mirror of
https://github.com/BrentNeale1/fx-quant.git
synced 2026-07-31 04:17:46 +00:00
Brent Neale
98cc843d14
IS PF improved from 1.02 to 1.39, reducing IS/OOS divergence. Portfolio: IS +1,089 pips PF=1.31, OOS +643 pips PF=1.55, Gen=1.473 PASS. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
160 lines
3.1 KiB
JSON
160 lines
3.1 KiB
JSON
{
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"S7_Tight": {
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"pair": "GBP_JPY",
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"timeframe": "H1",
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"is_metrics": {
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"trades": 23,
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"wr": 69.6,
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"pf": 1.52,
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"sharpe": 2.89,
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"pnl_pips": 207.2,
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"max_dd_pips": -205.7,
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"expectancy": 9.01
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},
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"oos_metrics": {
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"trades": 15,
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"wr": 73.3,
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"pf": 1.8,
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"sharpe": 3.96,
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"pnl_pips": 200.1,
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"max_dd_pips": -73.5,
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"expectancy": 13.34
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},
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"generalization": {
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"composite": 1.272,
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"detail": {
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"wr": 1.053,
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"pf": 1.184,
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"expectancy": 1.481,
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"sharpe": 1.37
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},
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"verdict": "PASS"
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}
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},
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"S9_Filtered": {
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"pair": "GBP_AUD",
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"timeframe": "H1",
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"is_metrics": {
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"trades": 42,
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"wr": 59.5,
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"pf": 1.31,
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"sharpe": 1.89,
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"pnl_pips": 299.5,
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"max_dd_pips": -393.2,
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"expectancy": 7.13
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},
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"oos_metrics": {
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"trades": 9,
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"wr": 66.7,
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"pf": 2.26,
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"sharpe": 5.45,
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"pnl_pips": 217.8,
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"max_dd_pips": -49.6,
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"expectancy": 24.19
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},
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"generalization": {
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"composite": 1.712,
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"detail": {
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"wr": 1.121,
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"pf": 1.725,
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"expectancy": 2.0,
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"sharpe": 2.0
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},
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"verdict": "PASS"
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}
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},
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"S3": {
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"pair": "GBP_JPY",
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"timeframe": "H1",
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"is_metrics": {
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"trades": 84,
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"wr": 53.6,
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"pf": 1.22,
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"sharpe": 1.26,
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"pnl_pips": 359.2,
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"max_dd_pips": -335.7,
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"expectancy": 4.28
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},
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"oos_metrics": {
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"trades": 32,
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"wr": 59.4,
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"pf": 1.23,
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"sharpe": 1.47,
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"pnl_pips": 135.5,
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"max_dd_pips": -182.9,
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"expectancy": 4.24
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},
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"generalization": {
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"composite": 1.068,
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"detail": {
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"wr": 1.108,
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"pf": 1.008,
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"expectancy": 0.991,
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"sharpe": 1.167
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},
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"verdict": "PASS"
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}
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},
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"S8_OB": {
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"pair": "GBP_USD",
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"timeframe": "M15",
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"is_metrics": {
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"trades": 67,
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"wr": 37.3,
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"pf": 1.39,
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"sharpe": 2.05,
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"pnl_pips": 223.4,
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"max_dd_pips": -164.1,
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"expectancy": 3.33
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},
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"oos_metrics": {
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"trades": 17,
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"wr": 52.9,
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"pf": 1.59,
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"sharpe": 2.96,
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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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"generalization": {
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"composite": 1.397,
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"detail": {
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"wr": 1.418,
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"pf": 1.144,
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"expectancy": 1.583,
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"sharpe": 1.444
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},
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"verdict": "PASS"
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}
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},
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"_portfolio": {
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"is_metrics": {
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"trades": 216,
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"wr": 51.4,
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"pf": 1.31,
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"sharpe": 1.68,
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"pnl_pips": 1089.2,
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"max_dd_pips": -597.5,
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"expectancy": 5.04
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},
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"oos_metrics": {
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"trades": 73,
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"wr": 61.6,
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"pf": 1.55,
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"sharpe": 2.96,
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"pnl_pips": 643.0,
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"max_dd_pips": -218.1,
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"expectancy": 8.81
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},
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"generalization": {
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"composite": 1.473,
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"detail": {
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"wr": 1.198,
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"pf": 1.183,
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"expectancy": 1.748,
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"sharpe": 1.762
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},
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"verdict": "PASS"
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}
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}
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} |