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Add S8 Order Block (GBP_USD/M15) to Phase 2 portfolio

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Tested all 9 untested strategies across 22 pair combos. S8 Order Block
on GBP_USD was the standout: OOS PF=2.14, WR=65.4%, Gen=1.850 PASS.
Parameter sweep confirmed DISPLACEMENT_ATR=2.0, TP1_ATR_MULT=1.0,
OB_RETEST_WINDOW=40 as best params (all top-5 PASS OOS validation).

Portfolio now 4 strategies: S7_Tight, S9_Filtered, S3, S8_OB.
OOS portfolio: 82 trades, PF=1.61, WR=64.6%, Sharpe=2.98, +672 pips.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
Brent Neale
2026-02-20 21:00:30 +10:00
co-authored by Claude Opus 4.6
parent bdab78ee48
commit ea5472b737
9 changed files with 2189 additions and 104 deletions
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results/phase2/backtest_report.json
+40 -104
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@@ -95,128 +95,64 @@
"verdict": "PASS"
}
},
"S10_EUR_USD": {
"pair": "EUR_USD",
"S8_OB": {
"pair": "GBP_USD",
"timeframe": "M15",
"is_metrics": {
"trades": 13,
"wr": 53.8,
"pf": 1.67,
"sharpe": 3.17,
"pnl_pips": 20.1,
"max_dd_pips": -13.1,
"expectancy": 1.55
"trades": 107,
"wr": 46.7,
"pf": 1.02,
"sharpe": 0.15,
"pnl_pips": 16.4,
"max_dd_pips": -116.1,
"expectancy": 0.15
},
"oos_metrics": {
"trades": 6,
"wr": 33.3,
"pf": 1.19,
"sharpe": 0.97,
"pnl_pips": 1.5,
"max_dd_pips": -7.9,
"expectancy": 0.25
"trades": 26,
"wr": 65.4,
"pf": 2.14,
"sharpe": 4.55,
"pnl_pips": 119.0,
"max_dd_pips": -51.6,
"expectancy": 4.58
},
"generalization": {
"composite": 0.45,
"composite": 1.85,
"detail": {
"wr": 0.619,
"pf": 0.713,
"expectancy": 0.161,
"sharpe": 0.306
"wr": 1.4,
"pf": 2.0,
"expectancy": 2.0,
"sharpe": 2.0
},
"verdict": "FAIL"
}
},
"S10_USD_JPY": {
"pair": "USD_JPY",
"timeframe": "M15",
"is_metrics": {
"trades": 20,
"wr": 50.0,
"pf": 2.08,
"sharpe": 4.18,
"pnl_pips": 51.5,
"max_dd_pips": -19.3,
"expectancy": 2.58
},
"oos_metrics": {
"trades": 9,
"wr": 33.3,
"pf": 0.76,
"sharpe": -1.48,
"pnl_pips": -10.1,
"max_dd_pips": -9.8,
"expectancy": -1.13
},
"generalization": {
"composite": 0.258,
"detail": {
"wr": 0.666,
"pf": 0.365,
"expectancy": 0.0,
"sharpe": 0.0
},
"verdict": "FAIL"
}
},
"S10_EUR_GBP": {
"pair": "EUR_GBP",
"timeframe": "M15",
"is_metrics": {
"trades": 15,
"wr": 33.3,
"pf": 0.98,
"sharpe": -0.14,
"pnl_pips": -0.8,
"max_dd_pips": -29.2,
"expectancy": -0.06
},
"oos_metrics": {
"trades": 7,
"wr": 42.9,
"pf": 1.28,
"sharpe": 1.61,
"pnl_pips": 3.5,
"max_dd_pips": -9.4,
"expectancy": 0.49
},
"generalization": {
"composite": 0.649,
"detail": {
"wr": 1.288,
"pf": 1.306,
"expectancy": 0,
"sharpe": 0
},
"verdict": "WARN"
"verdict": "PASS"
}
},
"_portfolio": {
"is_metrics": {
"trades": 197,
"wr": 54.8,
"pf": 1.3,
"sharpe": 1.58,
"pnl_pips": 936.6,
"trades": 256,
"wr": 53.1,
"pf": 1.24,
"sharpe": 1.27,
"pnl_pips": 882.2,
"max_dd_pips": -597.5,
"expectancy": 4.75
"expectancy": 3.45
},
"oos_metrics": {
"trades": 78,
"wr": 56.4,
"pf": 1.51,
"sharpe": 2.52,
"pnl_pips": 548.2,
"max_dd_pips": -208.7,
"expectancy": 7.03
"trades": 82,
"wr": 64.6,
"pf": 1.61,
"sharpe": 2.98,
"pnl_pips": 672.3,
"max_dd_pips": -182.9,
"expectancy": 8.2
},
"generalization": {
"composite": 1.316,
"composite": 1.629,
"detail": {
"wr": 1.029,
"pf": 1.162,
"expectancy": 1.48,
"sharpe": 1.595
"wr": 1.217,
"pf": 1.298,
"expectancy": 2.0,
"sharpe": 2.0
},
"verdict": "PASS"
}