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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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src/run_regime_analysis.py
+12 -5
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@@ -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()},
]