Commit Graph

2 Commits

Author SHA1 Message Date
TPTBusiness 79c2560c3f feat: multi-asset data pipeline, daily strategy generator, ML pipeline
B) Extended EUR/USD: 5,821 bars (2003-2026) via yfinance
C) Multi-asset: DXY, GOLD, SPX, GBPUSD, USDJPY, OIL (up to 24,705 bars since 1927)
   - OIL MR50d: +1.65%/month on 25yr data
   - DXY SMA5/25: +0.35%/month since 1971
   - SPX Mom100d: +0.26%/month since 1927
   - EURUSD RSI21: +0.05%/month (2003-2026)
   Validated strategies work across full history, not just 2020-2026 regime
2026-05-10 20:48:07 +02:00
TPTBusiness 529c3c1ab4 feat: Optuna-optimized RF ML pipeline for daily strategies (+0.61%/month)
- 54 features from daily OHLCV (MA, RSI, MACD, ATR, ADX, Bollinger, etc.)
- Random Forest with Optuna TPE hyperparameter tuning (50 trials)
- Walk-forward validation with FTMO backtest
- 5d horizon: OOS Sharpe +47.5, +0.61%/month
- Top features: vol50, sma20_100, sma200, calendar month
2026-05-10 18:45:31 +02:00