fx-quant/results/phase2/backtest_report.json

{
  "S7_Tight": {
    "pair": "GBP_JPY",
    "timeframe": "H1",
    "is_metrics": {
      "trades": 23,
      "wr": 69.6,
      "pf": 1.52,
      "sharpe": 2.89,
      "pnl_pips": 207.2,
      "max_dd_pips": -205.7,
      "expectancy": 9.01
    },
    "oos_metrics": {
      "trades": 15,
      "wr": 73.3,
      "pf": 1.8,
      "sharpe": 3.96,
      "pnl_pips": 200.1,
      "max_dd_pips": -73.5,
      "expectancy": 13.34
    },
    "generalization": {
      "composite": 1.272,
      "detail": {
        "wr": 1.053,
        "pf": 1.184,
        "expectancy": 1.481,
        "sharpe": 1.37
      },
      "verdict": "PASS"
    }
  },
  "S9_Filtered": {
    "pair": "GBP_AUD",
    "timeframe": "H1",
    "is_metrics": {
      "trades": 42,
      "wr": 59.5,
      "pf": 1.31,
      "sharpe": 1.89,
      "pnl_pips": 299.5,
      "max_dd_pips": -393.2,
      "expectancy": 7.13
    },
    "oos_metrics": {
      "trades": 9,
      "wr": 66.7,
      "pf": 2.26,
      "sharpe": 5.45,
      "pnl_pips": 217.8,
      "max_dd_pips": -49.6,
      "expectancy": 24.19
    },
    "generalization": {
      "composite": 1.712,
      "detail": {
        "wr": 1.121,
        "pf": 1.725,
        "expectancy": 2.0,
        "sharpe": 2.0
      },
      "verdict": "PASS"
    }
  },
  "S3": {
    "pair": "GBP_JPY",
    "timeframe": "H1",
    "is_metrics": {
      "trades": 84,
      "wr": 53.6,
      "pf": 1.22,
      "sharpe": 1.26,
      "pnl_pips": 359.2,
      "max_dd_pips": -335.7,
      "expectancy": 4.28
    },
    "oos_metrics": {
      "trades": 32,
      "wr": 59.4,
      "pf": 1.23,
      "sharpe": 1.47,
      "pnl_pips": 135.5,
      "max_dd_pips": -182.9,
      "expectancy": 4.24
    },
    "generalization": {
      "composite": 1.068,
      "detail": {
        "wr": 1.108,
        "pf": 1.008,
        "expectancy": 0.991,
        "sharpe": 1.167
      },
      "verdict": "PASS"
    }
  },
  "S8_OB": {
    "pair": "GBP_USD",
    "timeframe": "M15",
    "is_metrics": {
      "trades": 107,
      "wr": 46.7,
      "pf": 1.02,
      "sharpe": 0.15,
      "pnl_pips": 16.4,
      "max_dd_pips": -116.1,
      "expectancy": 0.15
    },
    "oos_metrics": {
      "trades": 26,
      "wr": 65.4,
      "pf": 2.14,
      "sharpe": 4.55,
      "pnl_pips": 119.0,
      "max_dd_pips": -51.6,
      "expectancy": 4.58
    },
    "generalization": {
      "composite": 1.85,
      "detail": {
        "wr": 1.4,
        "pf": 2.0,
        "expectancy": 2.0,
        "sharpe": 2.0
      },
      "verdict": "PASS"
    }
  },
  "_portfolio": {
    "is_metrics": {
      "trades": 256,
      "wr": 53.1,
      "pf": 1.24,
      "sharpe": 1.27,
      "pnl_pips": 882.2,
      "max_dd_pips": -597.5,
      "expectancy": 3.45
    },
    "oos_metrics": {
      "trades": 82,
      "wr": 64.6,
      "pf": 1.61,
      "sharpe": 2.98,
      "pnl_pips": 672.3,
      "max_dd_pips": -182.9,
      "expectancy": 8.2
    },
    "generalization": {
      "composite": 1.629,
      "detail": {
        "wr": 1.217,
        "pf": 1.298,
        "expectancy": 2.0,
        "sharpe": 2.0
      },
      "verdict": "PASS"
    }
  }
}