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32aa6e40cd
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Add non-price context filters to backtest (BTC trend, buy pressure, funding)
V3 backtest: add context parameter to signal_generator with three new filters:
- BTC trend filter: skip altcoin BUYs when BTC 1h EMA9<EMA21 + ADX>20
- Buy pressure (OHLCV proxy): penalize BUY score when close near low, boost SELL
- Funding sentiment (BTC perp basis): penalize BUY on overleveraged longs, boost SELL
Results: return -19.07% → -13.48%, max DD -27.19% → -18.25%, BUYs 385 → 189.
Added --no-context CLI flag for A/B comparison.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
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2026-03-17 16:54:22 +00:00 |
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