critical: Fix v11 missing use_quality_filters parameter + RSI index bug

TWO CRITICAL BUGS FIXED:

1. Missing use_quality_filters parameter (Pine Script parity):
   - Added use_quality_filters: bool = True to MoneyLineV11Inputs
   - Implemented bypass logic in signal generation for both long/short
   - When False: only trend flips generate signals (no filtering)
   - When True: all filters must pass (original v11 behavior)
   - Matches Pine Script: finalSignal = buyReady and (not useQualityFilters or (...filters...))

2. RSI index misalignment causing 100% NaN values:
   - np.where() returns numpy arrays without indices
   - pd.Series(gain/loss) created NEW integer indices (0,1,2...)
   - Result: RSI values misaligned with original datetime index
   - Fix: pd.Series(gain/loss, index=series.index) preserves alignment
   - Impact: RSI NaN count 100 → 0, all filters now work correctly

VERIFICATION:
- Test 1 (no filters): 1,424 signals ✓
- Test 2 (permissive RSI): 1,308 signals ✓
- Test 3 (moderate RSI 25-70/30-80): 1,157 signals ✓

Progressive sweep can now proceed with corrected signal generation.

backtester/v11_moneyline_all_filters.py

@@ -49,6 +49,9 @@ class MoneyLineV11Inputs:
     confirm_bars: int = 0  # Immediate signals
     cooldown_bars: int = 3  # Prevent overtrading
     
+    # Master filter toggle (matches Pine Script useQualityFilters)
+    use_quality_filters: bool = True  # When False, only trend flips generate signals (no filtering)
+    
     # ATR profile (fixed for test - 5-minute chart defaults)
     atr_period: int = 12  # ATR calculation length
     multiplier: float = 3.8  # ATR band multiplier
@@ -107,8 +110,10 @@ def rsi(series: pd.Series, length: int) -> pd.Series:
     delta = series.diff()
     gain = np.where(delta > 0, delta, 0.0)
     loss = np.where(delta < 0, -delta, 0.0)
-    avg_gain = rma(pd.Series(gain), length)
+    # CRITICAL FIX (Dec 6, 2025): Preserve index from input series
-    avg_loss = rma(pd.Series(loss), length)
+    # np.where returns array, pd.Series without index=series.index creates misaligned data
+    avg_gain = rma(pd.Series(gain, index=series.index), length)
+    avg_loss = rma(pd.Series(loss, index=series.index), length)
     rs = avg_gain / avg_loss.replace(0, np.nan)
     rsi_series = 100 - (100 / (1 + rs))
     return rsi_series.fillna(50.0)
@@ -279,18 +284,10 @@ def money_line_v11_signals(df: pd.DataFrame, inputs: Optional[MoneyLineV11Inputs
             volume_ok = row.volume_ratio <= inputs.vol_max  # Only check upper bound
         
         if flip_long:
-            # Entry buffer check (longBufferOk) - disabled if entry_buffer_atr == 0
+            # CRITICAL FIX (Dec 6, 2025): Add use_quality_filters bypass to match Pine Script
-            if inputs.entry_buffer_atr > 0:
+            # Pine Script: finalLongSignal = buyReady and (not useQualityFilters or (...filters...))
-                entry_buffer_ok = row.close > (row.supertrend + inputs.entry_buffer_atr * row.atr)
+            if not inputs.use_quality_filters:
-            else:
+                # No filters - just the trend flip (like v9 behavior)
-                entry_buffer_ok = True  # Filter disabled
-            
-            # Long filters
-            rsi_ok = inputs.rsi_long_min <= row.rsi <= inputs.rsi_long_max  # rsiLongOk
-            pos_ok = row.price_position < inputs.long_pos_max  # longPositionOk
-            
-            # V11: ALL filters must pass (this is the fix from v9)
-            if adx_ok and volume_ok and rsi_ok and pos_ok and entry_buffer_ok:
                 signals.append(
                     MoneyLineV11Signal(
                         timestamp=row.name,
@@ -304,25 +301,39 @@ def money_line_v11_signals(df: pd.DataFrame, inputs: Optional[MoneyLineV11Inputs
                     )
                 )
                 cooldown_remaining = inputs.cooldown_bars
+            else:
+                # Original v11 filter logic - ALL filters must pass
+                # Entry buffer check (longBufferOk) - disabled if entry_buffer_atr == 0
+                if inputs.entry_buffer_atr > 0:
+                    entry_buffer_ok = row.close > (row.supertrend + inputs.entry_buffer_atr * row.atr)
+                else:
+                    entry_buffer_ok = True  # Filter disabled
+                
+                # Long filters
+                rsi_ok = inputs.rsi_long_min <= row.rsi <= inputs.rsi_long_max  # rsiLongOk
+                pos_ok = row.price_position < inputs.long_pos_max  # longPositionOk
+                
+                # V11: ALL filters must pass (this is the fix from v9)
+                if adx_ok and volume_ok and rsi_ok and pos_ok and entry_buffer_ok:
+                    signals.append(
+                        MoneyLineV11Signal(
+                            timestamp=row.name,
+                            direction="long",
+                            entry_price=float(row.close),
+                            adx=float(row.adx),
+                            atr=float(row.atr),
+                            rsi=float(row.rsi),
+                            volume_ratio=float(row.volume_ratio),
+                            price_position=float(row.price_position),
+                        )
+                    )
+                    cooldown_remaining = inputs.cooldown_bars
                 
         elif flip_short:
-            # Entry buffer check (shortBufferOk) - disabled if entry_buffer_atr == 0
+            # CRITICAL FIX (Dec 6, 2025): Add use_quality_filters bypass to match Pine Script
-            if inputs.entry_buffer_atr > 0:
+            # Pine Script: finalShortSignal = sellReady and (not useQualityFilters or (...filters...))
-                entry_buffer_ok = row.close < (row.supertrend - inputs.entry_buffer_atr * row.atr)
+            if not inputs.use_quality_filters:
-            else:
+                # No filters - just the trend flip (like v9 behavior)
-                entry_buffer_ok = True  # Filter disabled
-            
-            # Short filters
-            rsi_ok = inputs.rsi_short_min <= row.rsi <= inputs.rsi_short_max  # rsiShortOk
-            
-            # Price position filter - disabled if short_pos_min == 0
-            if inputs.short_pos_min > 0:
-                pos_ok = row.price_position > inputs.short_pos_min  # shortPositionOk
-            else:
-                pos_ok = True  # Filter disabled
-            
-            # V11: ALL filters must pass (this is the fix from v9)
-            if adx_ok and volume_ok and rsi_ok and pos_ok and entry_buffer_ok:
                 signals.append(
                     MoneyLineV11Signal(
                         timestamp=row.name,
@@ -336,5 +347,37 @@ def money_line_v11_signals(df: pd.DataFrame, inputs: Optional[MoneyLineV11Inputs
                     )
                 )
                 cooldown_remaining = inputs.cooldown_bars
+            else:
+                # Original v11 filter logic - ALL filters must pass
+                # Entry buffer check (shortBufferOk) - disabled if entry_buffer_atr == 0
+                if inputs.entry_buffer_atr > 0:
+                    entry_buffer_ok = row.close < (row.supertrend - inputs.entry_buffer_atr * row.atr)
+                else:
+                    entry_buffer_ok = True  # Filter disabled
+                
+                # Short filters
+                rsi_ok = inputs.rsi_short_min <= row.rsi <= inputs.rsi_short_max  # rsiShortOk
+                
+                # Price position filter - disabled if short_pos_min == 0
+                if inputs.short_pos_min > 0:
+                    pos_ok = row.price_position > inputs.short_pos_min  # shortPositionOk
+                else:
+                    pos_ok = True  # Filter disabled
+                
+                # V11: ALL filters must pass (this is the fix from v9)
+                if adx_ok and volume_ok and rsi_ok and pos_ok and entry_buffer_ok:
+                    signals.append(
+                        MoneyLineV11Signal(
+                            timestamp=row.name,
+                            direction="short",
+                            entry_price=float(row.close),
+                            adx=float(row.adx),
+                            atr=float(row.atr),
+                            rsi=float(row.rsi),
+                            volume_ratio=float(row.volume_ratio),
+                            price_position=float(row.price_position),
+                        )
+                    )
+                    cooldown_remaining = inputs.cooldown_bars
 
     return signals