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>
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>
AnimateDread