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Drop S4F and S9 from param sweep to match 3-strategy portfolio

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Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
Brent Neale
2026-02-20 10:27:11 +10:00
co-authored by Claude Opus 4.6
parent 9c5d55ec46
commit 410a10acb6
2 changed files with 2 additions and 28 deletions
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src/run_param_sweep.py
+2 -27
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@@ -19,7 +19,6 @@ from src.backtester.engine import Backtester
# Strategy imports # Strategy imports
from src.strategies_pkg.s7_liquidity_sweep import S7_Liquidity_Sweep from src.strategies_pkg.s7_liquidity_sweep import S7_Liquidity_Sweep
from src.strategies_pkg.s9_london_session import S9_London_Session from src.strategies_pkg.s9_london_session import S9_London_Session
from src.strategies_pkg.s4f_ema_ribbon import S4F_EMA_Ribbon
from src.strategies_pkg.s3_key_level_breakout import S3_KeyLevel_Breakout from src.strategies_pkg.s3_key_level_breakout import S3_KeyLevel_Breakout
PROCESSED_DIR = os.path.join(os.path.dirname(os.path.dirname(__file__)), "data", "processed") PROCESSED_DIR = os.path.join(os.path.dirname(os.path.dirname(__file__)), "data", "processed")
@@ -49,19 +48,7 @@ SWEEP_CONFIGS = [
"TP2_ATR_MULT": [2.5, 3.0], "TP2_ATR_MULT": [2.5, 3.0],
}, },
}, },
{ # S9/GBP_USD dropped: negative PF across all param combos on IS
"name": "S9",
"pair": "GBP_USD",
"tf": "H1",
"htf_tf": "H1",
"factory": lambda: S9_London_Session(),
"param_mode": "setattr",
"grid": {
"VOLUME_MULT": [1.2, 1.5, 2.0],
"SL_ATR_CAP": [2.0, 2.5, 3.0],
"ENTRY_END_HOUR": [10, 11],
},
},
{ {
"name": "S9_Filtered", "name": "S9_Filtered",
"pair": "GBP_AUD", "pair": "GBP_AUD",
@@ -75,19 +62,7 @@ SWEEP_CONFIGS = [
"skip_friday": [True, False], "skip_friday": [True, False],
}, },
}, },
{ # S4F/EUR_AUD dropped: overfit — IS PF 1.43 collapses to OOS PF 0.48
"name": "S4F",
"pair": "EUR_AUD",
"tf": "M15",
"htf_tf": "H1",
"factory": lambda: S4F_EMA_Ribbon(),
"param_mode": "setattr",
"grid": {
"SL_ATR_MULT": [1.5, 2.0, 2.5],
"TP_ATR_MULT": [2.5, 3.0, 4.0],
"COMPRESSION_ATR_MULT": [0.8, 1.0],
},
},
{ {
"name": "S3", "name": "S3",
"pair": "GBP_JPY", "pair": "GBP_JPY",
src/run_phase2_backtest.py
-1
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@@ -25,7 +25,6 @@ from src.backtester.engine import Backtester
# Strategy imports # Strategy imports
from src.strategies_pkg.s7_liquidity_sweep import S7_Liquidity_Sweep from src.strategies_pkg.s7_liquidity_sweep import S7_Liquidity_Sweep
from src.strategies_pkg.s9_london_session import S9_London_Session from src.strategies_pkg.s9_london_session import S9_London_Session
from src.strategies_pkg.s4f_ema_ribbon import S4F_EMA_Ribbon
from src.strategies_pkg.s3_key_level_breakout import S3_KeyLevel_Breakout from src.strategies_pkg.s3_key_level_breakout import S3_KeyLevel_Breakout
PROCESSED_DIR = os.path.join(os.path.dirname(os.path.dirname(__file__)), "data", "processed") PROCESSED_DIR = os.path.join(os.path.dirname(os.path.dirname(__file__)), "data", "processed")