mirror of
https://github.com/FXDavid-OffbeatForex/MBT.git
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FXDavidandClaude Opus 4.8
f47ac228b1
- Timezone-alignment fix: fetch_aligned matches signals to bars by price (MQL5 server time vs Python UTC ~3h offset invalidated prior backtests) - Symbol-aware transaction costs (real spread from MT5) baked into backtest - One-trade-per-setup (sequential) mode; % monthly/yearly returns in report - Exit optimizer (SL x RR sweep, train/test split) - Gold analysis scripts: per-year, ADX filter, efficiency ratio, HTF alignment - Frozen signal snapshots (gold_signals.csv, arm_signals_EURUSD_H1.csv) Findings: EURUSD = coin flip after costs. GOLD = modest real trend edge; ADX>35 filter validated train+test (halves worst-year drawdown). Efficiency Ratio and daily-trend HTF filters tested and rejected (not robust both halves). Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
43 lines
1.3 KiB
Python
43 lines
1.3 KiB
Python
from core.optimize_exits import optimize_exits
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import time
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t0 = time.time()
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r = optimize_exits()
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print(f"took {round(time.time()-t0,1)}s")
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print("train:", r["train_period"].replace("→", "to"))
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print("test :", r["test_period"].replace("→", "to"))
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print("cost/trade (price):", r["cost_price_per_trade"])
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print()
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rrs = sorted(set(g["RR"] for g in r["grid"]))
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ms = sorted(set(g["M"] for g in r["grid"]))
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print("=== TRAIN: expectancy (R per trade) — rows=SL mult, cols=RR ===")
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header = "SL\\RR".ljust(7) + "".join(f"{rr:>8}" for rr in rrs)
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print(header)
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for M in ms:
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row = f"{M:>6} "
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for rr in rrs:
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g = next(x for x in r["grid"] if x["M"] == M and x["RR"] == rr)
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row += f"{g['expectancy']:>8.3f}"
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print(row)
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print()
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print("=== TRAIN: net R — rows=SL mult, cols=RR ===")
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print(header)
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for M in ms:
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row = f"{M:>6} "
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for rr in rrs:
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g = next(x for x in r["grid"] if x["M"] == M and x["RR"] == rr)
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row += f"{g['net_r']:>8.0f}"
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print(row)
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def show(label, d):
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print(f"\n{label}: M={d['M']} RR={d['RR']} | trades={d['trades']} "
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f"WR={d['win_rate']}% PF={d['profit_factor']} "
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f"exp={d['expectancy']}R net={d['net_r']}R maxDD={d['max_dd_r']}R")
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show("TRAIN BEST", r["train_best"])
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show(" -> on LOCKED TEST", r["test_result"])
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show("BASELINE 2.5/3.5 on TEST", r["baseline_on_test"])
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