Update veto.py

veto.py

@@ -1,3 +1,16 @@
+"""
+veto.py — Hard filters. Any single veto cancels the setup entirely.
+
+Key fixes vs prior version:
+- Absorption is now a hard veto (was missing)
+- Climax volume is a hard veto (was only a score penalty)
+- Failed breakout in last N bars = hard veto
+- Price too extended from mean = hard veto (separate per direction)
+- Vol ratio threshold lowered to 2.2 (fires more reliably)
+- No volatility compression = veto (require setups to emerge from bases)
+- Regime confidence below minimum = veto (new structural gate)
+"""
+
 from typing import Dict, Any, Tuple
 
 from config import (
@@ -5,45 +18,102 @@ from config import (
     VETO_VOL_RATIO_MAX,
     VETO_STRUCTURE_MIN,
     VETO_CLIMAX,
+    VETO_ABSORPTION,
+    VETO_EXTENDED_PRICE,
+    VETO_NO_COMPRESSION,
+    REGIME_CONFIDENCE_MIN,
+    VOL_COMPRESSION_LOOKBACK,
 )
 
+_FAILED_BREAKOUT_LOOKBACK = 5   # bars to look back for recent fake signals
+_CONSEC_FAILED_MAX = 2          # veto if N or more recent fakes
+
 
 def apply_veto(
     regime_data: Dict[str, Any],
     volume_data: Dict[str, Any],
     structure_score: float,
+    direction: int = 1,          # +1 = evaluating long, -1 = evaluating short
 ) -> Tuple[bool, str]:
+    """
+    Returns (vetoed: bool, reason: str).
+    direction controls which extension check applies.
+    """
     reasons = []
 
     volume_score = volume_data.get("volume_score", 0.0)
     vol_ratio = regime_data.get("vol_ratio", 1.0)
-    climax = volume_data.get("climax", False)
-    weak = volume_data.get("weak", False)
     trend = regime_data.get("trend", "ranging")
+    vol_compressed = regime_data.get("vol_compressed", False)
     vol_expanding = regime_data.get("vol_expanding", False)
-    vol_contracting = regime_data.get("vol_contracting", False)
-    atr_trend = regime_data.get("atr_trend", "falling")
+    regime_confidence = regime_data.get("regime_confidence", 0.0)
+    price_extended_long = regime_data.get("price_extended_long", False)
+    price_extended_short = regime_data.get("price_extended_short", False)
+    adx = regime_data.get("adx", 0.0)
+
+    spike = volume_data.get("spike", False)
+    climax = volume_data.get("climax", False)
+    absorption = volume_data.get("absorption", False)
+    failed_breakout = volume_data.get("failed_breakout", False)
+    recent_failed = volume_data.get("recent_failed_count", 0)
+    weak = volume_data.get("weak", False)
 
+    # ── VOLUME GATES ─────────────────────────────────────────────────────────
     if volume_score < VETO_VOLUME_MIN:
-        reasons.append(f"WEAK_VOLUME (score={volume_score:.2f}, threshold={VETO_VOLUME_MIN})")
+        reasons.append(f"WEAK_VOLUME_SCORE ({volume_score:.2f} < {VETO_VOLUME_MIN})")
 
     if weak:
-        reasons.append(f"VOL_BELOW_MA (ratio={volume_data.get('vol_ratio', 0):.2f})")
+        reasons.append(f"VOLUME_BELOW_MA (ratio={volume_data.get('vol_ratio', 0):.2f})")
 
+    if VETO_CLIMAX and climax:
+        reasons.append("CLIMAX_VOLUME — potential exhaustion, not entry")
+
+    if VETO_ABSORPTION and absorption:
+        reasons.append("ABSORPTION_DETECTED — institutional supply at resistance")
+
+    # ── BREAKOUT INTEGRITY ────────────────────────────────────────────────────
+    if failed_breakout:
+        reasons.append("FAILED_BREAKOUT — most recent breakout reversed")
+
+    if recent_failed >= _CONSEC_FAILED_MAX:
+        reasons.append(f"REPEATED_FAKE_BREAKOUTS ({recent_failed} in last 10 bars)")
+
+    # ── VOLATILITY GATES ──────────────────────────────────────────────────────
     if vol_ratio > VETO_VOL_RATIO_MAX:
-        reasons.append(f"EXTREME_VOLATILITY (ratio={vol_ratio:.2f}, max={VETO_VOL_RATIO_MAX})")
+        reasons.append(f"EXTREME_VOLATILITY (ratio={vol_ratio:.2f} > {VETO_VOL_RATIO_MAX})")
+
+    if VETO_NO_COMPRESSION and not vol_compressed and not vol_expanding:
+        # Allow through if currently expanding — expansion from base is fine
+        # Only veto if vol is neither compressed nor just broke out
+        if vol_ratio < 0.9 or vol_ratio > 1.6:
+            reasons.append(
+                f"NO_VOLATILITY_BASE (ratio={vol_ratio:.2f}, compressed={vol_compressed})"
+            )
 
+    # ── STRUCTURE GATE ────────────────────────────────────────────────────────
     if structure_score < VETO_STRUCTURE_MIN:
-        reasons.append(f"CONFLICTING_STRUCTURE (score={structure_score:.2f}, threshold={VETO_STRUCTURE_MIN})")
+        reasons.append(f"WEAK_STRUCTURE ({structure_score:.2f} < {VETO_STRUCTURE_MIN})")
 
-    if VETO_CLIMAX and climax:
-        reasons.append("CLIMAX_VOLUME (potential exhaustion)")
+    if trend == "bearish" and direction == 1:
+        reasons.append("BEARISH_TREND — long entry contra-trend")
+
+    if trend == "bullish" and direction == -1:
+        reasons.append("BULLISH_TREND — short entry contra-trend")
 
-    if trend == "bearish" and vol_expanding:
-        reasons.append("BEARISH_TREND_EXPANDING_VOL (high-risk combination)")
+    # ── REGIME CONFIDENCE GATE ────────────────────────────────────────────────
+    if regime_confidence < REGIME_CONFIDENCE_MIN:
+        reasons.append(
+            f"LOW_REGIME_CONFIDENCE ({regime_confidence:.2f} < {REGIME_CONFIDENCE_MIN})"
+        )
 
-    if vol_contracting and volume_score < 0.4:
-        reasons.append(f"VOL_CONTRACTING_WEAK_FLOW (vol_ratio={vol_ratio:.2f})")
+    # ── PRICE EXTENSION GATE ─────────────────────────────────────────────────
+    if VETO_EXTENDED_PRICE:
+        if direction == 1 and price_extended_long:
+            dist = regime_data.get("dist_atr", 0.0)
+            reasons.append(f"PRICE_EXTENDED_LONG ({dist:.2f} ATR above mean)")
+        if direction == -1 and price_extended_short:
+            dist = regime_data.get("dist_atr", 0.0)
+            reasons.append(f"PRICE_EXTENDED_SHORT ({dist:.2f} ATR below mean)")
 
     if reasons:
         return True, " | ".join(reasons)
@@ -51,6 +121,4 @@ def apply_veto(
 
 
 def veto_summary(vetoed: bool, reason: str) -> str:
-    if vetoed:
-        return f"VETOED — {reason}"
-    return "APPROVED"
+    return f"VETOED — {reason}" if vetoed else "APPROVED"