mirror of
https://github.com/BrentNeale1/fx-quant.git
synced 2026-08-12 17:58:05 +00:00
Brent NealeandClaude Opus 4.6
f4734f57c7
Added parameter sweep tool that tested 320 combinations across SMA periods, trade sizes, and RSI filters. Best result: SMA 50/100 on M15 with RSI 80/20 (Sharpe 5.69, 49% win rate). Updated backtester with RSI overbought/oversold signal filtering and config to match optimal parameters. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
113 lines
2.4 KiB
JSON
113 lines
2.4 KiB
JSON
{
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"instrument": "EUR_USD",
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"granularity": "M5",
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"run_time": "2026-02-17T04:04:59.620077+00:00",
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"data_range": {
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"start": "2025-02-17 12:10:00+00:00",
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"end": "2026-02-17 03:55:00+00:00",
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"bars": 74486
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},
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"metrics": {
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"starting_equity": 100000.0,
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"total_return_pct": 0.0779,
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"max_drawdown_pct": 0.1162,
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"num_trades": 2398,
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"round_trips": 1199,
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"win_rate_pct": 46.12,
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"sharpe_ratio": 1.2429,
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"final_equity": 100077.9
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},
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"monthly_pnl": [
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{
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"month": "2025-02",
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"start_equity": 100000.0,
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"end_equity": 99985.78,
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"pnl": -14.22,
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"pnl_pct": -0.0142
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},
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{
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"month": "2025-03",
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"start_equity": 99985.78,
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"end_equity": 100004.32,
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"pnl": 18.54,
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"pnl_pct": 0.0185
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},
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{
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"month": "2025-04",
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"start_equity": 100004.32,
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"end_equity": 100113.96,
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"pnl": 109.64,
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"pnl_pct": 0.1096
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},
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{
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"month": "2025-05",
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"start_equity": 100113.96,
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"end_equity": 100119.43,
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"pnl": 5.47,
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"pnl_pct": 0.0055
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},
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{
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"month": "2025-06",
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"start_equity": 100119.43,
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"end_equity": 100120.13,
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"pnl": 0.7,
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"pnl_pct": 0.0007
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},
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{
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"month": "2025-07",
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"start_equity": 100120.13,
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"end_equity": 100102.3,
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"pnl": -17.83,
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"pnl_pct": -0.0178
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},
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{
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"month": "2025-08",
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"start_equity": 100102.3,
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"end_equity": 100108.24,
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"pnl": 5.94,
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"pnl_pct": 0.0059
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},
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{
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"month": "2025-09",
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"start_equity": 100108.24,
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"end_equity": 100119.99,
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"pnl": 11.75,
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"pnl_pct": 0.0117
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},
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{
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"month": "2025-10",
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"start_equity": 100119.99,
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"end_equity": 100081.04,
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"pnl": -38.95,
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"pnl_pct": -0.0389
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},
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{
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"month": "2025-11",
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"start_equity": 100081.04,
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"end_equity": 100065.94,
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"pnl": -15.09,
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"pnl_pct": -0.0151
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},
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{
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"month": "2025-12",
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"start_equity": 100065.94,
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"end_equity": 100074.04,
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"pnl": 8.1,
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"pnl_pct": 0.0081
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},
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{
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"month": "2026-01",
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"start_equity": 100074.04,
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"end_equity": 100101.75,
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"pnl": 27.71,
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"pnl_pct": 0.0277
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},
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{
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"month": "2026-02",
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"start_equity": 100101.75,
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"end_equity": 100077.9,
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"pnl": -23.85,
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"pnl_pct": -0.0238
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}
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]
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} |