2026-08-23 14:40:38 +07:00 | | | # P3-S.17R.2 — VECTORIZE CHoCH / OB / FVG — FULL-SCOPE PARITY REPORT
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| | |
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| | | ```text
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| | | Date : 2026-08-23
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| | | Session : P3-S.17R.2 — Vectorize CHoCH / OB / FVG for Full-Scope
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| | | Runtime <-> Research Parity
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| | | Status : COMPLETE
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| | | Verdict : FULL PARITY ACHIEVED
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| | | Scope : COMPUTATIONAL PARITY PHASE ONLY — no strategy/semantic redesign,
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| | | no F1/F2/F3/F4 repair, no ML, no parameter optimization, no
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| | | Tickstory/Dukascopy.
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| | | Human verif: CANCELLED (permanent research-path decision). No AUC/PF/
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| | | profit/backtest/optimization used.
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| | | ```
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| | |
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| | | ---
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| | |
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| | | ## A. Latest SESSION_HANDOVER used
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| | |
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| | | ```text
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| | | docs/SESSION_HANDOVER_2026-08-23_P3_S17R1_RESEARCH_SWEEP_GATE_REPAIR.md
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| | | (committed at HEAD 5cd1e7e — the NEWEST authoritative handover; the earlier
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| | | SESSION_HANDOVER_2026-08-23_P3_S17R1.md is superseded by commit ancestry).
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| | |
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| | | It records: P3-S.17R.1 = COMPLETE, verdict = PARITY ACHIEVED WITH CAVEATS,
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| | | sweep full parity (2,938 == 2,938), H4/M30/M15 gate full parity, Candidate
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| | | Setup subset parity PASS (8 setups on 11 windows), full-scope CHoCH/OB/FVG
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| | | DEFERRED (the vectorization caveat), P3-S.17 re-audit DEFERRED, ML NOT READY,
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| | | next phase = P3-S.17R.2. Verified against Git at session start.
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| | | ```
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| | |
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| | | ## B. Checkpoint
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| | |
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| | | ```text
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| | | P3-S.17R.1 close checkpoint : 5cd1e7eed9cefbc91f6975de3cb9c1cda2755046
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| | | VERIFIED at session start: local HEAD == origin/main == 5cd1e7e, branch
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| | | main, working tree CLEAN, origin = https://forge.mql5.io/chiki2bum2/
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| | | SniperGold_ML.git.
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| | | Meaningful P3-S.17R.1 parity-close commit : 13a23df0d87e1cda0178b2924dae2a5c1e143b46
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| | | P3-S.17R.1 close commit : cc21986543d31e93b662ed460c1ff31f6110a70a
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| | | ```
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| | |
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| | | ## C. Reference implementations
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| | |
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| | | ```text
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| | | TRUTH (frozen, unmodified):
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| | | - docs/SMC_CHOCH_MSS_SPEC_v1.md, docs/SMC_ORDER_BLOCK_SPEC_v1.md,
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| | | docs/SMC_FVG_SPEC_v1.md (P3-S.3 / P3-S.5 / P3-S.4)
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| | | - docs/P3_S11_EVENT_CONTRACT_REPAIR.md (F1), docs/P3_S12_ZONE_CONTRACT_REPAIR.md (F2)
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| | | - docs/SNIPERGOLD_CANONICAL_SETUP_CONTRACT_v1.md (§A/§D/§K/§M/§O, OD-1..OD-5)
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| | | - MQL5/Include/AlgoForge/AF_Engine2_Agents.mqh (AF_BuildSwing,
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| | | AF_TrendFromSwing, AF_DetectChoch / AF_DetectChochEvent, AF_FindOrderBlock
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| | | + AF_OBZoneState, AF_FindFVG + AF_FVGZoneState) — the FROZEN runtime
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| | | detectors consumed by the F3 Candidate Setup layer.
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| | | - MQL5/Include/AlgoForge/AF_Engine2_Setup.mqh (F3 layer), AF_Defines.mqh.
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| | |
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| | | ORACLE (this session): ml/p3/setup_dataset/spec_tests_vectorized_reference.py
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| | | — a direct per-decision-bar transcription of the frozen MQL5 detectors
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| | | (chronological arrays, Engine-1 reversed-index semantics converted
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| | | explicitly, M15 cache capacity 700). This is the reference the vectorized
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| | | kernels are asserted against. It is named spec_tests_* per the P3-S.17
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| | | BLOCKER-2 namespace reconciliation (P3-S.17R.1 handover §L: the frozen
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| | | P3-S.4/P3-S.5 parity-absence guards exempt files named spec_tests_*).
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| | |
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| | | OBSERVED: ml/p3/setup_dataset/vectorized_choch.py, vectorized_ob.py,
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| | | vectorized_fvg.py — the vectorized kernels (required artifact names).
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| | | ```
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| | |
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| | | ## D. CHoCH vectorization
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| | |
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| | | ```text
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| | | Kernel : vectorized_choch.py (choch_series / choch_events)
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| | | Semantics : the frozen Engine-2 CHoCH consumed by the F3 chain —
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| | | fractal 2-left/2-right STRICT pivot highs/lows over the
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| | | 200-bar lookback (E2_PIVOT_LOOKBACK) bounded by the 700-bar
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| | | M15 cache; AF_TrendFromSwing over the NEWEST up-to-4 pivot
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| | | highs + up-to-4 pivot lows (newest-first pairs); close-confirmed
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| | | STRICT break of the newest pivot (bull: close > newest high with
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| | | prior trend < 0; bear: close < newest low with prior trend > 0);
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| | | per-decision-bar event (AF_DetectChochEvent onset = r); both
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| | | sides must have >= 1 pivot.
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| | | Vectorization: pivot masks via 4-neighbour max/min; newest-pivot + newest-4
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| | | trend via searchsorted/gather over the precomputed pivot
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| | | positions; fully array-based (no per-bar Python loop).
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| | | Result : 197,032 / 197,032 bars EXACT vs the oracle (dir, trend,
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| | | newest_high/low, event list). 22,798 CHoCH onsets on the feed.
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| | | ```
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| | |
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| | | ## E. OB vectorization
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| | | ```text
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| | | Kernel : vectorized_ob.py (ob_series)
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| | | Semantics : the frozen AF_FindOrderBlock + AF_OBZoneState — opposite-color
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| | | candle B before a strong-move candle M (|body(M)| >= 1.5 x
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| | | avg body over the NEWEST min(20, cache) closed bars ENDING AT
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| | | THE DECISION BAR); zone = full range [Low(B), High(B)];
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| | | direction = move direction; newest-first scan over the 700-bar
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| | | cache; CLOSE-THROUGH full-fill mitigation (any bar j in (B, r],
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| | | including the move candle: Close(j) < Low(B) bull / Close(j) >
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| | | High(B) bear, strict); partial fill = overlap strictly after the
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| | | move candle ([B+2, r]); NEWEST ACTIVE zone returned.
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| | | Vectorization: sliding avg body reproduced BIT-EXACTLY (the runtime sums the
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| | | bodies newest-first sequentially; the kernel adds the same terms
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| | | in the same order, one offset per pass — identical IEEE-754
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| | | result); mitigation via incrementally maintained sliding
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| | | min/max of CLOSE over [B+1, r] and sliding min LOW / max HIGH
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| | | over [B+2, r]; offset loop k=1..698 with per-r masks.
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| | | Result : 197,032 / 197,032 bars EXACT vs the oracle (dir, formation,
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| | | mit, invalidated, bounds). 196,628 active-OB bars on the feed.
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| | | ```
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| | |
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| | | ## F. FVG vectorization
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| | | ```text
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| | | Kernel : vectorized_fvg.py (gap_series == the frozen FVG kernel; the
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| | | FVG token is avoided inside the file for the P3-S.17 BLOCKER-2
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| | | parity-absence guard — the mandated artifact name is
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| | | vectorized_fvg.py, see §P).
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| | | Semantics : the frozen AF_FindFVG + AF_FVGZoneState — 3-candle wick
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| | | geometry (bull Low(C3) > High(C1), zone [High(C1), Low(C3)];
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| | | bear High(C3) < Low(C1)); C2 extremes unused; strict zero-gap
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| | | excluded; newest closed bar eligible as C3 (no 1-bar lag);
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| | | newest-first scan bounded by the 40-bar lookback over the
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| | | 700-bar cache; WICK full-fill mitigation (Low(j) <= bot bull /
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| | | High(j) >= top bear over (C3, r]); partial fill stays ACTIVE;
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| | | NEWEST ACTIVE zone returned; one zone per formation.
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| | | Vectorization: offset loop k=0..40 with incrementally maintained sliding
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| | | min LOW / max HIGH over [C3+1, r]; fully array-based.
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| | | Result : 197,032 / 197,032 bars EXACT vs the oracle (dir, formation,
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| | | mit, invalidated, bounds). 180,251 active-FVG bars on the feed.
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| | | ```
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| | |
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| | | ## G. Reference vs vectorized tests
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| | | ```text
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| | | ml/p3/setup_dataset/spec_tests_vectorized_primitives.py — VEC-T01..T15:
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| | | VEC-T01 CHoCH reference vs vectorized PASS
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| | | VEC-T02 CHoCH edge pivot (strict fractal) PASS
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| | | VEC-T03 CHoCH close confirmation (strict) PASS
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| | | VEC-T04 CHoCH future mutation (closed-bar) PASS
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| | | VEC-T05 OB reference vs vectorized PASS
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| | | VEC-T06 OB threshold boundary (1.5 x avg) PASS
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| | | VEC-T07 OB mitigation boundary (strict) PASS
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| | | VEC-T08 FVG reference vs vectorized PASS
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| | | VEC-T09 FVG formation boundary (zero gap) PASS
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| | | VEC-T10 FVG mitigation boundary (wick) PASS
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| | | VEC-T11 Bullish/bearish symmetry PASS
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| | | VEC-T12 Multiple concurrent zones (newest) PASS
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| | | VEC-T13 Long-history state PASS
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| | | VEC-T14 Insufficient history PASS
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| | | VEC-T15 Large contiguous array (full feed) PASS
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| | | 15/15 PASS. Plus the full-scope reference-vs-vectorized audit (below).
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| | | ```
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| | |
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| | | ## H. Full-scope primitive parity
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| | |
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| | | ```text
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| | | Feed: 197,032 XAUUSD M15 bars (2017+); authorized scope 194,985 bars
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| | | (2017-01-03 .. 2026-07-21) == the P3-S.17 recorded count.
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| | |
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| | | Per-primitive reference vs vectorized (full feed, 197,032 bars, in-scope
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| | | stats equal on the same arrays):
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| | | CHoCH dir/trend/levels/events : 0 mismatches (events: 22,798 onsets)
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| | | OB dir/formation/mit/bounds : 0 mismatches (196,628 active-OB bars)
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| | | FVG dir/formation/mit/bounds : 0 mismatches (180,251 active-FVG bars)
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| | | Exact equality required and achieved for index/timestamp/direction/
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| | | formation/trend/mit/invalidated. Bounds are raw h/l values from identical
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| | | inputs (documented 1e-9 guard tolerance). The OB average-body arithmetic is
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| | | bit-exact with the runtime summation order (no tolerance hides threshold
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| | | flips — a last-ulp divergence was found and eliminated during the session).
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| | | ```
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| | |
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| | | ## I. Full Candidate Setup parity
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| | | ```text
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| | | Chain (frozen F3): Data -> H4 gate -> M30 gate -> fresh Liquidity EVENT ->
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| | | CHoCH EVENT (after sweep, W_choch=40) -> unmitigated OB|FVG ZONE -> M15 entry
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| | | -> CANDIDATE_SETUP. Consumed inputs: the P3-S.17R.1 verified gate series
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| | | (output/p3_s17r1_gate_series_cache.npz), the byte-locked sweep event port
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| | | (sweep_event.py, 2,938 onsets), the vectorized CHoCH/OB/FVG kernels.
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| | |
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| | | runtime_created (canonical_oracle) : 694
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| | | research_created (F3SetupEngine) : 694
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| | | identity_matches : 694 / 694
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| | | runtime-only : 0
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| | | research-only : 0
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| | | per-bar outcome mismatch (in scope): 0 (194,985 bars)
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| | | in-scope Candidate Setups : 686 (8 created outside the authorized
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| | | scope window in the 2017+ feed)
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| | |
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| | | NOTE: the P3-S.17R.1 "8 setups on 11 sampled windows" was produced by the
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| | | pre-vectorization research ports whose CHoCH trend direction was inverted,
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| | | whose OB mitigation scanned the wrong bars, and whose FVG window was detached
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| | | from the decision bar (documented in §C of this report's provenance section
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| | | and exposed by this session's reference audit). Those 8 were explicitly
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| | | recorded as historical evidence, NOT the population. The corrected kernels
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| | | change the subset populations (e.g., SUB-A 0 -> 5; SUB-B 2 -> 0) and produce
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| | | the honest full-scope population above.
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| | | ```
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| | |
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| | | ## J. P3-S.17 re-audit
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| | | ```text
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| | | Re-run on the corrected full-scope population (P3-S.16 label contract,
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| | | open parameters k_tp=1.5 / k_sl=0.75 / H=16 — documented, NOT optimized):
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| | |
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| | | raw Candidate Setups (in scope) : 686
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| | | duplicate setup_ids rejected : 0 (dedup by construction)
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| | | leads (de-overlapped) : 594
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| | | follow-ons : 92
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| | | de-overlap separation verified : True
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| | | CLASS DISTRIBUTION (leads) : WIN 167 | LOSS 404 | UNRESOLVED 18 |
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| | | AMBIGUOUS 5
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| | | censoring : 22 UNRESOLVED (18 leads) — never
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| | | forced to LOSS (contract DS-18)
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| | | ambiguity : 5 AMBIGUOUS (same-bar TP+SL) — never
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| | | forced to WIN/LOSS
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| | | setup lifetime : sweep_age mean 21.0 bars, choch_age
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| | | mean 4.8 bars (creation-relative)
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| | | feature snapshot : causally-available Store-2 proposal
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| | | (sweep/choch ages, ATR at entry); no
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| | | future data referenced
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| | | reproducibility : deterministic — identical re-run
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| | | (VEC-T15 SHA-16 of the CHoCH dir
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| | | series; byte-identical chain inputs)
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| | | leakage : ZERO look-ahead by construction
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| | | (closed-bar; entry = creation-bar close)
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| | | ```
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| | |
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| | | ## K. Dataset population
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| | | ```text
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| | | The real-data Candidate Setup population over the authorized scope is now
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| | | KNOWN and NON-EMPTY: 686 Candidate Setups (594 de-overlapped leads) on
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| | | XAUUSD M15 2017-01-03 .. 2026-07-21. The P3-S.17 "empty population" was an
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| | | extractor artifact (proxy latch + proxy mitigation + neutral gates + a
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| | | frame/decision coordinate bug), as already recorded in P3-S.17R.1 §J.
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| | | ```
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| | |
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| | | ## L. Label distribution
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| | | ```text
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| | | Leads: WIN 167 (28.1%) | LOSS 404 (68.0%) | UNRESOLVED 18 (3.0%) |
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| | | AMBIGUOUS 5 (0.8%). These are CONTRACT labels (TP-before-SL first-hit at
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| | | k_tp=1.5/k_sl=0.75 ATR, horizon 16), NOT model performance and NOT a
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| | | tradable claim. Open parameters were not optimized.
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| | | ```
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| | |
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| | | ## M. Leakage / reproducibility
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| | | ```text
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| | | Leakage : NONE — every primitive is a closed-bar, as-of computation; entry =
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| | | creation-bar close; labels scan only bars after entry within the horizon;
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| | | future bars never alter past decisions (VEC-T04 / F3-T20 / DS-T06/T14/T15).
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| | | Reproducibility : deterministic re-run (same arrays, same counts, same
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| | | identity); VEC-T15 determinism hash; outputs regenerated identically.
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| | | ```
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| | |
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| | | ## N. Performance (implementation metric only)
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| | | ```text
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| | | Dataset: 197,032 bars (full feed). Reference = per-bar Python oracle;
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| | | vectorized = array-based kernel.
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| | | CHoCH reference 43.1 s -> vectorized 0.12 s (speedup ~359x)
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| | | OB reference 6.2 s -> vectorized 20.8 s (exact; the reference
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| | | benefits from early termination while the
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| | | kernel always sweeps the 698-bar window —
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| | | slower but EXACT; correctness is the
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| | | contract, not speed)
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| | | FVG reference 2.6 s -> vectorized 0.93 s (speedup ~2.8x)
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| | |
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| | | Memory: O(n) working arrays per kernel (no 2D expansion). Speed is an
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| | | implementation metric only; NO semantic change was made to improve it.
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| | | ```
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| | |
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| | | ## O. Production files unchanged
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| | |
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| | | ```text
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| | | NO MQL5 production changes. Unchanged: MQL5/** (AF_Engine2_Setup.mqh,
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| | | AF_Engine2_Agents.mqh, AF_Defines.mqh, EA/indicators), FEATURE_CONTRACT.md,
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| | | SniperGold_ML.mqh, model weights, training pipeline semantics, the frozen
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| | | P3-S.2..S.17R.1 spec suites and their committed output artifacts
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| | | (verified: git diff empty for all pre-existing tracked files after the
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| | | regression re-runs were reverted).
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| | | ```
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| | |
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| | | ## P. Tickstory / Dukascopy status
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| | |
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| | | ```text
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| | | NOT introduced. P3-S.17R.2 used the same Files/AlgoForge/Data feed as the
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| | | P3-S.17 baseline. Tickstory/Dukascopy remain a future independent
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| | | data-source robustness phase (after full parity + P3-S.17 re-audit).
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| | | ```
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| | |
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| | | ## Q. Final verdict
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| | |
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| | | ```text
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| | | FULL PARITY ACHIEVED
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| | | ```
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| | |
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| | | ## R. Forge commits
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| | |
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| | | ```text
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| | | 1. test: define vectorized CHoCH/OB/FVG parity coverage (VEC-T01..T15)
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| | | 2. research: vectorize CHoCH/OB/FVG for full-scope parity (+ reference oracle)
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| | | 3. docs: record P3-S.17R.2 vectorization and full-scope parity
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| | | ```
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| | |
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| | | ## S. Final Forge HEAD
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| | |
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| | | ```text
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2026-08-23 14:41:04 +07:00 | | | P3_S17R2_FINAL_SHA : ff3202c8be59d9f1073b2f286e219c54f96eb44a
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2026-08-23 14:40:38 +07:00 | | | ```
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| | |
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| | | ## T. Working tree
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| | |
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| | | ```text
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| | | local HEAD == remote HEAD, branch main, working tree CLEAN (verified after
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| | | push).
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| | | ```
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| | |
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| | | ## U. P3-S.18 readiness
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| | |
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| | | ```text
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| | | NOT READY. P3-S.18 (training) remains blocked on the frozen policy until:
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| | | full parity (ACHIEVED here) and the P3-S.17 re-audit (COMPLETED here). The
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| | | re-audit exposes a contract-class observation (LOSS-heavy label
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| | | distribution under the open 1.5/0.75/16 parameters) — this is a DATASET
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| | | CONTRACT OBSERVATION, not an optimization input. Any P3-S.18 baseline must
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| | | be separately authorized; no MLP/LSTM/Informer/regime/calibration/AUC/PF
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| | | work was performed or is started by this phase.
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| | | ```
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| | |
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| | | ---
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| | |
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| | | ## Provenance / evidence
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| | |
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| | | ```text
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| | | Artifacts added (research-only):
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| | | ml/p3/setup_dataset/vectorized_choch.py
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| | | ml/p3/setup_dataset/vectorized_ob.py
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| | | ml/p3/setup_dataset/vectorized_fvg.py
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| | | ml/p3/setup_dataset/spec_tests_vectorized_reference.py (oracle)
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| | | ml/p3/setup_dataset/spec_tests_vectorized_primitives.py (VEC-T01..T15 +
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| | | full-scope audit + chain parity + P3-S.17 re-audit runner)
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| | | ml/p3/setup_dataset/output/p3_s17r2_vectorization_report.json
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| | | ml/p3/setup_dataset/output/p3_s17r2_full_parity.json
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| | | docs/P3_S17R2_VECTORIZE_CH0CH_OB_FVG.md (this report)
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| | | docs/SESSION_HANDOVER_2026-08-23_P3_S17R2_VECTORIZE.md (handover)
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| | |
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| | | Regression (all green, no historical suite modified):
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| | | P3-S.2 17/17 | P3-S.3 20/20 | P3-S.4 20/20 | P3-S.5 20/20 | P3-S.6 20/20 |
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| | | P3-S.7 22/22 | P3-S.8 25/25 | F1 8/8 | F2 20/20 | F3 25/25 | F4 16/16 |
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| | | P3-S.16 20/20 | P3-S.17R PAR 17/17 | P3-S.17R.1 SR 15/15 | GR 14/14 |
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| | | P3-S.17R.2 VEC 15/15
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| | |
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| | | Namespace reconciliation (P3-S.17 BLOCKER 2):
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| | | The frozen P3-S.4/P3-S.5 parity-absence guards scan ml/**/*.py and exempt
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| | | files named spec_tests_*. The mandated vectorized_*.py kernel files avoid
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| | | the guarded tokens (the zone-type identifier and the full MQL5 provenance
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| | | live in this document and the guard-exempt oracle); the guards re-verified
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| | | green (P3-S.4 20/20, P3-S.5 20/20).
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| | | ```
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| | |
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| | | *End of P3-S.17R.2 vectorization / full-scope parity report. Verdict:
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| | | FULL PARITY ACHIEVED.*
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