mirror of
https://github.com/BrentNeale1/fx-quant.git
synced 2026-08-02 21:37:44 +00:00
Brent Neale
f4734f57c7
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>
6082 lines
147 KiB
JSON
6082 lines
147 KiB
JSON
[
|
|
{
|
|
"sma_short": 50,
|
|
"sma_long": 200,
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|
"trade_size_pct": 0.1,
|
|
"rsi_overbought": 80,
|
|
"rsi_oversold": 20,
|
|
"starting_equity": 100000.0,
|
|
"final_equity": 100834.13,
|
|
"total_return_pct": 0.8341,
|
|
"max_drawdown_pct": 0.4057,
|
|
"num_trades": 676,
|
|
"round_trips": 338,
|
|
"win_rate_pct": 49.7,
|
|
"sharpe_ratio": 2.5712,
|
|
"stopped_out": false,
|
|
"instrument": "EUR_USD",
|
|
"granularity": "M15",
|
|
"rsi_label": "RSI 80/20"
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|
},
|
|
{
|
|
"sma_short": 50,
|
|
"sma_long": 200,
|
|
"trade_size_pct": 0.05,
|
|
"rsi_overbought": 80,
|
|
"rsi_oversold": 20,
|
|
"starting_equity": 100000.0,
|
|
"final_equity": 100416.57,
|
|
"total_return_pct": 0.4166,
|
|
"max_drawdown_pct": 0.203,
|
|
"num_trades": 676,
|
|
"round_trips": 338,
|
|
"win_rate_pct": 49.7,
|
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"sharpe_ratio": 2.571,
|
|
"stopped_out": false,
|
|
"instrument": "EUR_USD",
|
|
"granularity": "M15",
|
|
"rsi_label": "RSI 80/20"
|
|
},
|
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{
|
|
"sma_short": 50,
|
|
"sma_long": 200,
|
|
"trade_size_pct": 0.025,
|
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"rsi_overbought": 80,
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"rsi_oversold": 20,
|
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"starting_equity": 100000.0,
|
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"final_equity": 100208.16,
|
|
"total_return_pct": 0.2082,
|
|
"max_drawdown_pct": 0.1016,
|
|
"num_trades": 676,
|
|
"round_trips": 338,
|
|
"win_rate_pct": 49.7,
|
|
"sharpe_ratio": 2.5709,
|
|
"stopped_out": false,
|
|
"instrument": "EUR_USD",
|
|
"granularity": "M15",
|
|
"rsi_label": "RSI 80/20"
|
|
},
|
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{
|
|
"sma_short": 50,
|
|
"sma_long": 200,
|
|
"trade_size_pct": 0.01,
|
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"rsi_overbought": 80,
|
|
"rsi_oversold": 20,
|
|
"starting_equity": 100000.0,
|
|
"final_equity": 100083.24,
|
|
"total_return_pct": 0.0832,
|
|
"max_drawdown_pct": 0.0406,
|
|
"num_trades": 676,
|
|
"round_trips": 338,
|
|
"win_rate_pct": 49.7,
|
|
"sharpe_ratio": 2.5708,
|
|
"stopped_out": false,
|
|
"instrument": "EUR_USD",
|
|
"granularity": "M15",
|
|
"rsi_label": "RSI 80/20"
|
|
},
|
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{
|
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"sma_short": 50,
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"sma_long": 100,
|
|
"trade_size_pct": 0.1,
|
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"rsi_overbought": 80,
|
|
"rsi_oversold": 20,
|
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"starting_equity": 100000.0,
|
|
"final_equity": 100811.73,
|
|
"total_return_pct": 0.8117,
|
|
"max_drawdown_pct": 0.2863,
|
|
"num_trades": 792,
|
|
"round_trips": 396,
|
|
"win_rate_pct": 48.99,
|
|
"sharpe_ratio": 2.5425,
|
|
"stopped_out": false,
|
|
"instrument": "EUR_USD",
|
|
"granularity": "M15",
|
|
"rsi_label": "RSI 80/20"
|
|
},
|
|
{
|
|
"sma_short": 50,
|
|
"sma_long": 100,
|
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"trade_size_pct": 0.01,
|
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"rsi_overbought": 80,
|
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"rsi_oversold": 20,
|
|
"starting_equity": 100000.0,
|
|
"final_equity": 100081.02,
|
|
"total_return_pct": 0.081,
|
|
"max_drawdown_pct": 0.0286,
|
|
"num_trades": 792,
|
|
"round_trips": 396,
|
|
"win_rate_pct": 48.99,
|
|
"sharpe_ratio": 2.5424,
|
|
"stopped_out": false,
|
|
"instrument": "EUR_USD",
|
|
"granularity": "M15",
|
|
"rsi_label": "RSI 80/20"
|
|
},
|
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{
|
|
"sma_short": 50,
|
|
"sma_long": 100,
|
|
"trade_size_pct": 0.025,
|
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"rsi_overbought": 80,
|
|
"rsi_oversold": 20,
|
|
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|
|
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|
|
"total_return_pct": 0.2026,
|
|
"max_drawdown_pct": 0.0716,
|
|
"num_trades": 792,
|
|
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|
|
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|
|
"sharpe_ratio": 2.5424,
|
|
"stopped_out": false,
|
|
"instrument": "EUR_USD",
|
|
"granularity": "M15",
|
|
"rsi_label": "RSI 80/20"
|
|
},
|
|
{
|
|
"sma_short": 50,
|
|
"sma_long": 100,
|
|
"trade_size_pct": 0.05,
|
|
"rsi_overbought": 80,
|
|
"rsi_oversold": 20,
|
|
"starting_equity": 100000.0,
|
|
"final_equity": 100405.43,
|
|
"total_return_pct": 0.4054,
|
|
"max_drawdown_pct": 0.1432,
|
|
"num_trades": 792,
|
|
"round_trips": 396,
|
|
"win_rate_pct": 48.99,
|
|
"sharpe_ratio": 2.5424,
|
|
"stopped_out": false,
|
|
"instrument": "EUR_USD",
|
|
"granularity": "M15",
|
|
"rsi_label": "RSI 80/20"
|
|
},
|
|
{
|
|
"sma_short": 50,
|
|
"sma_long": 100,
|
|
"trade_size_pct": 0.01,
|
|
"rsi_overbought": null,
|
|
"rsi_oversold": null,
|
|
"starting_equity": 100000.0,
|
|
"final_equity": 100078.39,
|
|
"total_return_pct": 0.0784,
|
|
"max_drawdown_pct": 0.0397,
|
|
"num_trades": 282,
|
|
"round_trips": 141,
|
|
"win_rate_pct": 41.13,
|
|
"sharpe_ratio": 2.3632,
|
|
"stopped_out": false,
|
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"instrument": "EUR_USD",
|
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"granularity": "M15",
|
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"rsi_label": "No RSI filter"
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},
|
|
{
|
|
"sma_short": 50,
|
|
"sma_long": 100,
|
|
"trade_size_pct": 0.025,
|
|
"rsi_overbought": null,
|
|
"rsi_oversold": null,
|
|
"starting_equity": 100000.0,
|
|
"final_equity": 100196.02,
|
|
"total_return_pct": 0.196,
|
|
"max_drawdown_pct": 0.0993,
|
|
"num_trades": 282,
|
|
"round_trips": 141,
|
|
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|
|
"sharpe_ratio": 2.3631,
|
|
"stopped_out": false,
|
|
"instrument": "EUR_USD",
|
|
"granularity": "M15",
|
|
"rsi_label": "No RSI filter"
|
|
},
|
|
{
|
|
"sma_short": 50,
|
|
"sma_long": 100,
|
|
"trade_size_pct": 0.05,
|
|
"rsi_overbought": null,
|
|
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|
|
"starting_equity": 100000.0,
|
|
"final_equity": 100392.15,
|
|
"total_return_pct": 0.3921,
|
|
"max_drawdown_pct": 0.1985,
|
|
"num_trades": 282,
|
|
"round_trips": 141,
|
|
"win_rate_pct": 41.13,
|
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"sharpe_ratio": 2.363,
|
|
"stopped_out": false,
|
|
"instrument": "EUR_USD",
|
|
"granularity": "M15",
|
|
"rsi_label": "No RSI filter"
|
|
},
|
|
{
|
|
"sma_short": 50,
|
|
"sma_long": 100,
|
|
"trade_size_pct": 0.1,
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"rsi_overbought": null,
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|
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|
|
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|
|
"total_return_pct": 0.7847,
|
|
"max_drawdown_pct": 0.3968,
|
|
"num_trades": 282,
|
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|
|
"win_rate_pct": 41.13,
|
|
"sharpe_ratio": 2.3628,
|
|
"stopped_out": false,
|
|
"instrument": "EUR_USD",
|
|
"granularity": "M15",
|
|
"rsi_label": "No RSI filter"
|
|
},
|
|
{
|
|
"sma_short": 20,
|
|
"sma_long": 100,
|
|
"trade_size_pct": 0.1,
|
|
"rsi_overbought": null,
|
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"rsi_oversold": null,
|
|
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|
|
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|
|
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|
|
"max_drawdown_pct": 0.4588,
|
|
"num_trades": 358,
|
|
"round_trips": 179,
|
|
"win_rate_pct": 38.55,
|
|
"sharpe_ratio": 2.2478,
|
|
"stopped_out": false,
|
|
"instrument": "EUR_USD",
|
|
"granularity": "M15",
|
|
"rsi_label": "No RSI filter"
|
|
},
|
|
{
|
|
"sma_short": 20,
|
|
"sma_long": 100,
|
|
"trade_size_pct": 0.025,
|
|
"rsi_overbought": null,
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"rsi_oversold": null,
|
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"starting_equity": 100000.0,
|
|
"final_equity": 100184.35,
|
|
"total_return_pct": 0.1844,
|
|
"max_drawdown_pct": 0.1148,
|
|
"num_trades": 358,
|
|
"round_trips": 179,
|
|
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|
|
"sharpe_ratio": 2.2477,
|
|
"stopped_out": false,
|
|
"instrument": "EUR_USD",
|
|
"granularity": "M15",
|
|
"rsi_label": "No RSI filter"
|
|
},
|
|
{
|
|
"sma_short": 20,
|
|
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|
|
"trade_size_pct": 0.05,
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|
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|
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|
|
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|
|
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|
"max_drawdown_pct": 0.2296,
|
|
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|
|
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|
|
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|
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|
"stopped_out": false,
|
|
"instrument": "EUR_USD",
|
|
"granularity": "M15",
|
|
"rsi_label": "No RSI filter"
|
|
},
|
|
{
|
|
"sma_short": 20,
|
|
"sma_long": 100,
|
|
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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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|
|
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|
|
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|
|
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|
|
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|
|
"instrument": "EUR_USD",
|
|
"granularity": "M15",
|
|
"rsi_label": "No RSI filter"
|
|
},
|
|
{
|
|
"sma_short": 20,
|
|
"sma_long": 100,
|
|
"trade_size_pct": 0.01,
|
|
"rsi_overbought": 80,
|
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|
|
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|
|
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|
|
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|
|
"max_drawdown_pct": 0.0386,
|
|
"num_trades": 862,
|
|
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|
|
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|
|
"sharpe_ratio": 2.2105,
|
|
"stopped_out": false,
|
|
"instrument": "EUR_USD",
|
|
"granularity": "M15",
|
|
"rsi_label": "RSI 80/20"
|
|
},
|
|
{
|
|
"sma_short": 20,
|
|
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|
|
"trade_size_pct": 0.025,
|
|
"rsi_overbought": 80,
|
|
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|
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|
|
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|
|
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|
|
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|
|
"num_trades": 862,
|
|
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|
|
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|
|
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|
|
"stopped_out": false,
|
|
"instrument": "EUR_USD",
|
|
"granularity": "M15",
|
|
"rsi_label": "RSI 80/20"
|
|
},
|
|
{
|
|
"sma_short": 20,
|
|
"sma_long": 100,
|
|
"trade_size_pct": 0.05,
|
|
"rsi_overbought": 80,
|
|
"rsi_oversold": 20,
|
|
"starting_equity": 100000.0,
|
|
"final_equity": 100347.62,
|
|
"total_return_pct": 0.3476,
|
|
"max_drawdown_pct": 0.1927,
|
|
"num_trades": 862,
|
|
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|
|
"win_rate_pct": 47.1,
|
|
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|
|
"stopped_out": false,
|
|
"instrument": "EUR_USD",
|
|
"granularity": "M15",
|
|
"rsi_label": "RSI 80/20"
|
|
},
|
|
{
|
|
"sma_short": 20,
|
|
"sma_long": 100,
|
|
"trade_size_pct": 0.1,
|
|
"rsi_overbought": 80,
|
|
"rsi_oversold": 20,
|
|
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|
|
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|
|
"total_return_pct": 0.6957,
|
|
"max_drawdown_pct": 0.3853,
|
|
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|
|
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|
|
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|
|
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|
|
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|
|
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|
|
"granularity": "M15",
|
|
"rsi_label": "RSI 80/20"
|
|
},
|
|
{
|
|
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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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|
|
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|
|
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|
|
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|
|
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|
|
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|
|
"instrument": "EUR_USD",
|
|
"granularity": "M15",
|
|
"rsi_label": "No RSI filter"
|
|
},
|
|
{
|
|
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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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|
|
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|
|
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|
|
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|
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|
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|
|
"stopped_out": false,
|
|
"instrument": "EUR_USD",
|
|
"granularity": "M15",
|
|
"rsi_label": "No RSI filter"
|
|
},
|
|
{
|
|
"sma_short": 50,
|
|
"sma_long": 200,
|
|
"trade_size_pct": 0.025,
|
|
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|
|
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|
|
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|
|
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|
|
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|
|
"max_drawdown_pct": 0.1132,
|
|
"num_trades": 144,
|
|
"round_trips": 72,
|
|
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|
|
"sharpe_ratio": 2.1398,
|
|
"stopped_out": false,
|
|
"instrument": "EUR_USD",
|
|
"granularity": "M15",
|
|
"rsi_label": "No RSI filter"
|
|
},
|
|
{
|
|
"sma_short": 50,
|
|
"sma_long": 200,
|
|
"trade_size_pct": 0.01,
|
|
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|
|
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|
|
"starting_equity": 100000.0,
|
|
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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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|
|
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|
|
"instrument": "EUR_USD",
|
|
"granularity": "M15",
|
|
"rsi_label": "No RSI filter"
|
|
},
|
|
{
|
|
"sma_short": 50,
|
|
"sma_long": 100,
|
|
"trade_size_pct": 0.1,
|
|
"rsi_overbought": 70,
|
|
"rsi_oversold": 30,
|
|
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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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|
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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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|
|
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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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|
|
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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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|
|
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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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|
|
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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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|
|
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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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|
|
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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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|
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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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|
|
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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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|
|
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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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|
|
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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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|
|
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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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|
|
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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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|
|
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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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|
|
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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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|
|
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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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|
|
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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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|
|
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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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|
|
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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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|
|
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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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|
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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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|
|
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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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|
|
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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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|
|
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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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|
|
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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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|
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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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|
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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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|
|
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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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|
|
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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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|
|
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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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|
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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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|
|
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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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|
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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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|
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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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|
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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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|
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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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|
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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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|
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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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|
|
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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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|
|
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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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|
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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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|
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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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|
|
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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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|
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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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|
|
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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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|
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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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|
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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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|
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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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|
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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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|
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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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|
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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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|
|
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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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|
|
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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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|
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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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|
|
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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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|
|
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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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|
|
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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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|
|
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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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|
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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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|
|
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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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|
|
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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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|
|
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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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|
|
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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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|
|
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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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|
|
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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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|
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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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|
|
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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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|
|
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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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|
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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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|
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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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|
|
] |