ForexBot2/pair_signals/xauusd.py

"""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).

M15 override 3 (validated 2026-07-16, 5-year replay 2021-07-17 ->
2026-07-16 under the audit-fixed backtester, $0.30 spread, trailing
exits): block SELL entries whose bar CLOSES at 15:00 or 17:00 UTC
(sell_blocked_hours_utc=[15, 17], gate 6g3 — BUYs unaffected; those
hours flank the already-blocked hour 16). The pocket lost -33.5R/165
trades, negative in 6/6 calendar years and in BOTH halves of the last
12 months (H1 -6.8R, H2 -4.2R); each hour independently is 5/6 years
negative with both halves negative (hours 14/18 fail that screen and
stay open). Cross-TF the M5 book CONFIRMS (same pocket -14.1R/59,
5/6 years negative) rather than contradicts — unlike the rejected
trending_down block. Full replay with the gate: +176.7R/1627 PF 1.31
DD 29.1R vs +144.9R/1781 PF 1.22 DD 34.4R control; better in ALL SIX
years; last-12mo halves both improve (H1 +36.3 vs +29.5, H2 +46.9 vs
+43.2; 12mo PF 1.55 vs 1.43); OOS 2024-06-01 -> 2025-03-30 improves
(+45.4R PF 1.47 DD 17.8 vs +41.9R PF 1.39 DD 21.7). SELL side goes
-1.2R -> +30.6R over 5 years. BUYs at those hours made +34.3R, hence
SELL-only rather than a blocked_hours_utc entry. Mechanism: NY-session
shorts against gold's macro uptrend (15:00 = post-US-data reversal
window, 17:00 = London close unwind).

M5 override 2 (2026-07-16, chart patterns): enable BUY-only CP on M5
(inv_hs, double_bottom, bull_flag — drop all bearish patterns). SELL CP
is consistently negative (OOS -3.21R, 5yr +3.76R PF 1.07) while BUY CP
is positive across windows: 12mo +41.8R PF 1.60 (train +9.66 PF 1.30,
val +32.17 PF 1.86), 5yr +65.2R PF 1.48, OOS +1.20R (aggregate
positive, val half -1.89R — marginal but sign-correct in aggregate).
Gold's structural uptrend makes bullish patterns fundamentally more
reliable. M15/H1 fail on all windows; M5-only enablement.

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]
        )
        # BUY-only chart patterns on M5 — see module docstring.
        config.xau_strategy.cp_enabled = True
        config.xau_strategy.cp_patterns = ["inv_hs", "double_bottom", "bull_flag"]
    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"]
        # Block SELL entries at 15:00/17:00 UTC on M15 only — see docstring.
        config.xau_strategy.sell_blocked_hours_utc = [15, 17]
    return config