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Update S8_OB to best sweep params (DISP=2.5, TP1=2.0, Window=40)

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IS PF improved from 1.02 to 1.39, reducing IS/OOS divergence.
Portfolio: IS +1,089 pips PF=1.31, OOS +643 pips PF=1.55, Gen=1.473 PASS.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
Brent Neale
2026-02-20 23:12:43 +10:00
parent 23d8288fa3
commit 98cc843d14
4 changed files with 125 additions and 174 deletions
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src/run_phase2_backtest.py
+4 -4
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@@ -49,8 +49,8 @@ CONFIGS = [
"factory": lambda: S9_London_Session(pair="GBP_AUD", filtered=True)},
{"name": "S3", "pair": "GBP_JPY", "tf": "H1", "htf_tf": "H1",
"factory": lambda: S3_KeyLevel_Breakout()},
# S8: Order Block Retest — best sweep params (DISP_ATR=2.0, TP1=1.0, Window=40)
# OOS: 26t PF=2.14 WR=65.4% Gen=1.850 PASS
# S8: Order Block Retest — best sweep params (DISP_ATR=2.5, TP1=2.0, Window=40)
# Sweep: IS PF=1.39, OOS PF=1.59, Gen=1.382 PASS
{"name": "S8_OB", "pair": "GBP_USD", "tf": "M15", "htf_tf": "H1",
"factory": lambda: _s8_tuned()},
# S10 dropped: insufficient trade counts on M15, no pair passes generalization
@@ -60,8 +60,8 @@ CONFIGS = [
def _s8_tuned():
s = S8_Order_Block()
s.DISPLACEMENT_ATR = 2.0
s.TP1_ATR_MULT = 1.0
s.DISPLACEMENT_ATR = 2.5
s.TP1_ATR_MULT = 2.0
s.OB_RETEST_WINDOW = 40
return s