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https://github.com/BrentNeale1/fx-quant.git
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Update regime analysis for 4-strategy portfolio
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
co-authored by
Claude Opus 4.6
Claude Opus 4.6
parent
33369f9151
commit
ad58e3be0c
+107
-145
@@ -4,75 +4,37 @@
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"timeframe": "H1",
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"timeframe": "H1",
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"years": {
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"years": {
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"2021": {
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"2021": {
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"trades": 34,
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"trades": 12,
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"wr": 47.1,
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"wr": 66.7,
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"pf": 0.47,
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"pf": 1.26,
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"pnl_pips": -465.5,
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"pnl_pips": 44.0,
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"max_dd_pips": -618.3,
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"max_dd_pips": -76.0,
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"expectancy": -13.69
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"expectancy": 3.66
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},
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},
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"2022": {
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"2022": {
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"trades": 29,
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"trades": 11,
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"wr": 58.6,
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"wr": 72.7,
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"pf": 0.89,
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"pf": 1.71,
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"pnl_pips": -102.1,
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"pnl_pips": 163.2,
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"max_dd_pips": -412.7,
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"max_dd_pips": -205.7,
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"expectancy": -3.52
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"expectancy": 14.84
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},
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},
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"2023": {
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"2023": {
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"trades": 35,
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"trades": 15,
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"wr": 71.4,
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"wr": 73.3,
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"pf": 1.8,
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"pf": 1.8,
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"pnl_pips": 558.9,
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"pnl_pips": 200.1,
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"max_dd_pips": -219.9,
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"max_dd_pips": -73.5,
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"expectancy": 15.97
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"expectancy": 13.34
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}
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}
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},
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},
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"full": {
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"full": {
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"trades": 98,
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"trades": 38,
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"wr": 59.2,
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"wr": 71.1,
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"pf": 1.0,
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"pf": 1.63,
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"pnl_pips": -8.6,
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"pnl_pips": 407.2,
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"max_dd_pips": -723.9,
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"max_dd_pips": -310.7,
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"expectancy": -0.09
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"expectancy": 10.72
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}
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},
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"S9_GBP_USD": {
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"pair": "GBP_USD",
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"timeframe": "H1",
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"years": {
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"2021": {
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"trades": 138,
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"wr": 52.2,
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"pf": 0.71,
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"pnl_pips": -701.8,
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"max_dd_pips": -856.6,
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"expectancy": -5.09
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},
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"2022": {
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"trades": 115,
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"wr": 51.3,
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"pf": 0.83,
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"pnl_pips": -470.0,
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"max_dd_pips": -1030.5,
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"expectancy": -4.09
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},
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"2023": {
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"trades": 32,
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"wr": 68.8,
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"pf": 1.38,
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"pnl_pips": 154.8,
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"max_dd_pips": -132.7,
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"expectancy": 4.84
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}
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},
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"full": {
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"trades": 285,
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"wr": 53.7,
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"pf": 0.82,
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"pnl_pips": -1017.0,
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"max_dd_pips": -1775.8,
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"expectancy": -3.57
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}
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}
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},
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},
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"S9_Filtered_GBP_AUD": {
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"S9_Filtered_GBP_AUD": {
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@@ -80,75 +42,37 @@
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"timeframe": "H1",
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"timeframe": "H1",
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"years": {
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"years": {
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"2021": {
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"2021": {
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"trades": 31,
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"trades": 21,
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"wr": 45.2,
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"pf": 0.58,
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"pnl_pips": -412.3,
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"max_dd_pips": -535.5,
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"expectancy": -13.3
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},
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"2022": {
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"trades": 23,
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"wr": 73.9,
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"pf": 2.57,
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"pnl_pips": 544.1,
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"max_dd_pips": -116.9,
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"expectancy": 23.65
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},
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"2023": {
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"trades": 12,
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"wr": 75.0,
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"pf": 2.98,
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"pnl_pips": 342.6,
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"max_dd_pips": -49.6,
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"expectancy": 28.55
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}
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},
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"full": {
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"trades": 66,
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"wr": 60.6,
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"pf": 1.32,
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"pnl_pips": 474.3,
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"max_dd_pips": -561.2,
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"expectancy": 7.19
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}
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},
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"S4F_EUR_AUD": {
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"pair": "EUR_AUD",
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"timeframe": "M15",
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"years": {
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"2021": {
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"trades": 42,
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"wr": 42.9,
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"wr": 42.9,
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"pf": 1.11,
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"pf": 0.58,
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"pnl_pips": 57.8,
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"pnl_pips": -285.3,
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"max_dd_pips": -119.7,
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"max_dd_pips": -374.2,
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"expectancy": 1.38
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"expectancy": -13.59
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},
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},
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"2022": {
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"2022": {
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"trades": 33,
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"trades": 21,
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"wr": 60.6,
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"wr": 76.2,
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"pf": 1.79,
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"pf": 3.11,
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"pnl_pips": 370.0,
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"pnl_pips": 584.8,
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"max_dd_pips": -183.7,
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"max_dd_pips": -73.2,
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"expectancy": 11.21
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"expectancy": 27.85
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},
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},
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"2023": {
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"2023": {
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"trades": 20,
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"trades": 9,
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"wr": 25.0,
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"wr": 66.7,
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"pf": 0.48,
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"pf": 2.26,
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"pnl_pips": -254.7,
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"pnl_pips": 217.8,
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"max_dd_pips": -337.2,
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"max_dd_pips": -49.6,
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"expectancy": -12.74
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"expectancy": 24.19
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}
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}
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},
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},
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"full": {
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"full": {
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"trades": 95,
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"trades": 51,
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"wr": 45.3,
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"wr": 60.8,
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"pf": 1.12,
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"pf": 1.46,
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"pnl_pips": 173.0,
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"pnl_pips": 517.2,
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"max_dd_pips": -337.2,
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"max_dd_pips": -393.2,
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"expectancy": 1.82
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"expectancy": 10.14
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}
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}
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},
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},
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"S3_GBP_JPY": {
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"S3_GBP_JPY": {
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"timeframe": "H1",
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"timeframe": "H1",
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"years": {
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"years": {
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"2021": {
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"2021": {
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"trades": 65,
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"trades": 46,
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"wr": 46.2,
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"wr": 54.3,
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"pf": 0.9,
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"pf": 1.16,
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"pnl_pips": -112.6,
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"pnl_pips": 101.1,
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"max_dd_pips": -345.7,
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"max_dd_pips": -184.1,
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"expectancy": -1.73
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"expectancy": 2.2
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},
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},
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"2022": {
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"2022": {
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"trades": 47,
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"trades": 38,
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"wr": 53.2,
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"wr": 52.6,
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"pf": 1.21,
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"pf": 1.27,
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"pnl_pips": 262.9,
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"pnl_pips": 262.1,
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"max_dd_pips": -307.3,
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"max_dd_pips": -335.7,
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"expectancy": 5.59
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"expectancy": 6.9
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},
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},
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"2023": {
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"2023": {
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"trades": 38,
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"trades": 32,
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"wr": 55.3,
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"wr": 59.4,
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"pf": 1.07,
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"pf": 1.23,
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"pnl_pips": 56.9,
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"pnl_pips": 135.5,
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"max_dd_pips": -182.9,
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"max_dd_pips": -182.9,
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"expectancy": 1.5
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"expectancy": 4.24
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}
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}
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},
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},
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"full": {
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"full": {
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"trades": 150,
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"trades": 116,
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"wr": 50.7,
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"wr": 55.2,
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"pf": 1.07,
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"pf": 1.23,
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"pnl_pips": 203.1,
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"pnl_pips": 494.7,
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"max_dd_pips": -533.2,
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"max_dd_pips": -335.7,
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"expectancy": 1.35
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"expectancy": 4.26
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}
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},
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"S8_OB_GBP_USD": {
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"pair": "GBP_USD",
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"timeframe": "M15",
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"years": {
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"2021": {
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"trades": 31,
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"wr": 29.0,
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"pf": 0.66,
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"pnl_pips": -99.2,
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"max_dd_pips": -164.1,
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"expectancy": -3.2
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},
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"2022": {
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"trades": 36,
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"wr": 44.4,
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"pf": 2.15,
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"pnl_pips": 322.6,
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"max_dd_pips": -76.7,
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"expectancy": 8.96
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},
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"2023": {
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"trades": 17,
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"wr": 52.9,
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"pf": 1.59,
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"pnl_pips": 89.6,
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"max_dd_pips": -40.6,
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"expectancy": 5.27
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}
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},
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"full": {
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"trades": 84,
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"wr": 40.5,
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"pf": 1.43,
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"pnl_pips": 313.0,
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"max_dd_pips": -164.1,
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"expectancy": 3.73
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}
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}
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}
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}
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}
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}
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@@ -18,25 +18,32 @@ from src.backtester.engine import Backtester
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# Strategy imports
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# Strategy imports
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from src.strategies_pkg.s7_liquidity_sweep import S7_Liquidity_Sweep
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from src.strategies_pkg.s7_liquidity_sweep import S7_Liquidity_Sweep
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from src.strategies_pkg.s9_london_session import S9_London_Session
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from src.strategies_pkg.s9_london_session import S9_London_Session
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from src.strategies_pkg.s4f_ema_ribbon import S4F_EMA_Ribbon
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from src.strategies_pkg.s3_key_level_breakout import S3_KeyLevel_Breakout
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from src.strategies_pkg.s3_key_level_breakout import S3_KeyLevel_Breakout
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from src.strategies_pkg.s8_order_block import S8_Order_Block
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PROCESSED_DIR = os.path.join(os.path.dirname(os.path.dirname(__file__)), "data", "processed")
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PROCESSED_DIR = os.path.join(os.path.dirname(os.path.dirname(__file__)), "data", "processed")
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RESULTS_DIR = os.path.join(os.path.dirname(os.path.dirname(__file__)), "results", "phase2")
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RESULTS_DIR = os.path.join(os.path.dirname(os.path.dirname(__file__)), "results", "phase2")
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os.makedirs(RESULTS_DIR, exist_ok=True)
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os.makedirs(RESULTS_DIR, exist_ok=True)
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def _s8_tuned():
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s = S8_Order_Block()
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s.DISPLACEMENT_ATR = 2.5
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s.TP1_ATR_MULT = 2.0
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s.OB_RETEST_WINDOW = 40
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return s
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# Phase 2 strategy-pair configurations
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# Phase 2 strategy-pair configurations
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CONFIGS = [
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CONFIGS = [
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{"name": "S7_Tight", "pair": "GBP_JPY", "tf": "H1", "htf_tf": "H1",
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{"name": "S7_Tight", "pair": "GBP_JPY", "tf": "H1", "htf_tf": "H1",
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"factory": lambda: S7_Liquidity_Sweep()},
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"factory": lambda: S7_Liquidity_Sweep()},
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{"name": "S9", "pair": "GBP_USD", "tf": "H1", "htf_tf": "H1",
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"factory": lambda: S9_London_Session()},
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{"name": "S9_Filtered", "pair": "GBP_AUD", "tf": "H1", "htf_tf": "H1",
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{"name": "S9_Filtered", "pair": "GBP_AUD", "tf": "H1", "htf_tf": "H1",
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"factory": lambda: S9_London_Session(pair="GBP_AUD", filtered=True)},
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"factory": lambda: S9_London_Session(pair="GBP_AUD", filtered=True)},
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{"name": "S4F", "pair": "EUR_AUD", "tf": "M15", "htf_tf": "H1",
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"factory": lambda: S4F_EMA_Ribbon()},
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{"name": "S3", "pair": "GBP_JPY", "tf": "H1", "htf_tf": "H1",
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{"name": "S3", "pair": "GBP_JPY", "tf": "H1", "htf_tf": "H1",
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"factory": lambda: S3_KeyLevel_Breakout()},
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"factory": lambda: S3_KeyLevel_Breakout()},
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{"name": "S8_OB", "pair": "GBP_USD", "tf": "M15", "htf_tf": "H1",
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"factory": lambda: _s8_tuned()},
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]
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]
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