gavindiaz/fx-quant
1
0
Fork 0
mirror of https://github.com/BrentNeale1/fx-quant.git synced 2026-07-31 20:37:44 +00:00
Code Issues Packages Projects Releases Wiki Activity
Files
main
fx-quant/results/phase2/param_sweep.json
T
Brent Neale 23d8288fa3 Update param sweep results with S8_OB grid (27 combos) 
S8_OB PASS: best params DISP_ATR=2.5, TP1=2.0, Window=40
(IS PF=1.39, OOS PF=1.59, Gen=1.382). S9_Filtered also PASS.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
2026-02-20 23:02:12 +10:00

1382 lines
29 KiB
JSON
Raw Permalink Blame History

{
"S7_Tight": {
"pair": "GBP_JPY",
"combos_tested": 18,
"best_params": {
"SWEEP_MIN_ATR": 1.0,
"SL_ATR_MULT": 1.0,
"TP2_ATR_MULT": 3.0
},
"is_best_metrics": {
"trades": 6,
"wr": 66.7,
"pf": 2.58,
"sharpe": 6.33,
"pnl_pips": 138.3,
"expectancy": 23.05
},
"oos_validation": {
"trades": 8,
"wr": 62.5,
"pf": 0.68,
"sharpe": -2.49,
"pnl_pips": -63.3,
"expectancy": -7.91
},
"generalization_score": 0.4,
"verdict": "FAIL",
"is_results_ranked": [
{
"rank": 1,
"params": {
"SWEEP_MIN_ATR": 1.0,
"SL_ATR_MULT": 1.0,
"TP2_ATR_MULT": 3.0
},
"metrics": {
"trades": 6,
"wr": 66.7,
"pf": 2.58,
"sharpe": 6.33,
"pnl_pips": 138.3,
"expectancy": 23.05
}
},
{
"rank": 2,
"params": {
"SWEEP_MIN_ATR": 1.0,
"SL_ATR_MULT": 1.0,
"TP2_ATR_MULT": 2.5
},
"metrics": {
"trades": 6,
"wr": 66.7,
"pf": 2.3,
"sharpe": 5.63,
"pnl_pips": 113.8,
"expectancy": 18.97
}
},
{
"rank": 3,
"params": {
"SWEEP_MIN_ATR": 0.7,
"SL_ATR_MULT": 1.0,
"TP2_ATR_MULT": 3.0
},
"metrics": {
"trades": 23,
"wr": 69.6,
"pf": 1.52,
"sharpe": 2.89,
"pnl_pips": 207.2,
"expectancy": 9.01
}
},
{
"rank": 4,
"params": {
"SWEEP_MIN_ATR": 0.7,
"SL_ATR_MULT": 1.0,
"TP2_ATR_MULT": 2.5
},
"metrics": {
"trades": 23,
"wr": 69.6,
"pf": 1.51,
"sharpe": 2.9,
"pnl_pips": 202.2,
"expectancy": 8.79
}
},
{
"rank": 5,
"params": {
"SWEEP_MIN_ATR": 0.5,
"SL_ATR_MULT": 1.0,
"TP2_ATR_MULT": 2.5
},
"metrics": {
"trades": 45,
"wr": 68.9,
"pf": 1.47,
"sharpe": 2.7,
"pnl_pips": 371.0,
"expectancy": 8.25
}
},
{
"rank": 6,
"params": {
"SWEEP_MIN_ATR": 0.5,
"SL_ATR_MULT": 1.0,
"TP2_ATR_MULT": 3.0
},
"metrics": {
"trades": 44,
"wr": 68.2,
"pf": 1.47,
"sharpe": 2.66,
"pnl_pips": 373.7,
"expectancy": 8.49
}
},
{
"rank": 7,
"params": {
"SWEEP_MIN_ATR": 0.7,
"SL_ATR_MULT": 1.5,
"TP2_ATR_MULT": 3.0
},
"metrics": {
"trades": 7,
"wr": 71.4,
"pf": 1.37,
"sharpe": 2.11,
"pnl_pips": 53.7,
"expectancy": 7.67
}
},
{
"rank": 8,
"params": {
"SWEEP_MIN_ATR": 0.5,
"SL_ATR_MULT": 0.8,
"TP2_ATR_MULT": 2.5
},
"metrics": {
"trades": 49,
"wr": 65.3,
"pf": 1.29,
"sharpe": 1.77,
"pnl_pips": 262.1,
"expectancy": 5.35
}
},
{
"rank": 9,
"params": {
"SWEEP_MIN_ATR": 0.5,
"SL_ATR_MULT": 0.8,
"TP2_ATR_MULT": 3.0
},
"metrics": {
"trades": 48,
"wr": 64.6,
"pf": 1.29,
"sharpe": 1.74,
"pnl_pips": 264.6,
"expectancy": 5.51
}
},
{
"rank": 10,
"params": {
"SWEEP_MIN_ATR": 1.0,
"SL_ATR_MULT": 0.8,
"TP2_ATR_MULT": 3.0
},
"metrics": {
"trades": 8,
"wr": 62.5,
"pf": 1.26,
"sharpe": 1.48,
"pnl_pips": 49.7,
"expectancy": 6.21
}
},
{
"rank": 11,
"params": {
"SWEEP_MIN_ATR": 0.7,
"SL_ATR_MULT": 1.5,
"TP2_ATR_MULT": 2.5
},
"metrics": {
"trades": 7,
"wr": 71.4,
"pf": 1.26,
"sharpe": 1.53,
"pnl_pips": 37.7,
"expectancy": 5.39
}
},
{
"rank": 12,
"params": {
"SWEEP_MIN_ATR": 0.5,
"SL_ATR_MULT": 1.5,
"TP2_ATR_MULT": 3.0
},
"metrics": {
"trades": 30,
"wr": 66.7,
"pf": 1.16,
"sharpe": 1.0,
"pnl_pips": 104.2,
"expectancy": 3.47
}
},
{
"rank": 13,
"params": {
"SWEEP_MIN_ATR": 1.0,
"SL_ATR_MULT": 0.8,
"TP2_ATR_MULT": 2.5
},
"metrics": {
"trades": 8,
"wr": 62.5,
"pf": 1.13,
"sharpe": 0.79,
"pnl_pips": 25.2,
"expectancy": 3.15
}
},
{
"rank": 14,
"params": {
"SWEEP_MIN_ATR": 0.5,
"SL_ATR_MULT": 1.5,
"TP2_ATR_MULT": 2.5
},
"metrics": {
"trades": 30,
"wr": 66.7,
"pf": 1.12,
"sharpe": 0.8,
"pnl_pips": 80.1,
"expectancy": 2.67
}
},
{
"rank": 15,
"params": {
"SWEEP_MIN_ATR": 0.7,
"SL_ATR_MULT": 0.8,
"TP2_ATR_MULT": 3.0
},
"metrics": {
"trades": 26,
"wr": 61.5,
"pf": 1.04,
"sharpe": 0.24,
"pnl_pips": 19.9,
"expectancy": 0.76
}
},
{
"rank": 16,
"params": {
"SWEEP_MIN_ATR": 0.7,
"SL_ATR_MULT": 0.8,
"TP2_ATR_MULT": 2.5
},
"metrics": {
"trades": 26,
"wr": 61.5,
"pf": 1.03,
"sharpe": 0.24,
"pnl_pips": 19.4,
"expectancy": 0.75
}
}
]
},
"S9_Filtered": {
"pair": "GBP_AUD",
"combos_tested": 18,
"best_params": {
"min_adx": 20,
"min_ema50_dist_pips": 40,
"skip_friday": true
},
"is_best_metrics": {
"trades": 44,
"wr": 61.4,
"pf": 1.48,
"sharpe": 2.73,
"pnl_pips": 460.9,
"expectancy": 10.47
},
"oos_validation": {
"trades": 12,
"wr": 58.3,
"pf": 1.3,
"sharpe": 1.77,
"pnl_pips": 96.5,
"expectancy": 8.04
},
"generalization_score": 0.865,
"verdict": "PASS",
"is_results_ranked": [
{
"rank": 1,
"params": {
"min_adx": 20,
"min_ema50_dist_pips": 40,
"skip_friday": true
},
"metrics": {
"trades": 44,
"wr": 61.4,
"pf": 1.48,
"sharpe": 2.73,
"pnl_pips": 460.9,
"expectancy": 10.47
}
},
{
"rank": 2,
"params": {
"min_adx": 25,
"min_ema50_dist_pips": 40,
"skip_friday": true
},
"metrics": {
"trades": 42,
"wr": 59.5,
"pf": 1.31,
"sharpe": 1.89,
"pnl_pips": 299.5,
"expectancy": 7.13
}
},
{
"rank": 3,
"params": {
"min_adx": 25,
"min_ema50_dist_pips": 30,
"skip_friday": true
},
"metrics": {
"trades": 49,
"wr": 57.1,
"pf": 1.24,
"sharpe": 1.51,
"pnl_pips": 277.6,
"expectancy": 5.66
}
},
{
"rank": 4,
"params": {
"min_adx": 20,
"min_ema50_dist_pips": 40,
"skip_friday": false
},
"metrics": {
"trades": 58,
"wr": 60.3,
"pf": 1.2,
"sharpe": 1.23,
"pnl_pips": 286.2,
"expectancy": 4.94
}
},
{
"rank": 5,
"params": {
"min_adx": 20,
"min_ema50_dist_pips": 30,
"skip_friday": true
},
"metrics": {
"trades": 54,
"wr": 55.6,
"pf": 1.17,
"sharpe": 1.11,
"pnl_pips": 223.9,
"expectancy": 4.15
}
},
{
"rank": 6,
"params": {
"min_adx": 20,
"min_ema50_dist_pips": 50,
"skip_friday": true
},
"metrics": {
"trades": 38,
"wr": 55.3,
"pf": 1.15,
"sharpe": 0.97,
"pnl_pips": 149.7,
"expectancy": 3.94
}
},
{
"rank": 7,
"params": {
"min_adx": 30,
"min_ema50_dist_pips": 40,
"skip_friday": true
},
"metrics": {
"trades": 28,
"wr": 60.7,
"pf": 1.14,
"sharpe": 0.89,
"pnl_pips": 96.2,
"expectancy": 3.44
}
},
{
"rank": 8,
"params": {
"min_adx": 25,
"min_ema50_dist_pips": 40,
"skip_friday": false
},
"metrics": {
"trades": 53,
"wr": 58.5,
"pf": 1.09,
"sharpe": 0.61,
"pnl_pips": 127.2,
"expectancy": 2.4
}
},
{
"rank": 9,
"params": {
"min_adx": 25,
"min_ema50_dist_pips": 50,
"skip_friday": true
},
"metrics": {
"trades": 37,
"wr": 54.1,
"pf": 1.04,
"sharpe": 0.29,
"pnl_pips": 42.0,
"expectancy": 1.13
}
},
{
"rank": 10,
"params": {
"min_adx": 30,
"min_ema50_dist_pips": 40,
"skip_friday": false
},
"metrics": {
"trades": 33,
"wr": 60.6,
"pf": 1.03,
"sharpe": 0.19,
"pnl_pips": 26.4,
"expectancy": 0.8
}
},
{
"rank": 11,
"params": {
"min_adx": 20,
"min_ema50_dist_pips": 50,
"skip_friday": false
},
"metrics": {
"trades": 49,
"wr": 55.1,
"pf": 1.02,
"sharpe": 0.15,
"pnl_pips": 29.9,
"expectancy": 0.61
}
},
{
"rank": 12,
"params": {
"min_adx": 25,
"min_ema50_dist_pips": 30,
"skip_friday": false
},
"metrics": {
"trades": 63,
"wr": 54.0,
"pf": 0.96,
"sharpe": -0.28,
"pnl_pips": -68.7,
"expectancy": -1.09
}
},
{
"rank": 13,
"params": {
"min_adx": 30,
"min_ema50_dist_pips": 30,
"skip_friday": true
},
"metrics": {
"trades": 34,
"wr": 55.9,
"pf": 0.96,
"sharpe": -0.28,
"pnl_pips": -34.3,
"expectancy": -1.01
}
},
{
"rank": 14,
"params": {
"min_adx": 20,
"min_ema50_dist_pips": 30,
"skip_friday": false
},
"metrics": {
"trades": 71,
"wr": 53.5,
"pf": 0.94,
"sharpe": -0.45,
"pnl_pips": -124.6,
"expectancy": -1.76
}
},
{
"rank": 15,
"params": {
"min_adx": 30,
"min_ema50_dist_pips": 50,
"skip_friday": true
},
"metrics": {
"trades": 24,
"wr": 54.2,
"pf": 0.91,
"sharpe": -0.62,
"pnl_pips": -60.5,
"expectancy": -2.52
}
},
{
"rank": 16,
"params": {
"min_adx": 30,
"min_ema50_dist_pips": 30,
"skip_friday": false
},
"metrics": {
"trades": 39,
"wr": 56.4,
"pf": 0.9,
"sharpe": -0.68,
"pnl_pips": -104.1,
"expectancy": -2.67
}
},
{
"rank": 17,
"params": {
"min_adx": 25,
"min_ema50_dist_pips": 50,
"skip_friday": false
},
"metrics": {
"trades": 46,
"wr": 52.2,
"pf": 0.87,
"sharpe": -0.94,
"pnl_pips": -179.8,
"expectancy": -3.91
}
},
{
"rank": 18,
"params": {
"min_adx": 30,
"min_ema50_dist_pips": 50,
"skip_friday": false
},
"metrics": {
"trades": 29,
"wr": 55.2,
"pf": 0.86,
"sharpe": -1.05,
"pnl_pips": -130.3,
"expectancy": -4.49
}
}
]
},
"S3": {
"pair": "GBP_JPY",
"combos_tested": 18,
"best_params": {
"SL_ATR_MULT": 0.5,
"TP1_ATR_MULT": 2.0,
"KEY_LEVEL_TOLERANCE": 0.5
},
"is_best_metrics": {
"trades": 80,
"wr": 52.5,
"pf": 1.6,
"sharpe": 3.06,
"pnl_pips": 913.6,
"expectancy": 11.42
},
"oos_validation": {
"trades": 26,
"wr": 34.6,
"pf": 0.66,
"sharpe": -3.09,
"pnl_pips": -296.8,
"expectancy": -11.41
},
"generalization_score": 0.357,
"verdict": "FAIL",
"is_results_ranked": [
{
"rank": 1,
"params": {
"SL_ATR_MULT": 0.5,
"TP1_ATR_MULT": 2.0,
"KEY_LEVEL_TOLERANCE": 0.5
},
"metrics": {
"trades": 80,
"wr": 52.5,
"pf": 1.6,
"sharpe": 3.06,
"pnl_pips": 913.6,
"expectancy": 11.42
}
},
{
"rank": 2,
"params": {
"SL_ATR_MULT": 0.3,
"TP1_ATR_MULT": 2.0,
"KEY_LEVEL_TOLERANCE": 0.5
},
"metrics": {
"trades": 82,
"wr": 47.6,
"pf": 1.55,
"sharpe": 2.78,
"pnl_pips": 822.6,
"expectancy": 10.03
}
},
{
"rank": 3,
"params": {
"SL_ATR_MULT": 0.75,
"TP1_ATR_MULT": 1.5,
"KEY_LEVEL_TOLERANCE": 0.5
},
"metrics": {
"trades": 73,
"wr": 57.5,
"pf": 1.53,
"sharpe": 2.75,
"pnl_pips": 691.0,
"expectancy": 9.47
}
},
{
"rank": 4,
"params": {
"SL_ATR_MULT": 0.5,
"TP1_ATR_MULT": 1.5,
"KEY_LEVEL_TOLERANCE": 0.5
},
"metrics": {
"trades": 76,
"wr": 53.9,
"pf": 1.51,
"sharpe": 2.63,
"pnl_pips": 665.9,
"expectancy": 8.76
}
},
{
"rank": 5,
"params": {
"SL_ATR_MULT": 0.75,
"TP1_ATR_MULT": 2.0,
"KEY_LEVEL_TOLERANCE": 0.5
},
"metrics": {
"trades": 80,
"wr": 55.0,
"pf": 1.49,
"sharpe": 2.63,
"pnl_pips": 826.4,
"expectancy": 10.33
}
},
{
"rank": 6,
"params": {
"SL_ATR_MULT": 0.3,
"TP1_ATR_MULT": 2.0,
"KEY_LEVEL_TOLERANCE": 0.75
},
"metrics": {
"trades": 90,
"wr": 48.9,
"pf": 1.46,
"sharpe": 2.39,
"pnl_pips": 747.4,
"expectancy": 8.3
}
},
{
"rank": 7,
"params": {
"SL_ATR_MULT": 0.5,
"TP1_ATR_MULT": 2.0,
"KEY_LEVEL_TOLERANCE": 0.75
},
"metrics": {
"trades": 88,
"wr": 52.3,
"pf": 1.46,
"sharpe": 2.43,
"pnl_pips": 784.4,
"expectancy": 8.91
}
},
{
"rank": 8,
"params": {
"SL_ATR_MULT": 0.5,
"TP1_ATR_MULT": 1.0,
"KEY_LEVEL_TOLERANCE": 0.75
},
"metrics": {
"trades": 60,
"wr": 60.0,
"pf": 1.41,
"sharpe": 2.17,
"pnl_pips": 321.9,
"expectancy": 5.37
}
},
{
"rank": 9,
"params": {
"SL_ATR_MULT": 0.5,
"TP1_ATR_MULT": 1.0,
"KEY_LEVEL_TOLERANCE": 0.5
},
"metrics": {
"trades": 48,
"wr": 58.3,
"pf": 1.34,
"sharpe": 1.88,
"pnl_pips": 225.5,
"expectancy": 4.7
}
},
{
"rank": 10,
"params": {
"SL_ATR_MULT": 0.75,
"TP1_ATR_MULT": 2.0,
"KEY_LEVEL_TOLERANCE": 0.75
},
"metrics": {
"trades": 87,
"wr": 52.9,
"pf": 1.33,
"sharpe": 1.88,
"pnl_pips": 614.0,
"expectancy": 7.06
}
},
{
"rank": 11,
"params": {
"SL_ATR_MULT": 0.3,
"TP1_ATR_MULT": 1.5,
"KEY_LEVEL_TOLERANCE": 0.5
},
"metrics": {
"trades": 80,
"wr": 48.8,
"pf": 1.32,
"sharpe": 1.71,
"pnl_pips": 458.9,
"expectancy": 5.74
}
},
{
"rank": 12,
"params": {
"SL_ATR_MULT": 0.75,
"TP1_ATR_MULT": 1.0,
"KEY_LEVEL_TOLERANCE": 0.5
},
"metrics": {
"trades": 37,
"wr": 59.5,
"pf": 1.28,
"sharpe": 1.57,
"pnl_pips": 156.5,
"expectancy": 4.23
}
},
{
"rank": 13,
"params": {
"SL_ATR_MULT": 0.3,
"TP1_ATR_MULT": 1.0,
"KEY_LEVEL_TOLERANCE": 0.5
},
"metrics": {
"trades": 58,
"wr": 53.4,
"pf": 1.26,
"sharpe": 1.45,
"pnl_pips": 201.8,
"expectancy": 3.48
}
},
{
"rank": 14,
"params": {
"SL_ATR_MULT": 0.3,
"TP1_ATR_MULT": 1.5,
"KEY_LEVEL_TOLERANCE": 0.75
},
"metrics": {
"trades": 88,
"wr": 51.1,
"pf": 1.24,
"sharpe": 1.33,
"pnl_pips": 373.7,
"expectancy": 4.25
}
},
{
"rank": 15,
"params": {
"SL_ATR_MULT": 0.5,
"TP1_ATR_MULT": 1.5,
"KEY_LEVEL_TOLERANCE": 0.75
},
"metrics": {
"trades": 84,
"wr": 53.6,
"pf": 1.22,
"sharpe": 1.26,
"pnl_pips": 359.2,
"expectancy": 4.28
}
},
{
"rank": 16,
"params": {
"SL_ATR_MULT": 0.3,
"TP1_ATR_MULT": 1.0,
"KEY_LEVEL_TOLERANCE": 0.75
},
"metrics": {
"trades": 69,
"wr": 58.0,
"pf": 1.19,
"sharpe": 1.07,
"pnl_pips": 176.1,
"expectancy": 2.55
}
},
{
"rank": 17,
"params": {
"SL_ATR_MULT": 0.75,
"TP1_ATR_MULT": 1.5,
"KEY_LEVEL_TOLERANCE": 0.75
},
"metrics": {
"trades": 80,
"wr": 53.8,
"pf": 1.18,
"sharpe": 1.06,
"pnl_pips": 285.4,
"expectancy": 3.57
}
},
{
"rank": 18,
"params": {
"SL_ATR_MULT": 0.75,
"TP1_ATR_MULT": 1.0,
"KEY_LEVEL_TOLERANCE": 0.75
},
"metrics": {
"trades": 50,
"wr": 58.0,
"pf": 1.08,
"sharpe": 0.49,
"pnl_pips": 65.1,
"expectancy": 1.3
}
}
]
},
"S8_OB": {
"pair": "GBP_USD",
"combos_tested": 27,
"best_params": {
"DISPLACEMENT_ATR": 2.5,
"TP1_ATR_MULT": 2.0,
"OB_RETEST_WINDOW": 40
},
"is_best_metrics": {
"trades": 67,
"wr": 37.3,
"pf": 1.39,
"sharpe": 2.05,
"pnl_pips": 223.4,
"expectancy": 3.33
},
"oos_validation": {
"trades": 17,
"wr": 52.9,
"pf": 1.59,
"sharpe": 2.96,
"pnl_pips": 89.6,
"expectancy": 5.27
},
"generalization_score": 1.382,
"verdict": "PASS",
"is_results_ranked": [
{
"rank": 1,
"params": {
"DISPLACEMENT_ATR": 2.5,
"TP1_ATR_MULT": 2.0,
"OB_RETEST_WINDOW": 40
},
"metrics": {
"trades": 67,
"wr": 37.3,
"pf": 1.39,
"sharpe": 2.05,
"pnl_pips": 223.4,
"expectancy": 3.33
}
},
{
"rank": 2,
"params": {
"DISPLACEMENT_ATR": 2.5,
"TP1_ATR_MULT": 2.0,
"OB_RETEST_WINDOW": 30
},
"metrics": {
"trades": 59,
"wr": 37.3,
"pf": 1.33,
"sharpe": 1.78,
"pnl_pips": 168.0,
"expectancy": 2.85
}
},
{
"rank": 3,
"params": {
"DISPLACEMENT_ATR": 2.5,
"TP1_ATR_MULT": 1.5,
"OB_RETEST_WINDOW": 40
},
"metrics": {
"trades": 64,
"wr": 42.2,
"pf": 1.3,
"sharpe": 1.61,
"pnl_pips": 143.9,
"expectancy": 2.25
}
},
{
"rank": 4,
"params": {
"DISPLACEMENT_ATR": 2.5,
"TP1_ATR_MULT": 2.0,
"OB_RETEST_WINDOW": 50
},
"metrics": {
"trades": 69,
"wr": 36.2,
"pf": 1.26,
"sharpe": 1.44,
"pnl_pips": 163.8,
"expectancy": 2.37
}
},
{
"rank": 5,
"params": {
"DISPLACEMENT_ATR": 2.5,
"TP1_ATR_MULT": 1.5,
"OB_RETEST_WINDOW": 30
},
"metrics": {
"trades": 57,
"wr": 42.1,
"pf": 1.25,
"sharpe": 1.36,
"pnl_pips": 105.1,
"expectancy": 1.84
}
},
{
"rank": 6,
"params": {
"DISPLACEMENT_ATR": 2.5,
"TP1_ATR_MULT": 1.5,
"OB_RETEST_WINDOW": 50
},
"metrics": {
"trades": 66,
"wr": 42.4,
"pf": 1.22,
"sharpe": 1.23,
"pnl_pips": 114.6,
"expectancy": 1.74
}
},
{
"rank": 7,
"params": {
"DISPLACEMENT_ATR": 2.5,
"TP1_ATR_MULT": 1.0,
"OB_RETEST_WINDOW": 40
},
"metrics": {
"trades": 56,
"wr": 46.4,
"pf": 1.21,
"sharpe": 1.17,
"pnl_pips": 69.1,
"expectancy": 1.23
}
},
{
"rank": 8,
"params": {
"DISPLACEMENT_ATR": 2.5,
"TP1_ATR_MULT": 1.0,
"OB_RETEST_WINDOW": 50
},
"metrics": {
"trades": 58,
"wr": 46.6,
"pf": 1.1,
"sharpe": 0.58,
"pnl_pips": 36.5,
"expectancy": 0.63
}
},
{
"rank": 9,
"params": {
"DISPLACEMENT_ATR": 2.5,
"TP1_ATR_MULT": 1.0,
"OB_RETEST_WINDOW": 30
},
"metrics": {
"trades": 50,
"wr": 44.0,
"pf": 1.06,
"sharpe": 0.34,
"pnl_pips": 17.4,
"expectancy": 0.35
}
},
{
"rank": 10,
"params": {
"DISPLACEMENT_ATR": 2.0,
"TP1_ATR_MULT": 1.0,
"OB_RETEST_WINDOW": 40
},
"metrics": {
"trades": 107,
"wr": 46.7,
"pf": 1.02,
"sharpe": 0.15,
"pnl_pips": 16.4,
"expectancy": 0.15
}
},
{
"rank": 11,
"params": {
"DISPLACEMENT_ATR": 2.0,
"TP1_ATR_MULT": 1.5,
"OB_RETEST_WINDOW": 40
},
"metrics": {
"trades": 129,
"wr": 41.9,
"pf": 0.93,
"sharpe": -0.44,
"pnl_pips": -74.3,
"expectancy": -0.58
}
},
{
"rank": 12,
"params": {
"DISPLACEMENT_ATR": 2.0,
"TP1_ATR_MULT": 2.0,
"OB_RETEST_WINDOW": 40
},
"metrics": {
"trades": 132,
"wr": 35.6,
"pf": 0.92,
"sharpe": -0.54,
"pnl_pips": -113.7,
"expectancy": -0.86
}
},
{
"rank": 13,
"params": {
"DISPLACEMENT_ATR": 2.0,
"TP1_ATR_MULT": 1.0,
"OB_RETEST_WINDOW": 50
},
"metrics": {
"trades": 112,
"wr": 45.5,
"pf": 0.9,
"sharpe": -0.64,
"pnl_pips": -76.3,
"expectancy": -0.68
}
},
{
"rank": 14,
"params": {
"DISPLACEMENT_ATR": 2.0,
"TP1_ATR_MULT": 1.5,
"OB_RETEST_WINDOW": 30
},
"metrics": {
"trades": 116,
"wr": 40.5,
"pf": 0.88,
"sharpe": -0.79,
"pnl_pips": -117.3,
"expectancy": -1.01
}
},
{
"rank": 15,
"params": {
"DISPLACEMENT_ATR": 2.0,
"TP1_ATR_MULT": 1.5,
"OB_RETEST_WINDOW": 50
},
"metrics": {
"trades": 135,
"wr": 41.5,
"pf": 0.87,
"sharpe": -0.89,
"pnl_pips": -158.0,
"expectancy": -1.17
}
},
{
"rank": 16,
"params": {
"DISPLACEMENT_ATR": 2.0,
"TP1_ATR_MULT": 1.0,
"OB_RETEST_WINDOW": 30
},
"metrics": {
"trades": 95,
"wr": 43.2,
"pf": 0.87,
"sharpe": -0.89,
"pnl_pips": -85.9,
"expectancy": -0.9
}
},
{
"rank": 17,
"params": {
"DISPLACEMENT_ATR": 2.0,
"TP1_ATR_MULT": 2.0,
"OB_RETEST_WINDOW": 30
},
"metrics": {
"trades": 119,
"wr": 34.5,
"pf": 0.86,
"sharpe": -0.93,
"pnl_pips": -174.8,
"expectancy": -1.47
}
},
{
"rank": 18,
"params": {
"DISPLACEMENT_ATR": 2.0,
"TP1_ATR_MULT": 2.0,
"OB_RETEST_WINDOW": 50
},
"metrics": {
"trades": 139,
"wr": 34.5,
"pf": 0.83,
"sharpe": -1.13,
"pnl_pips": -250.2,
"expectancy": -1.8
}
},
{
"rank": 19,
"params": {
"DISPLACEMENT_ATR": 1.5,
"TP1_ATR_MULT": 2.0,
"OB_RETEST_WINDOW": 40
},
"metrics": {
"trades": 320,
"wr": 33.4,
"pf": 0.82,
"sharpe": -1.29,
"pnl_pips": -561.3,
"expectancy": -1.75
}
},
{
"rank": 20,
"params": {
"DISPLACEMENT_ATR": 1.5,
"TP1_ATR_MULT": 1.5,
"OB_RETEST_WINDOW": 40
},
"metrics": {
"trades": 319,
"wr": 38.9,
"pf": 0.8,
"sharpe": -1.47,
"pnl_pips": -535.9,
"expectancy": -1.68
}
},
{
"rank": 21,
"params": {
"DISPLACEMENT_ATR": 1.5,
"TP1_ATR_MULT": 1.5,
"OB_RETEST_WINDOW": 30
},
"metrics": {
"trades": 273,
"wr": 39.2,
"pf": 0.8,
"sharpe": -1.5,
"pnl_pips": -459.6,
"expectancy": -1.68
}
},
{
"rank": 22,
"params": {
"DISPLACEMENT_ATR": 1.5,
"TP1_ATR_MULT": 2.0,
"OB_RETEST_WINDOW": 30
},
"metrics": {
"trades": 273,
"wr": 33.3,
"pf": 0.8,
"sharpe": -1.4,
"pnl_pips": -517.0,
"expectancy": -1.89
}
},
{
"rank": 23,
"params": {
"DISPLACEMENT_ATR": 1.5,
"TP1_ATR_MULT": 1.0,
"OB_RETEST_WINDOW": 40
},
"metrics": {
"trades": 271,
"wr": 44.3,
"pf": 0.79,
"sharpe": -1.46,
"pnl_pips": -355.9,
"expectancy": -1.31
}
},
{
"rank": 24,
"params": {
"DISPLACEMENT_ATR": 1.5,
"TP1_ATR_MULT": 2.0,
"OB_RETEST_WINDOW": 50
},
"metrics": {
"trades": 329,
"wr": 33.4,
"pf": 0.78,
"sharpe": -1.62,
"pnl_pips": -724.8,
"expectancy": -2.2
}
},
{
"rank": 25,
"params": {
"DISPLACEMENT_ATR": 1.5,
"TP1_ATR_MULT": 1.0,
"OB_RETEST_WINDOW": 30
},
"metrics": {
"trades": 226,
"wr": 44.2,
"pf": 0.78,
"sharpe": -1.63,
"pnl_pips": -321.4,
"expectancy": -1.42
}
},
{
"rank": 26,
"params": {
"DISPLACEMENT_ATR": 1.5,
"TP1_ATR_MULT": 1.5,
"OB_RETEST_WINDOW": 50
},
"metrics": {
"trades": 327,
"wr": 39.1,
"pf": 0.77,
"sharpe": -1.69,
"pnl_pips": -633.6,
"expectancy": -1.94
}
},
{
"rank": 27,
"params": {
"DISPLACEMENT_ATR": 1.5,
"TP1_ATR_MULT": 1.0,
"OB_RETEST_WINDOW": 50
},
"metrics": {
"trades": 277,
"wr": 44.0,
"pf": 0.75,
"sharpe": -1.8,
"pnl_pips": -458.7,
"expectancy": -1.66
}
}
]
}
}
Reference in New Issue View Git Blame Copy Permalink