Harwinder Sekhon
bf8e5fbf39
Parity: replay now applies the live _apply_regime_filter_live method under the live guard (function-identity, default-off); unregistered-pair fallback applies the config.json overlay; parity sweep gains direct ATR/vol-regime assertions; regime-filter semantics test added. Trail campaign: --trail-arm/--trail-dist research flags; 30-cell grid on 5yr M15 refuted the earlier-arm hypothesis and found the 0.70-0.80 arm plateau. Shipped M15-only trail_arm_r=0.70 (factory override): +210.7R PF 1.35 WR 57.8% vs +175.7R PF 1.30 WR 53.9% baseline; both halves and 2024-06->2025-03 OOS better (+57.4 vs +45.4); 5yr max-DD clause (33.9R vs 29.1R) explicitly waived by owner. M5 unchanged. Factory replay reproduces the grid cell trade-for-trade; 201/201 tests. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01VPNF37MP9Kuv62B1VBrZ1b
129 lines
6.8 KiB
Python
129 lines
6.8 KiB
Python
"""XAU/USD signal producer config.
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PlatformConfig defaults ARE the tuned XAU/USD configuration, so this
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factory sets the timeframes plus documented per-timeframe overrides.
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It must stay equivalent to the inline PlatformConfig(symbol=XAUUSD,
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...) construction (plus those overrides) used by the backtester and
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Telegram bot (enforced by a test in test_all.py).
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M15 override (validated 2026-07-11, window 2025-03-30 -> 2026-05-31,
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$0.30 spread, trailing exits): tp_floor_rr 1.0 scores +116.6R/460
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trades PF 1.83 vs +105.4R/424 PF 1.82 at the 0.5 default — better in
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both train/val halves and on the 2024-06 -> 2025-03 out-of-sample
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window (+30.3R vs +10.6R; the 1R floor lifts targets past the min-TP
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spread gate, roughly doubling trades there). The same knob HURTS M5
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(pinned 12mo book: +131.3R/699 vs +139.9R/547, PF 1.55 vs 1.78), so it
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is per-timeframe, exactly as PENDING_STEPS' decision rule anticipated.
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M15 override 2 (validated 2026-07-11, 12mo window 2025-07-11 ->
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2026-07-11 + OOS 2024-06-01 -> 2025-03-30, $0.30 spread): block the
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mixed "trending" regime (ADX strong but EMAs unaligned — momentum
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without directional structure). Those trades lost -6.8R/24 on 12mo,
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negative in BOTH halves; blocking scores +65.7R/499 PF 1.38 DD 10.4R
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vs +59.0R/521 PF 1.32 DD 12.6R baseline, better in both halves. OOS
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is neutral (-1.4R = the 4 such trades that existed there; no power to
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confirm or refute). M5 never trades this regime (its gates already
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exclude it), so the block is M15-only. A second candidate — blocking
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transitioning-regime SELLs (-4.0R/47 on 12mo) — was REJECTED: those
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sells made +5.7R/32 in the 2024 OOS window (bull-market artifact).
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M15 override 3 (validated 2026-07-16, 5-year replay 2021-07-17 ->
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2026-07-16 under the audit-fixed backtester, $0.30 spread, trailing
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exits): block SELL entries whose bar CLOSES at 15:00 or 17:00 UTC
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(sell_blocked_hours_utc=[15, 17], gate 6g3 — BUYs unaffected; those
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hours flank the already-blocked hour 16). The pocket lost -33.5R/165
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trades, negative in 6/6 calendar years and in BOTH halves of the last
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12 months (H1 -6.8R, H2 -4.2R); each hour independently is 5/6 years
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negative with both halves negative (hours 14/18 fail that screen and
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stay open). Cross-TF the M5 book CONFIRMS (same pocket -14.1R/59,
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5/6 years negative) rather than contradicts — unlike the rejected
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trending_down block. Full replay with the gate: +176.7R/1627 PF 1.31
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DD 29.1R vs +144.9R/1781 PF 1.22 DD 34.4R control; better in ALL SIX
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years; last-12mo halves both improve (H1 +36.3 vs +29.5, H2 +46.9 vs
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+43.2; 12mo PF 1.55 vs 1.43); OOS 2024-06-01 -> 2025-03-30 improves
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(+45.4R PF 1.47 DD 17.8 vs +41.9R PF 1.39 DD 21.7). SELL side goes
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-1.2R -> +30.6R over 5 years. BUYs at those hours made +34.3R, hence
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SELL-only rather than a blocked_hours_utc entry. Mechanism: NY-session
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shorts against gold's macro uptrend (15:00 = post-US-data reversal
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window, 17:00 = London close unwind).
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M5 override 2 (2026-07-16, chart patterns): enable BUY-only CP on M5
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(inv_hs, double_bottom, bull_flag — drop all bearish patterns). SELL CP
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is consistently negative (OOS -3.21R, 5yr +3.76R PF 1.07) while BUY CP
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is positive across windows: 12mo +41.8R PF 1.60 (train +9.66 PF 1.30,
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val +32.17 PF 1.86), 5yr +65.2R PF 1.48, OOS +1.20R (aggregate
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positive, val half -1.89R — marginal but sign-correct in aggregate).
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Gold's structural uptrend makes bullish patterns fundamentally more
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reliable. M15/H1 fail on all windows; M5-only enablement.
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M15 override 4 (validated 2026-07-21, 5-year replay 2021-07-21 ->
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2026-07-21, $0.30 spread, next-open fills): trailing-stop arm raised to
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0.70R (trail_arm_r 0.70, dist unchanged 0.75). Full grid arm 0.3-0.9 x
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dist 0.5-1.0 (30 cells): every earlier-arm cell (0.3/0.45) is WORSE —
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the "arm earlier to save fading trades" hypothesis is refuted; the
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plateau is arm 0.70-0.80 x dist 0.70-0.85 (all >= +190R). Chosen
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plateau center 0.70/0.75: +210.7R/1629 PF 1.35 WR 57.8% vs baseline
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0.60/0.75 +175.7R PF 1.30 WR 53.9%; both last-12mo halves improve
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(+49.7/+50.0 vs +36.4/+46.0); per-year better 4/6 (2022 -0.9R, 2023
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-1.4R, both within tolerance); OOS 2024-06-01 -> 2025-03-30 +57.4R
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PF 1.57 DD 17.0R vs +45.4R PF 1.47 DD 17.8R — better on every OOS
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metric. One clause waived BY OWNER DECISION 2026-07-21: 5yr max DD is
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33.9R vs 29.1R baseline (+4.8R deeper worst episode, 2022-23 chop),
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accepted in exchange for +20% total R. M5 keeps the global 0.6 arm
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(same per-TF divergence pattern as tp_floor_rr and the hour-9 block).
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M5 override (validated 2026-07-11, full-history replay 2020-03-17 ->
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2026-07-11 + 12mo book, $0.30 spread): block hour 9 UTC (post-London-
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open whipsaw). Hour-9 entries lost -28.9R/143 over 6 years, negative
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in 5/7 calendar years including winning years (2022 -9.2R). Blocking:
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+207.1R vs +178.3R baseline on the 6-year replay, max DD 28.7R vs
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35.5R, improves 5/7 years (2023 goes -13.0R -> breakeven); the tuned
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12mo book is unchanged (+139.0R vs +139.3R). M15-and-up keep hour 9:
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it is POSITIVE there (M15 6yr +1.7R, M15 OOS +8.6R), so the block is
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M5-only, same per-timeframe pattern as the M15 overrides.
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"""
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from typing import Optional, List
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from config import PlatformConfig, Timeframe
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from app_config import apply_pair_overrides
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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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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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# Deployment overlay (config.json) BEFORE the validated per-TF
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# deltas below, so e.g. the M5 hour-9 append lands on the JSON base.
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apply_pair_overrides(config)
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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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if primary_tf == Timeframe.M5:
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# Block hour 9 UTC on M5 only — see module docstring.
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config.xau_strategy.blocked_hours_utc = (
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config.xau_strategy.blocked_hours_utc + [9]
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)
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# BUY-only chart patterns on M5 — see module docstring.
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config.xau_strategy.cp_enabled = True
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config.xau_strategy.cp_patterns = ["inv_hs", "double_bottom", "bull_flag"]
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if primary_tf == Timeframe.M15:
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# 1R minimum target on M15 only — see module docstring.
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config.signals.tp_floor_rr = 1.0
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# Block the mixed "trending" regime on M15 only — see docstring.
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config.xau_strategy.blocked_regimes = ["trending"]
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# Block SELL entries at 15:00/17:00 UTC on M15 only — see docstring.
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config.xau_strategy.sell_blocked_hours_utc = [15, 17]
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# Later trailing-stop arm on M15 only — see module docstring.
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config.signals.trail_arm_r = 0.70
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config.signals.trail_dist_r = 0.75
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return config
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