mirror of
https://github.com/BrentNeale1/fx-quant.git
synced 2026-08-09 00:27:45 +00:00
Brent Neale
4f911b2072
Externalize hardcoded params in S4F (5 params) and S3 (9 params) as class attributes for sweep compatibility. Add unified backtest runner with IS/OOS validation and generalization scores, plus parameter grid sweep (90 combos) with OOS validation. S7/S9/S9_Filtered pass generalization; S4F/S3 confirm defaults are near-optimal. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
192 lines
3.7 KiB
JSON
192 lines
3.7 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": 63,
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"wr": 52.4,
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"pf": 0.68,
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"sharpe": -2.71,
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"pnl_pips": -567.6,
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"max_dd_pips": -703.0,
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"expectancy": -9.01
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},
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"oos_metrics": {
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"trades": 35,
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"wr": 71.4,
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"pf": 1.8,
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"sharpe": 4.17,
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"pnl_pips": 558.9,
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"max_dd_pips": -219.9,
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"expectancy": 15.97
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},
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"generalization": {
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"composite": 0.841,
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"detail": {
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"wr": 1.363,
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"pf": 2.0,
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"expectancy": 0,
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"sharpe": 0
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},
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"verdict": "PASS"
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}
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},
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"S9": {
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"pair": "GBP_USD",
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"timeframe": "H1",
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"is_metrics": {
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"trades": 253,
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"wr": 51.8,
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"pf": 0.77,
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"sharpe": -1.82,
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"pnl_pips": -1171.7,
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"max_dd_pips": -1775.8,
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"expectancy": -4.63
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},
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"oos_metrics": {
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"trades": 32,
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"wr": 68.8,
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"pf": 1.38,
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"sharpe": 2.14,
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"pnl_pips": 154.8,
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"max_dd_pips": -132.7,
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"expectancy": 4.84
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},
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"generalization": {
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"composite": 0.78,
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"detail": {
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"wr": 1.328,
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"pf": 1.792,
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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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"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": 54,
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"wr": 57.4,
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"pf": 1.1,
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"sharpe": 0.66,
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"pnl_pips": 131.8,
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"max_dd_pips": -561.2,
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"expectancy": 2.44
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},
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"oos_metrics": {
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"trades": 12,
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"wr": 75.0,
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"pf": 2.98,
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"sharpe": 7.38,
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"pnl_pips": 342.6,
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"max_dd_pips": -49.6,
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"expectancy": 28.55
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},
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"generalization": {
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"composite": 1.827,
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"detail": {
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"wr": 1.307,
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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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"S4F": {
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"pair": "EUR_AUD",
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"timeframe": "M15",
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"is_metrics": {
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"trades": 75,
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"wr": 50.7,
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"pf": 1.43,
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"sharpe": 2.63,
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"pnl_pips": 427.8,
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"max_dd_pips": -183.7,
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"expectancy": 5.7
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},
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"oos_metrics": {
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"trades": 20,
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"wr": 25.0,
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"pf": 0.48,
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"sharpe": -5.42,
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"pnl_pips": -254.7,
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"max_dd_pips": -337.2,
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"expectancy": -12.74
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},
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"generalization": {
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"composite": 0.207,
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"detail": {
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"wr": 0.493,
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"pf": 0.336,
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"expectancy": 0.0,
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"sharpe": 0.0
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},
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"verdict": "FAIL"
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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": 112,
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"wr": 49.1,
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"pf": 1.06,
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"sharpe": 0.39,
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"pnl_pips": 146.2,
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"max_dd_pips": -533.2,
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"expectancy": 1.31
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},
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"oos_metrics": {
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"trades": 38,
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"wr": 55.3,
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"pf": 1.07,
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"sharpe": 0.51,
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"pnl_pips": 56.9,
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"max_dd_pips": -182.9,
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"expectancy": 1.5
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},
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"generalization": {
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"composite": 1.147,
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"detail": {
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"wr": 1.126,
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"pf": 1.009,
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"expectancy": 1.145,
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"sharpe": 1.308
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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": 557,
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"wr": 51.7,
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"pf": 0.91,
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"sharpe": -0.64,
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"pnl_pips": -1033.5,
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"max_dd_pips": -2398.5,
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"expectancy": -1.86
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},
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"oos_metrics": {
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"trades": 137,
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"wr": 59.9,
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"pf": 1.34,
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"sharpe": 2.02,
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"pnl_pips": 858.4,
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"max_dd_pips": -452.7,
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"expectancy": 6.27
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},
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"generalization": {
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"composite": 0.658,
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"detail": {
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"wr": 1.159,
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"pf": 1.473,
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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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} |