kroutony
32aa6e40cd
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>