**:
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| Metric | M15 | M5 |
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|---|---|---|
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| same direction | 98.32% | 98.16% |
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| same grade | 94.13% | 95.23% |
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| same setup presence | 98.83% | 99.49% |
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| same direction + grade + setup | 93.41% | 94.21% |
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| opposite-sign flips (BUY↔SELL) | **0** | **0** |
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| direction flips on actionable bars | 6.6% | 10.9% |
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| grade changed on actionable bars | 14.2% | 7.8% |
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| mean \|Δ final_score\| | 1.76 | 1.78 |
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| mean \|Δ primary_score\| | 1.73 | 1.77 |
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| same strategy tag | 100% | 100% |
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Every direction flip is **actionable↔NEUTRAL**, never a sign reversal: the feeds never disagree on buy-vs-sell, only on *whether* a marginal bar crosses the action threshold. Flipping bars cluster at the Friday-close/Sunday-reopen boundary (UTC hours 22–23) and in the Asian hours (03–04).
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## Setup levels diverge even when the signal agrees
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On bars where **both** feeds emit a setup with the same tag:
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| | M15 (n=119) | M5 (n=39) |
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|---|---|---|
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| entry mean \|Δ\| | $0.12 | $0.10 |
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| SL mean \|Δ\| | $1.83 | $2.79 |
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| TP1 mean \|Δ\| | $2.47 | $1.52 |
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| TP2 mean \|Δ\| | $3.74 | $2.46 |
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| TP1 p95 \|Δ\| | $17.4 | $2.3 |
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Entry price is the current close (≈ identical across feeds), but **SL/TP are recomputed from ATR and recent swing extremes, which differ more** — mean SL drift ~$2–3 (p95 up to $10–26 on M15), i.e. 20–40% of ATR. So even an identical signal places stops/targets at meaningfully different prices on a different feed.
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## Phase 2 pass/fail vs plan thresholds
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| Criterion | Plan threshold | M15 / M5 | Verdict |
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|---|---|---|---|
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| identical direction+grade | ≥ 97% | 93.4% / 94.2% | **marginal** (below 97%, above 93%) |
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| opposite-sign flips | (none specified) | 0 / 0 | PASS |
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| flips clustered at marginal composites | no session/regime clustering | yes (boundary hours) | PASS |
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The "identical direction+grade" metric lands slightly under the proposed 97% bar — but the shortfall is grade *letters* (A+ vs A vs B) changing on marginal composites, not direction. If the acceptance criterion is "no opposite-sign disagreement and ~98% direction identity", this passes comfortably.
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## Conclusion
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Oanda ↔ Tiingo is **signal-equivalent for direction** (98% identical, zero sign flips) over 12 months. The residual deltas are:
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1. **~6% of decisions differ in grade letter** on marginal composites (A+↔A↔B near thresholds).
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2. **SL/TP levels drift ~$2–4 mean** (up to ~$20 p95 on M15) even for identical signals — a real P&L difference at the trade level.
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3. **Tiingo's extra Sunday bars** (Phase 1) are gated by the aggregator's NY-anchored weekend filter, so they do not inject phantom signals, but they do slightly shift indicator history at Monday opens.
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Net: switching Oanda→Tiingo changes a handful of marginal decisions and moves stop/target levels, but does not change *what the system is doing* (direction, strategy, setup presence). Oanda↔Twelve Data was not replayed — Phase 1 already showed 81% M5 bar-direction disagreement and a ~$3/$1 systematic gap, so a TD replay would trivially fail (that is the documented re-pin motivator).
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