Add S10 VWAP Mean Reversion and S11 ADX Trend Pullback strategies, drop both from portfolio

Browse Source

Implemented two M15 intraday strategies to diversify the portfolio:
- S10: VWAP mean reversion in ranging markets (ADX<30, RSI(9) extremes)
- S11: ADX trend pullback to 20 EMA in strong trends (ADX>30, rising)

Added rsi_9 and atr_10 to the indicator pipeline for both strategies.

Backtested on IS (2021-2022) and OOS (2023): both strategies produced
insufficient trade counts on M15 and failed generalization. S10 best
result was EUR_GBP at Gen 0.65 (WARN). S11 collapsed to 0% WR OOS
across all param sweep combos. Both dropped from active portfolio —
3-strategy core (S7_Tight, S9_Filtered, S3) remains unchanged.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>

...

This commit is contained in:

Brent Neale

2026-02-20 16:23:23 +10:00

co-authored by Claude Opus 4.6

parent 410a10acb6

commit bdab78ee48

7 changed files with 1393 additions and 1163 deletions

Show all changes Ignore whitespace when comparing lines Ignore changes in amount of whitespace Ignore changes in whitespace at EOL

Download Patch File Download Diff File Expand all files Collapse all files

results/phase2/param_sweep.json

+951 -1143

File diff suppressed because it is too large Load Diff