mirror of
https://github.com/BrentNeale1/fx-quant.git
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Brent Neale
33369f9151
All strategies positive Kelly, 0% ruin at half-Kelly. S7: 13.7%, S9F: 9.5%, S3: 5.1%, S8_OB: 6.1% (half-Kelly). S8_OB best risk profile: p95 DD only 1.8% with 2.11 W/L ratio. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
66 lines
1.4 KiB
JSON
66 lines
1.4 KiB
JSON
{
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"S7_Tight_GBP_JPY": {
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"trades": 38,
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"win_rate": 71.1,
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"avg_win_pips": 39.1,
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"avg_loss_pips": 59.0,
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"avg_win_loss_ratio": 0.66,
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"kelly_full_pct": 27.41,
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"kelly_half_pct": 13.7,
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"monte_carlo_half_kelly": {
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"p50_dd": 2.8,
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"p75_dd": 3.6,
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"p95_dd": 5.4,
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"p99_dd": 7.0,
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"ruin_pct": 0.0
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}
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},
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"S9_Filtered_GBP_AUD": {
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"trades": 51,
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"win_rate": 60.8,
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"avg_win_pips": 53.2,
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"avg_loss_pips": 56.5,
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"avg_win_loss_ratio": 0.94,
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"kelly_full_pct": 19.08,
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"kelly_half_pct": 9.54,
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"monte_carlo_half_kelly": {
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"p50_dd": 2.6,
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"p75_dd": 3.5,
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"p95_dd": 5.4,
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"p99_dd": 7.1,
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"ruin_pct": 0.0
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}
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},
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"S3_GBP_JPY": {
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"trades": 116,
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"win_rate": 55.2,
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"avg_win_pips": 41.9,
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"avg_loss_pips": 42.0,
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"avg_win_loss_ratio": 1.0,
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"kelly_full_pct": 10.18,
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"kelly_half_pct": 5.09,
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"monte_carlo_half_kelly": {
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"p50_dd": 2.1,
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"p75_dd": 2.8,
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"p95_dd": 4.2,
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"p99_dd": 5.3,
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"ruin_pct": 0.0
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}
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},
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"S8_OB_GBP_USD": {
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"trades": 84,
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"win_rate": 40.5,
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"avg_win_pips": 30.4,
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"avg_loss_pips": 14.4,
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"avg_win_loss_ratio": 2.11,
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"kelly_full_pct": 12.24,
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"kelly_half_pct": 6.12,
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"monte_carlo_half_kelly": {
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"p50_dd": 0.9,
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"p75_dd": 1.2,
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"p95_dd": 1.8,
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"p99_dd": 2.3,
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"ruin_pct": 0.0
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}
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}
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} |