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Update regime analysis for 4-strategy portfolio

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S7: UP (1.26->1.80), S9F: UP (0.58->2.26), S3: STABLE (1.16->1.23),
S8_OB: UP (0.66->1.59). Three of four strategies show improving edge.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
Brent Neale
2026-02-21 00:38:30 +10:00
parent 33369f9151
commit ad58e3be0c
2 changed files with 119 additions and 150 deletions
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results/phase2/regime_analysis.json
+107 -145
View File
@@ -4,75 +4,37 @@
"timeframe": "H1",
"years": {
"2021": {
"trades": 34,
"wr": 47.1,
"pf": 0.47,
"pnl_pips": -465.5,
"max_dd_pips": -618.3,
"expectancy": -13.69
"trades": 12,
"wr": 66.7,
"pf": 1.26,
"pnl_pips": 44.0,
"max_dd_pips": -76.0,
"expectancy": 3.66
},
"2022": {
"trades": 29,
"wr": 58.6,
"pf": 0.89,
"pnl_pips": -102.1,
"max_dd_pips": -412.7,
"expectancy": -3.52
"trades": 11,
"wr": 72.7,
"pf": 1.71,
"pnl_pips": 163.2,
"max_dd_pips": -205.7,
"expectancy": 14.84
},
"2023": {
"trades": 35,
"wr": 71.4,
"trades": 15,
"wr": 73.3,
"pf": 1.8,
"pnl_pips": 558.9,
"max_dd_pips": -219.9,
"expectancy": 15.97
"pnl_pips": 200.1,
"max_dd_pips": -73.5,
"expectancy": 13.34
}
},
"full": {
"trades": 98,
"wr": 59.2,
"pf": 1.0,
"pnl_pips": -8.6,
"max_dd_pips": -723.9,
"expectancy": -0.09
}
},
"S9_GBP_USD": {
"pair": "GBP_USD",
"timeframe": "H1",
"years": {
"2021": {
"trades": 138,
"wr": 52.2,
"pf": 0.71,
"pnl_pips": -701.8,
"max_dd_pips": -856.6,
"expectancy": -5.09
},
"2022": {
"trades": 115,
"wr": 51.3,
"pf": 0.83,
"pnl_pips": -470.0,
"max_dd_pips": -1030.5,
"expectancy": -4.09
},
"2023": {
"trades": 32,
"wr": 68.8,
"pf": 1.38,
"pnl_pips": 154.8,
"max_dd_pips": -132.7,
"expectancy": 4.84
}
},
"full": {
"trades": 285,
"wr": 53.7,
"pf": 0.82,
"pnl_pips": -1017.0,
"max_dd_pips": -1775.8,
"expectancy": -3.57
"trades": 38,
"wr": 71.1,
"pf": 1.63,
"pnl_pips": 407.2,
"max_dd_pips": -310.7,
"expectancy": 10.72
}
},
"S9_Filtered_GBP_AUD": {
@@ -80,75 +42,37 @@
"timeframe": "H1",
"years": {
"2021": {
"trades": 31,
"wr": 45.2,
"pf": 0.58,
"pnl_pips": -412.3,
"max_dd_pips": -535.5,
"expectancy": -13.3
},
"2022": {
"trades": 23,
"wr": 73.9,
"pf": 2.57,
"pnl_pips": 544.1,
"max_dd_pips": -116.9,
"expectancy": 23.65
},
"2023": {
"trades": 12,
"wr": 75.0,
"pf": 2.98,
"pnl_pips": 342.6,
"max_dd_pips": -49.6,
"expectancy": 28.55
}
},
"full": {
"trades": 66,
"wr": 60.6,
"pf": 1.32,
"pnl_pips": 474.3,
"max_dd_pips": -561.2,
"expectancy": 7.19
}
},
"S4F_EUR_AUD": {
"pair": "EUR_AUD",
"timeframe": "M15",
"years": {
"2021": {
"trades": 42,
"trades": 21,
"wr": 42.9,
"pf": 1.11,
"pnl_pips": 57.8,
"max_dd_pips": -119.7,
"expectancy": 1.38
"pf": 0.58,
"pnl_pips": -285.3,
"max_dd_pips": -374.2,
"expectancy": -13.59
},
"2022": {
"trades": 33,
"wr": 60.6,
"pf": 1.79,
"pnl_pips": 370.0,
"max_dd_pips": -183.7,
"expectancy": 11.21
"trades": 21,
"wr": 76.2,
"pf": 3.11,
"pnl_pips": 584.8,
"max_dd_pips": -73.2,
"expectancy": 27.85
},
"2023": {
"trades": 20,
"wr": 25.0,
"pf": 0.48,
"pnl_pips": -254.7,
"max_dd_pips": -337.2,
"expectancy": -12.74
"trades": 9,
"wr": 66.7,
"pf": 2.26,
"pnl_pips": 217.8,
"max_dd_pips": -49.6,
"expectancy": 24.19
}
},
"full": {
"trades": 95,
"wr": 45.3,
"pf": 1.12,
"pnl_pips": 173.0,
"max_dd_pips": -337.2,
"expectancy": 1.82
"trades": 51,
"wr": 60.8,
"pf": 1.46,
"pnl_pips": 517.2,
"max_dd_pips": -393.2,
"expectancy": 10.14
}
},
"S3_GBP_JPY": {
@@ -156,37 +80,75 @@
"timeframe": "H1",
"years": {
"2021": {
"trades": 65,
"wr": 46.2,
"pf": 0.9,
"pnl_pips": -112.6,
"max_dd_pips": -345.7,
"expectancy": -1.73
"trades": 46,
"wr": 54.3,
"pf": 1.16,
"pnl_pips": 101.1,
"max_dd_pips": -184.1,
"expectancy": 2.2
},
"2022": {
"trades": 47,
"wr": 53.2,
"pf": 1.21,
"pnl_pips": 262.9,
"max_dd_pips": -307.3,
"expectancy": 5.59
"trades": 38,
"wr": 52.6,
"pf": 1.27,
"pnl_pips": 262.1,
"max_dd_pips": -335.7,
"expectancy": 6.9
},
"2023": {
"trades": 38,
"wr": 55.3,
"pf": 1.07,
"pnl_pips": 56.9,
"trades": 32,
"wr": 59.4,
"pf": 1.23,
"pnl_pips": 135.5,
"max_dd_pips": -182.9,
"expectancy": 1.5
"expectancy": 4.24
}
},
"full": {
"trades": 150,
"wr": 50.7,
"pf": 1.07,
"pnl_pips": 203.1,
"max_dd_pips": -533.2,
"expectancy": 1.35
"trades": 116,
"wr": 55.2,
"pf": 1.23,
"pnl_pips": 494.7,
"max_dd_pips": -335.7,
"expectancy": 4.26
}
},
"S8_OB_GBP_USD": {
"pair": "GBP_USD",
"timeframe": "M15",
"years": {
"2021": {
"trades": 31,
"wr": 29.0,
"pf": 0.66,
"pnl_pips": -99.2,
"max_dd_pips": -164.1,
"expectancy": -3.2
},
"2022": {
"trades": 36,
"wr": 44.4,
"pf": 2.15,
"pnl_pips": 322.6,
"max_dd_pips": -76.7,
"expectancy": 8.96
},
"2023": {
"trades": 17,
"wr": 52.9,
"pf": 1.59,
"pnl_pips": 89.6,
"max_dd_pips": -40.6,
"expectancy": 5.27
}
},
"full": {
"trades": 84,
"wr": 40.5,
"pf": 1.43,
"pnl_pips": 313.0,
"max_dd_pips": -164.1,
"expectancy": 3.73
}
}
}
src/run_regime_analysis.py
+12 -5
View File
@@ -18,25 +18,32 @@ from src.backtester.engine import Backtester
# Strategy imports
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.s4f_ema_ribbon import S4F_EMA_Ribbon
from src.strategies_pkg.s3_key_level_breakout import S3_KeyLevel_Breakout
from src.strategies_pkg.s8_order_block import S8_Order_Block
PROCESSED_DIR = os.path.join(os.path.dirname(os.path.dirname(__file__)), "data", "processed")
RESULTS_DIR = os.path.join(os.path.dirname(os.path.dirname(__file__)), "results", "phase2")
os.makedirs(RESULTS_DIR, exist_ok=True)
def _s8_tuned():
s = S8_Order_Block()
s.DISPLACEMENT_ATR = 2.5
s.TP1_ATR_MULT = 2.0
s.OB_RETEST_WINDOW = 40
return s
# Phase 2 strategy-pair configurations
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()},
{"name": "S8_OB", "pair": "GBP_USD", "tf": "M15", "htf_tf": "H1",
"factory": lambda: _s8_tuned()},
]