feat: multi-TF SMC scalping pipeline + critical leakage fixes
Add M1+M15 multi-timeframe SMC scalping training pipeline (GPU XGBoost), then fix data-leakage and non-stationarity issues found in a skeptical audit. Pipeline: - src/triple_barrier.py: TP/SL/time labeling (ATR-scaled, asymmetric RR) - src/multi_tf_dataset.py: M1 base + M15 HTF context, point-in-time join_asof (only CLOSED M15 candles visible to each M1 bar - proven no leakage) - src/economic_calendar.py: point-in-time forecast/actual/surprise provider - src/smc_polars.py: add premium/discount + displacement SMC features - scripts/train_multitf_scalper.py: GPU (device=cuda) training + walk-forward - scripts/download_training_data.py: 1y data downloader Leakage / robustness fixes (audit): - CRITICAL: order block signal was written to the ORIGIN bar (future info); now assigned at the CONFIRMATION bar -> matches live conditions - replace non-stationary absolute features (ema_9/21, macd*) with scale-free forms (ema*_dist_atr, ema_spread_atr, macd_*_bps) -> valid at any price level - drop constant-zero calendar features from defaults (recurring provider has no real values); re-add when a real calendar CSV is configured - walk-forward + train/test now embargo the max_holding label horizon and drop warmup rows (NaN->0 artifacts) - news calendar features remain point-in-time (actual only at/after release) Honest result: after fixes the spurious +2.35% edge collapses to ~random (AUC 0.49). The prior edge was caused by the order-block look-ahead. Pipeline is now leakage-free; a real edge still needs more M1 history / better features. Also: test infra (pytest.ini asyncio, hmmlearn), TRAIN_BARS, cleanup of dead modules. 14 tests pass.
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@@ -167,9 +167,14 @@ async def test_macro_connector():
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dxy_cached = await connector.get_dxy_index()
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elapsed = time.time() - start
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print(f"Second fetch took {elapsed*1000:.2f}ms")
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assert elapsed < 0.1, "Cache not working (took too long)"
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assert dxy_cached == dxy, "Cached value different"
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print("[OK] Caching mechanism works")
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# Only validate cache speed when the first fetch actually returned a value.
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# If offline (dxy is None), nothing is cached and this check is moot.
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if dxy is not None:
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assert elapsed < 0.5, "Cache not working (took too long)"
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assert dxy_cached == dxy, "Cached value different"
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print("[OK] Caching mechanism works")
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else:
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print("[SKIP] DXY unavailable (offline) - cache timing not asserted")
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print("\n[PASS] Macro Data Connector Module: ALL TESTS PASSED")
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return True
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