remove: V10 momentum system - backtest proved it adds no value
- Removed v10 TradingView indicator (moneyline_v10_momentum_dots.pinescript) - Removed v10 penalty system from signal-quality.ts (-30/-25 point penalties) - Removed backtest result files (sweep_*.csv) - Updated copilot-instructions.md to remove v10 references - Simplified direction-specific quality thresholds (LONG 90+, SHORT 80+) Rationale: - 1,944 parameter combinations tested in backtest - All top results IDENTICAL (568 trades, $498 P&L, 61.09% WR) - Momentum parameters had ZERO impact on trade selection - Profit factor 1.027 too low (barely profitable after fees) - Max drawdown -$1,270 vs +$498 profit = terrible risk-reward - v10 penalties were blocking good trades (bug: applied to wrong positions) Keeping v9 as production system - simpler, proven, effective.
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backtester/data_loader.py
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38
backtester/data_loader.py
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"""Utilities for loading OHLCV data for local backtesting."""
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from __future__ import annotations
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from dataclasses import dataclass
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from pathlib import Path
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from typing import Optional
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import pandas as pd
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@dataclass
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class DataSlice:
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symbol: str
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timeframe: str
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data: pd.DataFrame
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def load_csv(path: Path, symbol: str, timeframe: str, start: Optional[str] = None, end: Optional[str] = None) -> DataSlice:
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if not path.exists():
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raise FileNotFoundError(f"Missing data file: {path}")
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df = pd.read_csv(path, parse_dates=["timestamp"])
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df = df.sort_values("timestamp").reset_index(drop=True)
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if start:
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df = df[df["timestamp"] >= pd.Timestamp(start)]
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if end:
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df = df[df["timestamp"] <= pd.Timestamp(end)]
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if df.empty:
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raise ValueError("No rows remain after applying date filters")
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expected_cols = {"timestamp", "open", "high", "low", "close", "volume"}
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missing = expected_cols.difference(df.columns)
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if missing:
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raise ValueError(f"Missing columns in {path}: {sorted(missing)}")
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df = df.set_index("timestamp")
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return DataSlice(symbol=symbol.upper(), timeframe=timeframe, data=df)
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