From b85a4131266bbeaf96864374b3f15838275fed43 Mon Sep 17 00:00:00 2001 From: aguru-venkata-saisantosh-patnaik Date: Mon, 8 Jun 2026 03:58:43 +0530 Subject: [PATCH] Restore chart images to README --- README.md | 33 +++++++++++++-------------------- 1 file changed, 13 insertions(+), 20 deletions(-) diff --git a/README.md b/README.md index 4ec80c2..834001c 100644 --- a/README.md +++ b/README.md @@ -50,9 +50,9 @@ An end-to-end quantitative research pipeline — from raw hourly FX data to a li ## Feature Engineering -### ACF/PACF Analysis +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) +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% | +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% | ---