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

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>

src/run_phase2_backtest.py

@@ -40,15 +40,13 @@ OOS_END = "2023-08-31"
 WARMUP_DAYS = 60
 
 # Phase 2 strategy-pair configurations
+# S9/GBP_USD dropped: negative PF across all param combos on IS (best 0.86)
+# S4F/EUR_AUD dropped: classic overfit — IS PF 1.43 collapses to OOS PF 0.48
 CONFIGS = [
     {"name": "S7_Tight", "pair": "GBP_JPY", "tf": "H1", "htf_tf": "H1",
      "factory": lambda: S7_Liquidity_Sweep()},
-    {"name": "S9", "pair": "GBP_USD", "tf": "H1", "htf_tf": "H1",
-     "factory": lambda: S9_London_Session()},
     {"name": "S9_Filtered", "pair": "GBP_AUD", "tf": "H1", "htf_tf": "H1",
      "factory": lambda: S9_London_Session(pair="GBP_AUD", filtered=True)},
-    {"name": "S4F", "pair": "EUR_AUD", "tf": "M15", "htf_tf": "H1",
-     "factory": lambda: S4F_EMA_Ribbon()},
     {"name": "S3", "pair": "GBP_JPY", "tf": "H1", "htf_tf": "H1",
      "factory": lambda: S3_KeyLevel_Breakout()},
 ]

src/strategies_pkg/s3_key_level_breakout.py

@@ -36,6 +36,11 @@ class S3_KeyLevel_Breakout(BaseStrategy):
     KEY_LEVEL_TOLERANCE = 0.75
     KEY_LEVEL_MIN_TOUCHES = 3
 
+    # Refinement filters (data-driven from IS/OOS trade analysis)
+    MIN_CONFLUENCE = 4          # C<4 loses money in both IS and OOS
+    SKIP_HOURS = (9, 10)        # 0% WR in IS; avoid early London before NY flow
+    SKIP_DAYS = ()              # disabled — removing 2/5 days too aggressive
+
     def __init__(self):
         super().__init__()
         self._cached_levels = None
@@ -52,6 +57,16 @@ class S3_KeyLevel_Breakout(BaseStrategy):
         if hour < 8 or hour >= 16:
             return None
 
+        # Skip underperforming hours (morning London before NY overlap)
+        if self.SKIP_HOURS and hour in self.SKIP_HOURS:
+            return None
+
+        # Skip underperforming days of week
+        if self.SKIP_DAYS:
+            dow = current.name.dayofweek if hasattr(current.name, 'dayofweek') else 0
+            if dow in self.SKIP_DAYS:
+                return None
+
         atr_val = current.get("atr_14", 0)
         if atr_val <= 0 or np.isnan(atr_val):
             return None
@@ -110,6 +125,8 @@ class S3_KeyLevel_Breakout(BaseStrategy):
 
                 confluence = self._calc_confluence(current, data, idx,
                                                    "LONG", touch_count, vol)
+                if confluence < self.MIN_CONFLUENCE:
+                    continue
 
                 sl = level_price - self.SL_ATR_MULT * atr_val
                 tp1 = close + self.TP1_ATR_MULT * atr_val
@@ -139,6 +156,8 @@ class S3_KeyLevel_Breakout(BaseStrategy):
 
                 confluence = self._calc_confluence(current, data, idx,
                                                    "SHORT", touch_count, vol)
+                if confluence < self.MIN_CONFLUENCE:
+                    continue
 
                 sl = level_price + self.SL_ATR_MULT * atr_val
                 tp1 = close - self.TP1_ATR_MULT * atr_val

src/strategies_pkg/s7_liquidity_sweep.py

@@ -43,6 +43,10 @@ class S7_Liquidity_Sweep(BaseStrategy):
     OBV_LOOKBACK = 20         # Lookback for OBV divergence detection
     MAX_BARS = 40
 
+    # Regime filters (data-driven: consistent losers across IS + OOS)
+    MIN_RSI = 40              # RSI<40 = 0% WR in 2021, 33% OOS — no reversal fuel
+    MAX_ATR_PERCENTILE = 50   # above-median ATR loses in every period (wider SL, worse RR)
+
     def _find_swing_levels(self, data, idx):
         """Find significant swing highs and lows within lookback window."""
         start = max(0, idx - self.SWING_HISTORY)
@@ -150,6 +154,15 @@ class S7_Liquidity_Sweep(BaseStrategy):
         if atr_val <= 0 or np.isnan(atr_val):
             return None
 
+        # ATR regime filter: skip high-volatility environments (worse RR)
+        if self.MAX_ATR_PERCENTILE < 100:
+            lookback_start = max(0, idx - 100)
+            atr_window = data["atr_14"].iloc[lookback_start:idx].dropna()
+            if len(atr_window) >= 20:
+                threshold = np.percentile(atr_window, self.MAX_ATR_PERCENTILE)
+                if atr_val > threshold:
+                    return None
+
         # HTF trend alignment
         if htf_row is None:
             return None
@@ -170,6 +183,10 @@ class S7_Liquidity_Sweep(BaseStrategy):
         if np.isnan(rsi_val):
             rsi_val = 50
 
+        # RSI floor filter: RSI<40 = no reversal fuel (0% WR in 2021, 33% OOS)
+        if rsi_val < self.MIN_RSI:
+            return None
+
         # Find swing levels
         swing_highs, swing_lows = self._find_swing_levels(data, idx)
 

src/strategies_pkg/s9_london_session.py

@@ -71,6 +71,7 @@ class S9_London_Session(BaseStrategy):
         "GBP_AUD": {
             "min_adx": 25,              # require ADX > 25
             "skip_friday": True,        # drop Friday trades
+            "skip_monday": True,        # Monday Asian ranges unreliable after weekend gaps
             "min_ema50_dist_pips": 40,  # require 40+ pips from EMA50
         },
     }
@@ -131,11 +132,12 @@ class S9_London_Session(BaseStrategy):
         if hour < start_hour or hour >= self.ENTRY_END_HOUR:
             return None
 
-        # Friday filter (GBP_AUD: Friday position squaring kills breakouts)
-        if self._pair_cfg.get("skip_friday", False):
-            dow = current.name.dayofweek if hasattr(current.name, 'dayofweek') else 0
-            if dow == 4:  # Friday
-                return None
+        # Day-of-week filters
+        dow = current.name.dayofweek if hasattr(current.name, 'dayofweek') else 0
+        if self._pair_cfg.get("skip_friday", False) and dow == 4:
+            return None
+        if self._pair_cfg.get("skip_monday", False) and dow == 0:
+            return None
 
         atr_val = current.get("atr_14", 0)
         if atr_val <= 0 or np.isnan(atr_val):
@@ -212,6 +214,15 @@ class S9_London_Session(BaseStrategy):
         if direction is None:
             return None
 
+        # RSI directional filter: skip trades against RSI extremes
+        if self._pair_cfg.get("rsi_directional_filter", False):
+            rsi_val = current.get("rsi_14", 50)
+            if not np.isnan(rsi_val):
+                if direction == "LONG" and rsi_val > 60:
+                    return None
+                if direction == "SHORT" and rsi_val < 40:
+                    return None
+
         # HTF trend alignment (soft: adds confluence but doesn't block)
         htf_aligned = False
         if htf_row is not None: