mirror of
https://github.com/BrentNeale1/fx-quant.git
synced 2026-08-16 11:38:06 +00:00
Brent NealeandClaude Opus 4.6
7657d4b1b3
Implemented and backtested 5 new strategies adapted to M15 timeframe: - S12 Asian Range Sweep (best OOS PF 0.66) - S13 Bollinger-Keltner Squeeze (best OOS PF 0.79) - S14 London Fix post-fix reversal (best OOS PF 0.52) - S15 Momentum Continuation (best OOS PF 0.87) - S16 London ORB (best OOS PF 0.63) Added Bollinger Bands and Keltner Channels to indicator pipeline. None passed generalization — these strategies need M5/M30 data. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
622 lines
12 KiB
JSON
622 lines
12 KiB
JSON
{
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"S12_GBP_JPY": {
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"pair": "GBP_JPY",
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"timeframe": "M15",
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"is_metrics": {
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"trades": 35,
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"wr": 42.9,
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"pf": 0.74,
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"sharpe": -2.1,
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"pnl_pips": -93.2,
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"max_dd_pips": -103.2,
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"expectancy": -2.66
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},
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"oos_metrics": {
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"trades": 11,
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"wr": 45.5,
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"pf": 0.53,
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"sharpe": -4.41,
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"pnl_pips": -58.4,
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"max_dd_pips": -71.1,
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"expectancy": -5.31
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},
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"generalization": {
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"composite": 0.444,
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"detail": {
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"wr": 1.061,
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"pf": 0.716,
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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": {
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"pair": "GBP_USD",
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"timeframe": "M15",
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"is_metrics": {
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"trades": 63,
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"wr": 33.3,
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"pf": 0.43,
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"sharpe": -5.67,
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"pnl_pips": -323.5,
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"max_dd_pips": -339.6,
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"expectancy": -5.14
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},
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"oos_metrics": {
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"trades": 25,
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"wr": 48.0,
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"pf": 0.66,
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"sharpe": -2.94,
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"pnl_pips": -61.3,
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"max_dd_pips": -122.6,
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"expectancy": -2.45
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},
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"generalization": {
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"composite": 0.744,
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"detail": {
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"wr": 1.441,
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"pf": 1.535,
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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_EUR_USD": {
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"pair": "EUR_USD",
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"timeframe": "M15",
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"is_metrics": {
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"trades": 52,
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"wr": 38.5,
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"pf": 0.53,
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"sharpe": -4.52,
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"pnl_pips": -174.9,
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"max_dd_pips": -210.6,
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"expectancy": -3.36
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},
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"oos_metrics": {
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"trades": 20,
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"wr": 30.0,
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"pf": 0.46,
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"sharpe": -5.78,
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"pnl_pips": -72.6,
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"max_dd_pips": -80.9,
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"expectancy": -3.63
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},
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"generalization": {
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"composite": 0.412,
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"detail": {
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"wr": 0.779,
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"pf": 0.868,
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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_USD_JPY": {
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"pair": "USD_JPY",
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"timeframe": "M15",
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"is_metrics": {
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"trades": 18,
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"wr": 33.3,
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"pf": 0.3,
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"sharpe": -8.57,
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"pnl_pips": -118.5,
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"max_dd_pips": -132.1,
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"expectancy": -6.58
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},
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"oos_metrics": {
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"trades": 8,
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"wr": 37.5,
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"pf": 0.57,
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"sharpe": -3.81,
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"pnl_pips": -31.8,
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"max_dd_pips": -47.4,
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"expectancy": -3.98
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},
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"generalization": {
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"composite": 0.757,
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"detail": {
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"wr": 1.126,
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"pf": 1.9,
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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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"S13_GBP_JPY": {
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"pair": "GBP_JPY",
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"timeframe": "M15",
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"is_metrics": {
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"trades": 294,
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"wr": 46.9,
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"pf": 0.75,
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"sharpe": -2.03,
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"pnl_pips": -934.9,
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"max_dd_pips": -1184.4,
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"expectancy": -3.18
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},
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"oos_metrics": {
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"trades": 94,
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"wr": 42.6,
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"pf": 0.79,
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"sharpe": -1.76,
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"pnl_pips": -291.3,
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"max_dd_pips": -352.9,
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"expectancy": -3.1
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},
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"generalization": {
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"composite": 0.49,
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"detail": {
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"wr": 0.908,
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"pf": 1.053,
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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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"S13_EUR_USD": {
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"pair": "EUR_USD",
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"timeframe": "M15",
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"is_metrics": {
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"trades": 232,
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"wr": 46.1,
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"pf": 0.83,
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"sharpe": -1.29,
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"pnl_pips": -276.5,
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"max_dd_pips": -433.4,
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"expectancy": -1.19
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},
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"oos_metrics": {
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"trades": 76,
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"wr": 43.4,
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"pf": 0.72,
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"sharpe": -2.4,
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"pnl_pips": -174.5,
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"max_dd_pips": -269.4,
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"expectancy": -2.3
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},
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"generalization": {
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"composite": 0.452,
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"detail": {
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"wr": 0.941,
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"pf": 0.867,
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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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"S13_GBP_USD": {
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"pair": "GBP_USD",
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"timeframe": "M15",
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"is_metrics": {
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"trades": 207,
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"wr": 41.1,
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"pf": 0.69,
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"sharpe": -2.62,
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"pnl_pips": -680.7,
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"max_dd_pips": -809.6,
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"expectancy": -3.29
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},
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"oos_metrics": {
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"trades": 70,
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"wr": 42.9,
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"pf": 0.72,
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"sharpe": -2.34,
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"pnl_pips": -191.8,
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"max_dd_pips": -268.5,
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"expectancy": -2.74
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},
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"generalization": {
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"composite": 0.522,
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"detail": {
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"wr": 1.044,
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"pf": 1.043,
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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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"S13_USD_JPY": {
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"pair": "USD_JPY",
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"timeframe": "M15",
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"is_metrics": {
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"trades": 268,
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"wr": 41.4,
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"pf": 0.77,
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"sharpe": -1.79,
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"pnl_pips": -503.6,
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"max_dd_pips": -720.3,
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"expectancy": -1.88
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},
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"oos_metrics": {
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"trades": 76,
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"wr": 39.5,
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"pf": 0.66,
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"sharpe": -2.99,
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"pnl_pips": -322.6,
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"max_dd_pips": -326.6,
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"expectancy": -4.25
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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": 0.954,
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"pf": 0.857,
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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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"S14_GBP_USD": {
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"pair": "GBP_USD",
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"timeframe": "M15",
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"is_metrics": {
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"trades": 23,
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"wr": 34.8,
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"pf": 0.55,
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"sharpe": -4.43,
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"pnl_pips": -89.1,
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"max_dd_pips": -127.5,
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"expectancy": -3.87
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},
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"oos_metrics": {
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"trades": 2,
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"wr": 0.0,
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"pf": 0.0,
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"sharpe": -11.22,
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"pnl_pips": -10.6,
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"max_dd_pips": -10.6,
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"expectancy": -5.29
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},
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"generalization": {
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"composite": 0.0,
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"detail": {
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"wr": 0.0,
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"pf": 0.0,
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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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"S14_EUR_USD": {
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"pair": "EUR_USD",
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"timeframe": "M15",
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"is_metrics": {
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"trades": 20,
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"wr": 30.0,
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"pf": 0.45,
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"sharpe": -5.31,
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"pnl_pips": -80.9,
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"max_dd_pips": -103.0,
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"expectancy": -4.04
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},
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"oos_metrics": {
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"trades": 3,
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"wr": 0.0,
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"pf": 0.0,
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"sharpe": -50.87,
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"pnl_pips": -35.9,
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"max_dd_pips": -25.0,
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"expectancy": -11.96
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},
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"generalization": {
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"composite": 0.0,
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"detail": {
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"wr": 0.0,
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"pf": 0.0,
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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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"S14_EUR_GBP": {
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"pair": "EUR_GBP",
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"timeframe": "M15",
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"is_metrics": {
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"trades": 16,
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"wr": 43.8,
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"pf": 0.45,
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"sharpe": -5.64,
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"pnl_pips": -42.1,
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"max_dd_pips": -48.6,
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"expectancy": -2.63
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},
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"oos_metrics": {
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"trades": 4,
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"wr": 50.0,
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"pf": 0.4,
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"sharpe": -5.02,
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"pnl_pips": -8.5,
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"max_dd_pips": -2.8,
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"expectancy": -2.12
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},
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"generalization": {
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"composite": 0.508,
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"detail": {
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"wr": 1.142,
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"pf": 0.889,
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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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"S14_GBP_JPY": {
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"pair": "GBP_JPY",
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"timeframe": "M15",
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"is_metrics": {
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"trades": 24,
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"wr": 37.5,
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"pf": 0.51,
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"sharpe": -4.52,
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"pnl_pips": -124.1,
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"max_dd_pips": -147.8,
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"expectancy": -5.17
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},
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"oos_metrics": {
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"trades": 8,
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"wr": 37.5,
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"pf": 0.52,
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"sharpe": -4.07,
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"pnl_pips": -47.9,
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"max_dd_pips": -49.1,
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"expectancy": -5.98
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},
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"generalization": {
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"composite": 0.505,
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"detail": {
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"wr": 1.0,
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"pf": 1.02,
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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": {
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"pair": "GBP_JPY",
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"timeframe": "M15",
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"is_metrics": {
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"trades": 473,
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"wr": 38.9,
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"pf": 0.8,
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"sharpe": -1.45,
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"pnl_pips": -1392.7,
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"max_dd_pips": -1549.2,
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"expectancy": -2.94
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},
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"oos_metrics": {
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"trades": 166,
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"wr": 33.7,
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"pf": 0.57,
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"sharpe": -3.71,
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"pnl_pips": -1277.8,
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"max_dd_pips": -1460.8,
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"expectancy": -7.7
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},
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"generalization": {
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"composite": 0.395,
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"detail": {
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"wr": 0.866,
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"pf": 0.712,
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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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"S15_USD_JPY": {
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"pair": "USD_JPY",
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"timeframe": "M15",
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"is_metrics": {
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"trades": 505,
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"wr": 44.0,
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"pf": 0.94,
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"sharpe": -0.39,
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"pnl_pips": -236.4,
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"max_dd_pips": -497.2,
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"expectancy": -0.47
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},
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"oos_metrics": {
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"trades": 161,
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"wr": 41.6,
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"pf": 0.79,
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"sharpe": -1.65,
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"pnl_pips": -398.2,
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"max_dd_pips": -596.8,
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"expectancy": -2.47
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},
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"generalization": {
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"composite": 0.446,
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"detail": {
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"wr": 0.945,
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"pf": 0.84,
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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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"S15_GBP_USD": {
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"pair": "GBP_USD",
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"timeframe": "M15",
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"is_metrics": {
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"trades": 529,
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"wr": 37.4,
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"pf": 0.72,
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"sharpe": -2.18,
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"pnl_pips": -1787.4,
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"max_dd_pips": -1822.5,
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"expectancy": -3.38
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},
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"oos_metrics": {
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"trades": 171,
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"wr": 42.1,
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"pf": 0.87,
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"sharpe": -0.99,
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"pnl_pips": -237.1,
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"max_dd_pips": -393.5,
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"expectancy": -1.39
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},
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"generalization": {
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"composite": 0.584,
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"detail": {
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"wr": 1.126,
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"pf": 1.208,
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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": {
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"pair": "EUR_USD",
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"timeframe": "M15",
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"is_metrics": {
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"trades": 531,
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"wr": 41.1,
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"pf": 0.74,
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"sharpe": -2.09,
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"pnl_pips": -1144.3,
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"max_dd_pips": -1321.8,
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"expectancy": -2.16
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},
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"oos_metrics": {
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"trades": 180,
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"wr": 37.8,
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"pf": 0.59,
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"sharpe": -3.78,
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"pnl_pips": -605.0,
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"max_dd_pips": -633.6,
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"expectancy": -3.36
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},
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"generalization": {
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"composite": 0.429,
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"detail": {
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"wr": 0.92,
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"pf": 0.797,
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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": {
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"pair": "GBP_JPY",
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"timeframe": "M15",
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"is_metrics": {
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"trades": 0,
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"wr": 0,
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"pf": 0,
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"sharpe": 0,
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"pnl_pips": 0,
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"max_dd_pips": 0,
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"expectancy": 0
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},
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"oos_metrics": {
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"trades": 0,
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"wr": 0,
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"pf": 0,
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"sharpe": 0,
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"pnl_pips": 0,
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|
"max_dd_pips": 0,
|
|
"expectancy": 0
|
|
},
|
|
"generalization": {
|
|
"composite": 0,
|
|
"detail": {},
|
|
"verdict": "FAIL"
|
|
}
|
|
},
|
|
"S16_GBP_USD": {
|
|
"pair": "GBP_USD",
|
|
"timeframe": "M15",
|
|
"is_metrics": {
|
|
"trades": 0,
|
|
"wr": 0,
|
|
"pf": 0,
|
|
"sharpe": 0,
|
|
"pnl_pips": 0,
|
|
"max_dd_pips": 0,
|
|
"expectancy": 0
|
|
},
|
|
"oos_metrics": {
|
|
"trades": 0,
|
|
"wr": 0,
|
|
"pf": 0,
|
|
"sharpe": 0,
|
|
"pnl_pips": 0,
|
|
"max_dd_pips": 0,
|
|
"expectancy": 0
|
|
},
|
|
"generalization": {
|
|
"composite": 0,
|
|
"detail": {},
|
|
"verdict": "FAIL"
|
|
}
|
|
},
|
|
"S16_EUR_USD": {
|
|
"pair": "EUR_USD",
|
|
"timeframe": "M15",
|
|
"is_metrics": {
|
|
"trades": 0,
|
|
"wr": 0,
|
|
"pf": 0,
|
|
"sharpe": 0,
|
|
"pnl_pips": 0,
|
|
"max_dd_pips": 0,
|
|
"expectancy": 0
|
|
},
|
|
"oos_metrics": {
|
|
"trades": 0,
|
|
"wr": 0,
|
|
"pf": 0,
|
|
"sharpe": 0,
|
|
"pnl_pips": 0,
|
|
"max_dd_pips": 0,
|
|
"expectancy": 0
|
|
},
|
|
"generalization": {
|
|
"composite": 0,
|
|
"detail": {},
|
|
"verdict": "FAIL"
|
|
}
|
|
},
|
|
"S16_USD_JPY": {
|
|
"pair": "USD_JPY",
|
|
"timeframe": "M15",
|
|
"is_metrics": {
|
|
"trades": 0,
|
|
"wr": 0,
|
|
"pf": 0,
|
|
"sharpe": 0,
|
|
"pnl_pips": 0,
|
|
"max_dd_pips": 0,
|
|
"expectancy": 0
|
|
},
|
|
"oos_metrics": {
|
|
"trades": 0,
|
|
"wr": 0,
|
|
"pf": 0,
|
|
"sharpe": 0,
|
|
"pnl_pips": 0,
|
|
"max_dd_pips": 0,
|
|
"expectancy": 0
|
|
},
|
|
"generalization": {
|
|
"composite": 0,
|
|
"detail": {},
|
|
"verdict": "FAIL"
|
|
}
|
|
}
|
|
} |