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>
46 строки
1,7 КиБ
Python
46 строки
1,7 КиБ
Python
"""Round 4 (FX_PLAN.md): flight to safety on the SP500 dip signal."""
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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 run_screen import zscore_entries # noqa: E402
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from vol_filter_test import vol_pctile # noqa: E402
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HAVENS = {"XAUUSD": 1, "XAGUSD": 1, "USDCHF": -1, "USDJPY": -1}
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spx = bt.load("SP500", "PERIOD_H4")
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e, _ = zscore_entries(spx, 20, -1.5, 0)
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e &= np.nan_to_num(vol_pctile(spx), nan=-1) >= 0.50
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sig = set(spx["ts"][e].astype("datetime64[s]").tolist())
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fs.SPLIT = np.datetime64("2024-01-01")
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lo = spx["ts"][0]
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rows, allt = [], []
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for s, side in HAVENS.items():
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d = fs.load(s, "H4")
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o, h, l, c, ts = d["o"], d["h"], d["l"], d["c"], d["ts"]
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a = bt.atr(h, l, c, 14)
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tr, i, n = [], 0, len(c)
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tl = ts.astype("datetime64[s]").tolist()
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while i < n - 2:
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if ts[i] < lo or tl[i] not in sig or not np.isfinite(a[i]):
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i += 1
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continue
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f = i + 1
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entry = o[f]
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stop = entry - side * 3.0 * a[i]
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px, j = None, f
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for j in range(f, min(f + 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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if px is None:
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j = min(f + 9, n - 1)
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px = c[j]
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tr.append(fs.trade(d, f, j, side, entry, px))
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i = j + 1
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allt.append(tr)
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rows.append(fs.score(s, d, tr))
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fs.pooled(allt, "R4 havens")
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fs.report("R4 flight to safety on the SP500 dip signal, H4 2021-26, split 2024", rows, len(HAVENS))
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