- Added a cooldown period to prevent immediate re-entries after a trade, reducing churn in rapidly oscillating regimes.
- Simplified exit conditions by removing ATR trailing, partial close, and profit guard during optimization.
- Adjusted minimum confirmation bars for H1 to enhance stability before entries and exits.
- Lowered the floor for reg_lambda in optimizer to allow for better HMM state signals.
- Implemented a regime oscillation guard in the CPCV execution to skip paths with excessive transitions, mitigating potential drawdowns.
- Bump optimizer version from 3.6 to 3.7.
- Refactor make_objective function to use Combinatorial Purged Cross-Validation (CPCV) instead of WFO.
- Implement execute_cpcv function for CPCV analysis with strict HMM and scaler fitting.
- Update run_wfa to utilize CPCV and maintain backward compatibility with WFO key aliases.
- Remove deprecated WFO-related code and metrics, replacing them with CPCV equivalents.
- Enhance logging for CPCV trials and results.
- Removed the early stopping guard fold in the XGBoost training process to enhance model generalization.
- Updated optimizer version to 3.6 and adjusted search space for regularization parameters (reg_alpha and reg_lambda) to prevent overfitting.
- Implemented a purged inner cross-validation split to avoid leakage between training and validation sets.
- Adjusted scoring penalties for WFE to better reflect model performance discrepancies.
Luke Mosoti