mirror of
https://github.com/BrentNeale1/fx-quant.git
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Brent Neale
9f32948caf
Avg pairwise PnL correlation: 0.028 (excellent diversification). S7/S3 signal overlap on GBP_JPY only 6.5%. Portfolio: 289 trades, PF=1.37, Sharpe=1.29, +1,732 pips ($+23,424), max DD -21%. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
65 lines
1.5 KiB
JSON
65 lines
1.5 KiB
JSON
{
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"S7_S3_signal_overlap": {
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"overlap_count": 5,
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"same_dir": 5,
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"opposite_dir": 0,
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"ratio": 0.065
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},
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"pnl_correlation": {
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"S7_Tight_vs_S9_Filtered": -0.054,
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"S7_Tight_vs_S3": 0.072,
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"S7_Tight_vs_S8_OB": 0.055,
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"S9_Filtered_vs_S3": -0.05,
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"S9_Filtered_vs_S8_OB": 0.036,
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"S3_vs_S8_OB": 0.109
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},
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"avg_pairwise_correlation": 0.028,
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"temporal_overlap": {
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"S7_Tight_vs_S9_Filtered": {
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"trade_days_a": 38,
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"trade_days_b": 50,
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"shared_days": 5,
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"jaccard_index": 0.06
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},
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"S7_Tight_vs_S3": {
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"trade_days_a": 38,
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"trade_days_b": 111,
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"shared_days": 6,
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"jaccard_index": 0.042
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},
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"S7_Tight_vs_S8_OB": {
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"trade_days_a": 38,
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"trade_days_b": 51,
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"shared_days": 2,
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"jaccard_index": 0.023
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},
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"S9_Filtered_vs_S3": {
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"trade_days_a": 50,
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"trade_days_b": 111,
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"shared_days": 11,
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"jaccard_index": 0.073
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},
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"S9_Filtered_vs_S8_OB": {
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"trade_days_a": 50,
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"trade_days_b": 51,
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"shared_days": 7,
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"jaccard_index": 0.074
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},
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"S3_vs_S8_OB": {
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"trade_days_a": 111,
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"trade_days_b": 51,
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"shared_days": 11,
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"jaccard_index": 0.073
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}
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},
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"portfolio": {
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"total_trades": 289,
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"win_rate_pct": 54.0,
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"profit_factor": 1.37,
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"total_pnl_pips": 1732.1,
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"total_pnl_dollars": 23424.02,
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"max_drawdown_pct": -21.06,
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"sharpe_ratio": 1.29,
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"expectancy_pips": 5.99
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}
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} |