mirror of
https://github.com/BrentNeale1/fx-quant.git
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Brent NealeandClaude Opus 4.6
a4ec5fb0a5
Downloaded M5 data via Dukascopy for GBP_JPY, GBP_USD, EUR_USD, USD_JPY (~200k bars each, 2021-2024). Added M5 to validate_and_split pipeline. Tested S12 (Asian Range Sweep), S15 (Momentum Continuation), S16 (London ORB) with M5-scaled parameters. No viable edge found — best result was S16_GBP_JPY OOS PF=1.03 but IS was negative (PF=0.71). Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
386 lines
7.5 KiB
JSON
386 lines
7.5 KiB
JSON
{
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"S12_GBP_JPY_M5": {
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"pair": "GBP_JPY",
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"timeframe": "M5",
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"is_metrics": {
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"trades": 138,
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"wr": 37.0,
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"pf": 0.67,
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"sharpe": -2.74,
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"pnl_pips": -425.4,
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"max_dd_pips": -543.8,
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"expectancy": -3.08
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},
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"oos_metrics": {
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"trades": 42,
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"wr": 35.7,
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"pf": 0.69,
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"sharpe": -2.63,
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"pnl_pips": -143.2,
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"max_dd_pips": -230.1,
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"expectancy": -3.41
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},
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"generalization": {
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"composite": 0.499,
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"detail": {
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"wr": 0.965,
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"pf": 1.03,
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"expectancy": 0,
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"sharpe": 0
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},
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"verdict": "FAIL"
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}
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},
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"S12_GBP_USD_M5": {
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"pair": "GBP_USD",
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"timeframe": "M5",
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"is_metrics": {
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"trades": 230,
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"wr": 43.0,
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"pf": 0.85,
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"sharpe": -1.11,
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"pnl_pips": -221.0,
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"max_dd_pips": -311.7,
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"expectancy": -0.96
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},
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"oos_metrics": {
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"trades": 70,
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"wr": 35.7,
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"pf": 0.6,
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"sharpe": -3.6,
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"pnl_pips": -190.1,
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"max_dd_pips": -243.5,
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"expectancy": -2.72
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},
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"generalization": {
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"composite": 0.384,
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"detail": {
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"wr": 0.83,
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"pf": 0.706,
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"expectancy": 0,
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"sharpe": 0
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},
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"verdict": "FAIL"
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}
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},
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"S12_EUR_USD_M5": {
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"pair": "EUR_USD",
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"timeframe": "M5",
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"is_metrics": {
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"trades": 206,
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"wr": 31.6,
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"pf": 0.47,
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"sharpe": -5.49,
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"pnl_pips": -658.9,
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"max_dd_pips": -675.5,
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"expectancy": -3.2
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},
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"oos_metrics": {
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"trades": 74,
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"wr": 36.5,
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"pf": 0.53,
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"sharpe": -4.69,
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"pnl_pips": -188.1,
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"max_dd_pips": -198.1,
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"expectancy": -2.54
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},
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"generalization": {
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"composite": 0.571,
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"detail": {
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"wr": 1.155,
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"pf": 1.128,
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"expectancy": 0,
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"sharpe": 0
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},
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"verdict": "WARN"
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}
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},
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"S12_USD_JPY_M5": {
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"pair": "USD_JPY",
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"timeframe": "M5",
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"is_metrics": {
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"trades": 70,
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"wr": 35.7,
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"pf": 0.55,
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"sharpe": -3.91,
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"pnl_pips": -186.0,
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"max_dd_pips": -189.5,
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"expectancy": -2.66
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},
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"oos_metrics": {
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"trades": 26,
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"wr": 34.6,
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"pf": 0.77,
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"sharpe": -1.85,
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"pnl_pips": -40.0,
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"max_dd_pips": -85.2,
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"expectancy": -1.54
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},
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"generalization": {
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"composite": 0.592,
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"detail": {
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"wr": 0.969,
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"pf": 1.4,
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"expectancy": 0,
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"sharpe": 0
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},
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"verdict": "WARN"
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}
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},
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"S15_GBP_JPY_M5": {
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"pair": "GBP_JPY",
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"timeframe": "M5",
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"is_metrics": {
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"trades": 1692,
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"wr": 41.1,
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"pf": 0.77,
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"sharpe": -1.73,
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"pnl_pips": -4612.5,
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"max_dd_pips": -4697.3,
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"expectancy": -2.73
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},
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"oos_metrics": {
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"trades": 519,
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"wr": 42.2,
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"pf": 0.87,
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"sharpe": -0.97,
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"pnl_pips": -844.3,
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"max_dd_pips": -1292.3,
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"expectancy": -1.63
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},
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"generalization": {
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"composite": 0.539,
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"detail": {
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"wr": 1.027,
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"pf": 1.13,
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"expectancy": 0,
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"sharpe": 0
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},
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"verdict": "WARN"
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}
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},
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"S15_GBP_USD_M5": {
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"pair": "GBP_USD",
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"timeframe": "M5",
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"is_metrics": {
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"trades": 1771,
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"wr": 38.8,
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"pf": 0.74,
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"sharpe": -2.0,
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"pnl_pips": -4256.1,
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"max_dd_pips": -4292.4,
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"expectancy": -2.4
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},
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"oos_metrics": {
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"trades": 534,
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"wr": 39.9,
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"pf": 0.79,
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"sharpe": -1.58,
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"pnl_pips": -969.8,
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"max_dd_pips": -1129.9,
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"expectancy": -1.82
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},
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"generalization": {
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"composite": 0.524,
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"detail": {
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"wr": 1.028,
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"pf": 1.068,
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"expectancy": 0,
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"sharpe": 0
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},
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"verdict": "WARN"
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}
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},
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"S15_EUR_USD_M5": {
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"pair": "EUR_USD",
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"timeframe": "M5",
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"is_metrics": {
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"trades": 1743,
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"wr": 38.5,
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"pf": 0.65,
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"sharpe": -2.99,
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"pnl_pips": -4400.2,
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"max_dd_pips": -4408.4,
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"expectancy": -2.52
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},
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"oos_metrics": {
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"trades": 545,
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"wr": 39.4,
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"pf": 0.69,
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"sharpe": -2.57,
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"pnl_pips": -1120.2,
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"max_dd_pips": -1206.2,
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"expectancy": -2.06
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},
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"generalization": {
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"composite": 0.521,
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"detail": {
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"wr": 1.023,
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"pf": 1.062,
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"expectancy": 0,
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"sharpe": 0
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},
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"verdict": "WARN"
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}
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},
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"S15_USD_JPY_M5": {
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"pair": "USD_JPY",
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"timeframe": "M5",
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"is_metrics": {
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"trades": 1660,
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"wr": 39.9,
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"pf": 0.79,
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"sharpe": -1.44,
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"pnl_pips": -2511.8,
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"max_dd_pips": -2819.3,
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"expectancy": -1.51
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},
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"oos_metrics": {
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"trades": 586,
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"wr": 35.5,
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"pf": 0.73,
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"sharpe": -2.01,
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"pnl_pips": -1520.9,
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"max_dd_pips": -1579.0,
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"expectancy": -2.6
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},
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"generalization": {
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"composite": 0.453,
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"detail": {
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"wr": 0.89,
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"pf": 0.924,
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"expectancy": 0,
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"sharpe": 0
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},
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"verdict": "FAIL"
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}
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},
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"S16_GBP_JPY_M5": {
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"pair": "GBP_JPY",
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"timeframe": "M5",
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"is_metrics": {
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"trades": 299,
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"wr": 36.5,
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"pf": 0.71,
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"sharpe": -2.3,
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"pnl_pips": -898.0,
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"max_dd_pips": -1161.0,
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"expectancy": -3.0
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},
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"oos_metrics": {
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"trades": 98,
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"wr": 39.8,
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"pf": 1.03,
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"sharpe": 0.2,
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"pnl_pips": 33.3,
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"max_dd_pips": -339.8,
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"expectancy": 0.34
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},
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"generalization": {
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"composite": 0.635,
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"detail": {
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"wr": 1.09,
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"pf": 1.451,
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"expectancy": 0,
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"sharpe": 0
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},
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"verdict": "WARN"
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}
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},
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"S16_GBP_USD_M5": {
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"pair": "GBP_USD",
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"timeframe": "M5",
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"is_metrics": {
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"trades": 354,
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"wr": 28.8,
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"pf": 0.53,
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"sharpe": -4.42,
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"pnl_pips": -1470.2,
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"max_dd_pips": -1479.1,
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"expectancy": -4.15
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},
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"oos_metrics": {
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"trades": 108,
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"wr": 36.1,
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"pf": 0.7,
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"sharpe": -2.55,
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"pnl_pips": -248.1,
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"max_dd_pips": -300.2,
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"expectancy": -2.3
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},
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"generalization": {
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"composite": 0.644,
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"detail": {
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"wr": 1.253,
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"pf": 1.321,
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"expectancy": 0,
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"sharpe": 0
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},
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"verdict": "WARN"
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}
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},
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"S16_EUR_USD_M5": {
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"pair": "EUR_USD",
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"timeframe": "M5",
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"is_metrics": {
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"trades": 369,
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"wr": 36.6,
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"pf": 0.64,
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"sharpe": -3.12,
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"pnl_pips": -795.4,
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"max_dd_pips": -838.1,
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"expectancy": -2.16
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},
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"oos_metrics": {
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"trades": 108,
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"wr": 32.4,
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"pf": 0.48,
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"sharpe": -5.41,
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"pnl_pips": -356.9,
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"max_dd_pips": -346.1,
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"expectancy": -3.3
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},
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"generalization": {
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"composite": 0.409,
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"detail": {
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"wr": 0.885,
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"pf": 0.75,
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"expectancy": 0,
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"sharpe": 0
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},
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"verdict": "FAIL"
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}
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},
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"S16_USD_JPY_M5": {
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"pair": "USD_JPY",
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"timeframe": "M5",
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"is_metrics": {
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"trades": 306,
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"wr": 42.2,
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"pf": 0.79,
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"sharpe": -1.45,
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"pnl_pips": -367.6,
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"max_dd_pips": -425.6,
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"expectancy": -1.2
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},
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"oos_metrics": {
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"trades": 95,
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"wr": 31.6,
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"pf": 0.64,
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"sharpe": -2.89,
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"pnl_pips": -318.0,
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"max_dd_pips": -493.6,
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"expectancy": -3.35
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},
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"generalization": {
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"composite": 0.39,
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"detail": {
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"wr": 0.749,
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"pf": 0.81,
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"expectancy": 0,
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"sharpe": 0
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},
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"verdict": "FAIL"
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}
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}
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} |