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Brent NealeandClaude Opus 4.6
935e02bdc6
Test set (Sep 2023 - Dec 2024): only S9_Filtered passes (PF=1.13), portfolio PF=0.91 FAIL. S3 expansion to GBP_USD, EUR_USD, GBP_AUD shows no generalization — GBP_JPY remains the only viable pair. No strategy is consistently profitable across all 4 validation periods. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
166 lines
3.2 KiB
JSON
166 lines
3.2 KiB
JSON
{
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"S3_GBP_JPY": {
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"pair": "GBP_JPY",
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"tf": "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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"test_metrics": {
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"trades": 55,
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"wr": 45.5,
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"pf": 0.95,
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"sharpe": -0.36,
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"pnl_pips": -72.5,
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"max_dd_pips": -325.7,
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"expectancy": -1.32
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},
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"fwd_metrics": {
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"trades": 35,
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"wr": 42.9,
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"pf": 1.05,
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"sharpe": 0.36,
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"pnl_pips": 52.2,
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"max_dd_pips": -498.4,
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"expectancy": 1.49
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},
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"verdict": "MIXED"
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},
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"S3_GBP_USD": {
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"pair": "GBP_USD",
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"tf": "H1",
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"is_metrics": {
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"trades": 96,
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"wr": 54.2,
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"pf": 1.13,
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"sharpe": 0.86,
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"pnl_pips": 173.5,
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"max_dd_pips": -178.6,
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"expectancy": 1.81
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},
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"oos_metrics": {
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"trades": 23,
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"wr": 56.5,
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"pf": 1.01,
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"sharpe": 0.09,
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"pnl_pips": 4.9,
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"max_dd_pips": -123.4,
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"expectancy": 0.21
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},
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"test_metrics": {
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"trades": 55,
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"wr": 41.8,
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"pf": 0.66,
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"sharpe": -3.02,
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"pnl_pips": -259.8,
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"max_dd_pips": -332.2,
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"expectancy": -4.72
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},
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"fwd_metrics": {
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"trades": 29,
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"wr": 55.2,
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"pf": 0.95,
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"sharpe": -0.39,
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"pnl_pips": -22.3,
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"max_dd_pips": -199.9,
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"expectancy": -0.77
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},
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"verdict": "MIXED"
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},
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"S3_EUR_USD": {
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"pair": "EUR_USD",
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"tf": "H1",
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"is_metrics": {
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"trades": 85,
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"wr": 50.6,
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"pf": 0.91,
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"sharpe": -0.68,
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"pnl_pips": -98.1,
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"max_dd_pips": -272.6,
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"expectancy": -1.15
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},
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"oos_metrics": {
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"trades": 32,
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"wr": 46.9,
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"pf": 0.89,
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"sharpe": -0.79,
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"pnl_pips": -41.2,
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"max_dd_pips": -171.7,
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"expectancy": -1.29
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},
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"test_metrics": {
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"trades": 76,
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"wr": 38.2,
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"pf": 0.49,
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"sharpe": -5.11,
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"pnl_pips": -522.9,
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"max_dd_pips": -507.4,
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"expectancy": -6.88
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},
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"fwd_metrics": {
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"trades": 45,
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"wr": 48.9,
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"pf": 0.87,
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"sharpe": -1.01,
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"pnl_pips": -72.3,
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"max_dd_pips": -158.4,
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"expectancy": -1.61
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},
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"verdict": "MIXED"
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},
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"S3_GBP_AUD": {
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"pair": "GBP_AUD",
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"tf": "H1",
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"is_metrics": {
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"trades": 95,
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"wr": 46.3,
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"pf": 0.81,
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"sharpe": -1.5,
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"pnl_pips": -386.0,
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"max_dd_pips": -587.9,
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"expectancy": -4.06
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},
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"oos_metrics": {
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"trades": 26,
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"wr": 53.8,
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"pf": 0.91,
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"sharpe": -0.67,
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"pnl_pips": -55.1,
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"max_dd_pips": -251.6,
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"expectancy": -2.12
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},
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"test_metrics": {
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"trades": 60,
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"wr": 51.7,
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"pf": 1.27,
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"sharpe": 1.69,
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"pnl_pips": 252.9,
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"max_dd_pips": -133.4,
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"expectancy": 4.21
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},
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"fwd_metrics": {
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"trades": 45,
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"wr": 51.1,
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"pf": 0.82,
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"sharpe": -1.41,
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"pnl_pips": -160.3,
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"max_dd_pips": -322.4,
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"expectancy": -3.56
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},
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"verdict": "MIXED"
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}
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} |