ответвлён от animatedread/Warrior_EA
6192393511
Hypotheses were registered in FX_PLAN.md before each round. Trend, breakout, cross reversion, hour seasonality, month-end USD, carry-cross dip-buy, metals dip-buy and flight-to-safety all fail the bar. The weekend-gap fade looked like the best result of the project on bar data (OOS t 20, 28/28 pairs) and loses on real ticks (EURCHF PF 0.52, AUDNZD PF 0.53): the Sunday-open spread is as wide as the gap. WarriorGapFade is kept as the research artifact that proved it and is flagged DO NOT TRADE. Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
55 строки
1,9 КиБ
Python
55 строки
1,9 КиБ
Python
"""C1 (FX_PLAN.md round 3): metals H4 continuation after a 1.5-sigma move."""
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from __future__ import annotations
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import sys
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import numpy as np
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sys.path.insert(0, __file__.rsplit("\\", 1)[0] if "\\" in __file__ else ".")
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import backtest as bt # noqa: E402
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import fx_screen as fs # noqa: E402
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from vol_filter_test import vol_pctile # noqa: E402
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METALS = ["XAUUSD", "XAGUSD", "XPTUSD", "XPDUSD", "XAUEUR"]
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def c1(d, gated):
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o, h, l, c = d["o"], d["h"], d["l"], d["c"]
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m = bt.sma(c, 20)
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s = bt.rolling_std(c, 20)
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z = (c - m) / np.where(s > 0, s, np.nan)
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a = bt.atr(h, l, c, 14)
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g = np.nan_to_num(vol_pctile(d), nan=-1) >= 0.50 if gated else np.ones(len(c), bool)
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tr, i, n = [], 20, len(c)
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while i < n - 2:
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side = -1 if z[i] <= -1.5 else (1 if z[i] >= 1.5 else 0)
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if side == 0 or not g[i] or not np.isfinite(a[i]):
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i += 1
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continue
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fill = i + 1
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entry = o[fill]
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stop = entry - side * 3.0 * a[i]
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px, j = None, fill
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for j in range(fill, min(fill + 10, n)):
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if (side > 0 and l[j] <= stop) or (side < 0 and h[j] >= stop):
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px = stop
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break
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#--- the move FAILED: price is back through the mean
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if (side > 0 and c[j] <= m[j]) or (side < 0 and c[j] >= m[j]):
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px = c[j]
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break
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if px is None:
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j = min(fill + 9, n - 1)
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px = c[j]
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tr.append(fs.trade(d, fill, j, side, entry, px))
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i = j + 1
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return tr
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if __name__ == "__main__":
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for gated in (False, True):
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rows, allt = [], []
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for s in METALS:
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d = fs.load(s, "H4")
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t = c1(d, gated)
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allt.append(t)
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rows.append(fs.score(s, d, t))
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fs.pooled(allt, f"C1 gate={'on' if gated else 'off'}")
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fs.report(f"C1 metals continuation H4, gate {'ON' if gated else 'off'}", rows, 2 * len(METALS))
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