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@@ -50,9 +50,9 @@ An end-to-end quantitative research pipeline — from raw hourly FX data to a li
## Feature Engineering
### ACF/PACF Analysis
<img src="images/acf_pacf.png" width="700" alt="ACF/PACF Analysis of Key Features"/>
Serial autocorrelation analysis confirmed predictive relevance of key engineered features:
ACF/PACF analysis confirmed serial autocorrelation in key engineered features — validating their predictive relevance.
| Feature Group | Autocorrelation Finding | Implication |
|--------------|------------------------|-------------|
@@ -112,30 +112,23 @@ model = XGBClassifier(
## Backtesting Results
### Portfolio Growth (2019–2025)
<img src="images/equity_curve.png" width="700" alt="Equity Curve 2019–2025"/>
Portfolio grows from $100,000 to ~$187,000 (6 years) with steady compounding and no single catastrophic drawdown event across 3 major macro regimes.
Portfolio grows from $100,000 to ~$187,000 (2019–2025), with a steady upward trajectory. No single catastrophic drawdown event — consistent compounding across all 3 major macro regimes (COVID volatility spike 2020, rate hike cycle 2022–2023, normalisation 2024–2025).
| Period | Market Regime | Portfolio Behaviour | Annualised Vol |
|--------|--------------|--------------------|-|
| 2019 | Low volatility baseline | Steady accumulation | ~8% |
| 2020 | COVID volatility spike | Navigated March 2020 drawdown, recovered | ~18% |
| 2021–2022 | Rate uncertainty, USD strengthening | Macro features gave edge on USD pairs | ~22% (peak) |
| 2023–2024 | Normalisation, range markets | Session-based features exploited intraday patterns | ~12% |
| 2024–2025 | Continued trend | Consistent compounding to $187K | ~10% |
<img src="images/rolling_volatility.png" width="700" alt="Rolling Annualised Volatility"/>
### Rolling Annualised Volatility
Rolling 126-bar annualised volatility peaked during the 2022–2023 rate hike cycle (~22%) but remained well-managed throughout via the adaptive position framework. The strategy's max drawdown stayed at 7.3% even through the highest-volatility period.
Rolling 126-bar annualised volatility peaked during the 2022–2023 rate hike cycle (~22%) but remained well-managed throughout via the adaptive position framework. Max drawdown held at 7.3% even through the highest-volatility period.
### Performance Breakdown
| Period | Characteristic | Strategy Behaviour |
|--------|---------------|-------------------|
| 2019–2020 | Low volatility, COVID spike | Steady accumulation; navigated March 2020 drawdown |
| 2021–2022 | Rate uncertainty, USD strengthening | Macroeconomic features gave edge on USD pairs |
| 2023–2024 | Normalisation, range markets | Session-based features exploited intraday patterns |
| 2024–2025 | Continued trend | Consistent compounding to $187K |
| Period | Characteristic | Strategy Behaviour | Annualised Vol |
|--------|---------------|--------------------|----------------|
| 2019 | Low volatility baseline | Steady accumulation | ~8% |
| 2020 | COVID spike | Navigated March 2020 drawdown, recovered | ~18% |
| 2021–2022 | Rate uncertainty, USD strengthening | Macro features gave edge on USD pairs | ~22% (peak) |
| 2023–2024 | Normalisation, range markets | Session-based features exploited intraday patterns | ~12% |
| 2024–2025 | Continued trend | Consistent compounding to $187K | ~10% |
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