forked from animatedread/Warrior_EA
372 commits
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AnimateDread
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8e6525d819 |
research: Wyckoff's law of cause and effect is real but SUBLINEAR
The 1:1 range projection is the target rule both books recommend (book 1 ch.8 discards point-and-figure counting as too subjective and keeps the vertical projection). Tested as a complete trade on 4 symbols x M15/H1: enter on the range breakout, stop at the far side of the range, target k x risk. A driftless market gives P(win) = 1/(1+k) and expR = 0 at EVERY k, so the benchmark here is analytic - no permutation null needed. Result: expR sits on that benchmark at every k on every symbol. Target placement does not move expectancy, which is what a martingale already said. But the law itself is measurable, and it is not 1:1. Regressing log(MFE) on log(range height) with log(ATR) as a FREE regressor (a shared ATR denominator correlates the errors and biases the exponent towards the hypothesis, so it cannot be used to argue against it): b = 0.10 .. 0.92, centred ~0.6 b = 1 rejected in 5 of 8 at >2sd, never significantly above 1 b = 0 rejected in 7 of 8 So a bigger cause does produce a bigger effect - sub-proportionally. The 1:1 projection systematically over-reaches after a large consolidation and under-reaches after a small one. Median travel in risk-multiples falls monotonically across height quartiles in 8 of 8 runs. Also adds the volume-profile machinery the second book is built on and which nothing in the EA has: tick-level volume-at-price on a fixed absolute grid, per-session VPOC/value area by the standard Market Profile walk, naked VPOCs, and HVN/LVN from a rolling causal composite. Two biases are left in deliberately, both against the hypothesis: a bar spanning stop and target books the loss, and spread is charged on entry and both barriers. Unresolved trades are marked to market at the horizon rather than discarded - discarding them deletes slow winners and manufactures a false deficit at large k. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
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6f7aa4f1e8 |
research: the stop-run edge fails its own mechanism test - disconfirmed
The statistics had cleared a family-wise bar (z to +6.56) and a split-half. Both necessary, neither sufficient: thorough enough mining passes both. What mining cannot do is obey a mechanism it was never fitted to - so the decisive test is whether the effect appears WHERE THE THEORY SAYS IT MUST. Osler's stop-clustering predicts the edge concentrates where the stop reservoir is deepest and fresh forced orders arrive: London open and the London/NY overlap. Measured, by session in real UTC (broker is UTC+2): EURUSD Sydney/Tokyo +0.197* London open -0.063 London -0.156 USDJPY Rollover +0.233 London open -0.223 XAUUSD Sydney/Tokyo +0.070 London open -0.345 LDN/NY -0.185 SP500 Rollover +0.206 NY afternoon -0.098 Exactly inverted. The liquid sessions where stops actually cluster are the worst on every instrument; what remains lives in Sydney/Tokyo and rollover - the THINNEST hours, where fewest stops sit. That is not the mechanism, and thin hours are also where spreads are widest and fills worst, so even the surviving fragment points away from tradeability rather than toward it. Walk-forward by quarter agrees, and shows what the two-way split was hiding: EURUSD 2/4 positive (Q1 -0.029, Q2 +0.062, Q3 -0.010, Q4 +0.089) USDJPY 1/4 XAUUSD 0/4 SP500 2/4 No instrument reaches 3/4. The split-half HOLDS was Q2+Q4 carrying Q1+Q3. Verdict: not an edge. Recording it as disconfirmed rather than leaving an encouraging half-result in the log, because the next person to read this - me - would otherwise build on it. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
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9ca0ffcc5c |
research: stop-run/liquidity sweep - the first setup to survive everything
Osler's currency-order-flow work is the published mechanism: stop-loss orders cluster just beyond recent swing extremes and cascade price; take-profits cluster and reverse it. So the claim is not "a pattern repeats" but "there is a reservoir of forced orders at a location computable in advance" - which is falsifiable in a way chart patterns are not. Tested as a COMPLETE trade rather than a signal with barriers bolted on: entry, stop and target all come from one structure. Price takes out the N-bar extreme MARGINALLY (<= over*ATR), closes back inside, enter the opposite way next open, stop just beyond the sweep extreme (where the liquidity actually was), target a multiple of that risk. 19 of 24 configs clear a family-wise max-statistic bar on EURUSD/USDJPY H1, all in the predicted direction, z to +6.56. R=1 configs are negative and R=2/R=3 turn positive, which is coherent: the edge is directional and a tight stop pays the spread as a large fraction of risk, so it needs a big R to clear. SPLIT-HALF then kills most of it, as it should: EURUSD N=50 ov=0.5 R=3 +0.013 / +0.042 HOLDS EURUSD N=20 ov=0.5 R=3 +0.014 / +0.034 HOLDS every R=2 config one half negative USDJPY one half negative Surviving configs are STRONGER in the second half, the opposite of a mined artifact decaying out of sample. But N=20 and N=50 overlap heavily and are not independent, so this is one instrument and one R - a lead, not a system. dukas.py: direct Dukascopy datafeed client. SQX mirrors through its own CDN (CdnCache/CdnDownloadJob) so there is nothing reusable there. Dukascopy publishes the raw feed - bi5, raw LZMA, 20-byte big-endian records, ZERO-BASED MONTH in the URL (fails silently into the wrong month otherwise). Cached, resumable, bounded concurrency. Two corrections it forced, per the user: SQX conforms Dukascopy data to the5ers' broker profile AND timestamps. Measured empirically, broker time = UTC+2 (EET), clean minimum. So (1) previously reported "hours" are BROKER time - gold's hour 1 is 23:00 UTC, the daily rollover and COMEX Globex reopen, a real mechanism; and (2) Dukascopy's raw 0.2-pip ECN spread must NOT be used for cost - the5ers' ~0.47 is what is actually paid, so the existing cost analysis was right and Dukascopy would have made every result look falsely tradeable. Its value is the bid/ask VOLUMES, which SQX lacks entirely - true signed flow instead of the event-count proxy. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
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05c6a5c484 |
research: four more hypothesis families - drift is real, timing still is not
Everything tested before this asked ONE question - can recent price or flow
predict the next bar's direction - and answered no four ways. These are different
families, each with a published prior rather than a hunch.
1 TIME-SERIES MOMENTUM (Moskowitz/Ooi/Pedersen). 34 configurations across 4
symbols x D1/H4 x 6 lookbacks. Nothing. The one rule that looks strong -
XAUUSD H4 250-bar, p=0.0038, t+3.30, +10.32%/yr - returns essentially exactly
buy-and-hold's +10.36%. It is not timing gold, it is being long gold. Hence the
vs-B&H column: on a drifting asset a rule that is merely long most of the time
looks skilful and is not.
2 SEASONALITY. The first thing in this project to survive a properly controlled
test: 5 of 8 clear a family-wise max-statistic bar, two at p=0.0002. Split-half
kills two of them (USDJPY dow-6 n=116 and SP500 hour-0 n=533 are thin
off-session buckets). Two HOLD with near-identical halves:
XAUUSD hour 1 +2.29 bp (t+6.44) / +2.43 bp (t+5.53)
EURUSD hour 13 -1.47 bp (t-6.80) / -0.64 bp (t-3.56)
Gold's hour 1 alone carries more than half the +4.22 bp/day drift.
And it is still not tradeable. Widening the window to amortise the 4.92 bp
round trip: the best of 144 windows (hour 1, 8h) nets +0.14 bp/day, t +0.23,
and splits +1.29 / -1.00 - the sign flips between halves. Every other window is
negative. Real, stable, well measured, and about 2x too small to cross its own
spread. Same shape as the flow result.
3 OVERNIGHT/INTRADAY - folded into the hour analysis above.
4 VOLATILITY-MANAGED DRIFT (Moreira/Muir) - the one needing no directional edge.
Does NOT reproduce here: flat on gold (-0.01), and it HURTS SP500 (0.71 -> 0.41
D1, 0.77 -> 0.54 H4). Honest negative against a strong prior.
What survives all of it is drift, which is large and significant while every
timing rule is noise: XAUUSD +10.24%/yr (t 2.88), SP500 +12.25%/yr (t 2.84),
against USDJPY +1.16%/yr (t 0.59) and EURUSD ~0.
resample.py gains D1.
Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
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AnimateDread
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0c2b025c16 |
fix(research): calendar recorder - separate LIVE from BACKFILL, fix seen-set key
First live run exposed both problems at once. It logged "+83 release(s) recorded", and every one of those rows shared a single observed_time up to 30 hours after its event_time: they were the startup backfill, not release-time observations. Their actual figures are whatever the terminal holds NOW - the post-revision values this recorder exists to avoid - and the very first batch proved that is not hypothetical: a Retail Sales row came back previous 3.5 / revised_prev 3.4, and a Core CPI row already carried revision=1. Backfill is still worth keeping (a fine snapshot of the revised series, and it carries the event metadata) but must never be silently mixed with release-time observations. Every row now records lag_sec and a capture class, so the distinction cannot be lost by whoever loads the CSV later: LIVE observed within InpLiveLagSeconds (default 600s) of release BACKFILL seen long after the fact - MUST NOT be used for surprise research The log now reports the split per poll and says so explicitly when a poll is entirely backfill. Second and worse, in LoadSeen: the FILE_CSV field walk was off by one and keyed the seen-set on event_id instead of value_id. event_id identifies the event TYPE, not the release, so after any restart every future release of every event already in the file would have been skipped - permanently, and silently, exactly for the recurring high-importance events (NFP, CPI) that matter most. Now reads whole lines and indexes a split array by a NAME-CHECKED column position, which cannot drift when the schema changes. Refuses to guess if value_id is absent. Schema change is handled by rotating any file with a non-matching header to <name>.<timestamp>.old rather than appending, since mixing layouts mis-parses every old row. Compiles 0 errors, 0 warnings. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
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2aa5bfbe28 |
feat(research): write-once live calendar recorder
The calendar is the only non-price source MQL5 carries with real content, and it is the one this project cannot research from history: MqlCalendarValue.actual_value returns the CURRENT figure, i.e. after every later revision. Reading 2019's NFP today returns a number nobody could have known in 2019, so any surprise = actual - forecast feature built from history carries lookahead - and the flattering kind, since it makes a model look most prescient exactly on the events that were revised most. The only sound fix is to write down what the terminal reported at the moment of release and never touch that row again. Write-once is the entire contract here: a row is appended the first time a value_id is seen carrying an actual figure, and is never rewritten, because re-recording on a later poll would silently import the revision this file exists to avoid. The seen-set is rebuilt from the file on init so a restart cannot duplicate or re-import either. Deliberately standalone - no includes from the EA tree, and not wired into Warrior_EA. It may run for months on a spare chart, and coupling it to the trading system would mean a refactor there can stop the recorder; a gap in a write-once series cannot be backfilled by definition. It also keeps a data-collection task from adding any failure mode to a system about to trade a prop account. Records actual/forecast/previous/revised_previous, revision number, impact, importance, units, plus observation time and the quote at observation. Every FileOpen carries FILE_SHARE_READ|FILE_SHARE_WRITE per the rule this codebase learned the hard way (exclusive opens fail 5004 and look like "no data"). Compiles 0 errors, 0 warnings. Value starts at zero and accrues with time, which is the argument for starting it now rather than when it is wanted. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
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50e1c7ef84 |
research: flow effect and spread cost decay together and never cross
resample.py composes M5 bars into M15/H1/H4 exactly - every column this pipeline produces is composable (sums sum, maxes max, OHLC nests, means re-weight by tick count), so this costs seconds instead of another 37-minute decode per timeframe. Asserts tick conservation and extreme preservation on every output. Motivation: ATR grows ~sqrt(time) while the spread does not, so spread/ATR should fall with timeframe and make a small edge affordable. It does, monotonically, and the measurement is clean (EURUSD, 1:1 barriers): M5 spread 0.099 ATR random wins 36.8% cost 13.2pp M15 0.057 39.7% 10.3pp H1 0.029 43.6% 6.4pp H4 0.015 47.6% 2.4pp But the signal decays at the same rate. Rows clearing the family-wise bar: M5 many, z to -10.1 M15 many, z to -5.8 H1 2 of 9, one POSITIVE and one negative - the shape of noise, not signal H4 none So the effect lives where the cost is fatal and is gone where the cost is affordable. They never cross. Also added --cheap=Q, which trades only the lowest-Q quantile of spread/ATR. This is the one honest use of an unsigned feature: it cannot point a direction but it can decline to trade, and both terms are known before entry. It does cut cost (EURUSD M15 10.3 -> 7.6pp, USDJPY 12.7 -> 6.4pp) and the effect does not survive there either - nothing clears the bar. test_flow.py gained --tf= and keeps the z-score window at ~1 day on every timeframe rather than a fixed 288 bars. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
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f83425aad8 |
research: tick-flow verdict across 4 instruments - real reversal, untradeable
1.93 BILLION ticks -> 5.5M M5 bars (EURUSD/USDJPY/XAUUSD 2003-2026, SP500 2011-2026). Sequential non-overlapping trades, triple barriers, per-bar spread, direction-permutation null with a family-wise max-statistic bar. Order flow is genuinely ANTI-predictive at M5 - price mildly reverses the prior bar's flow. Same sign on all four instruments, clearing the family-wise bar on three: USDJPY z -10.10 -1.73pp vs null EURUSD z -7.95 -1.41pp XAUUSD z -5.34 -0.68pp SP500 z -2.60 -0.87pp (does not clear; half the sample) Agrees with the -0.0151 next-bar correlation (vs +0.4961 same-bar, which is the contemporaneous Cont/Kukanov/Stoikov effect and is not edge). And the cost dwarfs it. Random entry at 1 ATR barriers after spread: EURUSD spread 0.099 ATR -> wins 36.8% (13.2pp below the costless 50%) USDJPY 0.154 34.9% (15.1pp) SP500 0.292 26.5% (23.5pp) XAUUSD 0.450 20.0% (30.0pp) Cost rises monotonically with spread/ATR, which is an internal consistency check on the apparatus. A ~1pp effect against 13-30pp of cost is 10-100x short. Reversing does not rescue it - expR_rev is negative in every row of every geometry. Widening the barriers does not either: at 4-8 ATR nothing clears the bar (max |z| 2.51 vs 2.97). The effect lives exactly where the spread is fatal and vanishes where the spread would be affordable, which is what a seconds-to-minutes phenomenon predicts. Adds --narrow/--wide geometry sets so both regimes are reproducible. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
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eeacb609b6 |
fix(research): standardise flow test against the EMPIRICAL null, not a costless coin
The first run reported -23pp edges at -75 sigma, which is not a market effect - it is the tell this project has been burned by before (a lookahead, or here a wrong reference, inflates whatever sign it lands on). The give-away was in the output itself: a family-wise 5% bar of |z| > 71.67 where a centred null over 16 tests should sit near 2.5. Random entry was losing almost as badly as the signal. Cause: z and "edge pp" were measured against be = sl/(sl+tp), the break-even of a COSTLESS coin. These barriers charge the spread and book a loss when a single bar spans both levels, so random entry at 1 ATR on M5 wins ~36.8%, not 50%. The table was reporting the fixed cost of trading as if it were signal. Now every row shows the empirical null win rate, the gap against it, and z standardised by the null's own spread. Family-wise bar drops to 2.95 and the result becomes legible: order flow is genuinely ANTI-predictive at M5, about 1pp below random at z -5 to -8, clearing the bar in 12 of 16 tests and reproducing across three geometries and two independent signal families. It agrees with the -0.0151 next-bar correlation. It is also untradeable, which the table now says out loud: the spread is 0.099 ATR and costs 13pp of win rate against a 1pp effect. Reversing does not rescue it - expR_rev is reported per row and stays negative everywhere. Added a footer stating that beating the null is necessary but NOT sufficient; only exp R > 0 makes money. Also: - permutation null was allocating a single (nperm x nT) array, ~2 GB at these trade counts. Now batched. - null permutes the OBSERVED directions instead of flipping a fair coin, so a directionally skewed rule on a trending instrument cannot pass on drift alone. - timeouts reported separately rather than silently booked as stop-outs. - calibration falls back to a midpoint sample when the tick history predates the MT5 reference series (XAUUSD ticks start 2003-05-05, its H1 export 2004-06-11, so the head sample overlapped by nothing). 2M ticks, because the sample must span >=50 reference HOURS - 200k ticks of modern gold is nine. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
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91d67db737 |
perf(research): parallel tick decode, 12x, plus two correctness fixes
The SQX decoder is a per-record Python loop and cannot be vectorised - record LENGTH depends on the config nibbles, so record k+1's offset is unknowable without parsing record k. It therefore saturated exactly one core: 10% CPU on a 12-core box, ~3h for the four files. But the format is randomly seekable. Every BLOCK_LENGTH records SQX restates all four fields as absolute int64s, so byte ranges beginning at block headers decode with no shared history. split_offsets() cuts a file on those boundaries and decode_iter() gained start/stop. EURUSD: 55 min -> 9.4 min, 94% CPU. find_block() will not trust a bare MAGIC match: 0x00..0x0e is a byte run that delta payloads produce by coincidence, so a candidate is accepted only when the next header downstream carries the next sequential block index. Verified equal, not assumed equal: the same 315MB span decoded serially and in 6 chunks gives identical tick counts (31,056,000), identical bar counts (206,316) and identical OHLC. The only divergence is the documented seam artifact - the first tick of a chunk has no predecessor so its delta counts as zero, bounded at workers-1 ticks in 513M (~2e-8). Two fixes this shook out: - The feed is not perfectly time-ordered. EURUSD carries 2 backward steps in 513,494,303 ticks, both under an hour, both in 2003-2006. Bucketing is by absolute timestamp so every tick still lands in its true bar; the symptom is a bucket emitted twice out of order. finalise() now stable-sorts before the duplicate merge. The ordering assert is kept but keyed to MAGNITUDE, since a real chunking bug displaces a large fraction of rows and feed noise displaces a handful - only one of those is safe to continue past. - Chunk workers return undivided sums; means are divided once globally. Dividing per chunk would weight a straddling bar's mean-of-means wrong. test_flow.py: charge the PER-BAR spread instead of a single median across 2003-2026 - FX spreads narrowed by roughly an order of magnitude over that span, so one median charges modern cost to the 2000s and vice versa. Timeouts are now reported separately rather than silently booked as stop-outs. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
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fac9f620b0 |
research: harness for the M5 order-flow edge test
Ready ahead of the bar build so the analysis runs the moment EURUSD lands. Tests the two SIGNED features the tick pipeline can produce - tick-rule imbalance and event-count OFI - as entry triggers at 1:1/12, 1:2/24 and 2:3/48 bar geometries. Everything else the pipeline computes is unsigned and cannot point a trade however well it measures. Same discipline as every other test here: signal on bar i, entry at the OPEN of i+1, barriers scanned forward only, sequential NON-OVERLAPPING trades so each is independent (skipping that is what produced a fake +2.66pp at 2.9 sigma earlier in this project), break-even == chance by the gambler's-ruin identity, spread charged inside the barrier, and a sign-flip null taking the max over the whole family for the family-wise bar. The prior is written into the docstring before any result exists: OFI is established as a CONTEMPORANEOUS explainer whose predictive power decays within seconds, and it reproduced that here at +0.56 against the same-bar return. So the expectation is that it explains the bar it is measured in and says nothing about the next. What is actually being tested is the gap between that literature - equities, sub-second, size-weighted book data - and this setting: retail FX CFD feed, 5-minute bars, event counts without sizes. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
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e7a9fe22a7 |
research: signed order-flow imbalance instead of bare quote-move counts
Replaces bidmoves/askmoves with bid_up, bid_dn, ask_up, ask_dn. A bid ticking UP and an ask ticking DOWN both mean buy-side pressure, and a counter that only records "the bid changed" cannot tell them apart - it throws away the direction, which is the only part that could ever point a trade. This is order-flow imbalance in the Cont/Kukanov/Stoikov sense, in its event-count form; the feed carries no sizes so it cannot be size-weighted. Caught before the 3-hour build rather than after, which was the point of smoke-testing on a bounded sample first. Verified against the previous column set on the same 3M ticks: 21,971 bars, ticks/bar 76, up 38, dn 38, spread 0.000126, rvol 4.800e-07, gaps 3.95/31.4 - all identical - and bid_up+bid_dn reproduces the old bidmoves count of 74 exactly, as it must. The orientation check that matters: OFI correlates +0.56 with the SAME-bar return. That is the contemporaneous signature the literature reports, and it is also the cheapest guard against the failure mode that would otherwise pass silently - a sign flip would read -0.56 and every downstream test would then be fitting the negative of the intended feature. Expectations set in the docstring rather than discovered later: OFI is well established as a contemporaneous EXPLAINER of price change and its predictive power decays within seconds. At M5 with multi-hour horizons the prior should be that it explains the bar it is measured in, not the next one. Measuring it anyway is the point - but a +0.56 contemporaneous correlation is not evidence of an edge and must not be reported as one. Merge/mean bookkeeping is now index-driven off COLUMNS instead of positional, so adding a feature cannot silently mis-merge a bar that straddles a batch boundary. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
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0526f066ec |
research: stream tick files into bars with microstructure features
sqx.decode_iter() turns the decoder into a generator, and ticks_to_bars.py reduces a
symbol to bars in one bounded-memory pass. Necessary rather than tidy: EURUSD is ~458M
ticks, which is ~15 GB held as arrays, so nothing downstream can take the raw stream.
23 years collapses to ~2.4M M5 bars that every test can load instantly.
Aggregation is vectorised with reduceat rather than looping per tick. The only real
complexity is that a bar can straddle a batch boundary, so the last partial bar of each
batch is carried and merged into the first of the next; per-tick deltas are likewise seeded
from the previous batch's final tick, so the first tick of a batch is not silently treated
as having no predecessor. Verified against the per-tick implementation it replaces: 21,971
bars either way, and every reported median identical to the digit (ticks/bar 76, up 38, dn
38, bidmoves 74, askmoves 74, spread 0.000126/0.000250, rvol 4.800e-07, gaps 3.95/31.4).
Throughput 132k ticks/s, at which point the decoder itself is the bottleneck and the
aggregation costs ~12%.
Features are chosen by what the feed can honestly support. It carries (time, bid, ask,
volume) and no trade direction - SQX's record has one volume field and MT5's
TICK_FLAG_BUY/SELL are empty on FX - so true signed order flow does not exist here and is
not synthesised under a flattering name. What is available:
tick rule up/down mid-price changes; the standard Lee-Ready fallback
quote asymmetry bid updates vs ask updates - which side is being repriced harder
arrival rate inter-tick gaps, mean and max; urgency rather than size
realised variance sum of squared mid returns, a far better volatility estimate than
the bar range and only obtainable from ticks
spread mean and max within the bar
Of these only the tick rule and quote asymmetry can point a direction; the rest are
unsigned, like every feature that has measured above noise in this project so far.
Bars are stamped by the OPEN of their interval and built only from ticks inside it, so no
bar's features depend on a tick after it closes.
Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
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AnimateDread
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ecb8638996 |
chore: keep market data out of the repo
A 2.1 GB tick .dat was committed in c7e9777 by a broad 'git add -A' and removed again in 6bb3386 - but a delete does not remove the blob from history, so the 2096 MB object is still reachable and still gets pushed. That is what made syncing hang. Ignoring the paths only prevents a recurrence; clearing the existing blob needs a history rewrite, which is the user's call since it rewrites pushed commits. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
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ef126845f8 |
research: decode StrategyQuant .dat tick files
Reads SQX tick format 4.2 in pure Python. Derived from SQX's own writer, disassembled out
of internal/libs/SQDataLib.jar (TickDataWriter, NewDataFormat{,Writter}) with the javap
bundled in the install - so this follows the format as specified rather than as guessed.
Why, when Scripts/ExportTicks.mq5 pulls the same four fields from MT5: DEPTH. The broker's
MT5 tick history covers a few years; this file starts 2011-09-19. Sample size has been the
binding constraint on every question in this project - the H1/128-bar setup yields ~300
independent trades in 18 years, enough to resolve only a +6pp edge - so 15 years of ticks
is worth a decoder.
Format: four writeUTF strings, ten zero bytes, one more writeUTF, then records of
(time, ASK, BID, volume) - ask before bid, and the writer swaps them when bid>ask so ask is
always the larger. Every BLOCK_LENGTH=1000 records: MAGIC (15 bytes 0x00..0x0e) + int32
block index + config + four raw int64s. In between, deltas against the previous record.
Config is two bytes = four nibbles laid out high-first, nibble = (logicType << 2) |
dataType, where dataType 0..3 selects a 1/2/4/8-byte payload by magnitude and logicType
supplies the sign (MINUS/PLUS carry unsigned magnitudes; ASIS is a plain signed read).
The scale is the one thing NOT in the file. SQX keeps `decimals` in external metadata, and
1216010000 is equally plausible at 10^3, 10^5 or 10^6 - nothing in the bytes distinguishes
them. Guessing would be precisely the silent, plausible-looking error this project keeps
getting caught by: a 100x price scale error crashes nothing, it just quietly rescales every
ATR-normalised feature downstream. So calibrate_decimals() matches against a known
reference series instead. Against the MT5 SP500 H1 export the answer is not marginal:
decimals=5 median rel.err 9.001630
decimals=6 median rel.err 0.004078 <-
decimals=7 median rel.err 0.899984
Verified on 4M ticks: strictly monotonic timestamps, zero negative spreads, price range
1118.03-2048.38 over 2011-09 to 2014-11 (correct for SP500), median spread 0.43 (matches
this broker's H1 record). The 0.41% residual is the expected artefact of comparing a tick
ask against the nearest H1 bar close.
Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
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AnimateDread
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87ee9c0a43 |
tools: MQL5 tick exporter for offline microstructure research
Dumps CopyTicksRange output to CSV in the COMMON files folder, where research/ already reads its rate exports from. Chunked by hour range because a single unbounded request over years is both slow and liable to ERR_HISTORY_SMALL_BUFFER; boundaries are half-open on purpose since CopyTicksRange is inclusive at both ends and adjacent chunks would otherwise duplicate any tick landing exactly on a split. Keeps MqlTick.flags RAW rather than decoding to a direction. On FX/CFD only TICK_FLAG_BID/ASK are ever set - TICK_FLAG_BUY/SELL and volume/volume_real are empty for Forex - so signed trade direction does not exist in this feed and has to be synthesised offline from quote dynamics. Exporting a decoded 'side' column would be inventing data. Written as the reliable alternative to decoding StrategyQuant's .dat: that format's base record parses cleanly (32 bytes, ms timestamp + bid + ask + one volume, prices x1e6, verified against a known SP500 level) but the delta stream is a custom bit-aligned dictionary scheme, and it carries only ONE volume field - so it offers nothing MT5 does not already provide. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
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ceb6342dfd |
feat(ai): spread as a volatility-regime feature, and fix a stale-index cache in both new blocks
Adds spread/ATR and the spread change ratio as network inputs (EnableSpreadFeature,
default on). Spread is the one microstructure channel that is both FX-available and
genuinely historical in the Strategy Tester - "during testing, the spread is not modeled
but is taken from historical data" - so unlike swap, signed tick flow or depth of market it
is something a backtest can honestly validate.
What it encodes, stated precisely because the raw measurement overstates it.
research/test_spread.py found spr/atr the strongest single feature in this codebase, on 5
of 8 instrument/geometry cells at 2-4x any volume feature. But the barrier LABEL charges
the spread inside its own barriers, so a wide-spread bar is mechanically likelier to
resolve as a loss and the feature would partly be predicting its own cost model. Relabelling
at zero cost and re-measuring the identical feature showed 20-40% of it WAS that tautology
and the majority was not (XAUUSD retained 97%). What survives is a volatility-regime
reading: spread is near-fixed while ATR is not, so the ratio runs high exactly when
realised volatility is below its own ATR estimate, which genuinely predicts whether
ATR-scaled barriers get reached. It is UNSIGNED - Neutral-vs-directional only, never a side.
Also fixes a stale-index bug I introduced with the cross-asset panel and had just repeated
in the spread series. Both cached on length alone:
if(m_crossAsset.Bars() >= bars) return true;
MQL5 series indices are relative to NOW, so one new closed candle shifts every index by
one. Keyed only on length, the panel keeps serving its index 0 as a bar that is no longer
the newest, and every cross-asset value is read one bar out of step with the price features
sitting beside it in the same vector - silently, with no error and no shape change. This is
the same class of defect as the dtStudied watermark behind the zero-direction backtests.
Both now carry a datetime anchor on m_Time.GetData(0), the same invalidation key the
label/feature bar caches already use.
And a performance fix that fell out of it: with correct invalidation the panel rebuilds on
every new bar, and RefreshConvergedSignal runs per bar - which in the tester would mean one
full multi-symbol resample per simulated bar at training depth. Inference only reads bars
0..m_historyBars-1 plus the panel's own slow window, so it now requests exactly that. The
cache check is >=, so a deeper panel left from training still satisfies it.
Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
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AnimateDread
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4881ad22b5 |
research: measure the spread channel, and separate its real signal from its own cost model
Spread is the one microstructure channel that survived the API audit - FX-available, and
genuinely historical in the tester ("During testing, the spread is not modeled but is taken
from historical data"), unlike swap (no history), signed tick flow (empty on FX) or depth
of market (absent on retail FX, never replayed).
test_spread.py measures four spread features against the triple-barrier label with the same
block-permutation null as test_volume.py. spr/atr - cost relative to the volatility a trade
must overcome - is the strongest reading anywhere in this project so far: significant on 5
of 8 instrument/geometry cells and 2-4x the magnitude of any volume feature.
Which immediately looked too good, because the label is computed WITH the spread charged
inside the barriers. A bar with high spread/ATR has its barriers shifted more adversely and
is mechanically likelier to resolve as a loss - so the feature would partly predict its own
cost model, which is not tradeable information.
Tested directly by relabelling at zero cost and re-measuring the identical feature:
EURUSD 2:3 +0.000655 -> +0.000485 (p 0.030 -> 0.066, loses significance)
EURUSD 1:2 +0.000626 -> +0.000399 (p 0.003 -> 0.017)
USDJPY 2:3 +0.000418 -> +0.000164 (never significant either way)
USDJPY 1:2 +0.000876 -> +0.000532 (p 0.003 -> 0.003)
XAUUSD 2:3 +0.000769 -> +0.000744 (p 0.027 -> 0.027)
XAUUSD 1:2 +0.000876 -> +0.000698 (p 0.003 -> 0.003)
So roughly 20-40% of it WAS the tautology, and the majority is not. What remains is a
volatility-regime reading: spread is near-fixed while ATR is not, so spr/atr is high
exactly when realised volatility is running below its own ATR estimate - which genuinely
predicts whether ATR-scaled barriers get reached at all.
Note what that does and does not buy. Like volume, spread is UNSIGNED: it informs Neutral
vs directional, never Buy vs Sell. It is the best-measured feature in this project and it
still cannot pick a side.
No EA changes in this commit - measurement only, and the MQL5 side already has an
uncompiled backlog.
Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
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AnimateDread
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d80d9444a5 |
feat(ai): widen the volume feature block from 1 value to 4
The block fed exactly one number: (v[i] - v[i-1]) / v[i-1]. That is the first difference, and it cannot express three things that matter - the LEVEL relative to a baseline (two dead bars and two frantic bars both read ~0 change), and the two volume-vs-range interactions, where heavy participation that went NOWHERE (absorption) and heavy participation that travelled (continuation) mean opposite things and currently collapse onto the same value. research/test_volume.py measures each candidate's mutual information with the triple- barrier label across 3 instruments x 2 geometries, against a BLOCK-permutation null - blocks sized to the barrier horizon, because adjacent labels share almost their entire outcome window and a free shuffle yields a null so tight that everything looks significant. Finite-sample MI bias (~7/n here) is reported alongside rather than subtracted, since the permutation null already absorbs it. Result: volLevel beats the shipped change ratio outright on 4 of 6 cells (EURUSD 2:3 +0.000118 excess at p=0.006, USDJPY 1:2 +0.000284 at p=0.002); absorption is the single strongest reading anywhere in the sweep at EURUSD 1:2 (+0.000404, p=0.002) though it is null on XAUUSD; vol x range clears on 4 of 6. The shipped change ratio is itself significant on 5 of 6, so it stays. Kept OUT: a session-relative z-score against the same hour-of-day's own recent history. It was the weakest candidate - null on both EURUSD cells - and it is the only one needing per-hour rolling bookkeeping in MQL5. Not worth the state for a reading that did not survive its own null on the primary instrument. Magnitudes, stated plainly because they are the point: the excess MI is ~2e-4 nats against a label entropy near 1.05. That is under a tenth of one percent of the label's uncertainty. It is real, it repeats across instruments, and it is nowhere near an edge - this is worth having because it costs one 50-bar loop, not because it changes the answer. Prior work stands: the whole single-series feature family measured at the noise floor. m_neuronsCount is already in the fingerprint, so the width change re-keys existing caches by itself, which is correct - the input vector genuinely changed shape. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
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b035ea29e5 |
feat(ai): cross-asset currency strength - the first feature not derived from one price series
Every feature the network sees today is a function of the traded symbol's own OHLCV: returns, ranges, oscillators, cloud distances, swing structure. Measured end to end that whole family sits at the noise floor (research/test_classic.py, and the mutual-information verdict before it). EURUSD moving is a statement about EUR and about USD, and which one moved is invisible from EURUSD alone - but plainly visible if you also look at EURJPY, GBPUSD and the rest. System\CrossAsset.mqh builds a currency-strength panel from the FX pairs in Market Watch: per bar, each currency's index is the average log return across every available pair containing it, signed so "up" always means that currency strengthened. Six features - base and quote strength at 1 and 20 bars, the DIVERGENCE between the pair and what its two currencies separately did, and the cross-sectional dispersion of currency moves as a regime term. The divergence is the thesis: it is the one value here that cannot be derived from the traded series at all, being defined only relative to the rest of the market. Built ONCE per training run against the traded symbol's bar grid, not per bar - a per-bar cross-symbol lookup would be pairs x 178k iBarShift calls. Correctness work, all of it driven by what MT5 actually guarantees rather than by what the API surface suggests: - Alignment is by TIMESTAMP, never by index. Bars do not open together across symbols, and in the tester each symbol gets its own generated tick sequence, so index k on GBPUSD and index k on USDJPY are not the same instant. Each traded bar takes the last reference bar at or BEFORE its timestamp - never after, which would be lookahead - and anything more than one bar period stale is treated as absent rather than carried forward across a holiday gap. - SeriesReady() gates every pair on SymbolSelect + SymbolIsSynchronized + the PER-TIMEFRAME SERIES_SYNCHRONIZED. The symbol-wide and per-timeframe flags can disagree because the terminal builds series on separate threads, so checking only the first is not enough. Non-blocking by design: an unready pair is skipped and picked up on a later build. - Failure is never fatal. Fewer than two usable pairs logs why and every Features() call 0-fills, so a missing reference symbol costs the context block rather than the whole run. Fingerprint: the flag goes in, the DISCOVERED REFERENCE SET does not. Which pairs exist in Market Watch is a measured property of the terminal, exactly like the bar count the existing comment warns about - keying the weights filename on it would orphan a trained model the moment the user adds a symbol, silently, because a missing cache reads as a normal first run. Defaults ON, which re-keys existing databases on first run. That is intended: the input vector genuinely changed shape. Deliberately NOT built, having checked what the platform actually provides: - swap/carry. SYMBOL_SWAP_LONG/SHORT have no history - "last values will be used for the whole test period" - so a backtest over 2020-2026 applies 2026 carry to 2020 bars. - signed order flow. TICK_FLAG_BUY/SELL and volume_real are empty on Forex; any feature assuming trade direction would silently be all zeros. - depth of market. Unavailable on retail FX symbols and never replayed in the tester. - calendar actual-vs-forecast surprise. MqlCalendarValue.actual_value is the FINAL, post-revision figure and the calendar keeps no as-of-release snapshot, so a surprise feature for a 2019 bar is built from a number nobody had in 2019. Needs a live recorder, not a historical read. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
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8710240cd5 |
fix(signals): revive a dead MA model, and demote Sanyaku from state to event
Two defects surfaced by research/test_classic.py, both verified fixed by re-running the
transcription against 178k bars of EURUSD H1.
CSignalMA model 1 could never fire. For any recursive average - and MA_TYPE_EMA is the
shipped default - MA(i) = a*Close(i) + (1-a)*MA(i+1), so
DiffMA(i) = a * (Close(i) - MA(i+1))
DiffCloseMA(i) = (1-a) * (Close(i) - MA(i+1))
are positive multiples of one quantity and always share a sign. Model 1 asks for a close
BELOW a RISING average, which is precisely the combination that identity forbids: 0.000%
of bars, either direction, any symbol. The MQL5 standard library this was ported from
defaults to MODE_SMA, where the two are merely correlated - the bug arrived with the EMA
default, not with the port. Reading the slope one bar back (DiffMAPrev) breaks the tie for
every MA type while keeping the model's stated meaning. Now fires on 7.92% of bars.
CSignalIchimoku model 11 fired on 27% of bars at weight 100. Sanyaku is three standing
STATES conjoined with no transition term, so it held across long stretches - and being
last in the if-chain at the top weight, the module's highest-conviction reading was also
its most common one, overwriting all eight event models below it on a quarter of all bars.
The old comment rejected an event form because "demanding all three flip on the same bar
would fire almost never" - true, but that is not the alternative. Kouten is the TURN: the
ALIGNMENT transitions, and only one role need change for it to. Testing !Sanyaku(idx+1)
fires once per aligned stretch. Now 2.17%, in line with Kumo breakout (2.4%) and the
strong TK cross (1.1%). DataReady() extended one bar deeper to cover the lookback.
Neither pattern showed edge before or after; this is about the models meaning what they
say and the vote not being dominated by a constant.
Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
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AnimateDread
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ae738f59f0 |
chore(research): drop committed __pycache__, add .gitignore
Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
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bd076ddbad |
research: test the shipped classic patterns for entry edge - and the lookahead that faked one
Transcribes all 26 classic vote models (MA 4, RSI 4, MACD 6, Ichimoku 12) from
Signals/*.mqh into vectorised Python, with their shipped constructor weights, then tests
them as entry triggers on 178k-bar FX histories.
Pre-registered by construction: the rules were written long before this test and nothing
about them is fitted here, so there is no in-sample/out-of-sample split to draw and the
whole history is usable. Break-even == chance by the gambler's-ruin identity, so "beats a
coin" and "makes money" are one question. Sequential non-overlapping trades only; a
sign-flip null over the whole pattern family gives the family-wise bar.
The result that matters is a negative one, and it took two lookahead fixes to see:
- _price_extremum reproduced the standard library's CENTRED MinValue(pos-2,5) window,
which reads up to 2 bars newer than the extremum it describes.
- turning_points marked a turn AT bar i, which is only knowable once bar i+1 closes.
Together those two bars of leakage WERE the entire apparent edge. MACD_p4 on EURUSD 1:2
read +5.05pp at +4.05 sigma before, -0.02pp at -0.02 sigma after; USDJPY 1:2 went +5.24pp
-> +0.02pp. RSI_p2's large NEGATIVE went the same way (-10.33pp -> -1.34pp), which is the
tell: a leak inflates whatever sign it lands on.
With both closed, across 4 instruments x 3 geometries: no pattern, no vote threshold, no
quorum and no event+confirmation rule separates from chance. One cell in ~180 tests stars
(SP500 2:6 vote>=30) and it is non-monotone in the threshold either side of the hit.
test_exits.py answers the trade-management half with the control that makes it mean
something: hold entries fixed, vary only the exit, and run every rule again on RANDOM
entries at the same bars. Breakeven-at-1R, chandelier trails, partials and time stops all
move E[R] - and move it by the same amount on random entries. No rule beats its own
control (max +0.99 sigma over 32 comparisons). Management reshapes the win-rate/payoff
split; it does not manufacture expectancy from a directionless entry.
Residual E[R] across every cell is -0.01 to -0.08 R, which is approximately the spread.
Incidental, both worth fixing in the EA:
- CSignalMA pattern 1 is unsatisfiable at the shipped EMA default. For an EMA,
MA[i]-MA[i-1] and c[i]-MA[i] are both positive multiples of (c[i]-MA[i-1]), so
"close below the MA while the MA rises" cannot occur. Dead code (weight 10).
- Ichimoku pattern 11 (Sanyaku, weight 100, the method's top signal) fires on 27% of
bars because it is a conjunction of three standing STATES with no event term, so it
dominates the averaged vote while carrying no trigger information.
Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
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AnimateDread
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b6a067b266 |
research: offline validation kit, and the answer it produced
Keeps the Python that turned a per-hypothesis cost of minutes into
seconds, so the next person (or the next me) can re-run any of this
without MetaTrader in the loop.
kit.py vectorised triple-barrier labeller + scale-free feature set.
The labeller is a faithful port - stop tested before target
within a bar, so a bar spanning both scores as the loss -
and reproduces the EA's own distribution to 0.05pp
(24.93/22.01/53.06 vs 24.9/22.0/53.1) at 12x the speed.
wf.py purged, embargoed walk-forward gradient boosting.
sim.py sequential NON-OVERLAPPING trade simulation.
sweep.py the cell x geometry sweep.
detail.py full threshold profile for one configuration.
WHAT IT FOUND, and the order matters because the first answer was wrong:
Naive walk-forward looked like an edge - precision rising monotonically
with model confidence, 24.4/24.6/25.3/26.2/27.1%, topping out at +2.66pp
and 2.9 sigma. All of it pseudo-replication: a 128-bar barrier means
adjacent bars share almost their whole outcome window, so one trade was
being counted up to 128 times. Counting each trade ONCE (sim.py) the
ordering collapses to 25.9/31.1/26.8/28.1/25.8 and nothing is
significant. Same error family as the MI null that assumed independence.
That exposed a structural problem bigger than the result: at a 128-bar
horizon, 18 years of SP500 H1 yields at most ~300 independent trades,
which can only resolve a +6pp edge at 2 sigma. Real edges are 1-3pp. The
shipped configuration is not merely unproven - it is statistically
UNFALSIFIABLE on the available history.
The cost/power screen then showed SP500 is among the worst cells
available: 54k bars and spread/ATR 0.34, against EURUSD/USDJPY at 178k
bars and 0.05. Weeks of training went into the hardest instrument on the
list, 3x less data and 7x the relative cost.
Final sweep - 4 instruments x 3 geometries, purged walk-forward,
independent trades: nothing clears +2 sigma. The one survivor (EURUSD
2:3 h48, +2.76pp at +1.57 sigma) dissolves under its full threshold
profile: non-monotone across thresholds, and its per-fold win rate decays
monotonically through time (52.9 -> 45.9 -> 41.7 -> 35.2 -> 26.2).
Conclusion: with price/volume-derived technical features there is no
tradeable entry-direction edge on these instruments - now tested with a
model class that finds interactions, on 3x the data, with honest
statistics.
Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
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AnimateDread
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a77ff64b13 |
fix(deinit): a full model write was running ahead of the cheap cleanup
"Abnormal termination" is back, and this time it is not the arrows. The timing names the culprit exactly: 16:02:31.547 OnDeinit: shutting down 16:02:36.003 Abnormal termination <- 4.46 s, MetaTrader gave up 16:02:36.226 chart signals - persisted <- cleanup finished 0.2 s LATE OnDeinit called StopTraining() BEFORE the chart cleanup. StopTraining() finalises an in-flight run, and FinalizeTrainRun() restores the best checkpoint and then persists it - a full ~1MB model write per signal. So the expensive step ran ahead of the cheap bounded one, which is precisely the inversion the shutdown ordering exists to prevent. The previous fix put PersistWeightsOnShutdown last and missed that StopTraining smuggles a second save in at the front. Two changes: Cleanup now runs FIRST, then StopTraining, then the weight save. The visible teardown is cheap and bounded, so it always completes even when everything after it is killed. And the deploy-persist inside FinalizeTrainRun is suppressed during shutdown. RestoreWeights() is an in-MEMORY swap, so the best checkpoint is already the live net by that line, and PersistWeightsOnShutdown writes exactly those weights moments later. The old path wrote the same model twice per signal - eight full writes across four charts - for no benefit. A user-pressed Stop still persists immediately, because nothing else would. Compiles 0 errors / 0 warnings. Build tag deinit-order-v2. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
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7d038df749 |
research: export the feature matrix and a raw OHLCV grid for offline work
The bottleneck on this project has never been the modelling - it is that
every hypothesis costs a compile, a deploy, an attach and a log read, and
answers exactly one question. Days have gone into questions that are
seconds of arithmetic once the data is in hand.
Adds a RESEARCH-ONLY build, gated behind WARRIOR_EXPORT_FEATURES and
never compiled into a shipped binary, which writes two things to
Common\Files\Warrior_EA\Research\ and then does nothing at all:
<symbol>_<tf>_features.csv - one row per bar: index, time, OHLC, ATR,
and the m_neuronsCount feature values. Exactly what the network sees.
The raw bars ride along on purpose: with OHLC and ATR offline, every
barrier geometry, horizon and in-trade target is recomputable without
MetaTrader in the loop.
<symbol>_<tf>_rates.csv - raw OHLCV across a grid of 8 symbols x 5
timeframes. The 26 engineered features only exist for the attached
chart (indicator handles bind to PERIOD_CURRENT); raw rates do not, so
ONE attach yields the whole research grid. The bar time also makes
session/hour/day-of-week derivable - the only inputs in play that are
not a transform of the same OHLCV series.
Safety, because this binary gets attached to a chart on a LIVE ACCOUNT to
reach real history:
- OnTick returns immediately, so Expert.OnTick() - the entire trading
path - is unreachable regardless of the AlgoTrading toggle, the
signal state or the inputs. Structurally incapable of sending an
order, not merely unlikely to.
- No config lock. It never trains and never saves a model, so it has
nothing to protect against a concurrent chart - and taking the lock
would make it refuse to start exactly when the config it wants to
read is already open, which is when it is most useful.
Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
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AnimateDread
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004f2a04f7 |
fix(diag): the symbol sweep was measuring its own sampling, not the market
Twelve cells came back with higher-timeframe "signal" 5-9x anything on H1, at p=0.005. It was an artifact, and the sweep's own columns gave it away: excess tracked the sampling STRIDE almost monotonically, and the three D1 cells - stride collapsed to 1-5 bars against a 128-bar horizon, i.e. ~99% window overlap - were the three highest. Three flaws, all the same family: comparing numbers without the spread that belongs to them. 1. THE NULL ASSUMED INDEPENDENCE THE LABELS DO NOT HAVE. Triple-barrier labels overlap; two rows less than one horizon apart share most of their outcome window. A free Fisher-Yates shuffle destroys that dependence along with the association, making the null far narrower than the truth and handing out significance that isn't there - Lopez de Prado ch. 4 arriving through the back door of the significance test. Now permutes contiguous BLOCKS of at least one horizon, so the null keeps the autocorrelation and the p-value means what it says. It degrades honestly: severe overlap leaves few blocks, the null widens, nothing reaches significance. The block count is now printed, because THAT - not the row count - is the sample size a p-value rests on, and a warning fires under 30 blocks so "not significant" is not misread as "no signal" when it means "not enough independent history to tell". 2. THE POSITIVE CONTROL'S STRENGTH DEPENDED ON THE DATASET. It paired each row's label with the NEXT SAMPLE ROW's, whose distance is the stride - so on M5, where stride ran 160-717 bars against a 128-bar horizon, it was pairing two windows that never overlap. All three M5 cells duly reported a FAILED estimator and voided their own results with nothing wrong. A control whose strength varies with the cell cannot certify the cell. Now pinned to a quarter of the horizon, where ~75% overlap is guaranteed by construction. 3. THE LOOKAHEAD VERDICT HAD NO MARGIN. It flagged 7 of 12 cells on gaps of 0.00008-0.00040 nats against a measured null sd of ~0.00030 - noise, every one. Now requires 3 sd, the same discipline the deploy floor applies to precision. Compiles 0 errors / 0 warnings, standard and Market. Build tag blockperm-v1. Supersedes every number from the sweep. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
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168422ff7a |
fix(labels): the 128-bar horizon ceiling was truncating the shipped label
The corrected geometry scan exposed something bigger than the geometry
question it was asked. Every pairing from 2:6 upward came back CLAMPED -
including 2:6, the SHIPPED configuration.
First-passage time for a driftless walk leaving [-m,+k] goes as m*k, and
the measured swing median here is ~12 bars at m*k=1, so 2:6 wants ~144
bars and 3:10 wants ~360. The ladder stopped at 128. A clamped label
stops meaning "does the target come before the stop" and quietly becomes
"...within 128 bars", while the deployed EA holds until SL or TP with no
bar limit. So the target the models have been trained on all along was
not the strategy the EA executes, and the trades it silently reclassified
as Neutral were the SLOW WINNERS - precisely the ones a 1:3 barrier
exists to capture. Timeout share stayed ~0% throughout, which is why this
never showed up: the truncation lands in Neutral, not in the timeout
counter that was watching for it.
Ladder extended to 384 (12..128, 192, 256, 384) so every selectable
geometry gets an honest horizon. Cost is one embargo of at most 384 bars
out of ~38k.
Second fix, same class of error as the H(Y) one: the scan's "best
eligible" was 2:2, a 1:1 barrier, against a shipped Min_Risk_Reward_Ratio
of 1:2. Training four topologies on that target would have produced a
model whose every setup is rejected at the door - the exact failure
behind four consecutive Market rejections for "no trading operations".
Sub-minRR geometries are now ineligible and marked [<minRR], printed
rather than hidden.
Also drops the dense-depth tag from the display name ("Perceptron 3L" ->
"Perceptron"). Depth is derived, so it names nothing a user chose; the
config tag [PAI-0be2] already disambiguates concurrent charts and does it
for every input rather than one. Full topology still logged by "config -".
Compiles 0 errors / 0 warnings, standard and Market. Build tag
horizon-384-v1. Changes the LABEL for every geometry, so the next scan
supersedes the previous numbers - and a retrain is required before any
model trained under the truncated target means anything.
Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
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AnimateDread
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40af4a4b5b |
fix(labels): the geometry scan rewarded the labels it should reject
First run named 3:10 on all four charts, at 2.3x the configured 2:6. That answer was wrong and the fault was the ranking statistic. 3:10 wants a horizon of ~swingMedian*30 (~320 bars) and gets BARRIER_HORIZON_MAX. Clamped, most trades never resolve, the unresolved remainder all lands in Neutral, and H(Y) collapses. The old statistic divided the excess BY H(Y) - so a collapsing denominator made the most degenerate label look like the most predictable one. Every geometry from 2:6 upward was already showing the clamped h128, and the two widest scored highest, which is the fingerprint of the artefact rather than of signal. Two fixes: Rank on the raw excess in nats. Subtracting each geometry's OWN measured null already removes the class-balance bias, which is the only thing the normalisation was ever needed for. Disqualify clamped geometries outright rather than ranking them down. The deployed EA holds until SL or TP with no bar limit, so a truncated label trains the model on a question the strategy never asks. They are still printed, marked '!', so the disqualification is visible instead of a silent omission - and the scan now says so explicitly when nothing eligible is left, because "the limit is the feature set, not the target" is itself the finding in that case. The scan also reports each geometry's directional share and timeout share now. A label nobody can trade is not a candidate however well it scores, and that has to be visible in the same line as the score. Compiles 0 errors / 0 warnings. Build tag geometry-scan-v2. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
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f97ab9f1d6 |
feat(labels): measure which barrier is predictable at entry, don't guess
The alignment scan settled the shape of the problem: 4.7x more is knowable 5 bars into a 128-bar window than at the entry the model actually trades. A 6xATR target reached over 128 bars is decided overwhelmingly by what happens DURING the window, so whatever the entry state knows is buried under 128 bars of later noise. That is a property of the TARGET, and it is why four different architectures all landed on precision exactly equal to the base rate - no topology can undo it. So measure the target. For each SL/TP pairing a user can actually select, relabel the same sampled bars and score how much the SAME features say about THAT outcome at entry. Seconds, no training, no topology, and it runs on the diagnostic path that already exists. Ranked on excess over its OWN null as a share of its OWN H(Y), never on raw nats: each geometry has a different class balance, hence a different finite-sample bias and a different amount of information there to find, so raw MI would rank the most BALANCED label rather than the most PREDICTABLE one. The break-even win rate m/(m+k) is printed beside each so the ranking is read next to the bar the model must clear. Stated in the output because it is the easy thing to get wrong: chance precision EQUALS break-even at every geometry, so a tighter target does not hand you expectancy. It buys predictability - less noise piled on top of what the entry state knows - which is the one thing changing topology cannot do. Read-only by construction: it relabels a sampled copy via TripleBarrierLabel(), never writes the label cache (which belongs to the configured geometry), and restores the horizon and overrides it borrowed. The overrides apply only when BOTH are positive, so a half-set pair can never silently relabel a live run. Compiles 0 errors / 0 warnings, standard and Market. Build tag geometry-scan-v1. Redeploy only - no retrain to READ the ranking. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
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4443ce85c1 |
fix(diag): the alignment scan cried misalignment at its own arithmetic
First run came back "WARNING - peak at k=+5, NOT 0 ... a feature/label
misalignment upstream of every topology". That was a false alarm produced
by the diagnostic's own design, and exactly the kind of plausible-looking
output this project has lost days to.
Bar indices are MQL5 SERIES indices - HIGHER index = OLDER bar
(TripleBarrierLabel walks its window as `for(t = idx-1; t >= idx-horizon;
t--)`, decreasing index = forward in time). The two directions therefore
mean opposite things and the scan treated them as symmetric:
k < 0 label belongs to a NEWER bar, its barrier window opens AFTER the
features exist. Nothing at bar i can legitimately know it, so a
peak here is real lookahead and a bug.
k > 0 label belongs to an OLDER bar, already k bars into its window by
the time bar i happens - so the features hold the realised first
k bars of that outcome. MI MUST rise with k. Arithmetic.
Only the k<0 side can indict the pipeline, and on the observed data it is
clean: -5/-3/-2/-1 all sit at or below the k=0 value and the noise floor,
so there is no lookahead - a real negative result, not an absence of
evidence.
The k>0 side is now reported as what it is, a second positive control,
with its gradient as the finding: 0.01881 at k=+5 against 0.00401 at k=0
means ~4.7x more is knowable 5 bars into a 128-bar window than at the
entry the model actually trades on.
Compiles 0 errors / 0 warnings. Build tag mi-align-v2. Redeploy only.
Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
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AnimateDread
|
87c8656b53 |
diag(autotune): a positive control, and a scan that separates "no signal"
from "signal knocked out of step" Four architecturally different networks landed on the same precision - Buy 23-25% against a 25.4% base rate, Sell 19-22% against 22.0% - while making completely different calls (HYBRID votes Sell on 69% of bars, PAI on 41%). Precision equal to the base rate is what INDEPENDENCE looks like, and precision under independence is fixed by the label distribution, not by the architecture, so all four converging on it is arithmetic rather than coincidence. Accuracy meanwhile tracks coverage exactly as independence predicts (31.1/30.3/25.0 predicted vs 31.8/28.9/24.6 observed for PAI/CONV/HYB). But "no information in the data" and "information destroyed upstream of every topology" produce that identical picture, and the MI test alone cannot tell them apart either. Two additions: POSITIVE CONTROL. Three "measurements" in this codebase have turned out to be silent no-ops that produced plausible numbers - the MI scorer reading an array nobody filled, the eval-mode guard that switched off the imbalance correction, the alternation gate whose premise was never true. So the estimator now has to prove it responds to a signal known to be present before any floor reading is believed: the label of a neighbouring sample row, ~19 bars away and far inside the 128-bar barrier horizon, so the two outcome windows overlap heavily and MUST be associated. Same binning, same estimator. Near the floor => every MI figure is void. ALIGNMENT SCAN. Re-scores against the label taken from bar i+k for k in -5..+5. A peak at k != 0 is a feature/label misalignment - an off-by-one in the label index, a horizon applied to the wrong bar, a feature window that lags what it claims - which would destroy the information before any topology saw it and would look identical in every accuracy number this EA prints. A flat profile says the features simply do not carry this target. The sampled range is trimmed by |k| at both ends so a shift is measured rather than an edge effect, and both bars must carry a real label. Also: BuildMiSample publishes its stride instead of the report recomputing that arithmetic (it would drift), and the control sizes its buffers from its own sample count rather than the caller's. Compiles 0 errors / 0 warnings, standard and Market. Build tag mi-control-align-v1. Redeploy only - no retrain, no model deletion; the diagnostic runs on resumed models. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
|
9a5f645dc3 |
diag(autotune): stop making the feature test cost a trained model
The permutation test lived inside TuneIndicatorsByFilter, which is gated on era 0 - correctly, because re-running the SWEEP would change the input vector out from under weights already fitted to the old one. But the test itself reads cached features and writes nothing, so none of that applies to it, and the gate meant the only way to see the answer on a running model was to delete the model. Today that price was PAI's 45 trained eras and CONV's 31, spent to re-ask a read-only question. Split into ReportFeatureLabelInformation(), called from the sweep when it runs and directly when it does not - a resumed model, a disabled tuner, nothing tunable. Once per attach either way. Compiles 0 errors / 0 warnings. Build tag permtest-v2. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
|
9920754dec |
diag(autotune): five permutations was still a coin flip - use a real test
The 5-draw z-score shipped an hour ago disproved itself on its first run. All four charts scored the IDENTICAL 0.00401 nats on identical features and identical labels - and reported z of +1.3, +2.0, +4.0 and +4.7. Two "AT THE NOISE FLOOR", two "a real association", same data. The entire swing came from estimating the null's spread from five draws, where the standard deviation of the standard-deviation estimate is ~35%: the denominator was noisier than the effect it was judging. Replaced with an empirical permutation test. 200 draws, p counted by rank with the +1/(B+1) correction (Phipson & Smyth 2010) so p is never reported as exactly zero - no normality assumption and no spread to estimate. The strongest single column is tested against the null distribution OF THE MAXIMUM, which corrects for scoring 26 features at once by construction and is far less conservative than Bonferroni. Affordable because BuildMiSample is now split out of ScoreCurrentParamsByMI and runs ONCE for the whole test - every draw reuses that sample and costs a relabel plus 26 histogram passes, not 2000 feature extractions. The coordinate sweep still calls the combined form, which is correct there: each candidate changes the indicator settings, so its features really do have to be re-extracted. The verdict line keeps both questions apart and prints both answers: the p-value for "is it real", the excess as a percentage of H(Y) for "is it big enough to trade". At n=2000 those can disagree, and collapsing them into one word is how a worthless effect gets called a discovery. Compiles 0 errors / 0 warnings. Build tag permtest-v1. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
|
12a1fbd133 |
diag(autotune): one label shuffle cannot settle the no-edge question
The permutation baseline added in
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AnimateDread
|
89eab14ca8 |
fix(chart): arrows survived the EA that drew them - persist, then clear
Reported: on deinit the panel and status label go, the signal arrows stay. Two independent causes, both fixed here. 1. It was partly deliberate. ShutdownChartCleanup carried a second behaviour selected by a `preserveChartArrows` flag derived from the deinit reason: on RECOMPILE / PARAMETERS / CHARTCHANGE / TEMPLATE the arrows were left on the chart on purpose, to avoid a reload flicker. That branch IS the reported symptom, an operator cannot tell it apart from a cleanup that failed, and it was outright wrong whenever the reload changed the config - REASON_PARAMETERS means exactly that, and the preserved arrows then belonged to a model the chart no longer runs, with nothing marking them stale. It is gone, along with the flag and m_purgeChartOnDestruct. One path now: persist, clear, restore on the next attach. 2. Whatever remains was unfalsifiable. PurgeChart was a single ObjectsDeleteAll(prefix) whose return value was discarded, with no caller ever looking at the chart again - so "the arrows are still there" and "the arrows were never there" produced identical evidence, which is why the report survived three sessions. It now verifies: after the bulk delete it walks the OBJ_ARROW-typed list (a handful of objects, not the whole chart), deletes any surviving WarSig_ by name, and says so. Costs one typed scan when the bulk delete works, which is the normal case; names the root cause when it does not. Every failure mode of SaveChartSignals was also silent - it returned void and had three bare early returns. It returns bool now, logs the open error with the filename, and the shutdown purge is CONDITIONAL on it: for a converged model the chart objects are the only copy of its signal history (nothing redraws them - the renderer runs per training era and a deployed model has none left), so a chart left littered because the disk write failed beats a clean chart bought by destroying the history. Either way the log now says which happened. Also states the user's rule once, where arrows come back rather than across InitNeuralNetwork's several exits: no weights loaded for this config => clear the sidecar and start visually clean. A fresh run must not inherit calls it never made, and the first save would otherwise adopt them (the sidecar is rebuilt by scanning the chart). Compiles 0 errors / 0 warnings, standard and Market. Needs redeploy. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
|
018afb1ba9 |
fix(autotune): MI scorer read an array nobody filled; add the permutation floor
THE TUNER WAS A SILENT NO-OP. Every chart logged auto-tune complete - 17 candidate settings scored in ~139s, feature/label mutual information 0.0000 -> 0.0000 nats (no improvement) 0.0000 is not a weak result, it is a broken measurement: finite-sample MI is biased UPWARD, so even pure noise scores above zero. Cause: ScoreCurrentParamsByMI called BufferTempDataCompute(), which APPENDS the bar's features to TempData and never touches m_featureCache - only the caching wrapper BufferTempData() writes that array. It then read m_featureCache, which ReInitADIndicators had just invalidated. Every column came back constant, FeatureColumnMI returned 0 for all of them, and all 17 candidates tied at exactly zero. 139 s per chart to return the settings it started with. Now reads the values back out of TempData, where they actually land. And an exactly-zero best score is called out as a fault rather than reported as "no improvement", because that is what it is. ADDED: a PERMUTATION BASELINE, which is the diagnostic this project has been missing. MI's finite-sample bias is ~(bins-1)(classes-1)/(2n) nats - at these sample sizes the same order as any real edge in this domain - so a raw MI figure is uninterpretable on its own. Shuffling the labels destroys every genuine association while leaving sample size, binning and class proportions intact, so the score it produces IS this dataset's noise floor, measured rather than approximated. The log now reads feature/label information - X nats against a shuffled-label floor of Y and says outright whether the features carry usable information about the target. It needs no training, no topology and no convergence, so unlike every accuracy number in this codebase it cannot be confounded by an optimizer or an objective. If the score sits on the floor, no change of architecture can help - which is the question the last three days of zero-edge results have been circling. DEPLOY FLOOR: `dirPrecPct > chancePrecPct` passed anything above chance by any amount. At ~11,000 directional calls the standard error of the precision estimate is ~0.4pp, so that gate was accepting sub-one-sigma noise - the perceptron deployed at edge +0pp on 2026-08-01. Now requires EDGE_MIN_SIGMAS (2.0) standard errors above chance, computed from the actual call count, so the bar scales with the evidence instead of needing a hand-picked constant. Recorded with it, because it is why chance is the right reference at all: under a driftless random walk P(touch +k*ATR before -m*ATR) = m/(m+k), and the break-even win rate for a k:m reward:risk trade is ALSO m/(m+k). The label's own base rate IS the break-even rate, at every SL/TP setting. So "beats chance" and "is profitable" are the same test, and no choice of SL/TP can manufacture an edge - only prediction can. Both builds compile 0 errors / 0 warnings. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
|
d7eea325fb |
refactor(ai): extract Layer.mqh and deduplicate AI config
- Moves CLayer neuron construction to AI/Impl/Layer.mqh to keep Network.mqh clean - Unifies four previously duplicated architecture initialisation blocks (MLP/CONV/LSTM/HYBRID) into a single shared function - Eliminates risk of behavioural drift where one architecture missed a setter, causing mismatched feature sets or targets |
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AnimateDread
|
36a2825087 |
chore(Network): remove unused optimization methods and tidy whitespace
Remove the unused SetOptimization/Optimization virtual getter/setter from CNeuronBase and the static member `alpha` initialization. These were dead code. Also fix trailing whitespace inconsistencies in comment blocks. |
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AnimateDread
|
9756e2b64f |
fix(deinit): O(n^2) arrow prune blew the shutdown budget and littered 3 charts
Reported as "the perceptron correctly cleaned its chart on deinit, the
other 3 did not, abnormal termination". Measured from the 2026-08-01 log,
time from "OnDeinit: shutting down" to MetaTrader force-terminating:
PAI 3.75 s -> survived, chart cleaned
CONV 4.71 s -> Abnormal termination
LSTM 4.28 s -> Abnormal termination
HYBRID 4.16 s -> Abnormal termination
In all four the last line printed is the inference census, which is the
end of StopTraining() - so the overrun is inside ShutdownChartCleanup(),
i.e. between saving the arrows and purging them.
The cost is the prune loop at the end of SaveChartSignals():
for(int i = 0; i < prunedCount; i++)
ObjectDelete(0, SIG_ARROW_PREFIX + TimeToString(pruned[i]));
ObjectDelete is O(objects) on a crowded chart, so this is O(n^2). It was
harmless while the model called a direction on ~6% of bars. After the
triple-barrier relabel the models call on 83-94% of bars, the chart
carries many thousands of arrows, and the loop overran MetaTrader's
OnDeinit budget - so PurgeChart() never ran and the arrows stayed on
screen. The slow tidy-up starved the fast one.
The work was pure waste at that moment: ShutdownChartCleanup purges every
arrow with a single bulk ObjectsDeleteAll immediately afterwards.
Deleting them one at a time first has no effect except to prevent the
bulk delete from happening at all.
SaveChartSignals takes a pruneChartObjects flag, and the two shutdown
call sites pass false:
- ShutdownChartCleanup passes `preserveChartArrows`, which is exactly
right: prune when the arrows are STAYING (chart and sidecar must
agree), skip when they are about to be purged wholesale.
- FinalizeTrainRun passes !m_trainingStopRequested. Removing a chart
MID-ERA reaches StopTraining -> FinalizeTrainRun, which took the
expensive path a second time, even earlier, before anything had been
cleared. Same defect one call site up; it only escaped notice because
the observed removals happened to land between eras.
Normal convergence and the live per-era path are unchanged - they still
prune, which is what keeps the chart object count bounded.
This also restores the invariant the 2026-07 fix intended ("chart cleanup
runs BEFORE the heavy weight save so a stall cannot leave the chart
littered"). That fix moved cleanup ahead of the WEIGHT save, but cleanup
had since grown its own slow step ahead of its own fast one.
Both builds compile 0 errors / 0 warnings.
Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
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AnimateDread
|
6db0519472 |
perf(autotune): replace the genetic search with a filter score - hours to seconds
MEASURED COST OF THE GA, which is what retired it. Per generation: rung 0: 8 cand x 3 seeds x 3 eras = 72 eras rung 1: 4 cand x 3 seeds x 8 eras = 96 rung 2: 2 cand x 3 seeds x 20 eras = 120 = 288 eras/generation x 4 generations = 1152 eras BEFORE the winner's real training began. Against the observed era times on SP500 H1: PAI 29.1 s/era -> 9.3 h (matches the observed 00:37 -> 09:22) CONV 41.3 s/era -> 13.2 h LSTM 150.4 s/era -> 48.1 h HYBRID 154.6 s/era -> 49.5 h Two days to tune is not a first-run experience, and it is the phase in which the panel goes quiet, which is what made it look like a hang. It also bought nothing. The space is 90 points (10 MA periods x 9 MA types), so 1152 evaluations revisited each point ~13 times; and rungs of 3 and 8 eras cannot separate two MA periods at all. The 2026-08-01 run proves it: every finalist scored 25.0-25.9% balanced accuracy - below the 33.3% one-class floor, i.e. indistinguishable noise - and the search then "deployed the winner" of that. THE ERROR WAS THE SCORING FUNCTION, not its constants. Using a full training run to choose a feature's period is a wrapper method paying wrapper prices for a decision that does not need one. The reference book does not do this: ch. 3.3 selects inputs by measuring each candidate indicator's CORRELATION with the target and dropping the ones with none, with no network involved. So: rank candidates by the MUTUAL INFORMATION between the resulting feature vector and the triple-barrier label. MI rather than correlation because the label is 3-class categorical and the features are not monotonically related to it. Equal-FREQUENCY binning (rank-based), because these features are ATR-normalised and heavy-tailed - fixed-width bins put nearly everything in one bucket and report ~0 information for a genuinely useful feature. Scoring is arithmetic over the feature cache, so it costs seconds and its cost is independent of topology: LSTM now tunes as fast as the MLP. Coordinate sweep, not product sweep - cost is the SUM of per-parameter candidate counts, so enabling every indicator stays affordable - with a second pass that breaks early once nothing moves. Sampling is IS-ONLY. Letting the OOS window influence which indicator settings ship would mean the holdout had been used for selection and had stopped being a holdout. HONEST LIMIT, recorded because it is the price: MI is marginal, so a parameter that only pays off in combination with another can be missed (Guyon & Elisseeff 2003, filter vs wrapper). Given the wrapper it replaces was ranking pure noise at 48 h a run, this is strictly better. Deleted with it: GaRungEras/GaExtract/GaStore/GaMutate/GaRandomCandidate/ GaBlockCrossover/GaSortAliveByScoreDesc/GaBreedNextGeneration, 14 m_ga* members, the GA_*/TUNE_POP_* constants, and ComputeTuneTrialBudget. AND m_evalMode/m_evalEraBudget, because nothing set them any more - 28 read sites all permanently inert. That is not a tidy-up: the `if (!m_evalMode)` guard on UpdateClassPriors is exactly what silently disabled the imbalance correction for entire runs two commits ago. Dead machinery that still reads like live machinery is this codebase's most expensive recurring bug, and leaving 28 more instances of it would have been indefensible. The panel's tuning-progress state goes too - tuning no longer takes long enough to need one. Both builds compile 0 errors / 0 warnings. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
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eafc6802d9 |
fix(ui): panel claimed "no directional calls" while the model was signalling
Reported as "they seem to be signaling but the label stays stuck at no
directional call yet". The model was right and the panel was wrong.
m_cumIsTotal/m_cumOosTotal are LIFETIME, persisted counters - they are
what the panel presents as the product's accuracy - so they deliberately
skip m_evalMode bars: a throwaway auto-tune candidate must not pollute
the deployed model's reported win rate. That gating is correct and
stays.
The consequence was not handled. While an auto-tune search runs, EVERY
era is an eval-mode candidate, so both counters stay at zero for the
entire search while the model trains, signals, and draws arrows
normally. The panel therefore reported "no directional calls yet" -
directly contradicting the chart the user was looking at - for what is
the longest phase of a first run.
Three states now get three messages:
- search running -> "tuning (round N of M) - measured after"
- final winner retrain-> "training final model..."
- genuinely no calls -> "no directional calls yet" (era > 0), or
"measuring..." before the first era
Round-level progress rather than a bare "tuning" because each candidate
is a full training run repeated across seeds and generations, so this
phase runs for hours; a progress-free wait is indistinguishable from a
hang, which is how it was read.
Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
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AnimateDread
|
e83e30344f |
fix: disable auto-tune indicators by default
The AutoTuneIndicators input is now automatically derived via `ComputeTuneTrialBudget()`, so the default is set to false to prevent manual interference. |
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AnimateDread
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3bae2f9254 |
fix: the imbalance correction never ran during the auto-tune search
Neutral collapse on all four topologies by era 5 with a 2:6 barrier (recall Buy 0% / Sell 0% / Neutral 100%), and the panel stuck on "measuring...". One root cause, and it was not the barrier. The labels were fine: Buy 25.4% / Sell 22.0% / Neutral 52.5%, which is exactly gambler's ruin for m=2,k=6 (2/8 = 25% per side), with only 0.1% of Neutral coming from the vertical barrier - so the new m*k horizon scaling is right, arguably generous. What was broken: Train()'s era-start block wrapped UpdateClassPriors() in `if(!m_evalMode)`. The auto-tune GA scores every candidate in eval mode, and AutoTuneIndicators ships ON, so on a default configuration EVERY era of the search ran with unmeasured priors. ApplyLogitAdjustment() requires measured priors; without them it calls ClearLogitAdjustment() and returns. So the entire search trained under PLAIN cross-entropy. With a 52.5% majority class the optimum of plain CE is "always predict Neutral", and that is precisely what all four models found. The panel followed: its counters only advance on bars the model CALLED Buy or Sell, so a collapsed model leaves them at zero and the line reads "measuring..." forever. This was latent, not new. It has been true for every auto-tuned run, but it was invisible while the labels were near-balanced - last night's accidental 1:1 barrier gave 43/40/17, where plain CE has no majority to collapse into. Widening the stop to 2*ATR (correctly - 1*ATR is too tight to survive noise) moved Neutral to the majority and exposed it. The guard's stated fear cannot happen. These priors are measured from the LABEL distribution, and the tuner only perturbs indicator periods (MA/RSI/MACD/Ichimoku/AD). The barrier label depends on ATR, SL_Mode and TP_Mode - none of which the search touches - so every candidate sees byte-identical labels and identical priors. There is nothing to contaminate. What the guard actually protected was the .stats write, and that is gated separately: eval candidates never checkpoint and never persist. Also, because this is the THIRD quiet no-op to cost a run in this codebase (after the fictional oversampling log line and the shadow-blend skip): - ApplyLogitAdjustment() now WARNS when it declines to install, instead of silently clearing. A mechanism that cannot announce it is not running is indistinguishable from one that is. - The panel distinguishes "measuring..." (before era 1, nothing scored yet - an honest warm-up) from "no directional calls yet" (eras trained, zero calls - a finding, not a wait). Both builds compile 0 errors / 0 warnings. No retrain forced by this commit itself, but the collapsed models must be discarded. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
|
8ff3f5d632 |
refactor(inputs): set default SL to ATRx2 and TP to ATRx6
Adjust default stop-loss mode from SL_ATR_x1 to SL_ATR_x2 and default take-profit mode from TP_ATR_x3 to TP_ATR_x6. This improves the risk-reward alignment in line with the recommended minimum ratio and ensures setups are not rejected under the EA's target reward parameters. |
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AnimateDread
|
25813523d3 |
fix: refuse invalid SL/TP, fix the unreachable deploy floor, scale the horizon
Three defects found by reading the 2026-08-01 training logs, all of which
only became visible because the relabel made the numbers mean something.
1. A STALE ENUM TRAINED FOUR MODELS ON THE WRONG TARGET.
`OnInit: trade settings snapshot - SL_Mode=1 TP_Mode=-101`
-101 was TP_PREV_SWING, deleted from TAKE_PROFIT_MODE on 2026-07-31 in
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AnimateDread
|
f48bc93f9b |
refactor(inputs): 96 -> 70 inputs; remove two untested/unusable filter modules
Every removal below is FINGERPRINT-NEUTRAL by construction: each retired input is pinned to the exact value it already shipped with, so running models keep their filenames and resume rather than restarting at era 0. Verified field by field against BuildConfigFingerprint. Removed as inputs, kept as pinned constants (the value was never a preference the user had a basis to change): - OutputNeuronsCount. The regression head predicts a continuous quantity the triple-barrier label does not contain; the target is an EVENT, so the right output is its probability. The regression code paths stay implemented and dormant - they cost nothing and removing them would touch every scoring path at once. - MinRecall. A safety floor, not a preference, and the only direction a user can move it is the harmful one: raising it past what the config reaches yields NO model, not a better one (observed repeatedly at 60). - SwingConfirmationBars. Stopped gating the labels with the relabel, but is STILL load-bearing for the swing-context input features - it is the ZigZag repainting embargo, and without it those 9 features read a leg the live bar could not have had yet. Pinned, not deleted. - MaxErasPerRun (runaway backstop, never reached in a healthy run), FreezePriorCalibration (unanswerable by a user; near-balanced labels make the priors stable anyway), VerboseMode (developer view, joins DebuggingMode), MACD/Ichimoku periods x6 (both indicators ship disabled, and as optimizer dimensions they are pure overfitting surface - the AI auto-tuner is the supported way to move them). - SignalClusterWindow -> 3, no longer an input. Barrier labels make consecutive setups real, which argued for 0; it is not 0 because on D1+ a 6-bar window spans over a week and two arrows a day apart on a weekly-scale move are one event. 3 splits it correctly by timeframe. - EnableOnlineLearning -> ON. Adapting to a changing market is what keeps a months-attached model from going stale, and the rolling-accuracy freeze is what makes it safe. See the caveat noted in the handoff: it had not been forward-tested on a live feed when this became default. Removed entirely: - Intraday Time Filter (5 inputs + Signals/SignalITF.mqh). Two of its five inputs were raw BITMASKS, which is an implementation detail exposed as a control. The job is covered three times over by things that are declarative or that learn: the session filter, the time-of-day/day-of-week input features (the network discovers which hours are good rather than being told), and the journal's time buckets. - Market Depth Filter (5 inputs + Signals/SignalMarketDepth.mqh, plus its OnInit probe and OnDeinit release). It needs real level-2 data that this broker - and most retail MT5 brokers - do not provide, so the module has never once executed against real data. Shipping four tuning dropdowns for an untested path is worse than shipping nothing: the only users who could enable it would be its first-ever testers, live. If DOM returns it should be a FEATURE fed to the network, not a rule-based veto with hand-tuned thresholds - imbalance is data. - IndicatorTuneTrials, replaced by ComputeTuneTrialBudget(). The useful budget depends on how many parameters are actually being searched, which depends on which features are enabled - so one number meant wildly different things run to run. The shipped 32 was ~10 candidates per dimension against one enabled indicator (wasteful: each costs GA_SEEDS full training runs) and under one per dimension against all nine (blind). Now population ~ 4 x active dimensions, clamped [8,64], with CADIndicatorTuner::ActiveDimensions() defined immediately above PerturbRandom() so the two cannot drift apart. - Six orphaned enums (TUNE_TRIALS_PRESET, DOM_*, ENTRY_HOUR_OF_DAY, TIME_FILTER_DAY_OF_WEEK), 81 lines. Other UX: - SL_ATR_x1 / TP_ATR_x3 now carry the "(classic)" default marker every other preset enum in the file already used. Nothing in the SL/TP dropdowns previously told a user which pair was the shipped default - which matters far more since the relabel, because those two define the labels and changing either forces a retrain. - Neural Network section moved directly ABOVE AI Input Features: choose the architecture, then choose what it sees. NN Optimizer / Performance stays last - the Adam/Sgd inputs are declared in AI/Network.mqh and render immediately after that divider. - News feature + window moved to the end of the AI feature list, below Wyckoff Bar Inversion. - Dropped "(0-100)" from Min vote to open - it is an enum, not a number. Both builds compile 0 errors / 0 warnings. No retrain forced. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
|
b4a704d309 |
feat(ai): triple-barrier labels replace exact-pivot ZigZag targets
The 31:1 class imbalance was self-inflicted by the TARGET, not a property of the market. Labelling only the exact bar where a ZigZag pivot confirms gave Buy 1164 / Sell 1164 / Neutral 35841, and every correction mechanism this codebase accumulated sits downstream of that one choice: the logit-adjusted loss and its range cap, the prior EMA, the +-3.0 output-bias seed, balanced-accuracy-then-precision selection with its coverage floor, the recall floor and its catch-22, the alternation gate, NMS, and the four oversampling designs that collapsed before them. The reference this engine is built on (references/neuronetworksbook.pdf ch. 3.1/3.3) also uses ZigZag, but targets the DIRECTION TO THE NEXT EXTREMUM on every bar - ~50/50 by construction, with no imbalance to correct at all. It never had this problem because it never asked "is this the pivot bar". Labels are now the triple barrier (Lopez de Prado ch. 3), using the EA's OWN SL_Mode/TP_Mode: does a trade opened at this bar's close reach its target before its stop, within a horizon. Buy = long resolves, Sell = short resolves, Neutral = neither. Consequences: - dir-precision in the era line stops being a proxy and becomes the win rate of the strategy under its own exit rules. - Expected balance ~25/25/50 at the shipped 1:3 (gambler's ruin), i.e. ~2:1 instead of 31:1. Measured and logged at the end of the prebuild. - Spread is charged on both legs, so it is a NET win rate. - Intrabar ambiguity resolves to the STOP. OHLC cannot order two touches inside one bar and the optimistic reading is how a backtested edge becomes a live loss. ZigZag stays as input features (EnableSwingContext) and now also supplies the vertical barrier: the horizon is the median confirmed leg length, snapped to a coarse ladder. Derived, not configured, and deliberately kept out of the filename fingerprint - a filename keyed on a measured quantity orphans a trained model the moment the measurement moves. Removed, because the premise died with the old target: - the alternation gate. Correct for pivot labels (a ZigZag cannot emit two same-type pivots in a row, so a repeat was provably a false fire), and wrong for barrier labels, which answer each bar independently. It also took its worst consequence with it: a one-sided model previously got ONE trade per backtest, a hard blocker on marketplace validation. - SignalClusterWindow now defaults off - it de-duplicated repeats that are now real trades. Kept as an opt-in display control. - LABEL_WINDOW_BARS, the pivot-widening pass, ConfirmedZigZagLabel. - the era-0 output-bias seed now needs a genuinely dominant class (0.70) rather than 0.40; at ~50% Neutral a +-3.0 seed is a distortion, not a correction. Also fixed, both found while wiring the above: 1. RefreshConvergedSignal sized its buffers from a date delta (Bars(sym, period, dtStudied, TimeCurrent())). dtStudied is a training watermark; in the tester it is loaded from a live-chart save AHEAD of the simulated date, so the interval inverted, Bars() returned ~0, and the buffer came out at exactly m_historyBars - deep enough for the OHLC window and far too shallow for the Donchian-50 / 20-bar-return / SMA extension behind it. Inference silently computed DIFFERENT features from the ones training learned on, live as well as in the tester. Now sized from what the feature builder actually needs. 2. The barrier horizon is resolved on the deployed path too. A deployed model never enters Train(), so it never reached the prebuild, and OnlineLearnStep reads the horizon as its confirmation delay - left at the fallback it would have backpropped bars whose barriers had not resolved. Silent lookahead in the one place that writes to a live model. SL_Mode/TP_Mode join the weights fingerprint: they define the labels now, so a model trained at 1:3 must never be silently reused at 1:1. This re-keys every pre-existing model by design - none were trained on this task. Inference census extended with the vote gate. LongCondition/ShortCondition open with a readiness check the refresh counters never see; in the tester it reduces to "the seeded _optcache.nnw must have LOADED", and if it did not, every vote is hard-zeroed while the model still answers Buy. The old three counters would have read that as "the model says Neutral" - false, and a completely different fix. This is the leading candidate for the zero-direction backtest and the census can now name it in one run. Both builds compile 0 errors / 0 warnings. Forces a full retrain. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
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fa0455f399 |
diag: inference-path census, to explain zero-trade backtests
A backtest of the CONVERGED CONV model produced "Final directional result: 0.00000000" on every one of 1744 bars and therefore zero trades. Nothing in the log could separate the three candidate causes, and each needs a different fix: 1. RefreshLatestSignal never called (new-bar gate never fires) 2. called, but bailing at one of its two early returns 3. running fine, and the model genuinely answers Neutral every bar Counts all three plus the Buy/Sell/Neutral split, printed once at shutdown via StopTraining (which the tester reaches through OnDeinit). Three increments per bar against a full feedForward - not worth gating. Ruled out while writing this, so the next session does not re-derive it: - the alternation gate (m_lastNonNeutralSignal) is NOT the cause. It starts at Neutral, so a first Buy would still fire and show up as one non-zero direction. We saw zero. It IS still a live hazard for a one-sided model - CONV currently calls Buy:17% Sell:0%, and after the first Buy every later Buy is suppressed until a Sell that never comes - but it cannot explain an all-zero run. - shallow buffers do not hard-fail the feature builder: the swing-context Donchian loop breaks gracefully when it runs off loaded history. It does mean converged-path inference computes Donchian/return/SMA features over a TRUNCATED window versus training, which is a real train/inference skew worth its own fix, but it degrades features rather than zeroing them. Both builds 0/0. Diagnostic only. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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AnimateDread
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0261c013d0 |
fix: EMA shadow never received the LSTM weight block
Confirmed live the first run after
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