Harwinder Sekhon
f88e39f5be
Finishes PENDING_STEPS Step 1 under the current trailing-exit model. M15 window 2025-03-30->2026-05-31 ($0.30 spread): +116.6R/460 PF 1.83 vs +105.4R/424 PF 1.82 baseline, better in both halves; 2024-06-> 2025-03 OOS +30.3R vs +10.6R control. Same knob on the pinned M5 book is WORSE (+131.3R/699 vs +139.9R/547) so the override is M15-only in the xauusd factory, per the pre-registered decision rule. M5 path unchanged (factory override gated on primary_tf == M15). Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
43 lines
1.7 KiB
Python
43 lines
1.7 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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"""
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from typing import Optional, List
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from config import PlatformConfig, Timeframe
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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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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.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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return config
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