mirror of
https://github.com/BrentNeale1/fx-quant.git
synced 2026-08-13 10:18:06 +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
2.3 KiB
JSON
113 lines
2.3 KiB
JSON
{
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"instrument": "EUR_USD",
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"granularity": "M15",
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"run_time": "2026-02-17T04:05:33.220977+00:00",
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"data_range": {
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"start": "2025-02-18 04:45:00+00:00",
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"end": "2026-02-17 04:00:00+00:00",
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"bars": 24766
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},
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"metrics": {
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"starting_equity": 100000.0,
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"total_return_pct": 0.2026,
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"max_drawdown_pct": 0.0716,
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"num_trades": 792,
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"round_trips": 396,
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"win_rate_pct": 48.99,
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"sharpe_ratio": 5.6852,
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"final_equity": 100202.61
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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": 99991.06,
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"pnl": -8.94,
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"pnl_pct": -0.0089
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},
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{
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"month": "2025-03",
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"start_equity": 99991.06,
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"end_equity": 100028.15,
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"pnl": 37.09,
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"pnl_pct": 0.0371
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},
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{
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"month": "2025-04",
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"start_equity": 100028.15,
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"end_equity": 100119.79,
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"pnl": 91.65,
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"pnl_pct": 0.0916
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},
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{
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"month": "2025-05",
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"start_equity": 100119.79,
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"end_equity": 100111.46,
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"pnl": -8.33,
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"pnl_pct": -0.0083
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},
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{
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"month": "2025-06",
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"start_equity": 100111.46,
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"end_equity": 100172.69,
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"pnl": 61.23,
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"pnl_pct": 0.0612
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},
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{
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"month": "2025-07",
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"start_equity": 100172.69,
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"end_equity": 100116.29,
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"pnl": -56.4,
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"pnl_pct": -0.0563
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},
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{
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"month": "2025-08",
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"start_equity": 100116.29,
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"end_equity": 100118.32,
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"pnl": 2.03,
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"pnl_pct": 0.002
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},
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{
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"month": "2025-09",
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"start_equity": 100118.32,
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"end_equity": 100143.18,
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"pnl": 24.85,
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"pnl_pct": 0.0248
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},
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{
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"month": "2025-10",
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"start_equity": 100143.18,
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"end_equity": 100127.12,
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"pnl": -16.06,
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"pnl_pct": -0.016
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},
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{
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"month": "2025-11",
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"start_equity": 100127.12,
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"end_equity": 100144.22,
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"pnl": 17.1,
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"pnl_pct": 0.0171
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},
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{
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"month": "2025-12",
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"start_equity": 100144.22,
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"end_equity": 100163.99,
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"pnl": 19.76,
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"pnl_pct": 0.0197
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},
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{
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"month": "2026-01",
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"start_equity": 100163.99,
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"end_equity": 100187.04,
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"pnl": 23.05,
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"pnl_pct": 0.023
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},
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{
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"month": "2026-02",
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"start_equity": 100187.04,
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"end_equity": 100202.61,
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"pnl": 15.57,
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"pnl_pct": 0.0155
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}
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]
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} |