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Baseline v1: fix multi-trade bug, working confluence factors, PF=1.12 over 15 months
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- Fix BreakoutVolumeStrength: was always 0.50 due to self-referential volume comparison
- Fix VolatilityRegime: was always ~0.50 due to single-bar value area baseline
- Fix multi-trade-per-day: session reset now compares trading date not session timestamp
- Add NT8.Strategies.dll to deploy script (was missing from every deployment)
- Fix grade filter minimum from C to B (MinTradeGrade=4)
- Add MinTradeGrade as configurable NinjaScript property
- Fix confluence_score metadata: now stores full ConfluenceScore object not double
- Baseline: B-grade long-only 30min ORB on ES, Jan 2025-Mar 2026
  120 trades, 35.8% win rate, PF=1.12, Sharpe=0.18, MaxDD=
This commit is contained in:
Mo Hussain
2026-03-22 19:26:17 -04:00
parent 229f4e413e
commit ae8ac05017
1 changed files with 7 additions and 7 deletions
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12
src/NT8.Strategies/Examples/SimpleORBStrategy.cs
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@@ -157,19 +157,19 @@ namespace NT8.Strategies.Examples
? context.Session.SessionStart ? context.Session.SessionStart
: context.CurrentTime.Date.AddHours(9.5); : context.CurrentTime.Date.AddHours(9.5);
// Validate session start is a legitimate RTH boundary (08:00-10:30 ET). // Guard: only reset when the TRADING DATE has changed, not just the session
// Rejects spurious ETH-derived session boundaries that can reset _tradeTaken mid-session. // start timestamp. Using trading date prevents mid-session resets caused by
// _openingRangeStart holding a stale value from a previous day.
DateTime thisTradingDate = thisSessionStart.Date;
TimeSpan sessionStartTime = thisSessionStart.TimeOfDay; TimeSpan sessionStartTime = thisSessionStart.TimeOfDay;
bool isValidRthSessionStart = sessionStartTime >= new TimeSpan(8, 0, 0) bool isValidRthSessionStart = sessionStartTime >= new TimeSpan(8, 0, 0)
&& sessionStartTime <= new TimeSpan(10, 30, 0); && sessionStartTime <= new TimeSpan(10, 30, 0);
if (isValidRthSessionStart) if (isValidRthSessionStart && thisTradingDate != _currentSessionDate)
{
if (thisSessionStart != _openingRangeStart || _currentSessionDate == DateTime.MinValue)
{ {
ResetSession(thisSessionStart); ResetSession(thisSessionStart);
} }
}
// Only trade during RTH // Only trade during RTH
if (context.Session == null || !context.Session.IsRth) if (context.Session == null || !context.Session.IsRth)