v1.17.0 — feat: QPB Entry Gate and Unified Regime-Probability Pipeline

Highlights

This release introduces two major structural changes that significantly enhance both the profitability and the comparative validity of the system:

• QPB (Quiet Pre-Breakout) Entry Gate: A new microstructure filtering layer that conditions entries on three simultaneous indicators. On BTC/USDT (2020–2025) evaluation, enabling QPB transforms the baseline PAITS result.
• Unified Regime-Probability Pipeline: The sticky filter, ADX gate, and the new QPB gate are now consolidated into a shared helper (_regime_gates.assemble_signal). This ensures that mdrs_sde, dl_regime, and hmm_regime are evaluated under identical downstream filtering conditions—a critical requirement for fair model comparison.

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What's New

1. QPB Entry Gate

Three microstructure conditions must be simultaneously satisfied at the signal bar for a signal to be executed:

Condition	Threshold	Interpretation
past_vol_48b	< 0.003	4h rolling log-return std (Ensures a short-term calm regime)
aligned_pret_48b	< 0.02	Prior 4h return in trade direction (Prevents directional overextension)
d_rv_90d_proxy	< 0.55	90d annualised realised vol (Excludes extreme long-term volatility)

2. Preprocessor Outputs

CryptoPreprocessor.run_full_pipeline() now generates three additional columns: past_vol_48b, past_ret_48b, and d_rv_90d_proxy. The daily 90-day vol proxy is lagged by one day to prevent look-ahead bias.

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Internal Changes

1. Shared Regime-Probability Pipeline

The new module backtesting.models.adapters._regime_gates centralises the sticky + ADX + QPB pipeline. mdrs_sde, dl_regime, and hmm_regime now all delegate signal assembly to this shared function.

2. HMM Policy Change

hmm_regime now produces a continuous regime probability (the posterior probability of the bullish state) instead of emitting raw per-bar state labels. This makes the HMM model directly comparable to MDRS-SDE and DL-regime models.

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⚠️ Breaking Changes & Limitations

Breaking Changes

• HMM Output Semantics: regime_prob is now the continuous posterior probability. Downstream consumers relying on raw state-labels must update their logic or regenerate signals.
• Signal Pickle Compatibility: Pickles (--from-signals) generated under v1.16 do not contain QPB features. They must be regenerated if QPB is enabled.

Limitations

• Asset-Specific Calibration: Shipped thresholds are BTC-specific. Users running ETH, SOL, or XRP should either disable QPB (filters.qpb.enabled = false) or perform asset-specific calibration, as volatility distributions vary significantly across assets.
• Trade Count Trade-off: The gate reduces trade frequency by approximately 78% to achieve higher signal quality.