mirror of
https://github.com/BrentNeale1/fx-quant.git
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Brent Neale
ea5472b737
Tested all 9 untested strategies across 22 pair combos. S8 Order Block on GBP_USD was the standout: OOS PF=2.14, WR=65.4%, Gen=1.850 PASS. Parameter sweep confirmed DISPLACEMENT_ATR=2.0, TP1_ATR_MULT=1.0, OB_RETEST_WINDOW=40 as best params (all top-5 PASS OOS validation). Portfolio now 4 strategies: S7_Tight, S9_Filtered, S3, S8_OB. OOS portfolio: 82 trades, PF=1.61, WR=64.6%, Sharpe=2.98, +672 pips. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
160 lines
3.0 KiB
JSON
160 lines
3.0 KiB
JSON
{
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"S7_Tight": {
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"pair": "GBP_JPY",
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"timeframe": "H1",
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"is_metrics": {
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"trades": 23,
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"wr": 69.6,
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"pf": 1.52,
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"sharpe": 2.89,
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"pnl_pips": 207.2,
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"max_dd_pips": -205.7,
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"expectancy": 9.01
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},
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"oos_metrics": {
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"trades": 15,
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"wr": 73.3,
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"pf": 1.8,
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"sharpe": 3.96,
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"pnl_pips": 200.1,
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"max_dd_pips": -73.5,
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"expectancy": 13.34
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},
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"generalization": {
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"composite": 1.272,
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"detail": {
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"wr": 1.053,
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"pf": 1.184,
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"expectancy": 1.481,
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"sharpe": 1.37
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},
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"verdict": "PASS"
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}
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},
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"S9_Filtered": {
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"pair": "GBP_AUD",
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"timeframe": "H1",
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"is_metrics": {
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"trades": 42,
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"wr": 59.5,
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"pf": 1.31,
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"sharpe": 1.89,
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"pnl_pips": 299.5,
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"max_dd_pips": -393.2,
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"expectancy": 7.13
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},
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"oos_metrics": {
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"trades": 9,
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"wr": 66.7,
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"pf": 2.26,
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"sharpe": 5.45,
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"pnl_pips": 217.8,
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"max_dd_pips": -49.6,
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"expectancy": 24.19
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},
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"generalization": {
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"composite": 1.712,
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"detail": {
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"wr": 1.121,
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"pf": 1.725,
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"expectancy": 2.0,
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"sharpe": 2.0
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},
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"verdict": "PASS"
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}
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},
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"S3": {
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"pair": "GBP_JPY",
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"timeframe": "H1",
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"is_metrics": {
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"trades": 84,
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"wr": 53.6,
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"pf": 1.22,
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"sharpe": 1.26,
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"pnl_pips": 359.2,
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"max_dd_pips": -335.7,
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"expectancy": 4.28
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},
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"oos_metrics": {
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"trades": 32,
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"wr": 59.4,
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"pf": 1.23,
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"sharpe": 1.47,
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"pnl_pips": 135.5,
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"max_dd_pips": -182.9,
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"expectancy": 4.24
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},
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"generalization": {
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"composite": 1.068,
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"detail": {
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"wr": 1.108,
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"pf": 1.008,
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"expectancy": 0.991,
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"sharpe": 1.167
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},
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"verdict": "PASS"
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}
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},
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"S8_OB": {
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"pair": "GBP_USD",
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"timeframe": "M15",
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"is_metrics": {
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"trades": 107,
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"wr": 46.7,
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"pf": 1.02,
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"sharpe": 0.15,
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"pnl_pips": 16.4,
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"max_dd_pips": -116.1,
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"expectancy": 0.15
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},
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"oos_metrics": {
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"trades": 26,
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"wr": 65.4,
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"pf": 2.14,
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"sharpe": 4.55,
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"pnl_pips": 119.0,
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"max_dd_pips": -51.6,
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"expectancy": 4.58
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},
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"generalization": {
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"composite": 1.85,
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"detail": {
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"wr": 1.4,
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"pf": 2.0,
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"expectancy": 2.0,
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"sharpe": 2.0
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},
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"verdict": "PASS"
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}
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},
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"_portfolio": {
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"is_metrics": {
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"trades": 256,
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"wr": 53.1,
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"pf": 1.24,
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"sharpe": 1.27,
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"pnl_pips": 882.2,
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"max_dd_pips": -597.5,
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"expectancy": 3.45
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},
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"oos_metrics": {
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"trades": 82,
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"wr": 64.6,
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"pf": 1.61,
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"sharpe": 2.98,
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"pnl_pips": 672.3,
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"max_dd_pips": -182.9,
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"expectancy": 8.2
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},
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"generalization": {
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"composite": 1.629,
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"detail": {
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"wr": 1.217,
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"pf": 1.298,
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"expectancy": 2.0,
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"sharpe": 2.0
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},
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"verdict": "PASS"
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}
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}
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} |