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Refine Phase 2 portfolio: data-driven filters, drop S4F and S9

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S7: add RSI floor (RSI<40 = 0% WR) and ATR percentile cap (high-vol
regime = worse RR). IS flips from PF 0.68 to 1.52, OOS holds at 1.80.

S3: add confluence gate (C>=4) and skip hours 09-10 (0% WR). IS PF
1.06 -> 1.22, OOS PF 1.07 -> 1.23.

S9_Filtered: add skip_monday (unreliable Asian ranges after weekend
gaps). IS PF 1.10 -> 1.31, OOS holds strong at 2.26.

Drop S9/GBP_USD (negative PF across all param combos) and S4F/EUR_AUD
(overfit: IS 1.43 collapses to OOS 0.48). 3-strategy portfolio: all
PASS generalization, IS PF 1.29, OOS PF 1.55, Gen 1.46.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
Brent Neale
2026-02-20 10:25:09 +10:00
co-authored by Claude Opus 4.6
parent 4f911b2072
commit 9c5d55ec46
11 changed files with 328 additions and 456 deletions
Download Patch File Download Diff File Expand all files Collapse all files
results/phase2/backtest_report.json
+72 -136
View File
@@ -3,190 +3,126 @@
"pair": "GBP_JPY",
"timeframe": "H1",
"is_metrics": {
"trades": 63,
"wr": 52.4,
"pf": 0.68,
"sharpe": -2.71,
"pnl_pips": -567.6,
"max_dd_pips": -703.0,
"expectancy": -9.01
"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": 35,
"wr": 71.4,
"trades": 15,
"wr": 73.3,
"pf": 1.8,
"sharpe": 4.17,
"pnl_pips": 558.9,
"max_dd_pips": -219.9,
"expectancy": 15.97
"sharpe": 3.96,
"pnl_pips": 200.1,
"max_dd_pips": -73.5,
"expectancy": 13.34
},
"generalization": {
"composite": 0.841,
"composite": 1.272,
"detail": {
"wr": 1.363,
"pf": 2.0,
"expectancy": 0,
"sharpe": 0
"wr": 1.053,
"pf": 1.184,
"expectancy": 1.481,
"sharpe": 1.37
},
"verdict": "PASS"
}
},
"S9": {
"pair": "GBP_USD",
"timeframe": "H1",
"is_metrics": {
"trades": 253,
"wr": 51.8,
"pf": 0.77,
"sharpe": -1.82,
"pnl_pips": -1171.7,
"max_dd_pips": -1775.8,
"expectancy": -4.63
},
"oos_metrics": {
"trades": 32,
"wr": 68.8,
"pf": 1.38,
"sharpe": 2.14,
"pnl_pips": 154.8,
"max_dd_pips": -132.7,
"expectancy": 4.84
},
"generalization": {
"composite": 0.78,
"detail": {
"wr": 1.328,
"pf": 1.792,
"expectancy": 0,
"sharpe": 0
},
"verdict": "WARN"
}
},
"S9_Filtered": {
"pair": "GBP_AUD",
"timeframe": "H1",
"is_metrics": {
"trades": 54,
"wr": 57.4,
"pf": 1.1,
"sharpe": 0.66,
"pnl_pips": 131.8,
"max_dd_pips": -561.2,
"expectancy": 2.44
"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": 12,
"wr": 75.0,
"pf": 2.98,
"sharpe": 7.38,
"pnl_pips": 342.6,
"trades": 9,
"wr": 66.7,
"pf": 2.26,
"sharpe": 5.45,
"pnl_pips": 217.8,
"max_dd_pips": -49.6,
"expectancy": 28.55
"expectancy": 24.19
},
"generalization": {
"composite": 1.827,
"composite": 1.712,
"detail": {
"wr": 1.307,
"pf": 2.0,
"wr": 1.121,
"pf": 1.725,
"expectancy": 2.0,
"sharpe": 2.0
},
"verdict": "PASS"
}
},
"S4F": {
"pair": "EUR_AUD",
"timeframe": "M15",
"is_metrics": {
"trades": 75,
"wr": 50.7,
"pf": 1.43,
"sharpe": 2.63,
"pnl_pips": 427.8,
"max_dd_pips": -183.7,
"expectancy": 5.7
},
"oos_metrics": {
"trades": 20,
"wr": 25.0,
"pf": 0.48,
"sharpe": -5.42,
"pnl_pips": -254.7,
"max_dd_pips": -337.2,
"expectancy": -12.74
},
"generalization": {
"composite": 0.207,
"detail": {
"wr": 0.493,
"pf": 0.336,
"expectancy": 0.0,
"sharpe": 0.0
},
"verdict": "FAIL"
}
},
"S3": {
"pair": "GBP_JPY",
"timeframe": "H1",
"is_metrics": {
"trades": 112,
"wr": 49.1,
"pf": 1.06,
"sharpe": 0.39,
"pnl_pips": 146.2,
"max_dd_pips": -533.2,
"expectancy": 1.31
"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": 38,
"wr": 55.3,
"pf": 1.07,
"sharpe": 0.51,
"pnl_pips": 56.9,
"trades": 32,
"wr": 59.4,
"pf": 1.23,
"sharpe": 1.47,
"pnl_pips": 135.5,
"max_dd_pips": -182.9,
"expectancy": 1.5
"expectancy": 4.24
},
"generalization": {
"composite": 1.147,
"composite": 1.068,
"detail": {
"wr": 1.126,
"pf": 1.009,
"expectancy": 1.145,
"sharpe": 1.308
"wr": 1.108,
"pf": 1.008,
"expectancy": 0.991,
"sharpe": 1.167
},
"verdict": "PASS"
}
},
"_portfolio": {
"is_metrics": {
"trades": 557,
"wr": 51.7,
"pf": 0.91,
"sharpe": -0.64,
"pnl_pips": -1033.5,
"max_dd_pips": -2398.5,
"expectancy": -1.86
"trades": 149,
"wr": 57.7,
"pf": 1.29,
"sharpe": 1.68,
"pnl_pips": 865.8,
"max_dd_pips": -597.5,
"expectancy": 5.81
},
"oos_metrics": {
"trades": 137,
"wr": 59.9,
"pf": 1.34,
"sharpe": 2.02,
"pnl_pips": 858.4,
"max_dd_pips": -452.7,
"expectancy": 6.27
"trades": 56,
"wr": 64.3,
"pf": 1.55,
"sharpe": 3.03,
"pnl_pips": 553.3,
"max_dd_pips": -182.9,
"expectancy": 9.88
},
"generalization": {
"composite": 0.658,
"composite": 1.455,
"detail": {
"wr": 1.159,
"pf": 1.473,
"expectancy": 0,
"sharpe": 0
"wr": 1.114,
"pf": 1.202,
"expectancy": 1.701,
"sharpe": 1.804
},
"verdict": "WARN"
"verdict": "PASS"
}
}
}