ForexBot2/PULLBACK_ENTRY_PLAN.txt

PULLBACK ENTRY PATTERN — IMPLEMENTATION PLAN
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Drafted 2026-07-09. Status: IMPLEMENTED & VALIDATED (same day).

OUTCOME: shipped as XAU_PB. 12mo M5 validation: 254 PB trades,
+38.3R, avgR +0.151, WR 58%, halves +20.1/+18.1, all four full
quarters positive. Core breakout trades undisturbed (-3.1R
displacement). Combined book: 549 trades (~10.6/wk), +140.1R,
PF 1.78, DD 11.3R. Calibration lesson: M5 gold trend legs measure
3-4 ATR swing-to-trough — the drafted 0.5-2.5 ATR retrace window
rejected 81% of valid pullbacks (fixed: 0.8-6.0). PB stops are
~$8 vs ~$25 core, so PB got its own trail arm (0.8R vs 0.6R).
Detector lives in signal_aggregator (NOT engine.py) so the GPU
backtest engine exercises the same code path as live.

WHY (evidence from 12mo M5 backtests, $0.30 spread, trailing exits)
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All 311 current trades are one archetype: trend-continuation breakout
(EMA 4/4 aligned + ADX>25 + MACD accelerating + price through Keltner
band). We systematically enter at maximum extension:

- Trades carrying the "NO PULLBACK — price >2.5 ATR from EMA21" warning
  average +0.063R vs +0.112R without it (145 vs 103 trades, 6mo set).
- 28% of stopped-out trades never moved toward the target — instant
  reversals from buying the local top / selling the local bottom.
- "Extended — RSI in trend" warning trades: +0.057R vs +0.183R without.

A pullback entry catches the SAME trends at better prices: enter on the
retrace toward EMA21 / Keltner midline, stop below the retrace swing
instead of 2×ATR behind an extended price. Tighter risk, same trend.
This ADDS trades (new signal source) — it does not filter existing ones.

DETECTOR SPEC (engine.py — new module-level check in M5 path)
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Trend context (all required):
  1. EMA alignment >= 3/4 in trend direction (allow 9<21 wobble mid-pullback)
  2. ADX >= 20 on M5 (relaxed vs breakout's 25: ADX decays during retrace)
  3. H1 confirmation score agrees with trend direction (>= +10 / <= -10),
     reuse Gate-3 machinery.

Pullback trigger (all required):
  4. Price touched/undercut EMA21 or KC midline within last 3 bars
     (low <= band for BUY; high >= band for SELL).
  5. Retrace depth 0.5–2.5 ATR from the pre-pullback swing extreme
     (deeper = trend likely broken; shallower = still extended).
  6. Resumption bar: close back in trend direction (close > open for BUY)
     AND close above EMA9 (below for SELL) — do not catch the falling knife.
  7. RSI in the pullback zone: BUY 35–55, SELL 45–65 (NOT the extended
     zones the breakout entries fire in — that is the whole point).

Suppression:
  8. Skip if a breakout signal fired within cooldown (no double entry
     on the same leg — cd2/cd3 tests proved same-direction pyramiding
     is train-half-only noise).
  9. All existing M5 gates 1–6 still apply where meaningful; Gate 1
     (|score|>=30) will need a variant — pullback bars have weaker
     composite scores BY DESIGN (price below the momentum bands), so
     validate a separate m5_pullback_min_score knob (start ~20).

GEOMETRY
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- SL: below the pullback swing low (BUY) − 0.5×ATR buffer, floored at
  min_sl_pips ($8). Expect typical SL 40–60% tighter than breakout SLs.
- Exit: same trailing stop (arm +0.6R, trail 0.75R, max_hold 300).
  NOTE: tighter SL means R units are smaller in dollars — re-validate
  trail params on pullback trades separately; the arm/dist plateau was
  measured on breakout-sized risk. If needed give pullback its own
  trail knobs.
- Tag trades strategy="XAU_PB" in the backtester so every report
  splits breakout vs pullback cleanly.

VALIDATION PROTOCOL (same discipline as 2026-07-09 sessions)
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1. Implement detector behind config flag m5_pullback_enabled=False.
2. 365d backtest, flag on; export CSV; analyze XAU_PB trades alone:
   - REQUIRE: positive totalR in BOTH data halves
   - REQUIRE: positive in >= 3 of 4 full quarters
   - REQUIRE: does not degrade breakout-trade totals (displacement
     check vs baseline entry_time set, like the cooldown analysis)
   - TARGET: >= +0.15R/trade average, >= 1 trade/week added
3. Threshold sweeps (retrace depth, RSI zone, ADX floor) via the
   offline exit-sim harness pattern where possible; full reruns where
   entries change.
4. Reject-and-document if it fails — same as blocked-hours/cooldown
   experiments (see memory: entry-side experiments rejected).

BASELINE TO BEAT (do not regress)
---------------------------------
12mo M5: 311 trades, +105.0R, PF 2.27, DD 7.9R, WR 61.4%,
train/val +54.6/+50.4, every quarter positive, ~6-8 trades/week.
(commit 987ec5b, CSV: m5_365d_trail300 in session scratchpad)

IMPLEMENTATION ORDER
--------------------
1. config.py: m5_pullback_enabled, m5_pullback_min_score,
   pullback RSI zones, retrace depth bounds.
2. engine.py: pullback detector producing a candidate flag + swing
   levels (attach as result._pullback_setup, underscore-private).
3. signal_aggregator.py: consume flag, build XAU_PB trade setup with
   pullback geometry; route through gates with pullback score variant.
4. gpu_backtest.py: ensure strategy tag flows to CSV (already does via
   strategy_tag) and pre-filter loop does not drop pullback candidates.
5. Backtest + validate per protocol; tune; commit only on pass.

RISKS
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- Pullback entries in a trend that IS reversing = catching the knife;
  the resumption-bar condition (6) is the main guard — do not weaken it.
- Score-gate variant (9) is the most likely source of overfitting;
  sweep it last, keep the grid coarse.
- M5 pullbacks during news spikes: calendar buffer already applies via
  existing pipeline; verify it fires for XAU_PB too.