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>
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>
