Optimize strategy to SMA 50/100 with RSI 80/20 filtering

Added parameter sweep tool that tested 320 combinations across SMA periods,
trade sizes, and RSI filters. Best result: SMA 50/100 on M15 with RSI 80/20
(Sharpe 5.69, 49% win rate). Updated backtester with RSI overbought/oversold
signal filtering and config to match optimal parameters.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
Brent Neale
2026-02-17 14:17:55 +10:00
co-authored by Claude Opus 4.6
parent 212f581d01
commit f4734f57c7
8 changed files with 9739 additions and 146 deletions
+5 -5
View File
@@ -17,8 +17,8 @@ features:
sma_windows:
- 3
- 20
- 21
- 50
- 100
ema_windows:
- 20
rsi_period: 14
@@ -36,14 +36,14 @@ ai:
- gradient_boosting
backtest_validation_window: 50
sanity_checks:
rsi_overbought: 90
rsi_oversold: 10
rsi_overbought: 80
rsi_oversold: 20
volatility_multiplier: 3.0
strategy:
rule: sma_cross
params:
short: 21
long: 50
short: 50
long: 100
trade_size_pct_of_equity: 0.025
max_drawdown_pct: 0.05
execution: